Contents
THE EUROPEAN COMMISSION,Having regard to the Treaty on the Functioning of the European Union,Having regard to Directive 2009/138/EC of 25 November 2009 of the European Parliament and of the Council on the taking up and pursuit of the business of Insurance and Reinsurance (Solvency II)note, and in particular Article 35(10), third subparagraph, Article 244(6), third subparagraph, and Article 245(6), second subparagraph, thereof,Whereas:
(1)Information received through reporting is essential for risk based supervision and policyholder protection. To this end, supervisors need to receive meaningful data within reasonable timelines. In order to ensure that the reporting requirements stay up to date and reflect emerging risks and evolving practices, it is necessary to substantially revise reporting templates provided by Implementing Regulation (EU) 2015/2450. This requires changes to numerous templates, the addition of new templates and the removal of obsolete ones. Given the extent of the changes, it is appropriate to repeal Implementing Regulation (EU) 2015/2450.
(2)Cross border business is not intrinsically riskier but it adds another layer of complexity. Effective supervision should ensure that all policyholders and beneficiaries receive equal treatment regardless of their nationality or place of residence. With a view to facilitating the achievement of this objective the existing cross-border templates are replaced by new reporting templates that consolidate the information requirement which captures information on premiums, claims and expenses by both location of underwriting and location of risk.
(3)It is also necessary to establish a certain minimum legal requirement as regards the extent of the information on climate change related risks reported to supervisory authorities. Undertakings should provide an overview on their respective share of investments exposed to climate change-related transition and physical risk to supervisory authorities.
(4)There is a lack of granularity regarding the information for non-life products, which is detrimental for policyholder protection. Therefore, supervisors should have clear information on product level category. To this end, a new template on non-life obligation analysis is introduced for reporting by line of business with a few exceptions reported by product categories.
(5)As insurance or reinsurance undertakings may increasingly underwrite cyber risk, supervisors should incorporate considerations on this emerging risk in their supervisory activities. In order to facilitate such activities, a new reporting template on cyber underwriting risk is included.
(6)As part of the supervisory review process, it is important for supervisory authorities to be able to monitor the adequacy of internal models. Partial and full internal models allow to capture the individual risk of a company better and Directive 2009/138/EC allows insurance and reinsurance undertakings to use them for determining capital requirements without limitations stemming from the standard formula. However, assessments based on non-standardized information make supervision more difficult. Supervisory authorities should therefore benefit from new templates and clarified instructions, which support sensible data production.
(7)Reporting requirements should not be excessively burdensome for undertakings. To that end, it is necessary to specify how several reporting requirements apply in a proportionate way without jeopardizing the quality of data to be provided by the undertakings.
(8)Captive insurance undertakings and captive reinsurance undertakings which only cover risks associated with the industrial or commercial group to which they belong, present a particular risk profile that should be taken into account when defining reporting requirements. Captive insurance undertakings and captive reinsurance undertakings should therefore be able to benefit from specific risk-based reporting arrangements.
(9)The provisions of this Regulation are closely linked to each other, since they all deal with the submission of information from insurance and reinsurance undertakings and groups to the supervisory authorities. To ensure coherence between those provisions, which should enter into force at the same time, to facilitate a comprehensive understanding of those provisions and to ensure easy access to them by persons subject to the reporting obligations, including investors not established in the Union, it is desirable to include all the implementing technical standards required by Article 35(10), Article 244(6) and Article 245(6) of Directive 2009/138/EC in a single Regulation.
(10)This Regulation is based on the draft implementing technical standards submitted to the Commission by the European Insurance and Occupational Pensions Authority.
(11)The European Insurance and Occupational Pensions Authority has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Insurance and Reinsurance Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1094/2010 of the European Parliament and of the Councilnote.
(12)Undertakings should be given sufficient time to implement the updated reporting requirements. The date of application of this Regulation should therefore be deferred,
HAS ADOPTED THIS REGULATION:
Chapter I · Templates for supervisory reporting
Article 1Supervisory reporting formats#
Insurance and reinsurance undertakings, captive insurance and captive reinsurance undertakings, participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit the information in accordance with this Regulation in the data exchange formats and representations determined by the supervisory authorities or by the group supervisor and in accordance with the following specifications:
(a)data points with the data type ‘monetary’ shall be expressed in units with no decimals, with the exception of the information referred to in templates S.06.02, S.08.01 and S.11.01 of Annex I and III to this Implementing Regulation which shall be expressed in units with two decimals;
(b)data points with the data type ‘percentage’ shall be expressed as per unit with four decimals;
(c)data points with the data type ‘integer’ shall be expressed in units with no decimals;
(d)all data points shall be expressed as positive values except in the following cases:
(i)the data points are of an opposite nature from the natural amount of the item;
(ii)the nature of the data point allows for positive and negative values to be reported;
(iii)a different reporting format is required by the instructions set out in the Annex concerned.
Article 2Reporting currency#
1.Unless otherwise required by the supervisory authority for the purposes of this Implementing Regulation, reporting currency, shall be the following currency:
(a)for individual reporting, the currency used for the preparation of the insurance or reinsurance undertaking’s financial statements;
(b)for group reporting, the currency used for the preparation of the consolidated financial statements.
2.Data points with the data type ‘monetary’ shall be reported in the reporting currency, which requires the conversion of any other currency into the reporting currency unless otherwise provided for in Annex II and III of this Implementing Regulation.
3.When expressing the value of any asset or liability denominated in another currency than the reporting currency, insurance and reinsurance undertakings, captive insurance and captive reinsurance undertakings, participating undertakings, insurance holding companies and mixed financial holding companies shall convert the value into the reporting currency as if the conversion had taken place at the closing rate of the last day for which the appropriate rate was available in the reporting period to which the asset or liability relates.
4.When expressing the value of any income or expense, insurance and reinsurance undertakings, captive insurance and captive reinsurance undertakings, participating undertakings, insurance holding companies and mixed financial holding companies shall convert that value into the reporting currency using the same basis of conversion as that used for accounting purposes.
5.When expressing the values of historical data denominated in a currency other than the reporting currency, such values related to previous reporting periods shall be converted into the reporting currency based on the closing rate on the last day of the period being reported for which the conversion rate is available.
6.Unless otherwise required by the supervisory authority, the conversion into the reporting currency shall be calculated by applying the exchange rate from the same source as the one used for the insurance or reinsurance undertaking’s financial statements in the case of individual reporting, or the same source used for the consolidated financial statements in the case of group reporting
Article 3Re-submission of information#
Insurance and reinsurance undertakings, captive insurance and captive reinsurance undertakings, participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall be responsible for the quality of the information reported.They shall re-submit as soon as practicable the information reported using the templates referred to in this Implementing Regulation where:
(a)the information originally reported has materially changed in relation to the same reporting period after the submission of that information to the supervisory authorities or to the group supervisor; or
(b)the supervisory authorities or the group supervisor request it due to material data quality issues.
Article 4Risk-based reporting thresholds#
1.Insurance and reinsurance undertakings, captive insurance and captive reinsurance undertakings, participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall not be required by the supervisory authorities to submit annually the information referred to in Articles 35 of Directive 2009/138/EC to which a risk-based reporting threshold applies when that threshold is not exceeded in both the current and the previous reporting year.
2.Insurance and reinsurance undertakings, captive insurance and captive reinsurance undertakings, participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies that do not exceed the applicable risk-based reporting thresholds as defined in the previous paragraph shall be exempted from reporting the information referred to in Article 35 of Directive 2009/138/EC for which risk-based thresholds are identified in this Implementing Regulation for the current and the following reporting year.
3.Insurance and reinsurance undertakings, captive insurance and captive reinsurance undertakings, participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies that exceed the applicable risk-based reporting thresholds as defined in paragraph 1 shall report information referred to in Article 35 of Directive 2009/138/EC for which risk-based thresholds are identified in this Implementing Regulation for the current reporting year and reassess whether the thresholds are not exceeded in the following reporting year.
4.Captive insurance undertakings which fulfil all of the following conditions shall use the templates as set out in Articles 7, 9, 11, 13, 14, 16, 18, 20, 22, 24 and 25 of this Regulation:
a)in relation to the insurance obligations, all insured and beneficiaries are legal entities of the group to which the captive insurance undertaking belongs or are natural persons eligible to be covered under the group insurance policies as long as the business covering natural persons remains below 5 % of technical provisions;
b)the insurance obligations and the insurance contracts underlying the reinsurance obligations do not relate to any compulsory third party liability insurance.
5.Captive reinsurance undertakings which fulfil all of the following conditions shall use the templates as set out in Articles 7, 9, 12, 15, 17, 19, 21, 22 and 25 of this Regulation:
a)the conditions in points a) and b) of previous paragraph;
b)loans in place with the parent or any group company, including groups cashpools do not exceed 20 % of Total Assets held by the captive reinsurance undertaking;
c)the maximum loss resulting from the gross technical provisions can be deterministically assessed without the use of stochastic methods.
Chapter II · Quantitative reporting templates for individual undertakings
Article 5Quarterly quantitative templates for individual undertakings#
1.Insurance and reinsurance undertakings shall submit quarterly, unless the scope or frequency of the reporting is limited in accordance with Article 35(6) of Directive 2009/138/EC, the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35, using the following templates and complying with the following instructions:
(a)template S.01.01.02 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex II to this Regulation;
(b)template S.01.02.01 of Annex I, specifying basic information on the undertaking and the content of reporting in general, following the instructions set out in section S.01.02 of Annex II;
(c)template S.02.01.02 of Annex I, specifying balance sheet information using the valuation method referred to in Article 75 of Directive 2009/138/EC, following the instructions set out in section S.02.01 of Annex II to this Regulation;
(d)template S.05.01.02 of Annex I, specifying information on premiums, claims and expenses applying the valuation and recognition principles used in the undertaking’s financial statements for each line of business as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.05.01 of Annex II to this Regulation;
(e)template S.06.02.01 of Annex I, providing an item–by-item list of assets, following the instructions set out in section S.06.02 of Annex II and using the Complementary Identification Code (‘CIC code’) as set out in Annex V and specified in Annex VI;
(f)where the ratio of collective investments held by the undertaking to total investments is higher than 30 %, template S.06.03.01 of Annex I, providing information on the look-through of all collective investments held by the undertaking, following the instructions set out in section S.06.03 of Annex II;
(g)template S.08.01.01 of Annex I, providing an item-by-item list of open positions of derivatives, following the instructions set out in section S.08.01 of Annex II and using the CIC code as set out in Annex V and specified in Annex VI;
(h)template S.12.01.02 of Annex I, specifying information on the technical provisions relating to life insurance and health insurance pursued on a similar technical basis to that of life insurance (‘health SLT’) for each line of business as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.12.01 of Annex II to this Regulation;
(i)template S.17.01.02 of Annex I, specifying information on non-life technical provisions for each line of business as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.17.01 of Annex II;
(j)template S.23.01.01 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex II;
(k)where insurance and reinsurance undertakings are engaged in only life or only non-life insurance or reinsurance activity, template S.28.01.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.01 of Annex II;
(l)where insurance undertakings are engaged in both life and non-life insurance activity, template S.28.02.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.02 of Annex II.
2.For the purposes of paragraph 1, point (f), insurance and reinsurance undertakings shall determine the ratio of collective investments held by the undertaking to total investments by taking the sum of items C0010/R0180, collective investment undertakings included in item C0010/R0220 and collective investment undertakings included in item C0010/R0090 of template S.02.01.02 and dividing that amount by the sum of items C0010/R0070 and C0010/R0220 of template S.02.01.02.
Article 6Quarterly quantitative templates for captive insurance and captive reinsurance undertakings#
Captive insurance and captive reinsurance undertakings shall submit quarterly, unless the scope or frequency of the reporting is limited in accordance with Article 35(6) of Directive 2009/138/EC, the information referred to in Article 304(1), point (d) of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)template S.01.01.02 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex II;
(b)template S.01.02.01 of Annex I, specifying basic information on the undertaking and the content of reporting in general, following the instructions set out in section S.01.02 of Annex II;
(c)template S.02.01.02 of Annex I, specifying balance sheet information using the valuation method referred to in Article 75 of Directive 2009/138/EC, following the instructions set out in section S.02.01 of Annex II to this Regulation;
(d)template S.05.01.02 of Annex I, specifying information on premiums, claims and expenses applying the valuation and recognition principles used in the undertaking’s financial statements for each line of business as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.05.01 of Annex II to this Regulation;
(e)template S.12.01.02 of Annex I, specifying information on the technical provisions relating to life insurance and health insurance pursued on a similar technical basis to that of life insurance (‘health SLT’) for each line of business as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.12.01 of Annex II to this Regulation;
(f)template S.17.01.02 of Annex I, specifying information on non-life technical provisions for each line of business as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.17.01 of Annex II to this Regulation;
(g)template S.23.01.01 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex II;
(h)where captive insurance and reinsurance undertakings are engaged in only life or only non-life insurance or reinsurance activity, template S.28.01.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.01 of Annex II;
(i)where captive insurance undertakings are engaged in both life and non-life insurance activity, template S.28.02.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.02 of Annex II.
Article 7Simplifications allowed on quarterly reporting for individual undertakings and captive insurance and captive reinsurance undertakings#
1.With regard to the information referred to in Article 5(1), point (c), and Article 6, point (c), valuation of data may rely on estimates and estimation methods to a greater extent than valuation of annual financial data. The valuation for the quarterly reporting shall be designed to ensure that the resulting information is reliable and complies with the standards laid down in Article 75 of Directive 2009/138/EC and that all material information that is relevant for the understanding of the data is reported in accordance to Article 305 of Delegated Regulation (EU) 2015/35.
2.When submitting the information referred to in Article 5(1), points (h) and (i) and Article 6, points (e) and (f), insurance and reinsurance undertakings and captive insurance and captive reinsurance undertakings may apply simplified methods in the calculation of the technical provisions.
Article 8Annual quantitative templates for individual undertakings and captive insurance and captive reinsurance undertakings – Basic information and content of submission#
Insurance and reinsurance undertakings and captive insurance and captive reinsurance undertakings shall submit annually the information referred to in Article 304(1) point (d) of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)template S.01.01.01 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex II;
(b)template S.01.02.01 of Annex I, specifying basic information on the undertaking and the content of the reporting in general, following the instructions set out in section S.01.02 of Annex II;
(c)template S.01.03.01 of Annex I, specifying basic information on the ring-fenced funds and matching adjustment portfolios, following the instructions set out in section S.01.03 of Annex II.
Article 9Annual quantitative templates for individual undertakings – Balance sheet and other general information#
Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)template S.02.01.01 of Annex I, specifying balance sheet information using the valuation method referred to in Article 75 of Directive 2009/138/EC and the valuation following the undertaking’s financial statements, following the instructions set out in section S.02.01 of Annex II;
(b)unless one single currency represents more than 80 % of the total liabilities, template S.02.02.01 of Annex I, specifying information on liabilities by currency, following the instructions set out in section S.02.02 of Annex II;
(c)template S.03.01.01 of Annex I, specifying general information on off-balance sheet items, following the instructions set out in section S.03.01 of Annex II, where (i) or (ii) applies:
(i)the amount of any of the following values is higher than 2 % of Total Assets:
(1)value of guarantee/collateral/contingent liabilities – Guarantees provided by the undertaking, including letters of credit (C0020/R0010) plus Value of guarantee/collateral/contingent liabilities – Total collateral pledged (C0020/R0300) plus Maximum value – Total Contingent liabilities (C0010/R0400); or
(2)value of guarantee/collateral/contingent liabilities – Guarantees received by the undertaking, including letters of credit (C0020/R0030) plus Value of guarantee/collateral/contingent liabilities – Total collateral held (C0020/R0200);
(ii)the undertaking has provided or received any unlimited guarantee;
(d)template S.04.02.01 of Annex I, specifying information on class 10 in Part A of Annex I to Directive 2009/138/EC, excluding carrier’s liability, following the instructions set out in section S.04.02 of Annex II;
(e)template S.04.03.01 of Annex I, specifying information on Basic Information – List of underwriting entities, following the instructions set out in section S.04.03 of Annex II;
(f)template S.04.04.01 of Annex I, specifying information on activity by country – location of underwriting, following the instructions set out in section S.04.04 of Annex II;
(g)template S.04.05.01 of Annex I, specifying information on Activity by country – location of risk, following the instructions set out in section S.04.05 of Annex II;
(h)template S.05.01.01 of Annex I, specifying information on premiums, claims and expenses applying the valuation and recognition principles used in the undertaking’s financial statements for each line of business as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.05.01 of Annex II.
Article 10Annual quantitative templates for captive insurance undertakings – Balance sheet and other general information#
Captive insurance undertakings shall submit annually the information referred to in Article 304(1) point (d) of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)template S.02.01.01 of Annex I, specifying balance sheet information using the valuation method referred to in Article 75 of Directive 2009/138/EC and the valuation following the undertaking’s financial statements, following the instructions set out in section S.02.01 of Annex II;
(b)template S.03.01.01 of Annex I, specifying general information on off-balance sheet items, following the instructions set out in section S.03.01 of Annex II, where (i) or (ii) applies:
(i)the amount of any of the following values is higher than 2 % of Total Assets:
(1)value of guarantee/collateral/contingent liabilities – Guarantees provided by the undertaking, including letters of credit (C0020/R0010) plus Value of guarantee/collateral/contingent liabilities – Total collateral pledged (C0020/R0300) plus Maximum value – Total Contingent liabilities (C0010/R0400); or
(2)value of guarantee/collateral/contingent liabilities – Guarantees received by the undertaking, including letters of credit (C0020/R0030) plus Value of guarantee/collateral/contingent liabilities – Total collateral held (C0020/R0200);
(ii)the undertaking has provided or received any unlimited guarantee;
(c)template S.04.02.01 of Annex I, specifying information on class 10 in Part A of Annex I to Directive 2009/138/EC, excluding carrier’s liability, following the instructions set out in section S.04.02 of Annex II;
(d)template S.04.03.01 of Annex I, specifying information on Basic Information – List of underwriting entities, following the instructions set out in section S.04.03 of Annex II;
(e)template S.04.04.01 of Annex I, specifying information on Activity by country – location of underwriting, following the instructions set out in section S.04.04 of Annex II;
(f)template S.04.05.01 of Annex I, specifying information on Activity by country – location of risk, following the instructions set out in section S.04.05 of Annex II;
(g)template S.05.01.01 of Annex I, specifying information on premiums, claims and expenses applying the valuation and recognition principles used in the undertaking’s financial statements for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.05.01 of Annex II.
Article 11Annual quantitative templates for captive reinsurance undertakings – Balance sheet and other general information#
Captive reinsurance undertakings shall submit annually the information referred to in Article 304(1), point (d) of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)template S.02.01.01 of Annex I, specifying balance sheet information using the valuation method referred to in Article 75 of Directive 2009/138/EC and the valuation following the undertaking’s financial statements, following the instructions set out in section S.02.01 of Annex II;
(b)template S.04.02.01 of Annex I, specifying information on class 10 in Part A of Annex I of Directive 2009/138/EC, excluding carrier’s liability, following the instructions set out in section S.04.02 of Annex II;
(c)template S.04.03.01 of Annex I, specifying information on Basic Information – List of underwriting entities, following the instructions set out in section S.04.03 of Annex II Regulation;
(d)template S.04.04.01 of Annex I, specifying information on Activity by country – location of underwriting, following the instructions set out in section S.04.04 of Annex II;
(e)template S.04.05.01 of Annex I, specifying information on Activity by country – location of risk, following the instructions set out in section S.04.05 of Annex II;
(f)template S.05.01.01 of Annex I, specifying information on premiums, claims and expenses applying the valuation and recognition principles used in the undertaking’s financial statements for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.05.01 of Annex II.
Article 12Annual quantitative templates for individual undertakings and captive insurance undertakings – Investments information#
Insurance and reinsurance undertakings and captive insurance undertakings shall submit annually, unless exempted under Article 35(7) of Directive 2009/138/EC in relation to a specific template, the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)where the undertaking is exempted from reporting the template S.06.02.01 in relation to the last quarter in accordance with Article 35(6) of Directive 2009/138/EC, template S.06.02.01 of Annex I to this Regulation, providing an item-by-item list of assets, following the instructions set out in section S.06.02 of Annex II to this Regulation and using the CIC code as set out in Annex V and specified in Annex VI;
(b)where the undertaking is exempted from reporting the template S.06.03.01 in relation to the last quarter in accordance with Article 35(6) of Directive 2009/138/EC or has not reported it quarterly because the ratio of collective investments held by the undertaking to total investments, as referred to in Article 5(1), point (f) of this Regulation, is not higher than 30 %, template S.06.03.01 of Annex I to this Regulation, providing information on the look-through of all collective investments held by the undertakings, following the instructions set out in section S.06.03 of Annex II;
(c)template S.06.04.01 of Annex I, specifying the information on climate change-related risks to investments, following the instructions set out in section S.06.04 of Annex II;
(d)where the value of structured products, determined as the sum of assets classified in categories 5 and 6, as defined in Annex V, represents more than 5 % of the total investments as reported in items C0010/R0070 and C0010/R0220 of template S.02.01.01, template S.07.01.01 of Annex I, providing an item-by-item list of structured products, following the instructions set out in section S.07.01 of Annex II;
(e)where the undertakings are exempted from reporting the template S.08.01.01 in relation to the last quarter in accordance with Article 35(6) of Directive 2009/138/EC, template S.08.01.01 of Annex I to this Regulation, providing an item-by-item list of open positions of derivatives, following the instructions set out in section S.08.01 of Annex II to this Regulation and using the CIC code as set out in Annex V and defined in Annex VI;
(f)template S.09.01.01 of Annex I, specifying information on income, gains and losses in the reporting period by asset category as defined in Annex IV, following the instructions set out in section S.09.01 of Annex II;
(g)where the value of the underlying securities, on and off balance sheet, involved in lending or repurchase agreements, for contracts with maturity dates falling after the reporting reference date, represents more than 5 % of the total investments as reported in items C0010/R0070 and C0010/R0220 of template S.02.01.01, template S.10.01.01 of Annex I, providing an item-by-item list of securities lending and repurchase agreements, on and off-balance sheet, following the instructions set out in section S.10.01 of Annex II;
(h)where the ratio of the value of assets held as collateral to total balance sheet as reported in items C0010/R0500 of template S.02.01.01 exceeds 10 %, template S.11.01.01 of Annex I, providing an item-by-item list of assets held as collateral, consisting of all types of off-balance sheet asset categories held as collateral, following the instructions set out in section S.11.01 of Annex II.
Article 13Annual quantitative templates for individual undertakings and captive insurance undertakings – Technical provisions and risks information#
1.Insurance and reinsurance undertakings and captive insurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)template S.12.01.01 of Annex I, specifying by line of business as specified in Annex I to Delegated Regulation (EU) 2015/35 information on life and health SLT technical provisions, following the instructions set out in section S.12.01 of Annex II;
(b)template S.12.02.01 of Annex I, specifying information on life and health SLT technical provisions by country where the life and health SLT technical provisions regarding the home country do not represent 100 % of the sum of the technical provisions calculated as a whole and gross best estimate, following the instructions set out in section S.12.02 of Annex II;
(c)unless the undertaking uses simplifications for the calculation of technical provisions, for which an estimate of the expected future cash-flows arising from the contracts are not calculated, template S.13.01.01 of Annex I, specifying information on the projection of best estimate future cash flows of the life business, following the instructions set out in section S.13.01 of Annex II;
(d)template S.14.01.01 of Annex I, specifying information on life obligations analysis, including life insurance contracts and annuities stemming from non-life contracts, by product issued by the undertaking, following the instructions set out in section S.14.01 of Annex II;
(e)template S.14.02.01 of Annex I, specifying information on non-life obligations analysis, by line of business and specific product categories issued by the undertaking, following the instructions set out in section S.14.02 of Annex II;
(f)template S.14.03 of Annex I, specifying information on cyber underwriting risk, following instructions set out in section S.14.03 of Annex II, where any of the following conditions apply:
(i)the sum of premiums earned for standalone cyber policies and policies with cyber as add-on coverage, where only the estimated premiums earned for cyber risk are to be taken into account, is greater than 5 % of the overall non-life business pursued by the undertaking, or greater than EUR 5 million;
(ii)the number of policies that include cyber risk coverage represent more than 3 % of the total number of policies of the non-life business;
(g)template S.16.01.01 of Annex I, specifying information on annuities stemming from non-life insurance obligations issued by the undertaking under direct insurance business originating annuities, regarding all lines of business as specified in Annex I to Delegated Regulation (EU) 2015/35;
(h)template S.17.01.01 of Annex I, specifying information on non-life technical provisions by lines of business as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.17.01 of Annex II;
(i)template S.17.03.01 of Annex I, specifying information on non-life technical provisions referred to direct insurance business by country, where the non-life technical provisions regarding the home country does not represent 100 % of the sum of the technical provisions calculated as a whole and gross best estimate, following the instructions set out in section S.17.03 of Annex II;
(j)unless the undertaking uses simplifications for the calculation of technical provisions, for which an estimate of the expected future cash-flows arising from the contracts are not calculated, template S.18.01.01 of Annex I, specifying information on the projection of future cash flows based on best estimate of the non-life business, for the lines of business representing a coverage of 90 % of the sum of the technical provisions calculated as a whole and gross best estimate, following the instructions set out in section S.18.01 of Annex II;
(k)template S.19.01.01 of Annex I, specifying information on non-life insurance claims in the format of development triangles, for the total of each non-life line of business as specified in Annex I to Delegated Regulation (EU) 2015/35;
(l)template S.20.01.01 of Annex I, specifying information on the development of the distribution of the claims incurred at the end of the financial year for material lines of business representing a coverage of 90 % of the non-life technical provisions as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.20.01 of Annex II;
(m)template S.21.01.01 of Annex I, specifying information on loss distribution risk profile of non-life business for material lines of business representing a coverage of 90 % of the non-life technical provisions as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.21.01 of Annex II;
(n)template S.21.02.01 of Annex I, specifying information on the non-life underwriting risks, following the instructions set out in section S.21.02 of Annex II;
(o)template S.21.03.01 of Annex I, specifying information on non-life underwriting risks by sum insured for material lines of business representing a coverage of 90 % of the non-life technical provisions as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions in S.21.03 of Annex II.
2.For the purposes of paragraph 1, point (g), for insurance and reinsurance undertakings other than captive insurance or captive reinsurance undertakings, information shall additionally be reported by currency, following the instructions set out in section S.16.01 of Annex II. The information by currency shall only be reported where the best estimate for the annuity claims provisions on a discounted basis from one non-life line of business represents more than 3 % of the total best estimate for all annuity claims provisions, with the following split:
(i)amount for the reporting currency;
(ii)amount for any currency that represents more than 25 % of the best estimate for the annuity claims provisions on a discounted basis in the original currency from that non-life line of business;
(iii)amount for any currency that represents less than 25 % of the best estimate for the annuity claims provisions (discounted basis) in the original currency from that non-life line of business but more than 5 % of total best estimate for all annuity claims provisions.
3.For the purposes of paragraph 1, point (k), for insurance and reinsurance undertakings other than captive insurance or captive reinsurance undertakings, information shall additionally be reported by currency, following the instructions set out in section S.19.01 of Annex II to this Regulation. The information by currency shall only be reported where the total gross best estimate for one non-life line of business represents more than 10 % of the total gross best estimate of the claims provision, with the following split:
(i)amount for any currency that represents more than 25 % of the gross best estimate of the claims provisions in the original currency from that non-life line of business;
(ii)amount for any currency that represents less than 25 % of the gross best estimate of the claims provisions in the original currency from that non-life line of business but more than 5 % of total gross best estimate of the claims provisions in the original currency.
Article 14Annual quantitative templates for captive reinsurance undertakings – Technical provisions information#
Captive reinsurance undertakings shall submit annually the information referred to in Article 304(1), point (d) of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)template S.12.01.01 of Annex I, specifying information on life and health SLT technical provisions by line of business as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.12.01 of Annex II;
(b)template S.19.01.21 of Annex I, specifying information on non-life insurance claims in the format of development triangles, for the total of each non-life line of business as specified in Annex I to Delegated Regulation (EU) 2015/35.
Article 15Annual quantitative templates for individual undertakings and captive insurance undertakings – Long-term guarantees information#
Insurance and reinsurance undertakings and captive insurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)template S.22.01.01 of Annex I, specifying information on the impact of the long term guarantees and transitional measures, following the instructions set out in section S.22.01 of Annex II;
(b)template S.22.04.01 of Annex I, specifying information on the interest rate transitional measure, following the instructions set out in section S.22.04 of Annex II;
(c)template S.22.05.01 of Annex I, specifying information on the transitional measure on technical provisions, following the instructions set out in section S.22.05 of Annex II;
(d)template S.22.06.01 of Annex I, specifying information on the best estimate subject to volatility adjustment by country and currency, following the instructions set out in section S.22.06 of Annex II.
Article 16Annual quantitative templates for captive reinsurance undertakings – Long-term guarantees information#
Captive reinsurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using template S.22.01.01 of Annex I, specifying information on the impact of the long term guarantees and transitional measures, following the instructions set out in section S.22.01 of Annex II.
Article 17Annual quantitative templates for individual undertakings and captive insurance undertakings – Own funds and participations information#
Insurance and reinsurance undertakings and captive insurance undertakings shall submit annually the information referred to in Article 304(1), point (d) of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)template S.23.01.01 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex II;
(b)template S.23.02.01 of Annex I, providing detailed information on own funds by tiers, following the instructions set out in section S.23.02 of Annex II;
(c)where the own funds amount for any tier change more than 5 % compared to the previous year, template S.23.03.01 of Annex I, specifying information on annual movements on own funds, following the instructions set out in section S.23.03 of Annex II;
(d)where the own funds amount for any tier change more than 5 % compared to the previous year, template S.23.04.01 of Annex I, providing a list of items on own funds, following the instructions set out in section S.23.04 of Annex II;
(e)template S.24.01.01 of Annex I, specifying information on participations held by the undertaking and an overview of the calculation for the deduction from own funds related to participations in financial and credit institutions, following the instructions set out in section S.24.01 of Annex II.
Article 18Annual quantitative templates for captive reinsurance undertakings – Own funds and participations information#
Captive reinsurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using template S.23.01.01 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex II.
Article 19Annual quantitative templates for individual undertakings and captive insurance undertakings – Solvency Capital Requirement information#
1.Insurance and reinsurance undertakings and captive insurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)where the undertaking uses the standard formula for the calculation of the Solvency Capital Requirement, template S.25.01.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.01 of Annex II;
(b)where the undertaking uses a partial internal model or a full internal model for the calculation of the Solvency Capital Requirement, template S.25.05.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.05 of Annex II;
(c)template S.26.01.01 of Annex I, specifying information on market risk, following the instructions set out in section S.26.01 of Annex II;
(d)template S.26.02.01 of Annex I, specifying information on counterparty default risk, following the instructions set out in section S.26.02 of Annex II;
(e)template S.26.03.01 of Annex I, specifying information on life underwriting risk, following the instructions set out in section S.26.03 of Annex II;
(f)template S.26.04.01 of Annex I, specifying information on health underwriting risk, following the instructions set out in section S.26.04 of Annex II;
(g)template S.26.05.01 of Annex I, specifying information on non-life underwriting risk, following the instructions set out in section S.26.05 of Annex II;
(h)template S.26.06.01 of Annex I, specifying information on operational risk, following the instructions set out in section S.26.06 of Annex II;
(i)template S.26.07.01 of Annex I, specifying information on the simplifications used in the calculation of the Solvency Capital Requirement, following the instructions set out in section S.26.07 of Annex II;
(j)template S.26.08.01 of Annex I, specifying further information on the internal model used for the Solvency Capital Requirement, for undertakings using a partial internal model or a full internal model, following the instructions set out in section S.26.08 of Annex II;
(k)template S.26.09.01 of Annex I, specifying information on internal model market and credit risk for financial instruments, following the instructions set out in section S.26.09 of Annex II;
(l)template S.26.10.01 of Annex I, specifying information on internal model portfolio view details of credit event risk, following the instructions set out in section S.26.10 of Annex II;
(m)template S.26.11.01 of Annex I, specifying information on internal model details for financial instruments of credit risk, following the instructions set out in section S.26.11 of Annex II;
(n)template S.26.12.01 of Annex I, specifying information on internal model for non-financial instruments of credit risk, following the instructions set out in section S.26.12 of Annex II;
(o)template S.26.13.01 of Annex I, specifying information on internal model non-life and health NSLT underwriting risk, following the instructions set out in section S.26.13 of Annex II;
(p)template S.26.14.01 of Annex I, specifying information on internal model life and health underwriting risk, following the instructions set out in section S.26.14 of Annex II;
(q)template S.26.15.01 of Annex I, specifying information on internal model operational risk, following the instructions set out in section S.26.15 of Annex II;
(r)template S.26.16.01 of Annex I, specifying information on internal model changes, following the instructions set out in section S.26.16 of Annex II;
(s)template S. 27.01 specifying information on non-life catastrophe risk, following the instructions set out in section S. 27.01 of Annex II as follows:
(i)for insurance and reinsurance undertakings other than captive insurance or captive reinsurance undertaking, template S. 27.01.01 of Annex I,
(ii)for captive insurance or captive reinsurance undertakings, summary information and information on simplifications used on non-life and health catastrophe risk.
2.In the case of ring-fenced funds or matching adjustment portfolios, the information in the templates referred to in paragraph 1, points (c) to (s), shall not be reported for the entity as a whole.
3.Where a partial internal model is used, the information in the templates referred to in paragraph 1, points (c) to (s), shall only be reported in relation to the risks covered by the standard formula and the templates referred to in of paragraph 1, points (j) to (r), shall only be reported in relation to the risks covered by the internal model.
4.Where a full internal model is used, the information in the templates referred to in paragraph 1, points (c) to (s), shall not be reported and the templates referred to in paragraph 1, points (j) to (r) shall be reported.
Article 20Annual quantitative templates for captive reinsurance undertaking— Solvency Capital Requirement information#
1.Captive reinsurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)where the undertaking uses the standard formula for the calculation of the Solvency Capital Requirement, template S.25.01.21 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.01 of Annex II;
(b)where the undertaking uses a partial internal model or a full internal model for the calculation of the Solvency Capital Requirement, template S.25.05.21 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.05 of Annex II.
Article 21Annual quantitative templates for individual undertakings and captive insurance and captive reinsurance undertakings – Minimum capital requirement information#
Insurance and reinsurance undertakings and captive insurance and captive reinsurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)where insurance and reinsurance undertakings are engaged in only life or only non-life insurance or reinsurance activity, template S.28.01.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.01 of Annex II;
(b)where insurance undertakings are engaged in both life and non-life insurance activity, template S.28.02.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.02 of Annex II.
Article 22Annual quantitative templates for individual undertakings – Variation analysis information#
Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)template S.29.01.01 of Annex I, specifying information on the variation of the excess of assets over liabilities during the reporting year providing a summary of main sources of this variation, following the instructions set out in section S.29.01 of Annex II;
(b)template S.29.02.01 of Annex I, specifying information on the part of variation of the excess of assets over liabilities during the reporting year explained by investments and financial liabilities, following the instructions set out in section S.29.02 of Annex II;
(c)templates S.29.03.01 and S.29.04.01 of Annex I, specifying information on the part of variation of the excess of assets over liabilities during the reporting year explained by technical provisions, following the instructions set out in section S.29.03 and S.29.04 of Annex II.
Article 23Annual quantitative templates for individual undertakings and captive insurance undertakings – Reinsurance and special purpose vehicles information#
Insurance and reinsurance undertakings and captive insurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)where reinsurance recoverables are higher than 10 % of the total best estimate calculated separately for life and non-life business, template S.30.01.01 of Annex I, specifying information on facultative covers in the next reporting year covering information on the 20 largest facultative reinsurance exposures and the 2 largest in each line of business as specified in Annex I to Delegated Regulation (EU) 2015/35, insofar as not covered by the 20 largest, for which facultative reinsurance is used, following the instructions set out in section S.30.01 of Annex II to this Regulation;
(b)where reinsurance recoverables are higher than 10 % of the total best estimate calculated separately for life and non-life business, template S.30.02.01 of Annex I, specifying information on shares of reinsurers of facultative covers in the next reporting year covering information on the 20 largest facultative reinsurance exposures and the 2 largest in each line of business as specified in Annex I to Delegated Regulation (EU) 2015/35, insofar as not covered by the 20 largest, following the instructions set out in section S.30.02 of Annex II to this Regulation;
(c)where reinsurance recoverables are higher than 10 % of the total best estimate calculated separately for life and non-life business, template S.30.03.01 of Annex I, specifying information on the outgoing reinsurance program in the next reporting year covering prospective information on reinsurance treaties the period of validity of which includes or overlaps the next reporting year, following the instructions set out in section S.30.03 of Annex II;
(d)where reinsurance recoverables are higher than 10 % of the total best estimate calculated separately for life and non-life business, template S.30.04.01 of Annex I, specifying information on the outgoing reinsurance program in the next reporting year covering prospective information on reinsurance treaties the period of validity of which includes or overlaps the next reporting year, following the instructions set out in section S.30.04 of Annex II;
(e)template S.31.01.01 of Annex I, specifying information on the share of reinsurers, following the instructions set out in section S.31.01 of Annex II;
(f)template S.31.02.01 of Annex I, specifying information on special purpose vehicles from the perspective of the insurance or reinsurance undertaking transferring risk to the special purpose vehicles, following the instructions set out in section S.31.02 of Annex II.
Article 24Annual quantitative templates for individual undertakings and captive insurance and captive reinsurance undertakings – Ring-fenced funds, material matching adjustment portfolios and remaining part information#
1.Insurance and reinsurance undertakings and captive insurance and captive reinsurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 in relation to each material ring-fenced fund, each material matching adjustment portfolio and the remaining part, using the following templates and complying with the following instructions:
(a)template SR.01.01.01 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex II;
(b)for each material ring-fenced fund and for the remaining part, template SR.02.01.01 of Annex I, specifying balance sheet information using both the valuation in accordance with Article 75 of Directive 2009/138/EC and the valuation following the undertaking’s financial statements, following the instructions set out in section S.02.01 of Annex II to this Regulation;
(c)template SR.12.01.01 of Annex I, specifying information on life and health SLT technical provisions for each line of business as defined in Annex I of Delegated Regulation (EU) 2015/35, following the instructions set out in section S.12.01 of Annex II to this Regulation;
(d)template SR.17.01.01 of Annex I, specifying information on non-life technical provisions for each line of business as defined in Annex I of Delegated Regulation (EU) 2015/35, following the instructions set out in section S.17.01 of Annex II to this Regulation;
(e)template SR.22.02.01 of Annex I, specifying information on the projection of future cash flows for the best estimate calculation by each material matching adjustment portfolio, following the instructions set out in section S.22.02 of Annex II;
(f)template SR.22.03.01 of Annex I, specifying information on the matching adjustment portfolios by each material matching adjustment portfolio, following the instructions set out in section S.22.03 of Annex II;
(g)where the undertaking uses the standard formula for the calculation of the Solvency Capital Requirement, template SR.25.01.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.01 of Annex II;
(h)where the undertaking uses the a partial internal model or a full internal model for the calculation of the Solvency Capital Requirement, template SR.25.05.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.05 of Annex II;
(i)template SR.26.01.01 of Annex I, specifying information on market risk, following the instructions set out in section S.26.01 of Annex II;
(j)template SR.26.02.01 of Annex I, specifying information on counterparty default risk, following the instructions set out in section S.26.02 of Annex II;
(k)template SR.26.03.01 of Annex I, specifying information on life underwriting risk, following the instructions set out in section S.26.03 of Annex II;
(l)template SR.26.04.01 of Annex I, specifying information on health underwriting risk, following the instructions set out in section S.26.04 of Annex II;
(m)template SR.26.05.01 of Annex I, specifying information on non-life underwriting risk, following the instructions set out in section S.26.05 of Annex II;
(n)template SR.26.06.01 of Annex I, specifying information on operational risk, following the instructions set out in section S.26.06 of Annex II;
(o)template SR.26.07.01 of Annex I, specifying information on the simplifications used in the calculation of the Solvency Capital Requirement, following the instructions set out in section S.26.07 of Annex II;
(p)for undertakings using a partial internal model or a full internal model, template SR.26.08.01 of Annex I, specifying further information on the internal model used for the Solvency Capital Requirement, following the instructions set out in section S.26.08 of Annex II;
(q)template SR.27.01.01 of Annex I, specifying information on non-life catastrophe risk, following the instructions set out in section S.27.01 of Annex II.
2.Where a partial internal model is used, the information in the templates referred to in paragraph 1, points (i) to (o) and (q), shall only be reported in relation to the risks covered by the standard formula and the information in the template referred to in paragraph 1, point (p), shall be reported in relation to the risks covered by the internal model.
3.Where a full internal model is used, the information in the templates referred to in paragraph 1, points (i) to (o) and (q), shall not be reported and the information in the template referred to in paragraph 1, point (p), shall be reported.
Article 25Annual quantitative templates for individual undertakings – intra-group-transactions information#
Insurance and reinsurance undertakings which are not part of a group as referred to in Article 213(2), points (a), (b) or (c), of Directive 2009/138/EC and the parent undertaking of which is a mixed-activity insurance holding company shall submit annually the information referred to in Article 245(2), second subparagraph, of that Directive, in conjunction with Article 265 of that Directive, using the following templates and complying with the following instructions:
(a)template S.36.01.01 of Annex I, specifying information on significant intra-group-transactions, involving equity-type transactions, debt and asset transfer, following the instructions set out in section S.36.01 of Annex II;
(b)template S.36.02.01 of Annex I, specifying information on significant intra-group-transactions on derivatives, including the guarantees supporting any derivatives instruments, following the instructions set out in section S.36.02 of Annex II;
(c)template S.36.03.01 of Annex I, specifying information on significant intra-group-transactions on off-balance sheet items and contingent liabilities, following the instructions set out in section S.36.03 of Annex II;
(d)template S.36.04.01 of Annex I, specifying information on significant intra-group-transactions on insurance and reinsurance, following the instructions set out in section S.36.04 of Annex II;
(e)template S.36.05.01 of Annex I, specifying information on significant intra-group transactions on profit and loss, following the instructions set out in section S.36.05 of Annex II.
Article 26Quantitative templates for individual undertakings – intra-group transactions information#
Insurance and reinsurance undertakings which are not part of a group as referred to in Article 213(2), points (a), (b) or (c), of Directive 2009/138/EC and the parent undertaking of which is a mixed-activity insurance holding company shall report very significant intra-group transactions as referred to in Article 245(2), second subparagraph, of that Directive, and intra-group transactions to be reported in all circumstances as referred to in Article 245(3) of that Directive, as soon as practicable using the relevant templates among templates S.36.00.01 to S.36.05.01 of Annex I to this Regulation, following the instructions set out in section S.36.00 to S.36.05 of Annex II to this Regulation.
III · Quantitative reporting templates for groups
Article 27Quarterly quantitative templates for groups#
1.Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit quarterly, unless the scope or the frequency of the reporting is limited in accordance with Article 254(2), second subparagraph, of Directive 2009/138/EC, the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35, using the following templates and complying with the following instructions:
(a)template S.01.01.05 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex III;
(b)template S.01.02.04 of Annex I, specifying basic information on the group and the content of the reporting in general, following the instructions set out in section S.01.02 of Annex III;
(c)where, for the calculation of group solvency, the group uses method 1 as specified in Article 230 of Directive 2009/138/EC, either exclusively or in combination with method 2 as specified in Article 233 of that Directive, template S.02.01.02 of Annex I to this Regulation, specifying balance sheet information, using the valuation method referred to in Article 75 of Directive 2009/138/EC, following the instructions set out in section S.02.01 of Annex III to this Regulation;
(d)template S.05.01.02 of Annex I, specifying information on premiums, claims and expenses, for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35 using the valuation and recognition principles used in the consolidated financial statements, following the instructions set out in section S.05.01 of Annex III to this Regulation;
(e)template S.06.02.04 of Annex I, providing an item-by-item list of assets, following the instructions set out in section S.06.02 of Annex III and using the CIC code as set out in Annex V and defined in Annex VI;
(f)where the ratio of collective investments held by the group to total investments is higher than 30 %, template S.06.03.04 of Annex I, providing information on the look-through of all collective investments held by the group, following the instructions set out in section S.06.03 of Annex III;
(g)template S.08.01.04 of Annex I, providing an item-by-item list of open positions of derivatives, following the instructions set out in section S.08.01 of Annex III and using the CIC code as set out in Annex V and defined in Annex VI;
(h)template S.23.01.04 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex III.
2.For the purposes of paragraph 1, point (f), where for the calculation of group solvency method 1 as specified in Article 230 of Directive 2009/138/EC is used exclusively, the ratio of collective investments held by the group to total investments shall be determined by the sum of items C0010/R0180, collective investment undertakings included in item C0010/R0220 and collective investment undertakings included in item C0010/R0090 of template S.02.01.02, divided by the sum of items C0010/R0070 and C0010/R0220 of template S.02.01.02. Where, for the calculation of group solvency, method 1 is used in combination with method 2 as specified in Article 233 of Directive 2009/138/EC, or method 2 is used exclusively, the ratio shall be calculated in accordance with the first sentence of this paragraph and adjusted in order to capture the required items of all entities included in the scope of template S.06.02.04.
Article 28Simplifications allowed on quarterly reporting for groups#
With regard to the information referred to in Article 27(1), point (c), of this Regulation, quarterly measurements may rely on estimates and estimation methods to a greater extent than measurements of annual financial data. The measurement procedures for the quarterly reporting shall be designed to ensure that the resulting information is reliable and complies with the standards laid down in Directive 2009/138/EC and that all material information that is relevant for the understanding of the data is reported.
Article 29Annual quantitative templates for groups – Basic information and content of submission#
Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates and complying with the following instructions:
(a)template S.01.01.04 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex III;
(b)template S.01.02.04 of Annex I, specifying basic information on the undertaking and the content of the reporting in general, following the instructions set out in section S.01.02 of Annex III;
(c)where, for the calculation of group solvency, the group uses method 1 as defined in Article 230 of Directive 2009/138/EC, either exclusively or in combination with method 2 as defined in Article 233 of that Directive, template S.01.03.04 of Annex I to this Regulation, specifying basic information on the ring-fenced funds and matching adjustment portfolios, following the instructions set out in section S.01.03 of Annex III to this Regulation.
Article 30Annual quantitative templates for groups – Balance sheet and other general information#
1.Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates and complying with the following instructions:
(a)template S.02.01.01 of Annex I, specifying balance sheet information using both the valuation method referred to in Article 75 of Directive 2009/138/EC and the valuation following the consolidated financial statements, following the instructions set out in section S.02.01 of Annex III;
(b)unless one single currency represents more than 80 % of the total liabilities, template S.02.02.01 of Annex I, specifying information on assets and liabilities by currency, following the instructions set out in section S.02.02 of Annex III;
(c)template S.03.01.04 of Annex I, specifying general information on off-balance sheet items, following the instructions set out in section S.03.01 of Annex III where (i) or (ii) applies:
(i)the amount of any of the following values is higher than 2 % of Total Assets:
(1)value of guarantee/collateral/contingent liabilities – Guarantees provided by the undertaking, including letters of credit (C0020/R0010) plus Value of guarantee/collateral/contingent liabilities – Total collateral pledged (C0020/R0300) plus Maximum value – Total Contingent liabilities (C0010/R0400); or
(2)value of guarantee/collateral/contingent liabilities – Guarantees received by the undertaking, including letters of credit (C0020/R0030) plus Value of guarantee/collateral/contingent liabilities – Total collateral held (C0020/R0200);
(ii)the undertaking has provided or received unlimited guarantee;
(d)template S.05.01.01 of Annex I, specifying information on premiums, claims and expenses for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35 applying the valuation and recognition principles used in the consolidated financial statements, following the instructions set out in section S.05.01 of Annex III to this Regulation;
(e)template S.05.02.01 of Annex I, specifying information on premiums, claims and expenses by country applying the valuation and recognition principles used in the consolidated financial statements, following the instructions set out in section S.05.02 of Annex III.
2.The templates referred to in paragraph 1, points (a) and (b) shall only be submitted by participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies which, for the calculation of group solvency, use method 1 as defined in Article 230 of Directive 2009/138/EC, either exclusively or in combination with method 2 as defined in Article 233 of that Directive.
Article 31Annual quantitative templates for groups – Investments information#
1.Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall, unless exempted under Article 254(2), third subparagraph, of Directive 2009/138/EC in relation to a specific template, submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35, using the following templates and complying with the following instructions:
(a)where the group is exempted from reporting template S.06.02.04 in relation to the last quarter in accordance with Article 254(2), second subparagraph, of Directive 2009/138/EC, template S.06.02.04 of Annex I to this Regulation, providing an item-by-item list of assets, following the instructions set out in section S.06.02 of Annex III to this Regulation;
(b)where the group is exempted from reporting template S.06.03.04 in relation to the last quarter in accordance with Article 254(2), second subparagraph, of Directive 2009/138/EC, or has not reported it quarterly because the ratio of collective investment held by the group to total investments, as referred to in Article 27(1), point (f) of this Regulation, is not higher than 30 %, template S.06.03.04 of Annex I to this Regulation, providing information on the look-through of all collective investments held by the undertakings, following the instructions set out in section S.06.03 of Annex III to this Regulation;
(c)where the ratio of the value of structured products held by the group to total investments is higher than 5 %, template S.07.01.04 of Annex I, providing an item-by-item list of structured products, following the instructions set out in section S.07.01 of Annex III;
(d)where the group is exempted from reporting template S.08.01.04 in relation to the last quarter in accordance with Article 254(2), second subparagraph, of Directive 2009/138/EC, template S.08.01.04 of Annex I to this Regulation, providing an item-by-item list of open positions of derivatives, following the instructions set out in section S.08.01 of Annex III to this Regulation;
(e)template S.09.01.04 of Annex I, specifying information on income, gains and losses in the reporting period by asset category as defined in Annex IV, following the instructions set out in section S.09.01 of Annex III;
(f)where the ratio of the value of underlying securities, on and off balance sheet, involved in lending or repurchase agreements, for contracts with maturity dates falling after the reporting reference date, to the total investments is higher than 5 %, template S.10.01.04 of Annex I, providing an item-by-item list securities lending and repurchase agreements on and off-balance sheet, following the instructions set out in section S.10.01 of Annex III;
(g)where the ratio of the value of assets held as collateral to total balance sheet as reported in items C0010/R0500 of template S.02.01.01 exceeds 10 %, template S.11.01.04 of Annex I, providing an item-by-item list of assets held as collateral, consisting of all types of off-balance sheet asset categories held as collateral, following the instructions set out in section S.11.01 of Annex III.
2.For the purposes of paragraph 1, point (c), where for the calculation of group solvency as specified in Article 230 of Directive 2009/138/EC method 1 is used exclusively, the ratio of the value of structured products held by the group to total investments shall be determined by the sum of assets classified in categories 5 and 6, as defined in Annex IV to this Regulation, divided by the sum of items C0010/R0070 and C0010/R0020 of template S.02.01.01. Where, for the calculation of group solvency, method 1 is used in combination with method 2 as defined in Article 233 of Directive 2009/138/EC, or method 2 is used exclusively, the ratio shall be calculated in accordance with the first sentence of this paragraph and adjusted in order to capture the required items of all entities included in the scope of template S.06.02.04.
3.For the purposes of paragraph 1, point (f), where for the calculation of group solvency method 1 as specified in Article 230 of Directive 2009/138/EC is used exclusively, the ratio shall be determined by the sum of the underlying securities, on and off balance sheet, involved in lending or repurchase agreements, for contracts with maturity dates falling after the reporting reference date, divided by the sum of items C0010/R0070 and C0010/R0220 of template S.02.01.01. Where, for the calculation of group solvency, method 1 is used in combination with method 2 as specified in Article 233 of Directive 2009/138/EC, or method 2 is used exclusively, the ratio shall be calculated in accordance with the first sentence of this paragraph and adjusted in order to capture the required items of all entities included in the scope of template S.06.02.04.
Article 32Annual quantitative templates for groups – Long term guarantees information#
Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using template S.22.01.04 of Annex I to this Regulation, specifying information on the impact of the long term guarantees and transitional measures, following the instructions set out in section S.22.01 of Annex III to this Regulation.
Article 33Annual quantitative templates for groups – Own funds information#
1.Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates and complying with the following instructions:
(a)template S.23.01.04 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex III;
(b)template S.23.02.04 of Annex I, providing detailed information on own funds by tiers, following the instructions set out in section S.23.02 of Annex III;
(c)where the own funds amount for any tier change more than 5 % compared to the previous year, template S.23.03.04 of Annex I, specifying information on annual movements on own funds, following the instructions set out in section S.23.03 of Annex III;
(d)where the own funds amount for any tier change more than 5 % compared to the previous year, template S.23.04.04 of Annex I, providing a list of items on own funds, following the instructions set out in section S.23.04 of Annex III.
For the purposes of point (d), the template shall be reported in the presence of non-available own fund items, regardless of the threshold.
2.The templates referred to in paragraph 1, points (b) and (c), shall only be submitted by participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies which, for the calculation of group solvency, use method 1 as specified in Article 230 of Directive 2009/138/EC, either exclusively or in combination with method 2 as specified in Article 233 of that Directive.
Article 34Annual quantitative templates for groups – Solvency Capital Requirement information#
1.Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies which, for the calculation of group solvency, use the method 1 as defined in Article 230 of Directive 2009/138/EC, either exclusively or in combination with method 2 as specified in Article 233 of that Directive, shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35, using the following templates and complying with the following instructions:
(a)where the group uses the standard formula for the calculation of the Solvency Capital Requirement, template S.25.01.04 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.01 of Annex III;
(b)where the group uses a partial internal model or a full internal model for the calculation of the Solvency Capital Requirement, template S.25.05.04 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.05 of Annex III;
(c)template S.26.01.04 of Annex I, specifying information on market risk, following the instructions set out in section S.26.01 of Annex III;
(d)template S.26.02.04 of Annex I, specifying information on counterparty default risk, following the instructions set out in section S.26.02 of Annex III;
(e)template S.26.03.04 of Annex I, specifying information on life underwriting risk, following the instructions set out in section S.26.03 of Annex III;
(f)template S.26.04.04 of Annex I, specifying information on health underwriting risk, following the instructions set out in section S.26.04 of Annex III;
(g)template S.26.05.04 of Annex I, specifying information on non-life underwriting risk, following the instructions set out in section S.26.05 of Annex III;
(h)template S.26.06.04 of Annex I, specifying information on operational risk, following the instructions set out in section S.26.06 of Annex III;
(i)template S.26.07.04 of Annex I, specifying information on the simplifications used in the calculation of the Solvency Capital Requirement, following the instructions set out in section S.26.07 of Annex III;
(j)template S.26.08.04 of Annex I, specifying further information on the internal model used for the Solvency Capital Requirement, for undertakings using a partial internal model or a full internal model, following the instructions set out in section S.26.08 of Annex III;
(k)template S.26.09.04 of Annex I, specifying information on internal model market and credit risk for financial instruments, following the instructions set out in section S.26.09 of Annex III;
(l)template S.26.10.01 of Annex I, specifying information on internal model portfolio view details of credit event risk, following the instructions set out in section S.26.10 of Annex III;
(m)template S.26.11.01 of Annex I, specifying information on internal model details for financial instruments of credit risk, following the instructions set out in section S.26.11 of Annex III;
(n)template S.26.12.01 of Annex I, specifying information on internal model for non-financial instruments of credit risk, following the instructions set out in section S.26.12 of Annex III;
(o)template S.26.13.01 of Annex I, specifying information on internal model non-life and health NSLT underwriting risk, following the instructions set out in section S.26.13 of Annex III;
(p)template S.26.14.01 of Annex I, specifying information on internal model life and health underwriting risk, following the instructions set out in section S.26.14 of Annex III;
(q)template S.26.15.01 of Annex I, specifying information on internal model operational risk, following the instructions set out in section S.26.15 of Annex III;
(r)template S.26.16.01 of Annex I, specifying information on internal model changes, following the instructions set out in section S.26.16 of Annex III;
(s)template S.27.01.04 of Annex I, specifying information on non-life catastrophe risk, following the instructions set out in section S.27.01 of Annex III.
2.In case of ring-fenced funds or matching adjustment portfolios, the information in the templates referred to in paragraph 1, points (c) to (i) and (s), and (j) to (r), shall not be reported for the group as a whole.
3.Where a partial internal model is used, the information referred to in templates referred to in paragraph 1, points (c) to (i) and (s), shall only be reported in relation to the risks covered by the standard formula, and the information in the templates referred to in paragraph 1, points (j) to (r), shall only be reported to the risks covered by the internal model.
4.Where a full internal model is used, the information in the templates referred to in paragraph 1, points (c) to (i) and (s), shall not be reported, and the information in the templates referred to in paragraph 1, points (j) to (r), shall be reported.
Article 35Annual quantitative templates for groups – Reinsurers and special purpose vehicles information#
Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates and complying with the following instructions:
(a)template S.31.01.04 of Annex I, specifying information on share of reinsurers, following the instructions set out in section S.31.01 of Annex III;
(b)template S.31.02.04 of Annex I, specifying information on special purpose vehicles from the perspective of the insurance or reinsurance undertaking transferring risk to the special purpose vehicles, following the instructions set out in section S.31.02 of Annex III.
Article 36Annual quantitative templates for groups – Group specific information#
Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation using the following templates and complying with the following instructions:
(a)template S.32.01.04 of Annex I, specifying information on the insurance and reinsurance undertakings in the scope of the group, following the instructions set out in section S.32.01 of Annex III;
(b)template S.33.01.04 of Annex I, specifying information on requirements of insurance and reinsurance undertakings in the scope of the group, following the instructions set out in section S.33.01 of Annex III;
(c)template S.34.01.04 of Annex I, specifying information on financial undertakings other than insurance and reinsurance undertakings, and on non-regulated undertakings carrying out financial activities as defined in Article 1, point (52), of Delegated Regulation (EU) 2015/35, following the instructions set out in section S.34.01 of Annex III;
(d)template S.35.01.04 of Annex I, specifying information on technical provisions of undertakings of the group, following the instructions set out in section S.35.01 of Annex III;
(e)template S.36.01.01 of Annex I, specifying information on significant intra-group-transactions involving equity-type transactions, debt and asset transfer, above the threshold determined by the group supervisor in accordance with Article 245(3) of Directive 2009/138/EC, following the instructions set out in section S.36.01 of Annex III to this Regulation;
(f)template S.36.02.01 of Annex I, specifying information on significant intra-group-transactions on derivatives, including the guarantees supporting any derivatives instruments, above the threshold determined by the group supervisor in accordance with Article 245(3) of Directive 2009/138/EC, following the instructions set out in section S.36.02 of Annex III to this Regulation;
(g)template S.36.03.01 of Annex I, specifying information on significant intra-group-transactions on off-balance sheet and contingent liabilities, above the threshold determined by the group supervisor in accordance with Article 245(3) of Directive 2009/138/EC, following the instructions set out in section S.36.03 of Annex III to this Regulation;
(h)template S.36.04.01 of Annex I, specifying information on significant intra-group-transactions on insurance and reinsurance, above the threshold determined by the group supervisor in accordance with Article 245(3) of Directive 2009/138/EC, following the instructions set out in section S.36.04 of Annex III to this Regulation;
(i)template S.36.05.01 of Annex I, specifying information on intra-group transactions on profit and loss, following the instructions set out in section S.36.05 of Annex III;
(j)template S.37.01.04 of Annex I, specifying information on significant risk concentrations, above the threshold determined by the group supervisor in accordance with Article 244(3) of Directive 2009/138/EC, following the instructions set out in section S.37.01 of Annex III to this Regulation;
(k)template S.37.02.04 specifying information on risk concentration exposures by currency, sector, country, following the instructions set out in section S.37.02 of Annex III to this Regulation;
(l)template S.37.03.04 specifying information on risk concentration exposure by asset class and rating, following the instructions set out in section S.37.03 of Annex III to this Regulation.
Article 37Annual quantitative templates for groups – ring-fenced funds, material matching adjustment portfolios and remaining part information#
1.Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies which, for the calculation of group solvency, use method 1 as defined in Article 230 of Directive 2009/138/EC, either exclusively or in combination with method 2 as defined in Article 233 of that Directive, shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates in relation to all material ring-fenced funds and all material matching adjustment portfolios related to the part that is consolidated as referred to in Article 335(1), points (a) and (c), of Delegated Regulation (EU) 2015/35, as well as in relation to the remaining part, and by complying with the following instructions:
(a)template SR.01.01.04 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex III;
(b)where the group uses the standard formula for the calculation of the Solvency Capital Requirement, template SR.25.01.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.01 of Annex III;
(c)where the group uses a partial internal model or a full internal model for the calculation of the Solvency Capital Requirement, template SR.25.05.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.05 of Annex III;
(d)template SR.26.01.01 of Annex I, specifying information on market risk, following the instructions set out in section S.26.01 of Annex III;
(e)template SR.26.02.01 of Annex I, specifying information on counterparty default risk, following the instructions set out in section S.26.02 of Annex III;
(f)template SR.26.03.01 of Annex I, specifying information on life underwriting risk, following the instructions set out in section S.26.03 of Annex III;
(g)template SR.26.04.01 of Annex I, specifying information on health underwriting risk, following the instructions set out in section S.26.04 of Annex III;
(h)template SR.26.05.01 of Annex I, specifying information on non-life underwriting risk, following the instructions set out in section S.26.05 of Annex III;
(i)template SR.26.06.01 of Annex I, specifying information on operational risk following, the instructions set out in section S.26.06 of Annex III;
(j)template SR.26.07.01 of Annex I, specifying information on the simplifications used in the calculation of the Solvency Capital Requirement, following the instructions set out in section S.26.07 of Annex III;
(k)template SR.26.08.01 of Annex I, specifying further information on the internal model used for the Solvency Capital Requirement, for undertakings using a partial internal model or a full internal model, following the instructions set out in section S.26.08 of Annex III;
(l)template SR.27.01.01 of Annex I, specifying information on non-life catastrophe risk, following the instructions set out in section S.27.01 of Annex III.
2.Where a partial internal model is used, the templates referred to in paragraph 1, points (d) to (j) and (l), shall only be reported in relation to the risks covered by the standard formula and the template referred in paragraph 1, point (k), shall be reported in relation to the risks covered by the internal model.
3.Where a full internal model is used, the templates referred to in paragraph 1, points (d) to (j) and (l), shall not be reported and the template referred to in paragraph 1, point (k), shall be reported.
4.Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies which, for the calculation of group solvency, use method 1 as defined in Article 230 of Directive 2009/138/EC, either exclusively or in combination with method 2 as defined in Article 233 of that Directive, shall, in addition to the information submitted using the templates referred to in paragraph 1, annually submit balance sheet information in relation to all material ring-fenced funds related to the part that is consolidated as referred to in Article 335(1), points (a) or (c), of Delegated Regulation (EU) 2015/35, as well as in relation to the remaining part, as referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using template SR.02.01.01 of Annex I to this Regulation, following the instructions set out in section S.02.01 of Annex III to this Regulation.
Article 38Quantitative templates for groups – intra-group transactions and risk concentrations#
Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall report:
(a)significant and very significant intra-group transactions as referred to in Article 245(2), first and second subparagraphs, of Directive 2009/138/EC, and intra-group transactions to be reported in all circumstances as referred to in Article 245(3) of that Directive using, as appropriate, templates S.36.01.01, S.36.02.01, S.36.03.01, S.36.04.01 and S.36.05.01 of Annex I to this Regulation, following the instructions set out in section S.36.01 to S.36.05 of Annex III to this Regulation;
(b)significant risk concentrations as referred to in Article 244(2) of Directive 2009/138/EC and risk concentrations to be reported in all circumstances as referred to in Article 244(3) of that Directive, using template S.37.01.04 of Annex I to this Regulation, following the instructions set out in section S.37.01 of Annex III to this Regulation.
Chapter IV · Final provisions
Article 39Repeal of Implementing Regulation (EU) 2015/2450#
Implementing Regulation (EU) 2015/2450 is repealed.
Article 40Entry into force and date of application#
This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.It shall apply from 31 December 2023.
Annex I
| Template Code | Template name | C0010 | |
|---|---|---|---|
| S.01.02.01 | Basic Information - General | R0010 | |
| S.01.03.01 | Basic Information - RFF and matching adjustment portfolios | R0020 | |
| S.02.01.01 | Balance Sheet | R0030 | |
| S.02.02.01 | Liabilities by currency | R0040 | |
| S.03.01.01 | Off-balance sheet items -general | R0060 | |
| S.04.02.01 | Information on class 10 in Part A of Annex I of Solvency II Directive, excluding carrier's liability | R0100 | |
| S.04.03.01 | Basic Information - list of underwriting entities | R0104 | |
| S.04.04.01 | Activity by country - location of underwriting | R0105 | |
| S.04.05.01 | Activity by country - location of risk | R0106 | |
| S.05.01.01 | Premiums, claims and expenses by line of business | R0110 | |
| S.06.02.01 | List of assets | R0140 | |
| S.06.03.01 | Collective investment undertakings - look-through approach | R0150 | |
| S.06.04.01 | Climate change-related risks to investments | R0151 | |
| S.07.01.01 | Structured products | R0160 | |
| S.08.01.01 | Open derivatives | R0170 | |
| S.09.01.01 | Income/gains and losses in the period | R0190 | |
| S.10.01.01 | Securities lending and repos | R0200 | |
| S.11.01.01 | Assets held as collateral | R0210 | |
| S.12.01.01 | Life and Health SLT Technical Provisions | R0220 | |
| S.12.02.01 | Life and Health SLT Technical Provisions - by country | R0230 | |
| S.13.01.01 | Projection of future gross cash flows | R0240 | |
| S.14.01.01 | Life obligations analysis | R0250 | |
| S.14.02.01 | Non-life business - policy and customer information | R0251 | |
| S.14.03.01 | Cyber underwriting risk | R0252 | |
| S.16.01.01 | Information on annuities stemming from Non-Life Insurance obligations | R0280 | |
| S.17.01.01 | Non-Life Technical Provisions | R0290 | |
| S.17.02.01 | Non-Life Technical Provisions - By country | R0300 | |
| S.18.01.01 | Projection of future cash flows (Best Estimate - Non Life) | R0310 | |
| S.19.01.01 | Non-life insurance claims | R0320 | |
| S.20.01.01 | Development of the distribution of the claims incurred | R0330 | |
| S.21.01.01 | Loss distribution risk profile | R0340 | |
| S.21.02.01 | Underwriting risks non-life | R0350 | |
| S.21.03.01 | Non-life distribution of underwriting risks - by sum insured | R0360 | |
| S.22.01.01 | Impact of long term guarantees measures and transitionals | R0370 | |
| S.22.04.01 | Information on the transitional on interest rates calculation | R0380 | |
| S.22.05.01 | Overall calculation of the transitional on technical provisions | R0390 | |
| S.22.06.01 | Best estimate subject to volatility adjustment by country and currency | R0400 | |
| S.23.01.01 | Own funds | R0410 | |
| S.23.02.01 | Detailed information by tiers on own funds | R0420 | |
| S.23.03.01 | Annual movements on own funds | R0430 | |
| S.23.04.01 | List of items on own funds | R0440 | |
| S.24.01.01 | Participations held | R0450 | |
| S.25.01.01 | Solvency Capital Requirement - for undertakings on Standard Formula | R0460 | |
| S.25.05.01 | Solvency Capital Requirement - for undertakings using an internal model (partial or full) | R0470 | |
| S.26.01.01 | Solvency Capital Requirement - Market risk | R0500 | |
| S.26.02.01 | Solvency Capital Requirement - Counterparty default risk | R0510 | |
| S.26.03.01 | Solvency Capital Requirement - Life underwriting risk | R0520 | |
| S.26.04.01 | Solvency Capital Requirement - Health underwriting risk | R0530 | |
| S.26.05.01 | Solvency Capital Requirement - Non-Life underwriting risk | R0540 | |
| S.26.06.01 | Solvency Capital Requirement - Operational risk | R0550 | |
| S.26.07.01 | Solvency Capital Requirement - Simplifications | R0560 | |
| S.26.08.01 | Solvency Capital Requirement - for undertakings using an internal model (partial or full) | R0561 | |
| S.26.09.01 | Internal model - Market & credit risk and sensitivities | R0562 | |
| S.26.10.01 | Internal model - Credit event risk Portfolio view details | R0563 | |
| S.26.11.01 | Internal model - Credit event risk for financial instruments | R0564 | |
| S.26.12.01 | Internal model - Credit risk Non-Financial Instruments | R0565 | |
| S.26.13.01 | Internal model - Non-life & Health Non-SLT | R0566 | |
| S.26.14.01 | Internal model - Life & Health risk | R0567 | |
| S.26.15.01 | Internal model - Operational risk | R0568 | |
| S.26.16.01 | Internal model - Model Changes | R0569 | |
| S.27.01.01 | Solvency Capital Requirement - Non-life and Health catastrophe risk | R0570 | |
| S.28.01.01 | Minimum Capital Requirement - Only life or only non-life insurance or reinsurance activity | R0580 | |
| S.28.02.01 | Minimum Capital Requirement - Both life and non-life insurance activity | R0590 | |
| S.29.01.01 | Excess of Assets over Liabilities | R0600 | |
| S.29.02.01 | Excess of Assets over Liabilities - explained by investments and financial liabilities | R0610 | |
| S.29.03.01 | Excess of Assets over Liabilities - explained by technical provisions | R0620 | |
| S.29.04.01 | Detailed analysis per period - Technical flows versus Technical provisions | R0630 | |
| S.30.01.01 | Facultative covers for non-life and life business basic data | R0640 | |
| S.30.02.01 | Facultative covers for non-life and life business shares data | R0650 | |
| S.30.03.01 | Outgoing Reinsurance Program basic data | R0660 | |
| S.30.04.01 | Outgoing Reinsurance Program shares data | R0670 | |
| S.31.01.01 | Share of reinsurers (including Finite Reinsurance and SPV's) | R0680 | |
| S.31.02.01 | Special Purpose Vehicles | R0690 | |
| S.36.01.01 | IGT - IGT - Equity-type transactions, debt and asset transfer | R0740 | |
| S.36.02.01 | IGT - Derivatives | R0750 | |
| S.36.03.01 | IGT - Off-balance sheet and contingent liabilities | R0760 | |
| S.36.04.01 | IGT - Insurance and Reinsurance | R0770 | |
| S.36.05.01 | IGT - P&L | R0775 |
| Template Code | Template name | C0010 | |
|---|---|---|---|
| S.01.02.01 | Basic Information - General | R0010 | |
| S.02.01.02 | Balance Sheet | R0030 | |
| S.05.01.02 | Premiums, claims and expenses by line of business | R0110 | |
| S.06.02.01 | List of assets | R0140 | |
| S.06.03.01 | Collective investment undertakings - look-through approach | R0150 | |
| S.08.01.01 | Open derivatives | R0170 | |
| S.12.01.02 | Life and Health SLT Technical Provisions | R0220 | |
| S.17.01.02 | Non-Life Technical Provisions | R0290 | |
| S.23.01.01 | Own funds | R0410 | |
| S.28.01.01 | Minimum Capital Requirement - Only life or only non-life insurance or reinsurance activity | R0580 | |
| S.28.02.01 | Minimum Capital Requirement - Both life and non-life insurance activity | R0590 |
| Template Code | Template name | C0010 | |
|---|---|---|---|
| S.01.02.04 | Basic Information - General | R0010 | |
| S.01.03.04 | Basic Information - RFF and matching adjustment portfolios | R0020 | |
| S.02.01.01 | Balance Sheet | R0030 | |
| S.02.02.01 | Liabilities by currency | R0040 | |
| S.03.01.04 | Off-balance sheet items -general | R0060 | |
| S.05.01.01 | Premiums, claims and expenses by line of business | R0110 | |
| S.05.02.04 | Premiums, claims and expenses by country | R0120 | |
| S.06.02.04 | List of assets | R0140 | |
| S.06.03.04 | Collective investment undertakings - look-through approach | R0150 | |
| S.06.04.01 | Climate change-related risks to investments | R0151 | |
| S.07.01.04 | Structured products | R0160 | |
| S.08.01.04 | Open derivatives | R0170 | |
| S.09.01.04 | Income/gains and losses in the period | R0190 | |
| S.10.01.04 | Securities lending and repos | R0200 | |
| S.11.01.04 | Assets held as collateral | R0210 | |
| S.22.01.04 | Impact of long term guarantees measures and transitionals | R0370 | |
| S.23.01.04 | Own funds | R0410 | |
| S.23.02.04 | Detailed information by tiers on own funds | R0420 | |
| S.23.03.04 | Annual movements on own funds | R0430 | |
| S.23.04.04 | List of items on own funds | R0440 | |
| S.25.01.04 | Solvency Capital Requirement - for groups on Standard Formula | R0460 | |
| S.25.05.04 | Solvency Capital Requirement - for groups using an internal model (partial or full) | R0470 | |
| S.26.01.04 | Solvency Capital Requirement - Market risk | R0500 | |
| S.26.02.04 | Solvency Capital Requirement - Counterparty default risk | R0510 | |
| S.26.03.04 | Solvency Capital Requirement - Life underwriting risk | R0520 | |
| S.26.04.04 | Solvency Capital Requirement - Health underwriting risk | R0530 | |
| S.26.05.04 | Solvency Capital Requirement - Non-Life underwriting risk | R0540 | |
| S.26.06.04 | Solvency Capital Requirement - Operational risk | R0550 | |
| S.26.07.04 | Solvency Capital Requirement - Simplifications | R0560 | |
| S.26.08.04 | Solvency Capital Requirement - for groups using an internal model (partial or full) | R0561 | |
| S.26.09.04 | Internal model - Market & credit risk and sensitivities | R0562 | |
| S.26.10.01 | Internal model - Credit event risk Portfolio view detail | R0563 | |
| S.26.11.01 | Internal model - Credit event risk for financial instruments | R0564 | |
| S.26.12.01 | Internal model - Credit risk Non-Financial Instruments | R0565 | |
| S.26.13.01 | Internal model - Non-life & Health Non-SLT | R0566 | |
| S.26.14.01 | Internal model - Life & Health risk | R0567 | |
| S.26.15.01 | Internal model - Operational risk | R0568 | |
| S.26.16.01 | Internal model - Model Changes | R0569 | |
| S.27.01.04 | Solvency Capital Requirement - Non-Life and Health Catastrophe risk | R0570 | |
| S.31.01.04 | Share of reinsurers (including Finite Reinsurance and SPV's) | R0680 | |
| S.31.02.04 | Special Purpose Vehicles | R0690 | |
| S.32.01.04 | Undertakings in the scope of the group | R0700 | |
| S.33.01.04 | Insurance and Reinsurance individual requirements | R0710 | |
| S.34.01.04 | Other regulated and non-regulated financial undertakings including insurance holding companies and mixed financial holding company individual requirements | R0720 | |
| S.35.01.04 | Contribution to group Technical Provisions | R0730 | |
| S.36.01.01 | IGT - Equity-type transactions, debt and asset transfer | R0740 | |
| S.36.02.01 | IGT - Derivatives | R0750 | |
| S.36.03.01 | IGT - Off-balance sheet and contingent liabilities | R0760 | |
| S.36.04.01 | IGT - Insurance and Reinsurance | R0770 | |
| S.36.05.01 | IGT - P&L | R0775 | |
| S.37.01.04 | Risk concentration | R0780 | |
| S.37.02.04 | Risk Concentration – Exposure by currency, sector, country | R0785 | |
| S.37.03.04 | Risk Concentration – Exposure by asset class and rating | R0786 |
| Template Code | Template name | C0010 | |
|---|---|---|---|
| S.01.02.04 | Basic Information - General | R0010 | |
| S.02.01.02 | Balance Sheet | R0030 | |
| S.05.01.02 | Premiums, claims and expenses by line of business | R0110 | |
| S.06.02.04 | List of assets | R0140 | |
| S.06.03.04 | Collective investment undertakings - look-through approach | R0150 | |
| S.08.01.04 | Open derivatives | R0170 | |
| S.23.01.04 | Own funds | R0410 |
| Ring-fenced fund/matching portfolio/remaining part | Z0010 | ||
| Fund/Portfolio number | Z0020 | ||
| Template Code | Template name | C0010 | |
|---|---|---|---|
| SR.02.01.01 | Balance Sheet | R0790 | |
| SR.12.01.01 | Life and Health SLT Technical Provisions | R0800 | |
| SR.17.01.01 | Non-Life Technical Provisions | R0810 | |
| SR.22.02.01 | Projection of future cash flows (Best Estimate - Matching portfolios) | R0820 | |
| SR.22.03.01 | Information on the matching adjustment calculation | R0830 | |
| SR.25.01.01 | Solvency Capital Requirement - for undertakings on Standard Formula | R0840 | |
| SR.25.05.01 | Solvency Capital Requirement - for undertakings using an internal model (partial or full) | R0850 | |
| SR.26.01.01 | Solvency Capital Requirement - Market risk | R0870 | |
| SR.26.02.01 | Solvency Capital Requirement - Counterparty default risk | R0880 | |
| SR.26.03.01 | Solvency Capital Requirement - Life underwriting risk | R0890 | |
| SR.26.04.01 | Solvency Capital Requirement - Health underwriting risk | R0900 | |
| SR.26.05.01 | Solvency Capital Requirement - Non-Life underwriting risk | R0910 | |
| SR.26.06.01 | Solvency Capital Requirement - Operational risk | R0920 | |
| SR.26.07.01 | Solvency Capital Requirement - Simplifications | R0930 | |
| SR.26.08.01 | Solvency Capital Requirement - for undertakings using an internal model | R0935 | |
| SR.27.01.01 | Solvency Capital Requirement - Non-Life Catastrophe risk | R0940 |
| Ring-fenced fund/matching portfolio/remaining part | Z0010 | ||
| Fund/Portfolio number | Z0020 | ||
| Template Code | Template name | C0010 | |
|---|---|---|---|
| SR.02.01.04 | Balance Sheet | R0790 | |
| SR.25.01.01 | Solvency Capital Requirement - for groups on Standard Formula | R0840 | |
| SR.25.05.01 | Solvency Capital Requirement - for groups using an internal model (partial or full) | R0850 | |
| SR.26.01.01 | Solvency Capital Requirement - Market risk | R0870 | |
| SR.26.02.01 | Solvency Capital Requirement - Counterparty default risk | R0880 | |
| SR.26.03.01 | Solvency Capital Requirement - Life underwriting risk | R0890 | |
| SR.26.04.01 | Solvency Capital Requirement - Health underwriting risk | R0900 | |
| SR.26.05.01 | Solvency Capital Requirement - Non-Life underwriting risk | R0910 | |
| SR.26.06.01 | Solvency Capital Requirement - Operational risk | R0920 | |
| SR.26.07.01 | Solvency Capital Requirement - Simplifications | R0930 | |
| SR.26.08.04 | Solvency Capital Requirement - for groups using an internal model | R0935 | |
| SR.27.01.01 | Solvency Capital Requirement - Non-Life Catastrophe risk | R0940 |
| C0010 | ||
|---|---|---|
| Undertaking name | R0010 | |
| Undertaking identification code | R0020 | |
| Type of undertaking | R0040 | |
| Country of authorisation | R0050 | |
| Language of reporting | R0070 | |
| Reporting submission date | R0080 | |
| Financial year end | R0081 | |
| Reporting reference date | R0090 | |
| Regular/Ad-hoc submission | R0100 | |
| Currency used for reporting | R0110 | |
| Accounting standards | R0120 | |
| Method of Calculation of the SCR | R0130 | |
| Use of undertaking specific parameters | R0140 | |
| Ring-fenced funds | R0150 | |
| Matching adjustment | R0170 | |
| Volatility adjustment | R0180 | |
| Transitional measure on the risk-free interest rate | R0190 | |
| Transitional measure on technical provisions | R0200 | |
| Initial submission or re-submission | R0210 | |
| Exemption of reporting ECAI information | R0250 | |
| Direct URL to the webpage where the Solvency and Financial Condition Report (SFCR) is disclosed | R0255 | |
| Direct URL to download the Solvency and Financial Condition Report (SFCR) corresponding to this financial year reporting obligation (R0090) | R0260 | |
| Captive business | R0270 | |
| Run-off business | R0280 | |
| M&A during the period | R0290 |
| C0010 | ||
|---|---|---|
| Participating undertaking name | R0010 | |
| Group identification code | R0020 | |
| Name of the group | R0025 | |
| Country of the group supervisor | R0050 | |
| Sub-group information | R0060 | |
| Language of reporting | R0070 | |
| Reporting submission date | R0080 | |
| Financial year end | R0081 | |
| Reporting reference date | R0090 | |
| Regular/Ad-hoc submission | R0100 | |
| Currency used for reporting | R0110 | |
| Accounting standards | R0120 | |
| Method of Calculation of the group SCR | R0130 | |
| Use of group specific parameters | R0140 | |
| Ring-fenced funds | R0150 | |
| Method of group solvency calculation | R0160 | |
| Matching adjustment | R0170 | |
| Volatility adjustment | R0180 | |
| Transitional measure on the risk-free interest rate | R0190 | |
| Transitional measure on technical provisions | R0200 | |
| Initial submission or re-submission | R0210 | |
| Exemption of reporting ECAI information | R0250 | |
| Direct URL to the webpage where the Solvency and Financial Condition Report (SFCR) is disclosed | R0255 | |
| Direct URL to download the Solvency and Financial Condition Report | R0260 | |
| Captive business | R0270 | |
| Run-off business | R0280 | |
| M&A during the period | R0290 |
| Fund/Portfolio Number | Name of Ring-fenced fund/Matching adjustment portfolio | RFF/MAP/Remaining part of a fund | RFF/MAP with sub RFF/MAP | Material | Article 304 |
|---|---|---|---|---|---|
| C0040 | C0050 | C0060 | C0070 | C0080 | C0090 |
| Legal name of the undertaking | Identification code of the undertaking | Fund/Portfolio Number | Name of ring-fenced fund/Matching adjustment portfolio | RFF/MAP/Remaining part of a fund | RFF/MAP with sub RFF/MAP | Material | Article 304 |
|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0040 | C0050 | C0060 | C0070 | C0080 | C0090 |
| Solvency II value | Statutory accounts value | ||
|---|---|---|---|
| Assets | C0010 | C0020 | |
| Goodwill | R0010 | ||
| Deferred acquisition costs | R0020 | ||
| Intangible assets | R0030 | ||
| Deferred tax assets | R0040 | ||
| Pension benefit surplus | R0050 | ||
| Property, plant & equipment held for own use | R0060 | ||
| Investments (other than assets held for index-linked and unit-linked contracts) | R0070 | ||
| Property (other than for own use) | R0080 | ||
| Holdings in related undertakings, including participations | R0090 | ||
| Equities | R0100 | ||
| Equities - listed | R0110 | ||
| Equities - unlisted | R0120 | ||
| Bonds | R0130 | ||
| Government Bonds | R0140 | ||
| Corporate Bonds | R0150 | ||
| Structured notes | R0160 | ||
| Collateralised securities | R0170 | ||
| Collective Investments Undertakings | R0180 | ||
| Derivatives | R0190 | ||
| Deposits other than cash equivalents | R0200 | ||
| Other investments | R0210 | ||
| Assets held for index-linked and unit-linked contracts | R0220 | ||
| Loans and mortgages | R0230 | ||
| Loans on policies | R0240 | ||
| Loans and mortgages to individuals | R0250 | ||
| Other loans and mortgages | R0260 | ||
| Reinsurance recoverables from: | R0270 | ||
| Non-life and health similar to non-life | R0280 | ||
| Non-life excluding health | R0290 | ||
| Health similar to non-life | R0300 | ||
| Life and health similar to life, excluding health and index-linked and unit-linked | R0310 | ||
| Health similar to life | R0320 | ||
| Life excluding health and index-linked and unit-linked | R0330 | ||
| Life index-linked and unit-linked | R0340 | ||
| Deposits to cedants | R0350 | ||
| Insurance and intermediaries receivables | R0360 | ||
| Reinsurance receivables | R0370 | ||
| Receivables (trade, not insurance) | R0380 | ||
| Own shares (held directly) | R0390 | ||
| Amounts due in respect of own fund items or initial fund called up but not yet paid in | R0400 | ||
| Cash and cash equivalents | R0410 | ||
| Any other assets, not elsewhere shown | R0420 | ||
| Total assets | R0500 | ||
| Liabilities | C0010 | C0020 | |
| Technical provisions – non-life | R0510 | ||
| Technical provisions – non-life (excluding health) | R0520 | ||
| Technical provisions calculated as a whole | R0530 | ||
| Best Estimate | R0540 | ||
| Risk margin | R0550 | ||
| Technical provisions - health (similar to non-life) | R0560 | ||
| Technical provisions calculated as a whole | R0570 | ||
| Best Estimate | R0580 | ||
| Risk margin | R0590 | ||
| Technical provisions - life (excluding index-linked and unit-linked) | R0600 | ||
| Technical provisions - health (similar to life) | R0610 | ||
| Technical provisions calculated as a whole | R0620 | ||
| Best Estimate | R0630 | ||
| Risk margin | R0640 | ||
| Technical provisions – life (excluding health and index-linked and unit-linked) | R0650 | ||
| Technical provisions calculated as a whole | R0660 | ||
| Best Estimate | R0670 | ||
| Risk margin | R0680 | ||
| Technical provisions – index-linked and unit-linked | R0690 | ||
| Technical provisions calculated as a whole | R0700 | ||
| Best Estimate | R0710 | ||
| Risk margin | R0720 | ||
| Other technical provisions | R0730 | ||
| Contingent liabilities | R0740 | ||
| Provisions other than technical provisions | R0750 | ||
| Pension benefit obligations | R0760 | ||
| Deposits from reinsurers | R0770 | ||
| Deferred tax liabilities | R0780 | ||
| Derivatives | R0790 | ||
| Debts owed to credit institutions | R0800 | ||
| Financial liabilities other than debts owed to credit institutions | R0810 | ||
| Insurance & intermediaries payables | R0820 | ||
| Reinsurance payables | R0830 | ||
| Payables (trade, not insurance) | R0840 | ||
| Subordinated liabilities | R0850 | ||
| Subordinated liabilities not in Basic Own Funds | R0860 | ||
| Subordinated liabilities in Basic Own Funds | R0870 | ||
| Any other liabilities, not elsewhere shown | R0880 | ||
| Total liabilities | R0900 | ||
| Excess of assets over liabilities | R1000 |
| Solvency II value | ||
|---|---|---|
| Assets | C0010 | |
| Goodwill | R0010 | |
| Deferred acquisition costs | R0020 | |
| Intangible assets | R0030 | |
| Deferred tax assets | R0040 | |
| Pension benefit surplus | R0050 | |
| Property, plant & equipment held for own use | R0060 | |
| Investments (other than assets held for index-linked and unit-linked contracts) | R0070 | |
| Property (other than for own use) | R0080 | |
| Holdings in related undertakings, including participations | R0090 | |
| Equities | R0100 | |
| Equities - listed | R0110 | |
| Equities - unlisted | R0120 | |
| Bonds | R0130 | |
| Government Bonds | R0140 | |
| Corporate Bonds | R0150 | |
| Structured notes | R0160 | |
| Collateralised securities | R0170 | |
| Collective Investments Undertakings | R0180 | |
| Derivatives | R0190 | |
| Deposits other than cash equivalents | R0200 | |
| Other investments | R0210 | |
| Assets held for index-linked and unit-linked contracts | R0220 | |
| Loans and mortgages | R0230 | |
| Loans on policies | R0240 | |
| Loans and mortgages to individuals | R0250 | |
| Other loans and mortgages | R0260 | |
| Reinsurance recoverables from: | R0270 | |
| Non-life and health similar to non-life | R0280 | |
| Non-life excluding health | R0290 | |
| Health similar to non-life | R0300 | |
| Life and health similar to life, excluding health and index-linked and unit-linked | R0310 | |
| Health similar to life | R0320 | |
| Life excluding health and index-linked and unit-linked | R0330 | |
| Life index-linked and unit-linked | R0340 | |
| Deposits to cedants | R0350 | |
| Insurance and intermediaries receivables | R0360 | |
| Reinsurance receivables | R0370 | |
| Receivables (trade, not insurance) | R0380 | |
| Own shares (held directly) | R0390 | |
| Amounts due in respect of own fund items or initial fund called up but not yet paid in | R0400 | |
| Cash and cash equivalents | R0410 | |
| Any other assets, not elsewhere shown | R0420 | |
| Total assets | R0500 | |
| Liabilities | C0010 | |
| Technical provisions – non-life | R0510 | |
| Technical provisions – non-life (excluding health) | R0520 | |
| Technical provisions calculated as a whole | R0530 | |
| Best Estimate | R0540 | |
| Risk margin | R0550 | |
| Technical provisions - health (similar to non-life) | R0560 | |
| Technical provisions calculated as a whole | R0570 | |
| Best Estimate | R0580 | |
| Risk margin | R0590 | |
| Technical provisions - life (excluding index-linked and unit-linked) | R0600 | |
| Technical provisions - health (similar to life) | R0610 | |
| Technical provisions calculated as a whole | R0620 | |
| Best Estimate | R0630 | |
| Risk margin | R0640 | |
| Technical provisions – life (excluding health and index-linked and unit-linked) | R0650 | |
| Technical provisions calculated as a whole | R0660 | |
| Best Estimate | R0670 | |
| Risk margin | R0680 | |
| Technical provisions – index-linked and unit-linked | R0690 | |
| Technical provisions calculated as a whole | R0700 | |
| Best Estimate | R0710 | |
| Risk margin | R0720 | |
| Other technical provisions | R0730 | |
| Contingent liabilities | R0740 | |
| Provisions other than technical provisions | R0750 | |
| Pension benefit obligations | R0760 | |
| Deposits from reinsurers | R0770 | |
| Deferred tax liabilities | R0780 | |
| Derivatives | R0790 | |
| Debts owed to credit institutions | R0800 | |
| Financial liabilities other than debts owed to credit institutions | R0810 | |
| Insurance & intermediaries payables | R0820 | |
| Reinsurance payables | R0830 | |
| Payables (trade, not insurance) | R0840 | |
| Subordinated liabilities | R0850 | |
| Subordinated liabilities not in Basic Own Funds | R0860 | |
| Subordinated liabilities in Basic Own Funds | R0870 | |
| Any other liabilities, not elsewhere shown | R0880 | |
| Total liabilities | R0900 | |
| Excess of assets over liabilities | R1000 |
| Ring-fenced fund or remaining part | Z0020 | |
| Fund number | Z0030 |
| Material currency | |||||||
|---|---|---|---|---|---|---|---|
| Currency code | R0010 | … | |||||
| Total value of all currencies | Value of the Solvency II reporting currency | Value of remaining other currencies | Value of material currencies | ||||
| C0020 | C0030 | C0040 | C0050 | … | |||
| Liabilities | |||||||
| Technical provisions (excluding index-linked and unit-linked contracts) | R0110 | … | |||||
| Technical provisions - index-linked and unit-linked contracts | R0120 | … | |||||
| Deposits from reinsurers and insurance, intermediaries and reinsurance payables | R0130 | … | |||||
| Derivatives | R0140 | … | |||||
| Financial liabilities | R0150 | … | |||||
| Contingent liabilities | R0160 | … | |||||
| Any other liabilities | R0170 | … | |||||
| Total liabilites | R0200 | … |
| Maximum value | Value of guarantee / collateral / contingent liabilities | Value of assets for which collateral is held | Value of liabilities for which collateral is pledged | Information about the unlimited guarantees | ||
|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | ||
| Guarantees provided by the undertaking, including letters of credit | R0010 | |||||
| Of which, guarantees, including letters of credit provided to other undertakings of the same group | R0020 | |||||
| Guarantees received by the undertaking, including letters of credit | R0030 | |||||
| Of which, guarantees, including letters of credit received from other undertakings of the same group | R0040 | |||||
| Collateral held | ||||||
| Collateral held for loans made or bonds purchased | R0100 | |||||
| Collateral held for derivatives | R0110 | |||||
| Assets pledged by reinsurers for ceded technical provisions | R0120 | |||||
| Other collateral held | R0130 | |||||
| Total collateral held | R0200 | |||||
| Collateral pledged | ||||||
| Collateral pledged for loans received or bonds issued | R0210 | |||||
| Collateral pledged for derivatives | R0220 | |||||
| Assets pledged to cedants for technical provisions (reinsurance accepted) | R0230 | |||||
| Other collateral pledged | R0240 | |||||
| Total collateral pledged | R0300 | |||||
| Contingent liabilities | ||||||
| Contingent liabilities not in Solvency II Balance Sheet | R0310 | |||||
| Of which contingent liabilities toward entities of the same group | R0320 | |||||
| Contingent liabilities in Solvency II Balance Sheet | R0330 | |||||
| Total Contingent liabilities | R0400 | |||||
| Unlimited guarantees | ||||||
| received | R0510 | |||||
| provided | R0520 |
| Maximum value | Value of guarantee / collateral / contingent liabilities | Value of assets for which collateral is held | Value of liabilities for which collateral is pledged | Information about the unlimited guarantees | ||
|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | ||
| Guarantees provided by the group including letters of credit | R0010 | |||||
| Guarantees received by the group including letters of credit | R0030 | |||||
| Collateral held | ||||||
| Collateral held for loans made or bonds purchased | R0100 | |||||
| Collateral held for derivatives | R0110 | |||||
| Assets pledged by reinsurers for ceded technical provisions | R0120 | |||||
| Other collateral held | R0130 | |||||
| Total collateral held | R0200 | |||||
| Collateral pledged | ||||||
| Collateral pledged for loans received or bonds issued | R0210 | |||||
| Collateral pledged for derivatives | R0220 | |||||
| Assets pledged to cedants for technical provisions (reinsurance accepted) | R0230 | |||||
| Other collateral pledged | R0240 | |||||
| Total collateral pledged | R0300 | |||||
| Contingent liabilities | ||||||
| Contingent liabilities not in Solvency II Balance Sheet | R0310 | |||||
| Of which contingent liabilities toward entities of the same group | R0320 | |||||
| Contingent liabilities in Solvency II Balance Sheet | R0330 | |||||
| Total Contingent liabilities | R0400 | |||||
| Unlimited guarantees | ||||||
| received | R0510 | |||||
| provided | R0520 |
| EEA country | R0010 | … | ||||
| Undertaking | By EEA Member | … | ||||
|---|---|---|---|---|---|---|
| FPS | Branch | FPS | Branch | FPS | ||
| C0010 | C0020 | C0030 | … | |||
| Frequency of claims for Motor Vehicle Liability (except carrier's liability) | R0020 | |||||
| Average cost of claims for Motor Vehicle Liability (except carrier's liability) | R0030 |
| Underwriting entity code | Type of underwriting entity code | Type of entity | Type of branch localisation | Country of establishment |
|---|---|---|---|---|
| C0010 | C0011 | C0020 | C0030 | C0040 |
| Line of Business | Z0010 | Underwriting entity code | Z0020 | ||
| EEA country | R0010 | ||||
| By underwriting entity | By underwriting entity and by EEA member (localization of activity [based on place of underwriting]) | … | |||
|---|---|---|---|---|---|
| Business underwritten in the country of establishment | Business underwritten through FPS in country different from the country of establishment | Business underwritten in the considered country through FPS | … | ||
| C0010 | C0020 | C0030 | |||
| Premiums written (gross) | R0020 | ||||
| Claims incurred | R0030 | ||||
| Acquisition expenses | R0040 | ||||
| of which commissions | R0050 |
| Line of Business | Z0010 | Country | R0010 | ||
| Underwriting entity code | Z0020 | ||||
| Total underwriting entity activity | … | Activity by country – location of risk | … | ||
|---|---|---|---|---|---|
| Total of business written by the undertakings | … | Total by country | … | ||
| C0010 | C0020 | ||||
| Premiums written (gross) | R0020 | ||||
| Premiums earned (gross) | R0030 | ||||
| Claims incurred (gross) | R0040 | ||||
| Expenses incurred (gross) | R0050 |
| Line of Business for: non-life insurance and reinsurance obligations (direct business and accepted proportional reinsurance) | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Medical expense insurance | Income protection insurance | Workers' compensation insurance | Motor vehicle liability insurance | Other motor insurance | Marine, aviation and transport insurance | Fire and other damage to property insurance | General liability insurance | Credit and suretyship insurance | ||
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | ||
| Premiums written | ||||||||||
| Gross - Direct Business | R0110 | |||||||||
| Gross - Proportional reinsurance accepted | R0120 | |||||||||
| Gross - Non-proportional reinsurance accepted | R0130 | |||||||||
| Reinsurers' share | R0140 | |||||||||
| Net | R0200 | |||||||||
| Premiums earned | ||||||||||
| Gross - Direct Business | R0210 | |||||||||
| Gross - Proportional reinsurance accepted | R0220 | |||||||||
| Gross - Non-proportional reinsurance accepted | R0230 | |||||||||
| Reinsurers' share | R0240 | |||||||||
| Net | R0300 | |||||||||
| Claims incurred | ||||||||||
| Gross - Direct Business | R0310 | |||||||||
| Gross - Proportional reinsurance accepted | R0320 | |||||||||
| Gross - Non-proportional reinsurance accepted | R0330 | |||||||||
| Reinsurers' share | R0340 | |||||||||
| Net | R0400 |
| Line of Business for: non-life insurance and reinsurance obligations (direct business and accepted proportional reinsurance) | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Medical expense insurance | Income protection insurance | Workers' compensation insurance | Motor vehicle liability insurance | Other motor insurance | Marine, aviation and transport insurance | Fire and other damage to property insurance | General liability insurance | Credit and suretyship insurance | ||
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | ||
| Premiums written | ||||||||||
| Gross - Direct Business | R0110 | |||||||||
| Gross - Proportional reinsurance accepted | R0120 | |||||||||
| Gross - Non-proportional reinsurance accepted | R0130 | |||||||||
| Reinsurers' share | R0140 | |||||||||
| Net | R0200 | |||||||||
| Premiums earned | ||||||||||
| Gross - Direct Business | R0210 | |||||||||
| Gross - Proportional reinsurance accepted | R0220 | |||||||||
| Gross - Non-proportional reinsurance accepted | R0230 | |||||||||
| Reinsurers' share | R0240 | |||||||||
| Net | R0300 | |||||||||
| Claims incurred | ||||||||||
| Gross - Direct Business | R0310 | |||||||||
| Gross - Proportional reinsurance accepted | R0320 | |||||||||
| Gross - Non-proportional reinsurance accepted | R0330 | |||||||||
| Reinsurers' share | R0340 | |||||||||
| Net | R0400 | |||||||||
| Changes in other technical provisions | ||||||||||
| Gross - Direct Business | R0410 | |||||||||
| Gross - Proportional reinsurance accepted | R0420 | |||||||||
| Gross - Non- proportional reinsurance accepted | R0430 | |||||||||
| Reinsurers' share | R0440 | |||||||||
| Net | R0500 | |||||||||
| Expenses incurred | R0550 | |||||||||
| Balance - other technical expenses/income | R1200 | |||||||||
| Total expenses | R1300 |
| Home Country | Top 5 countries (by amount of gross premiums written) - non-life obligations | Total Top 5 and home country | ||||||
|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | ||
| R0010 | ||||||||
| C0080 | C0090 | C0100 | C0110 | C0120 | C0130 | C0140 | ||
| Premiums written | ||||||||
| Gross - Direct Business | R0110 | |||||||
| Gross - Proportional reinsurance accepted | R0120 | |||||||
| Gross - Non-proportional reinsurance accepted | R0130 | |||||||
| Reinsurers' share | R0140 | |||||||
| Net | R0200 | |||||||
| Premiums earned | ||||||||
| Gross - Direct Business | R0210 | |||||||
| Gross - Proportional reinsurance accepted | R0220 | |||||||
| Gross - Non-proportional reinsurance accepted | R0230 | |||||||
| Reinsurers' share | R0240 | |||||||
| Net | R0300 | |||||||
| Claims incurred | ||||||||
| Gross - Direct Business | R0310 | |||||||
| Gross - Proportional reinsurance accepted | R0320 | |||||||
| Gross - Non-proportional reinsurance accepted | R0330 | |||||||
| Reinsurers' share | R0340 | |||||||
| Net | R0400 | |||||||
| Expenses incurred | R0550 | |||||||
| Balance - other technical expenses/income | R1210 | |||||||
| Total expenses | R1300 |
| Asset ID Code | Asset ID Code Type | Portfolio | Fund number | Matching portfolio number | Asset held in unit linked and index linked contracts | Asset pledged as collateral | Country of custody | Custodian | Code of custodian | Type of code of custodian | Quantity | Par amount | Long-term equity investment | (cont.) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | C0110 | C0120 | C0121 | C0122 | C0130 | C0140 | C0145 | |
| Legal name of the undertaking | Identification code of the undertaking | Type of code of the ID of the undertaking | Asset ID Code | Asset ID Code Type | Asset ID Code type | Portfolio | Fund number | Matching portfolio number | Asset held in unit linked and index linked contracts | Asset pledged as collateral | Country of custody | Custodian | (cont.) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | C0110 | C0120 | |
| Collective Investments Undertaking ID Code | Collective Investments Undertaking ID Code type | Underlying asset category | Country of issue | Currency | Total amount |
|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 |
| Collective Investments Undertaking ID Code | Collective Investments Undertaking ID Code type | Underlying asset category | Country of issue | Currency | Total amount |
|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 |
| C0010 | ||
|---|---|---|
| Climate change-related transition risk - KPI | R0010 | |
| Climate change-related physical risk - KPI | R0020 | |
| Justification for not reporting climate change-related transition risk - KPI | R0030 | |
| Justification for not reporting climate change-related physical risk - KPI | R0040 |
| Asset ID Code | Asset ID Code type | Collateral type | Type of structured product | Capital protection | Underlying security / index / portfolio | Callable or Putable | Synthetic structured product | Prepayment structured product | Collateral value | Collateral portfolio | Fixed annual return | Variable annual return | Loss given default | Attachment point | Detachment point |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | C0110 | C0120 | C0130 | C0140 | C0150 | C0160 | C0170 | C0180 | C0190 |
| Legal name of the undertaking | Identification code of the undertaking | Type of code of the ID of the undertaking | Asset ID Code | Asset ID Code type | Collateral type | Type of structured product | Capital protection | Underlying security / index / portfolio | Callable or Putable | (cont.) |
|---|---|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | |
| Derivative ID Code | Unique Transactions Identifier | Derivative ID Code type | Portfolio | Fund number | Derivatives held in unit linked and index linked contracts | Instrument underlying the derivative | Type of code of asset or liability underlying the derivative | Use of derivative | Notional amount of the derivative | Buyer / Seller | (cont.) |
|---|---|---|---|---|---|---|---|---|---|---|---|
| C0040 | C0041 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | C0110 | C0131 | C0140 | |
| Legal name of the undertaking | Identification code of the undertaking | Type of code of the ID of the undertaking | Derivative ID Code | Unique Transactions Identifier | Derivative ID Code type | Portfolio | Fund number | Derivatives held in unit linked and index linked contracts | Instrument underlying the derivative | Type of code of asset or liability underlying the derivative | (cont.) |
|---|---|---|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0041 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | |
| Asset category | Portfolio | Asset held in unit-linked and index-linked contracts | Dividends | Interest | Rent | Net gains and losses | Unrealised gains and losses |
|---|---|---|---|---|---|---|---|
| C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | C0110 |
| Legal name of the undertaking | Identification code of the undertaking | Type of code of the ID of the undertaking | Asset category | Portfolio | Asset held in unit-linked and index-linked contracts | Dividends | Interest | Rent | Net gains and losses | Unrealised gains and losses |
|---|---|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | C0110 |
| Portfolio | Fund number | Asset category | Counterparty Name | Counterparty code | Type of counterparty code | Counterparty asset category | Assets held in unit-linked and index-linked contracts | Position in the contract | Near leg amount | Far leg amount | Start date | Maturity date | Solvency II Value |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | C0110 | C0120 | C0130 | C0140 | C0150 | C0160 | C0170 |
| Legal name of the undertaking | Identification code of the undertaking | Type of code of the ID of the undertaking | Portfolio | Fund number | Asset category | Counterparty Name | Counterparty code | Type of counterparty code | Counterparty asset category | Assets held in unit-linked and index-linked contracts | (cont.) |
|---|---|---|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | C0110 | |
| Information on the assets held | Information on the asset for which collateral is held | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Asset ID Code | Asset ID Code type | Name of counterparty pledging the collateral | Name of the group of the counterparty pledging the collateral | Country of custody | Quantity | Par amount | Valuation method | Total amount | Accrued interest | Type of asset for which the collateral is held |
| C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | C0110 | C0120 | C0130 | C0140 |
| Information on the assets held | Information on the asset for which collateral is held | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Legal name of the undertaking | Identification code of the undertaking | Type of code of the ID of the undertaking | Asset ID Code | Asset ID Code type | Name of counterparty pledging the collateral | Name of the group of the counterparty pledging the collateral | Country of custody | Quantity | Par amount | Valuation method | Total amount | Accrued interest | Type of asset for which the collateral is held |
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | C0110 | C0120 | C0130 | C0140 |
| Insurance with profit participation | Index-linked and unit-linked insurance | ||||
|---|---|---|---|---|---|
| Contracts without options and guarantees | Contracts with options or guarantees | ||||
| C0020 | C0030 | C0040 | C0050 | ||
| Technical provisions calculated as a whole | R0010 | ||||
| Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP as a whole | R0020 | ||||
| Technical provisions calculated as a sum of BE and RM | |||||
| Best Estimate | |||||
| Gross Best Estimate | R0030 | ||||
| Total recoverables from reinsurance/SPV and Finite Re before the adjustment for expected losses due to counterparty default | R0040 | ||||
| Recoverables from reinsurance (except SPV and Finite Re) before adjustment for expected losses | R0050 | ||||
| Recoverables from SPV before adjustment for expected losses | R0060 | ||||
| Recoverables from Finite Re before adjustment for expected losses | R0070 | ||||
| Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default | R0080 | ||||
| Best estimate minus recoverables from reinsurance/SPV and Finite Re | R0090 | ||||
| Risk Margin | R0100 | ||||
| Amount of the transitional on Technical Provisions | |||||
| Technical Provisions calculated as a whole | R0110 | ||||
| Best estimate | R0120 | ||||
| Risk margin | R0130 | ||||
| Technical provisions - total | R0200 | ||||
| Technical provisions minus recoverables from reinsurance/SPV and Finite Re - total | R0210 | ||||
| Best Estimate of products with a surrender option | R0220 | ||||
| Gross BE for Cash flow | |||||
| Cash out-flows | |||||
| Future guaranteed and discretionary benefits | R0230 | ||||
| Future guaranteed benefits | R0240 | ||||
| Future discretionary benefits | R0250 | ||||
| Future expenses and other cash out-flows | R0260 | ||||
| Cash in-flows | |||||
| Future premiums | R0270 | ||||
| Other cash in-flows | R0280 | ||||
| Percentage of gross Best Estimate calculated using approximations | R0290 | ||||
| Surrender value | R0300 | ||||
| Best estimate subject to transitional of the interest rate | R0310 | ||||
| Technical provisions without transitional on interest rate | R0320 | ||||
| Best estimate subject to volatility adjustment | R0330 | ||||
| Technical provisions without volatility adjustment and without others transitional measures | R0340 | ||||
| Best estimate subject to matching adjustment | R0350 | ||||
| Technical provisions without matching adjustment and without all the others | R0360 | ||||
| Expected profits included in future premiums (EPIFP) | R0370 |
| Insurance with profit participation | Index-linked and unit-linked insurance | Other life insurance | Annuities stemming from non-life insurance contracts and relating to insurance obligation other than health insurance obligations | (cont.) | ||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Contracts without options and guarantees | Contracts with options or guarantees | Contracts without options and guarantees | Contracts with options or guarantees | |||||||
| C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | |||
| Technical provisions calculated as a whole | R0010 | |||||||||
| Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP as a whole | R0020 | |||||||||
| Technical provisions calculated as a sum of BE and RM | ||||||||||
| Best Estimate | ||||||||||
| Gross Best Estimate | R0030 | |||||||||
| Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default | R0080 | |||||||||
| Best estimate minus recoverables from reinsurance/SPV and Finite Re — total | R0090 | |||||||||
| Risk Margin | R0100 | |||||||||
| Technical provisions — total | R0200 |
| Ring Fenced Fund/Matching adjustment portfolio or remaining part | Z0020 | |
| Fund/Portfolio number | Z0030 |
| Geographical zone | Insurance with profit participation | Index-linked and unit-linked insurance | Other life insurance | Annuities stemming from non-life insurance contracts and relating to insurance obligation other than health insurance obligations | Accepted reinsurance | (cont.) | ||
| C0020 | C0030 | C0060 | C0090 | C0100 | ||||
| Home country | R0010 | |||||||
| EEA countries outside the materiality threshold — not reported by country | R0020 | |||||||
| Non-EEA countries outside the materiality threshold — not reported by country | R0030 | |||||||
| Countries in the materiality threshold | C0010 | |||||||
| Country 1 | R0040 | |||||||
| … | … |
| Insurance with profit participation | Index linked and unit-linked insurance | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Cash out-flows | Cash in-flows | Total recoverable from reinsurance (after the adjustment) | Cash out-flows | Cash in-flows | Total recoverable from reinsurance (after the adjustment) | |||||||||
| Future guaranteed benefits | Future discretionary benefits | Future expenses and other cash out-flows | Future premiums | Other cash in-flows | Future guaranteed benefits | Future discretionary benefits | Future expenses and other cash out-flows | Future premiums | Other cash in-flows | (cont.) | ||||
| C0011 | C0015 | C0020 | C0030 | C0040 | C0045 | C0051 | C0055 | C0060 | C0070 | C0080 | C0085 | |||
| Year (projection of undiscounted expected cash-flows) | ||||||||||||||
| 1 | R0010 | |||||||||||||
| 2 | R0020 | |||||||||||||
| 3 | R0030 | |||||||||||||
| 4 | R0040 | |||||||||||||
| 5 | R0050 | |||||||||||||
| 6 | R0060 | |||||||||||||
| 7 | R0070 | |||||||||||||
| 8 | R0080 | |||||||||||||
| 9 | R0090 | |||||||||||||
| 10 | R0100 | |||||||||||||
| 11 | R0110 | |||||||||||||
| 12 | R0120 | |||||||||||||
| 13 | R0130 | |||||||||||||
| 14 | R0140 | |||||||||||||
| 15 | R0150 | |||||||||||||
| 16 | R0160 | |||||||||||||
| 17 | R0170 | |||||||||||||
| 18 | R0180 | |||||||||||||
| 19 | R0190 | |||||||||||||
| 20 | R0200 | |||||||||||||
| 21 | R0210 | |||||||||||||
| 22 | R0220 | |||||||||||||
| 23 | R0230 | |||||||||||||
| 24 | R0240 | |||||||||||||
| 25 | R0250 | |||||||||||||
| 26 | R0260 | |||||||||||||
| 27 | R0270 | |||||||||||||
| 28 | R0280 | |||||||||||||
| 29 | R0290 | |||||||||||||
| 30 | R0300 | |||||||||||||
| 31-40 | R0310 | |||||||||||||
| 41-50 | R0320 | |||||||||||||
| 51 & after | R0330 |
| Product ID code | Line of Business | Number of contracts at the end of the year | Number of contracts at the end of year — of which, number of contracts with surrender option | Number of new contracts during year | Number of contracts surrendered during year | Number of insured at the end of the year | Fiscal treatment of the products | Country |
|---|---|---|---|---|---|---|---|---|
| C0010 | C0030 | C0040 | C0041 | C0050 | C0051 | C0054 | C0055 | C0080 |
| Line of Business | Of which Product category | For the products commercialised under this product category/LOB, which proportion (measured by gross written premiums) covers climate related perils? (0-100) | If the product covers climate-related perils, does the product design make allowance for risk-prevention measures? (Yes/No/Not applicable) | Number of contracts at the end of the year | Number of new contracts during year | Total amount of Gross Written premiums — written directly by the insurance undertaking | Total amount of Gross Written premiums — written via credit institutions | (cont.) |
|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | |
| Product Group Code | Target market | Product identification | Cyber coverage in the Product Category | Line(s) of business | Description of Risk(s) included in the coverage | Other risk detailed description | Sum(s) insured | (cont.) |
|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | |
| The related non-life line of business | Z0010 | |
| Accident year / Underwriting year | Z0020 | |
| Currency | Z0030 | |
| Currency conversion | Z0040 |
| Direct business and accepted proportional reinsurance | |||||||
|---|---|---|---|---|---|---|---|
| Medical expense insurance | Income protection insurance | Workers' compensation insurance | Motor vehicle liability insurance | Other motor insurance | Marine, aviation and transport insurance | ||
| C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | ||
| Technical provisions calculated as a whole | R0010 | ||||||
| Direct business | R0020 | ||||||
| Accepted proportional reinsurance business | R0030 | ||||||
| Accepted non-proportional reinsurance | R0040 | ||||||
| Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP as a whole | R0050 | ||||||
| Technical provisions calculated as a sum of BE and RM | |||||||
| Best estimate | |||||||
| Premium provisions | |||||||
| Gross — Total | R0060 | ||||||
| Gross — direct business | R0070 | ||||||
| Gross — accepted proportional reinsurance business | R0080 | ||||||
| Gross — accepted non-proportional reinsurance business | R0090 | ||||||
| Total recoverable from reinsurance/SPV and Finite Re before the adjustment for expected losses due to counterparty default | R0100 | ||||||
| Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses | R0110 | ||||||
| Recoverables from SPV before adjustment for expected losses | R0120 | ||||||
| Recoverables from Finite Reinsurance before adjustment for expected losses | R0130 | ||||||
| Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default | R0140 | ||||||
| Net Best Estimate of Premium Provisions | R0150 | ||||||
| Claims provisions | |||||||
| Gross — Total | R0160 | ||||||
| Gross — direct business | R0170 | ||||||
| Gross — accepted proportional reinsurance business | R0180 | ||||||
| Gross — accepted non-proportional reinsurance business | R0190 |
| Direct business and accepted proportional reinsurance | |||||||
|---|---|---|---|---|---|---|---|
| Medical expense insurance | Income protection insurance | Workers' compensation insurance | Motor vehicle liability insurance | Other motor insurance | Marine, aviation and transport insurance | ||
| C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | ||
| Technical provisions calculated as a whole | R0010 | ||||||
| Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP as a whole | R0050 | ||||||
| Technical provisions calculated as a sum of BE and RM | |||||||
| Best estimate | |||||||
| Premium provisions | |||||||
| Gross | R0060 | ||||||
| Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default | R0140 | ||||||
| Net Best Estimate of Premium Provisions | R0150 | ||||||
| Claims provisions | |||||||
| Gross | R0160 | ||||||
| Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default | R0240 | ||||||
| Net Best Estimate of Claims Provisions | R0250 | ||||||
| Total Best estimate — gross | R0260 | ||||||
| Total Best estimate — net | R0270 | ||||||
| Risk margin | R0280 | ||||||
| Amount of the transitional on Technical Provisions | |||||||
| Technical Provisions calculated as a whole | R0290 | ||||||
| Best estimate | R0300 | ||||||
| Risk margin | R0310 | ||||||
| Technical provisions — total | |||||||
| Technical provisions — total | R0320 | ||||||
| Recoverable from reinsurance contract/SPV and Finite Re after the adjustment for expected losses due to counterparty default — total | R0330 | ||||||
| Technical provisions minus recoverables from reinsurance/SPV and Finite Re — total | R0340 |
| Ring Fenced Fund/Matching adjustment portfolio or remaining part | Z0020 | |
| Fund/Portfolio number | Z0030 |
| Country … | C0010 | ||
| Business Type | Z0010 |
| Best Estimate Premium Provision (Gross) | Best Estimate Claim Provision (Gross) | Total recoverable from reinsurance (after the adjustment) | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Cash out-flows | Cash in-flows | Cash out-flows | Cash in-flows | |||||||
| Future benefits | Future expenses and other cash-out flows | Future premiums | Other cash-in flows | Future benefits | Future expenses and other cash-out flows | Future premiums | Other cash-in flows | |||
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | ||
| Year (projection of undiscounted expected cash-flows) | ||||||||||
| 1 | R0010 | |||||||||
| 2 | R0020 | |||||||||
| 3 | R0030 | |||||||||
| 4 | R0040 | |||||||||
| 5 | R0050 | |||||||||
| 6 | R0060 | |||||||||
| 7 | R0070 | |||||||||
| 8 | R0080 | |||||||||
| 9 | R0090 | |||||||||
| 10 | R0100 | |||||||||
| 11 | R0110 | |||||||||
| 12 | R0120 | |||||||||
| 13 | R0130 | |||||||||
| 14 | R0140 | |||||||||
| 15 | R0150 | |||||||||
| 16 | R0160 | |||||||||
| 17 | R0170 | |||||||||
| 18 | R0180 | |||||||||
| 19 | R0190 | |||||||||
| 20 | R0200 | |||||||||
| 21 | R0210 |
| Line of business | Z0010 | |
| Accident year / Underwriting year | Z0020 | |
| Currency | Z0030 | |
| Currency conversion | Z0040 |
| Line of business: | Z0010 | |
| Accident year / underwriting year | Z0020 |
| Line of business | Z0010 | |
| Accident year / underwriting year | Z0020 |
| Risk identification code | Identification of the company / person to which the risk relates | Description risk | Line of business | Description risk category covered | Validity period (start date) | Validity period (expiry date) | Currency | Sum insured | Original deductible policyholder | Type of underwriting model | (cont.) |
|---|---|---|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | C0110 | |
| Line of business | Z0010 |
| Amount with Long Term Guarantee measures and transitionals | Impact of the LTG measures and transitionals (Step-by-step approach) | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Without transitional on technical provisions | Impact of transitional on technical provisions | Without transitional on interest rate | Impact of transitional on interest rate | Without volatility adjustment and without other transitional measures | Impact of volatility adjustment set to zero | Without matching adjustment and without all the others | Impact of matching adjustment set to zero | Impact of all LTG measures and transitionals | |||
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | ||
| Technical provisions | R0010 | ||||||||||
| Basic own funds | R0020 | ||||||||||
| Excess of assets over liabilities | R0030 | ||||||||||
| Restricted own funds due to ring-fencing and matching portfolio | R0040 | ||||||||||
| Eligible own funds to meet Solvency Capital Requirement | R0050 | ||||||||||
| Tier I | R0060 | ||||||||||
| Tier II | R0070 | ||||||||||
| Tier III | R0080 | ||||||||||
| Solvency Capital Requirement | R0090 | ||||||||||
| Eligible own funds to meet Minimum Capital Requirement | R0100 | ||||||||||
| Minimum Capital Requirement | R0110 | ||||||||||
| Solvency Capital Requirement ratio | R0120 | ||||||||||
| Minimum Capital Requirement ratio | R0130 |
| Amount with Long Term Guarantee measures and transitionals | Impact of the LTG measures and transitionals (Step-by-step approach) | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Without transitional on technical provisions | Impact of transitional on technical provisions | Without transitional on interest rate | Impact of transitional on interest rate | Without volatility adjustment and without other transitional measures | Impact of volatility adjustment set to zero | Without matching adjustment and without all the others | Impact of matching adjustment set to zero | Impact of all LTG measures and transitionals | |||
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | ||
| Technical provisions | R0010 | ||||||||||
| Basic own funds | R0020 | ||||||||||
| Excess of assets over liabilities | R0030 | ||||||||||
| Restricted own funds due to ring-fencing and matching portfolio | R0040 | ||||||||||
| Eligible own funds to meet Solvency Capital Requirement | R0050 | ||||||||||
| Tier I | R0060 | ||||||||||
| Tier II | R0070 | ||||||||||
| Tier III | R0080 | ||||||||||
| Solvency Capital Requirement | R0090 | ||||||||||
| Solvency Capital Requirement ratio | R0120 | ||||||||||
| Minimum Capital Requirement ratio | R0130 |
| Matching portfolio | Z0010 |
| Matching portfolio | Z0010 |
| Currency | Z0010 |
| C0010 | ||
|---|---|---|
| Day 1 Solvency II technical provisions | R0010 | |
| Technical provisions subject to transitional measure on technical provisions | ||
| TP calculated as a whole | R0020 | |
| Best estimate | R0030 | |
| Risk magin | R0040 | |
| Solvency I technical provisions | R0050 | |
| Portion of the difference adjusted | R0060 | |
| Limitation applied in accordance with Article 308d(4) | R0070 | |
| Technical provision after transitional on technical provisions | R0080 |
| Line of Business | Z0010 | |
| Other than reporting currency | R0010 | … |
| Total | Tier 1 - unrestricted | Tier 1 - restricted | Tier 2 | Tier 3 | ||
|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | ||
| Basic own funds before deduction for participations in other financial sector as foreseen in article 68 of Delegated Regulation 2015/35 | ||||||
| Ordinary share capital (gross of own shares) | R0010 | |||||
| Share premium account related to ordinary share capital | R0030 | |||||
| Initial funds, members' contributions or the equivalent basic own - fund item for mutual and mutual-type undertakings | R0040 | |||||
| Subordinated mutual member accounts | R0050 | |||||
| Surplus funds | R0070 | |||||
| Preference shares | R0090 | |||||
| Share premium account related to preference shares | R0110 | |||||
| Reconciliation reserve | R0130 | |||||
| Subordinated liabilities | R0140 | |||||
| An amount equal to the value of net deferred tax assets | R0160 | |||||
| Other own fund items approved by the supervisory authority as basic own funds not specified above | R0180 | |||||
| Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds | ||||||
| Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds | R0220 | |||||
| Deductions | ||||||
| Deductions for participations in financial and credit institutions | R0230 | |||||
| Total basic own funds after deductions | R0290 | |||||
| Ancillary own funds | ||||||
| Unpaid and uncalled ordinary share capital callable on demand | R0300 | |||||
| Unpaid and uncalled initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual - type undertakings, callable on demand | R0310 | |||||
| Unpaid and uncalled preference shares callable on demand | R0320 | |||||
| A legally binding commitment to subscribe and pay for subordinated liabilities on demand | R0330 | |||||
| Letters of credit and guarantees under Article 96(2) of the Directive 2009/138/EC | R0340 | |||||
| Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC | R0350 | |||||
| Supplementary members calls under first subparagraph of Article 96(3) of the Directive 2009/138/EC | R0360 | |||||
| Supplementary members calls - other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC | R0370 | |||||
| Other ancillary own funds | R0390 |
| Total | Tier 1 - unrestricted | Tier 1 - restricted | Tier 2 | Tier 3 | ||
|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | ||
| Basic own funds before deduction | ||||||
| Ordinary share capital (gross of own shares) | R0010 | |||||
| Non-available called but not paid in ordinary share capital to be deducted at group level | R0020 | |||||
| Share premium account related to ordinary share capital | R0030 | |||||
| Initial funds, members' contributions or the equivalent basic own - fund item for mutual and mutual-type undertakings | R0040 | |||||
| Subordinated mutual member accounts | R0050 | |||||
| Non-available subordinated mutual member accounts to be deducted at group level | R0060 | |||||
| Surplus funds | R0070 | |||||
| Non-available surplus funds to be deducted at group level | R0080 | |||||
| Preference shares | R0090 | |||||
| Non-available preference shares to be deducted at group level | R0100 | |||||
| Share premium account related to preference shares | R0110 | |||||
| Non-available share premium account related to preference shares to be deducted at group level | R0120 | |||||
| Reconciliation reserve | R0130 | |||||
| Subordinated liabilities | R0140 | |||||
| Non-available subordinated liabilities to be deducted at group level | R0150 | |||||
| An amount equal to the value of net deferred tax assets | R0160 | |||||
| The amount equal to the value of net deferred tax assets not available to be deducted at the group level | R0170 | |||||
| Other items approved by supervisory authority as basic own funds not specified above | R0180 | |||||
| Non available own funds related to other own funds items approved by supervisory authority to be deducted | R0190 | |||||
| Minority interests | R0200 | |||||
| Non-available minority interests to be deducted at group level | R0210 | |||||
| Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds | ||||||
| Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds | R0220 | |||||
| Deductions | ||||||
| Deductions for participations in other financial undertakings, including non-regulated undertakings carrying out financial activities | R0230 | |||||
| where deducted according to art 228 of the Directive 2009/138/EC | R0240 | |||||
| Deductions for participations where there is non-availability of information (Article 229) | R0250 | |||||
| Deduction for participations included via Deduction and Aggregation method (D&A) when a combination of methods is used | R0260 | |||||
| Total of non-available own funds to be deducted | R0270 | |||||
| Total deductions | R0280 |
| Total | Tier 1 | Tier 2 | Tier 3 | ||||
|---|---|---|---|---|---|---|---|
| Total Tier 1 | Of which counted under transitionals | Total Tier 2 | Of which counted under transitionals | ||||
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | ||
| Ordinary share capital | |||||||
| Paid in | R0010 | ||||||
| Called up but not yet paid in | R0020 | ||||||
| Own shares held | R0030 | ||||||
| Total ordinary share capital | R0100 | ||||||
| Initial funds, members' contributions or the equivalent basic own - fund item for mutual and mutual type undertakings | |||||||
| Paid in | R0110 | ||||||
| Called up but not yet paid in | R0120 | ||||||
| Total initial fund members' contributions or the equivalent basic own fund item for mutual and mutual type undertakings | R0200 | ||||||
| Subordinated mutual members accounts | |||||||
| Dated subordinated | R0210 | ||||||
| Undated subordinated with a call option | R0220 | ||||||
| Undated subordinated with no contractual opportunity to redeem | R0230 | ||||||
| Total subordinated mutual members accounts | R0300 | ||||||
| Preference shares | |||||||
| Dated preference shares | R0310 | ||||||
| Undated preference shares with a call option | R0320 | ||||||
| Undated preference shares with no contractual opportunity to redeem | R0330 | ||||||
| Total preference shares | R0400 | ||||||
| Subordinated liabilities | |||||||
| Dated subordinated liabilities | R0410 | ||||||
| Undated subordinated liabilities with a contractual opportunity to redeem | R0420 | ||||||
| Undated subordinated liabilities with no contractual opportunity to redeem | R0430 | ||||||
| Total subordinated liabilities | R0500 |
| Total | Tier 1 | Tier 2 | Tier 3 | ||||
|---|---|---|---|---|---|---|---|
| Total Tier 1 | Of which counted under transitionals | Tier 2 | Of which counted under transitionals | ||||
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | ||
| Ordinary share capital | |||||||
| Paid in | R0010 | ||||||
| Called up but not yet paid in | R0020 | ||||||
| Own shares held | R0030 | ||||||
| Total ordinary share capital | R0100 | ||||||
| Initial funds, members' contributions or the equivalent basic own - fund item for mutual and mutual type undertakings | |||||||
| Paid in | R0110 | ||||||
| Called up but not yet paid in | R0120 | ||||||
| Total initial fund members' contributions or the equivalent basic own fund item for mutual and mutual type undertakings | R0200 | ||||||
| Subordinated mutual members accounts | |||||||
| Dated subordinated | R0210 | ||||||
| Undated subordinated with a call option | R0220 | ||||||
| Undated subordinated with no contractual opportunity to redeem | R0230 | ||||||
| Total subordinated mutual members accounts | R0300 | ||||||
| Preference shares | |||||||
| Dated preference shares | R0310 | ||||||
| Undated preference shares with a call option | R0320 | ||||||
| Undated preference shares with no contractual opportunity to redeem | R0330 | ||||||
| Total preference shares | R0400 | ||||||
| Subordinated liabilities | |||||||
| Dated subordinated liabilities | R0410 | ||||||
| Undated subordinated liabilities with a contractual opportunity to redeem | R0420 | ||||||
| Undated subordinated liabilities with no contractual opportunity to redeem | R0430 | ||||||
| Total subordinated liabilities | R0500 |
| Balance b/fwd | Increase | Reduction | Balance c/fwd | ||||
|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0060 | ||||
| Ordinary share capital - movements in the reporting period | |||||||
| Paid in | R0010 | ||||||
| Called up but not yet paid in | R0020 | ||||||
| Own shares held | R0030 | ||||||
| Total ordinary share capital | R0100 | ||||||
| Share premium account related to ordinary share capital - movements in the reporting period | |||||||
| Tier 1 | R0110 | ||||||
| Tier 2 | R0120 | ||||||
| Total | R0200 | ||||||
| Initial funds, members' contributions or the equivalent basic own - fund item for mutual and mutual type undertakings - movements in the reporting period | |||||||
| Paid in | R0210 | ||||||
| Called up but not yet paid in | R0220 | ||||||
| Total initial funds, members' contributions or the equivalent basic own - fund item for mutual and mutual type undertakings | R0300 |
| Balance b/fwd | Increase | Reduction | Balance c/fwd | ||||
|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0060 | ||||
| Ordinary share capital - movements in the reporting period | |||||||
| Paid in | R0010 | ||||||
| Called up but not yet paid in | R0020 | ||||||
| Own shares held | R0030 | ||||||
| Total ordinary share capital | R0100 | ||||||
| Share premium account related to ordinary share capital - movements in the reporting period | |||||||
| Tier 1 | R0110 | ||||||
| Tier 2 | R0120 | ||||||
| Total | R0200 | ||||||
| Initial funds, members' contributions or the equivalent basic own - fund item for mutual and mutual type undertakings - movements in the reporting period | |||||||
| Paid in | R0210 | ||||||
| Called up but not yet paid in | R0220 | ||||||
| Total initial funds, members' contributions or the equivalent basic own - fund item for mutual and mutual type undertakings | R0300 |
| Description of subordinated mutual members' accounts | Amount | Tier | Currency Code | Counted under transitionals? | Counterparty (if specific) | Issue date | (cont.) |
|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0070 | C0080 | C0090 | |
| Description of subordinated mutual members' accounts | Amount | Tier | Currency Code | Issuing entity | Lender (if specific) | Counted under transitionals? | (cont.) |
|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | |
| Name of related undertaking | Asset ID Code | Asset ID Code type | Total | Common Equity Tier 1 | Additional Tier 1 | Tier 2 |
|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 |
| Name of related undertaking | Asset ID Code | Asset ID Code type | Total | Type 1 Equity | Type 2 Equity | Subordinated liabilities |
|---|---|---|---|---|---|---|
| C0230 | C0240 | C0250 | C0260 | C0270 | C0280 | C0290 |
| Name of related undertaking | Asset ID Code | Asset ID Code type | Total | Type 1 Equity | Type 2 Equity | Subordinated liabilities |
|---|---|---|---|---|---|---|
| C0440 | C0450 | C0460 | C0470 | C0480 | C0490 | C0500 |
| Article 112 | Z0010 | A001 |
| Article 112 | Z0010 |
| Article 112 | Z0010 | |
| Ring Fenced Fund/Matching adjustment portfolio or remaining part | Z0020 | |
| Fund/Portfolio number | Z0030 |
| Solvency Capital Requirement | Allocation from adjustments due to RFF and Matching adjustments portfolios | Consideration of the future management actions regarding technical provisions and/or deferred taxes | Amount modelled | ||
|---|---|---|---|---|---|
| Risk type | C0010 | C0050 | C0060 | C0070 | |
| Total diversification | R0020 | ||||
| Total diversified risk before tax | R0030 | ||||
| Total diversified risk after tax | R0040 | ||||
| Total market & credit risk | R0070 | ||||
| Market & Credit risk - diversified | R0080 | ||||
| Credit event risk not covered in market & credit risk | R0190 | ||||
| Credit event risk not covered in market & credit risk - diversified | R0200 | ||||
| Total Business risk | R0270 | ||||
| Total Business risk - diversified | R0280 | ||||
| Total Net Non-life underwritting risk | R0310 | ||||
| Total Net Non-life underwritting risk - diversified | R0320 | ||||
| Total Life & Health underwriting risk | R0400 | ||||
| Total Life & Health underwriting risk - diversified | R0410 | ||||
| Total Operational risk | R0510 | ||||
| Total Operational risk - diversified | R0520 | ||||
| Other risk | R0530 |
| Solvency Capital Requirement | Allocation from adjustments due to RFF and Matching adjustments portfolios | Consideration of the future management actions regarding technical provisions and/or deferred taxes | Amount modelled | ||
|---|---|---|---|---|---|
| Risk type | C0010 | C0050 | C0060 | C0070 | |
| Total diversification | R0020 | ||||
| Total diversified risk before tax | R0030 | ||||
| Total diversified risk after tax | R0040 | ||||
| Loss absorbing capacity of deferred taxes | R0050 | ||||
| Loss absorbing capacity of technical provisions | R0060 | ||||
| Total market & credit risk | R0070 | ||||
| Market & Credit risk - diversified | R0080 | ||||
| Credit event risk not covered in market & credit risk | R0190 | ||||
| Credit event risk not covered in market & credit risk - diversified | R0200 | ||||
| Total Business risk | R0270 | ||||
| Total Business risk - diversified | R0280 | ||||
| Total Net Non-life underwriting risk | R0310 | ||||
| Total Net Non-life underwriting risk - diversified | R0320 | ||||
| Total Life & Health underwriting risk | R0400 | ||||
| Total Life & Health underwriting risk - diversified | R0410 | ||||
| Total Operational risk | R0510 | ||||
| Total Operational risk - diversified | R0520 | ||||
| Other risk | R0530 |
| Ring-fenced fund, matching adjustment portfolio or Remaining Part | Z0020 | |
| Fund/Portfolio number | Z0030 |
| Ring-fenced fund, matching adjustment portfolio or Remaining Part | Z0020 | |
| Fund/Portfolio number | Z0030 |
| Article 112 | Z0010 | |
| Simplifications used | C0010 | |
| Simplifications spread risk — bonds and loans | R0012 | |
| Simplifications market concentration risk — simplifications used | R0014 | |
| Captives simplifications — interest rate risk | R0020 | |
| Captives simplifications — spread risk on bonds and loans | R0030 | |
| Captives simplifications — market concentration risk | R0040 |
| Article 112 | Z0010 | |
| Simplifications used | C0010 | |
| Simplifications spread risk — bonds and loans | R0012 | |
| Simplifications market concentration risk — simplifications used | R0014 | |
| Captives simplifications — interest rate risk | R0020 | |
| Captives simplifications — spread risk on bonds and loans | R0030 | |
| Captives simplifications — market concentration risk | R0040 |
| Article 112 | Z0010 | |
| Ring–fenced fund, matching adjustment portfolio or remaining part | Z0020 | |
| Fund/Portfolio number | Z0030 | |
| Simplifications used | C0010 | |
| Simplifications spread risk — bonds and loans | R0012 | |
| Simplifications market concentration risk — simplifications used | R0014 | |
| Captives simplifications — interest rate risk | R0020 | |
| Captives simplifications — spread risk on bonds and loans | R0030 | |
| Captives simplifications — market concentration risk | R0040 |
| Article 112 | Z0010 | |
| Ring–fenced fund, matching adjustment portfolio or remaining part | Z0020 | |
| Fund/Portfolio number | Z0030 | |
| Simplifications used | C0010 | |
| Simplifications spread risk — bonds and loans | R0012 | |
| Simplifications market concentration risk — simplifications used | R0014 | |
| Captives simplifications — interest rate risk | R0020 | |
| Captives simplifications — spread risk on bonds and loans | R0030 | |
| Captives simplifications — market concentration risk | R0040 |
| Article 112 | Z0010 | |
| Simplifications used | C0010 | |
| Simplifications | R0010 |
| Article 112 | Z0010 | |
| Simplifications used | C0010 | |
| Simplifications | R0010 |
| Article 112 | Z0010 | |
| Ring Fenced Fund/Matching adjustment portfolio or remaining part | Z0020 | |
| Fund/Portfolio number | Z0030 | |
| Simplifications used | C0010 | |
| Simplifications | R0010 |
| Article 112 | Z0010 | |
| Simplifications used | C0010 | |
| Simplifications — mortality risk | R0010 | |
| Simplifications- longevity risk | R0020 | |
| Simplifications — disability-morbidity risk | R0030 | |
| Simplifications — lapse risk | R0040 | |
| Simplifications — life expense risk | R0050 | |
| Simplifications — life catastrophe risk | R0060 |
| Article 112 | Z0010 | |
| Simplifications used | C0010 | |
| Simplifications — mortality risk | R0010 | |
| Simplifications — longevity risk | R0020 | |
| Simplifications — disability-morbidity risk | R0030 | |
| Simplifications — lapse risk | R0040 | |
| Simplifications — life expense risk | R0050 | |
| Simplifications — life catastrophe risk | R0060 |
| Article 112 | Z0010 | |
| Ring Fenced Fund/Matching adjustment portfolio or remaining part | Z0020 | |
| Fund/Portfolio number | Z0030 | |
| Simplifications used | C0010 | |
| Simplifications — mortality risk | R0010 | |
| Simplifications — longevity risk | R0020 | |
| Simplifications — disability-morbidity risk | R0030 | |
| Simplifications — lapse risk | R0040 | |
| Simplifications — life expense risk | R0050 | |
| Simplifications — life catastrophe risk | R0060 |
| Article 112 | Z0010 | |
| Simplifications used | C0010 | |
| Simplifications — health mortality risk | R0010 | |
| Simplifications — health longevity risk | R0020 | |
| Simplifications — health disability-morbidity risk-medical expenses | R0030 | |
| Simplifications — health disability-morbidity risk-income protection | R0040 | |
| Simplifications — SLT lapse risk | R0050 | |
| Simplifications — NSLT lapse risk | R0051 | |
| Simplifications — health expense risk | R0060 |
| Article 112 | Z0010 | |
| Simplifications used | C0010 | |
| Simplifications — health mortality risk | R0010 | |
| Simplifications — health longevity risk | R0020 | |
| Simplifications — health disability-morbidity risk-medical expenses | R0030 | |
| Simplifications — health disability-morbidity risk-income protection | R0040 | |
| Simplifications — SLT lapse risk | R0050 | |
| Simplifications — NSLT lapse risk | R0051 | |
| Simplifications — health expense risk | R0060 |
| Article 112 | Z0010 | |
| Ring Fenced Fund/Matching adjustment portfolio or remaining part | Z0020 | |
| Fund/Portfolio number | Z0030 | |
| Simplifications used | C0010 | |
| Simplifications — health mortality risk | R0010 | |
| Simplifications — health longevity risk | R0020 | |
| Simplifications — health disability-morbidity risk-medical expenses | R0030 | |
| Simplifications — health disability-morbidity risk-income protection | R0040 | |
| Simplifications — SLT lapse risk | R0050 | |
| Simplifications — NSLT lapse risk | R0051 | |
| Simplifications — health expense risk | R0060 |
| Article 112 | Z0010 | |
| Simplifications used | C0010 | |
| Captives simplifications — premium and reserve risk | R0010 | |
| Simplifications used — non-life lapse risk | R0011 |
| Article 112 | Z0010 | |
| Simplifications used | C0010 | |
| Captives simplifications — premium and reserve risk | R0010 | |
| Simplifications used — non-life lapse risk | R0011 |
| Article 112 | Z0010 | |
| Ring Fenced Fund/Matching adjustment portfolio or remaining part | Z0020 | |
| Fund/Portfolio number | Z0030 | |
| Simplifications used | C0010 | |
| Captives simplifications — premium and reserve risk | R0010 | |
| Simplifications used — non-life lapse risk | R0011 |
| Article 112 | Z0010 | |
| Capital requirement | ||
| Operational risk — Information on technical provisions | C0020 | |
| Life gross technical provisions (excluding risk margin) | R0100 | |
| Life gross technical provisions unit-linked (excluding risk margin) | R0110 | |
| Non-life gross technical provisions (excluding risk margin) | R0120 | |
| Capital requirement for operational risk based on technical provisions | R0130 | |
| Operational risk — Information on earned premiums | ||
| Earned life gross premiums (previous 12 months) | R0200 | |
| Earned life gross premiums unit-linked (previous 12 months) | R0210 | |
| Earned non-life gross premiums (previous 12 months) | R0220 | |
| Earned life gross premiums (12 months prior to the previous 12 months) | R0230 | |
| Earned life gross premiums unit-linked (12 months prior to the previous 12 months) | R0240 | |
| Earned non-life gross premiums (12 months prior to the previous 12 months) | R0250 | |
| Capital requirement for operational risk based on earned premiums | R0260 | |
| Operational risk — calculation of the SCR | ||
| Capital requirement for operational risk charge before capping | R0300 | |
| Percentage of Basic Solvency Capital Requirement | R0310 | |
| Capital requirement for operational risk charge after capping | R0320 | |
| Expenses incurred in respect of unit linked business (previous 12 months) | R0330 | |
| Total capital requirement for operational risk | R0340 |
| Article 112 | Z0010 | |
| Capital requirement | ||
| Operational risk — Information on technical provisions | C0020 | |
| Life gross technical provisions (excluding risk margin) | R0100 | |
| Life gross technical provisions unit-linked (excluding risk margin) | R0110 | |
| Non-life gross technical provisions (excluding risk margin) | R0120 | |
| Capital requirement for operational risk based on technical provisions | R0130 | |
| Operational risk — Information on earned premiums | ||
| Earned life gross premiums (previous 12 months) | R0200 | |
| Earned life gross premiums unit-linked (previous 12 months) | R0210 | |
| Earned non-life gross premiums (previous 12 months) | R0220 | |
| Earned life gross premiums (12 months prior to the previous 12 months) | R0230 | |
| Earned life gross premiums unit-linked (12 months prior to the previous 12 months) | R0240 | |
| Earned non-life gross premiums (12 months prior to the previous 12 months) | R0250 | |
| Capital requirement for operational risk based on earned premiums | R0260 | |
| Operational risk — calculation of the SCR | ||
| Capital requirement for operational risk charge before capping | R0300 | |
| Percentage of Basic Solvency Capital Requirement | R0310 | |
| Capital requirement for operational risk charge after capping | R0320 | |
| Expenses incurred in respect of unit linked business (previous 12 months) | R0330 | |
| Total capital requirement for operational risk | R0340 |
| Article 112 | Z0010 | |
| Ring Fenced Fund/Matching adjustment portfolio or remaining part | Z0020 | |
| Fund/Portfolio number | Z0030 | |
| Capital requirement | ||
| Operational risk — Information on technical provisions | C0020 | |
| Life gross technical provisions (excluding risk margin) | R0100 | |
| Life gross technical provisions unit-linked (excluding risk margin) | R0110 | |
| Non-life gross technical provisions (excluding risk margin) | R0120 | |
| Capital requirement for operational risk based on technical provisions | R0130 | |
| Operational risk — Information on earned premiums | ||
| Earned life gross premiums (previous 12 months) | R0200 | |
| Earned life gross premiums unit-linked (previous 12 months) | R0210 | |
| Earned non-life gross premiums (previous 12 months) | R0220 | |
| Earned life gross premiums (12 months prior to the previous 12 months) | R0230 | |
| Earned life gross premiums unit-linked (12 months prior to the previous 12 months) | R0240 | |
| Earned non-life gross premiums (12 months prior to the previous 12 months) | R0250 | |
| Capital requirement for operational risk based on earned premiums | R0260 | |
| Operational risk — calculation of the SCR | ||
| Capital requirement for operational risk charge before capping | R0300 | |
| Percentage of Basic Solvency Capital Requirement | R0310 | |
| Capital requirement for operational risk charge after capping | R0320 | |
| Expenses incurred in respect of unit linked business (previous 12 months) | R0330 | |
| Total capital requirement for operational risk | R0340 |
| Article 112 | Z0010 | |
| Currency for interest rate risk (captives) | Z0040 |
| Article 112 | Z0010 | |
| Currency for interest rate risk (captives) | Z0040 |
| Article 112 | Z0010 | |
| Ring Fenced Fund/Matching adjustment portfolio or remaining part | Z0020 | |
| Fund/Portfolio number | Z0030 | |
| Currency for interest rate risk (captives) | Z0040 |
| Solvency Capital Requirement | Allocation from adjustments due to RFF and Matching adjustments portfolios | Consideration of the future management actions regarding technical provisions and/or deferred taxes | Amount modelled | Risk description | ||
|---|---|---|---|---|---|---|
| C0010 | C0050 | C0060 | C0070 | C0080 | ||
| Risk type | ||||||
| Total stand-alone risk | R0010 | |||||
| Total diversification | R0020 | |||||
| Total diversified risk before tax | R0030 | |||||
| Total diversified risk after tax | R0040 | |||||
| Loss absorbing capacity of deferred taxes | R0050 | |||||
| Loss absorbing capacity of technical provisions | R0060 | |||||
| Total market & credit risk | R0070 | |||||
| Market & Credit risk — diversified | R0080 | |||||
| Interest rate risk | R0090 | |||||
| Interest rate volatility risk | R0100 | |||||
| Inflation risk | R0110 | |||||
| Equity risk | R0120 | |||||
| Equity volatility risk | R0130 | |||||
| Property risk | R0140 | |||||
| Currency risk | R0150 | |||||
| Credit spread risk | R0160 | |||||
| Credit event risk (migration & default) | R0170 | |||||
| Credit risk sum (spread, migration & default) | R0180 | |||||
| Credit event risk not covered in market & credit risk | R0190 | |||||
| Credit event risk not covered in market & credit risk — diversified | R0200 | |||||
| Basis risk financial instruments | R0210 | |||||
| Derivatives risk | R0220 | |||||
| Participations | R0230 | |||||
| Liquidity risk | R0240 | |||||
| Pension risk | R0250 | |||||
| Concentration risk | R0260 | |||||
| Total Business risk | R0270 | |||||
| Total Business risk — diversified | R0280 | |||||
| Total underwriting risk | R0290 | |||||
| Total underwriting risk — diversified | R0300 | |||||
| Total Net Non-life underwriting risk | R0310 | |||||
| Total Net Non-life underwriting risk — diversified | R0320 | |||||
| Net Nat-cat risk | R0330 | |||||
| Net Man-made risk | R0340 | |||||
| Gross reserve risk | R0350 | |||||
| Gross premium risk | R0360 | |||||
| Total Life & Health underwriting risk | R0370 | |||||
| Total Life & Health underwriting risk — diversified | R0380 | |||||
| Mortality risk | R0390 | |||||
| Longevity risk | R0400 | |||||
| Disability-Morbidity risk | R0410 | |||||
| Lapse | R0420 | |||||
| Expense risk | R0430 | |||||
| Revision risk | R0440 | |||||
| Catastrophe risk | R0450 | |||||
| Trend risk | R0460 | |||||
| Level risk | R0470 | |||||
| Total Operational risk | R0480 | |||||
| Total Operational risk — diversified | R0490 | |||||
| Other risk | R0500 | |||||
| Memorandum item: Other risk description | R0510 |
| Solvency Capital Requirement | Allocation from adjustments due to RFF and Matching adjustments portfolios | Consideration of the future management actions regarding technical provisions and/or deferred taxes | Amount modelled | Risk description | ||
|---|---|---|---|---|---|---|
| C0010 | C0050 | C0060 | C0070 | C0080 | ||
| Risk type | ||||||
| Total stand-alone risk | R0010 | |||||
| Total diversification | R0020 | |||||
| Total diversified risk before tax | R0030 | |||||
| Total diversified risk after tax | R0040 | |||||
| Loss absorbing capacity of deferred taxes | R0050 | |||||
| Loss absorbing capacity of technical provisions | R0060 | |||||
| Total market & credit risk | R0070 | |||||
| Market & Credit risk — diversified | R0080 | |||||
| Interest rate risk | R0090 | |||||
| Interest rate volatility risk | R0100 | |||||
| Inflation risk | R0110 | |||||
| Equity risk | R0120 | |||||
| Equity volatility risk | R0130 | |||||
| Property risk | R0140 | |||||
| Currency risk | R0150 | |||||
| Credit spread risk | R0160 | |||||
| Credit event risk (migration & default) | R0170 | |||||
| Credit risk sum (spread, migration & default) | R0180 | |||||
| Credit event risk not covered in market & credit risk | R0190 | |||||
| Credit event risk not covered in market & credit risk — diversified | R0200 | |||||
| Basis risk financial instruments | R0210 | |||||
| Derivatives risk | R0220 | |||||
| Participations | R0230 | |||||
| Liquidity risk | R0240 | |||||
| Pension risk | R0250 | |||||
| Concentration risk | R0260 | |||||
| Total Business risk | R0270 | |||||
| Total Business risk — diversified | R0280 | |||||
| Total underwriting risk | R0290 | |||||
| Total underwriting risk — diversified | R0300 | |||||
| Total Net Non-life underwriting risk | R0310 | |||||
| Total Net Non-life underwriting risk — diversified | R0320 | |||||
| Net Nat-cat risk | R0330 | |||||
| Net Man-made risk | R0340 | |||||
| Gross reserve risk | R0350 | |||||
| Gross premium risk | R0360 | |||||
| Total Life & Health underwriting risk | R0370 | |||||
| Total Life & Health underwriting risk — diversified | R0380 | |||||
| Mortality risk | R0390 | |||||
| Longevity risk | R0400 | |||||
| Disability-Morbidity risk | R0410 | |||||
| Lapse | R0420 | |||||
| Expense risk | R0430 | |||||
| Revision risk | R0440 | |||||
| Catastrophe risk | R0450 | |||||
| Trend risk | R0460 | |||||
| Level risk | R0470 | |||||
| Total Operational risk | R0480 | |||||
| Total Operational risk — diversified | R0490 | |||||
| Other risk | R0500 | |||||
| Memorandum item: Other risk description | R0510 |
| Ring-fenced fund, matching adjustment portfolio or Remaining Part | Z0020 | |
| Fund/Portfolio number | Z0030 |
| Ring-fenced fund, matching adjustment portfolio or Remaining Part | Z0020 | |
| Fund/Portfolio number | Z0030 |
| C0010 | ||
| Type of VA used | R0010 | |
| Type of shock model for market risk | R0020 | |
| Type of shock model for credit risk | R0030 | |
| Coverage of non-financial instruments | R0040 |
| C0010 | ||
| Type of shock model for market risk | R0020 | |
| Type of shock model for credit risk | R0030 | |
| Coverage of non-financial instruments | R0040 |
| Name Group Exposure | Market value | Exposure at Default | Credit Risk Contribution | Average Probability of Default (in %) | Average Loss Given Default (in %) | Market value (% of total sum) | Credit Risk Contribution (% of total sum) | ||
|---|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | ||
| Top 10 exposures in terms of market value (group) | |||||||||
| Sum of all exposures | R0010 | ||||||||
| Top exposures total | R0020 | ||||||||
| Counterparty group exposure 1 | R0030 | ||||||||
| Counterparty group exposure 2 | R0040 | ||||||||
| Counterparty group exposure 3 | R0050 | ||||||||
| Counterparty group exposure 4 | R0060 | ||||||||
| Counterparty group exposure 5 | R0070 | ||||||||
| Counterparty group exposure 6 | R0080 | ||||||||
| Counterparty group exposure 7 | R0090 | ||||||||
| Counterparty group exposure 8 | R0100 | ||||||||
| Counterparty group exposure 9 | R0110 | ||||||||
| Counterparty group exposure 10 | R0120 | ||||||||
| All other exposures | R0130 |
| Credit Quality Step 0 | Credit Quality Step 1 | Credit Quality Step 2 | Credit Quality Step 3 | Credit Quality Step 4 | Credit Quality Step 5 | Credit Quality Step 6 | Credit Quality Step Not Rated | Total | ||
|---|---|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | ||
| Exposure at Default | ||||||||||
| Overall Exposure at Default | R0010 | |||||||||
| Bond and loans | R0020 | |||||||||
| Government bonds and loans | R0030 | |||||||||
| Corporate bonds and loans | R0040 | |||||||||
| Other bonds and loans | R0050 | |||||||||
| Cash | R0060 | |||||||||
| Derivatives | R0070 | |||||||||
| Other | R0080 |
| Name of single name exposure | Code of single name exposure | Loss Given Default | Exposure at Default | Probability of Default | ||
|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | ||
| Top 10 Type 1 exposures in terms of impact on SCR | ||||||
| Sum | R0010 | |||||
| Single name exposure 1 | R0020 | |||||
| Single name exposure 2 | R0030 | |||||
| Single name exposure 3 | R0040 | |||||
| Single name exposure 4 | R0050 | |||||
| Single name exposure 5 | R0060 | |||||
| Single name exposure 6 | R0070 | |||||
| Single name exposure 7 | R0080 | |||||
| Single name exposure 8 | R0090 | |||||
| Single name exposure 9 | R0100 | |||||
| Single name exposure 10 | R0110 | |||||
| Other exposures (aggregate) | R0120 |
| Line of business | Z0010 |
| Risk type | Z0020 |
| Risk type | Z0010 |
| C0010 | ||
|---|---|---|
| Is Basel L1 classification used? | R0010 | |
| Is Basel L1 & L2 classification used? | R0020 |
| Change ID | Date of approval | Date of submission | Description of change to the model | |
|---|---|---|---|---|
| C0020 | C0030 | C0040 | C0050 | |
| Model Change Policy |
| Simplifications used | ||
|---|---|---|
| C0001 | ||
| Simplifications used - fire risk | R0001 | |
| Simplifications used - natural catastrophe risk | R0002 |
| Simplifications used | ||
|---|---|---|
| C0001 | ||
| Simplifications used - fire risk | R0001 | |
| Simplifications used - natural catastrophe risk | R0002 |
| Simplifications used | ||
|---|---|---|
| C0001 | ||
| Simplifications used - fire risk | R0001 | |
| Simplifications used - natural catastrophe risk | R0002 |
| C0010 | ||
|---|---|---|
| MCRNL Result | R0010 |
| Non-life activities | Life activities | Non-life activities | Life activities | ||
|---|---|---|---|---|---|
| MCR(NL,NL) Result | MCR(NL,L)Result | ||||
| C0010 | C0020 | ||||
| Linear formula component for non-life insurance and reinsurance obligations | R0010 |
| Year N | Year N-1 | Variation | ||
|---|---|---|---|---|
| Basic own funds before deduction for participations in other financial sector as foreseen in article 68 of Delegated Regulation 2015/35 | C0010 | C0020 | C0030 | |
| Ordinary share capital (gross of own shares) | R0010 | |||
| Share premium account related to ordinary share capital | R0020 | |||
| Initial funds, members' contributions or the equivalent basic own - fund item for mutual and mutual-type undertakings | R0030 | |||
| Subordinated mutual member accounts | R0040 | |||
| Surplus funds | R0050 | |||
| Preference shares | R0060 | |||
| Share premium account related to preference shares | R0070 | |||
| Reconciliation reserve before deduction for participations | R0080 | |||
| Subordinated liabilities | R0090 | |||
| An amount equal to the value of net deferred tax assets | R0100 | |||
| Other own fund items approved by the supervisory authority as basic own funds not specified above | R0110 | |||
| Variation of total BOF items before adjustments | R0120 | |||
| Variation of components of reconciliation reserve - Items reported in “Own funds” | ||||
| Excess of assets over liabilities (Variations of BOF explained by Variation Analysis Templates) | R0130 | |||
| Own shares | R0140 | |||
| Forseeable dividends, distributions and charges | R0150 | |||
| Other basic own fund items | R0160 | |||
| Restricted own fund items due to ring fencing and matching | R0170 | |||
| Total variation of Reconciliation Reserve | R0180 | |||
| Summary Analysis of Variation of Excess of Assets over Liabilities | ||||
| Variations due to investments and financial liabilities | R0190 | |||
| Variations due to technical provisions | R0200 | |||
| Variations in capital basic own fund items and other items approved | R0210 | |||
| Variation in Deffered Tax position | R0220 | |||
| Income Tax of the reporting period | R0230 | |||
| Dividend distribution | R0240 | |||
| Other variations in Excess of Assets over Liabilities | R0250 |
| Analysis of movements affecting Excess of Assets over Liabilities | ||
|---|---|---|
| Of which movements in valuation with an impact on Excess of Assets over Liabilities | C0010 | |
| Valuation movements on investments | R0010 | |
| Valuation movements on own shares | R0020 | |
| Valuation movements on financial liabilities and subordinated liabilities | R0030 | |
| Of which Investments revenues and expenses with an impact on Excess of Assets over Liabilities | ||
| Investment revenues | R0040 | |
| Investments expenses incl. interest charges on subordinated and financial liabilities | R0050 | |
| Variation in Excess of Assets over Liabilities explained by Investments and financial liabilities management | R0060 | |
| Detail of Investment revenues | ||
| Dividends | R0070 | |
| Interests | R0080 | |
| Rents | R0090 | |
| Other | R0100 |
| Of which the following breakdown of Variation in Best Estimate - analysis per UWY if applicable | LIFE | NON LIFE | |
|---|---|---|---|
| Gross of reinsurance | Gross of reinsurance | ||
| C0010 | C0020 | ||
| Opening Best Estimate | R0010 | ||
| Exceptional elements triggering restating of opening Best Estimate | R0020 | ||
| Changes in perimeter | R0030 | ||
| Foreign exchange variation | R0040 | ||
| Best Estimate on risk accepted during the period | R0050 | ||
| Variation of Best Estimate due to unwinding of discount rate - risks accepted prior to period | R0060 | ||
| Variation of Best Estimate due to year N projected in and out flows - risks accepted prior to period | R0070 | ||
| Variation of Best Estimate due to experience - risks accepted prior to period | R0080 | ||
| Variation of Best Estimate due to changes in non economic assumptions - risks accepted prior to period | R0090 | ||
| Variation of Best Estimate due to changes in economic environment - risks accepted prior to period | R0100 | ||
| Other changes not elsewhere explained | R0110 | ||
| Closing Best Estimatest Estimate | R0120 |
| Line of Business | ||
|---|---|---|
| Z0010 | ||
| Reinsurance program code | Risk identification code | Facultative reinsurance placement identification code | Line of business for non-life | Indication of belonging to the 20 largest exposures | Finite reinsurance or similar arrangements | Proportional | Identification of the company/person to which the risk relates | Description risk | (cont.) |
|---|---|---|---|---|---|---|---|---|---|
| C0020 | C0030 | C0040 | C0041 | C0042 | C0050 | C0060 | C0070 | C0080 | |
| Reinsurance program code | Risk identification code | Facultative reinsurance placement identification code | Code of the reinsurer | Type of the reinsurer | Line of business for non-life | Indication of belonging to the 20 largest exposures | Share reinsurer (%) | Currency | Sum reinsured to facultative reinsurer | Facultative ceded reinsurance premium | Annotations |
|---|---|---|---|---|---|---|---|---|---|---|---|
| C0020 | C0030 | C0040 | C0050 | C0051 | C0061 | C0065 | C0100 | C0110 | C0120 | C0130 | C0140 |
| Reinsurance program code | Treaty identification code | Progressive section number in treaty | Progressive number of surplus/ layer in program | Quantity of surplus/ layers in program | Finite reinsurance or similar arrangements | Line of business | Description risk category covered | Type of reinsurance treaty | Inclusion of catastrophic reinsurance cover | Validity period (start date) | (cont.) |
|---|---|---|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | C0110 | |
| Reinsurance program code | Treaty identification code | Progressive section number in treaty | Progressive number of surplus/layer in program | Code reinsurer | Type code reinsurer | Share reinsurer (%) | Exposure ceded for reinsurer's share (amount) | Type of collateral (if applicable) | (cont.) |
|---|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0100 | C0110 | C0120 | |
| Code reinsurer | Type of code reinsurer | Reinsurance recoverables: Premium provision Non-life including Non-SLT Health | Reinsurance recoverables: Claims provisions Non-life including Non-SLT Health | Reinsurance recoverables: Technical provisions Life including SLT Health | Adjustment for expected losses due to counterparty default | Reinsurance recoverables: Total reinsurance recoverables | Net receivables | Assets pledged by reinsurer | Financial guarantees | Cash deposits | Total guarantees received | Currency |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | C0110 | C0120 | C0130 | C0140 | C0150 | C0155 |
| Legal name of reinsured undertaking | Identification code of the undertaking | Type of code of the ID of the undertaking | Code reinsurer | Type of code reinsurer | Reinsurance recoverables: Premium provision Non-life including Non-SLT Health | Reinsurance recoverables: Claims provisions Non-life including Non-SLT Health | Reinsurance recoverables: Technical provisions Life including SLT Health | Adjustment for expected losses due to counterparty default | (cont.) |
|---|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | |
| Internal code of SPV | ID Code of SPV notes or other financing mechanism issued | ID Code Type of SPV notes or other financing mechanism issued | Lines of Business SPV securitisation relates | Type of Trigger(s) in the SPV | Contractual trigger event | Same trigger as in underlying cedant's portfolio? | Basis risk arising from risk-transfer structure | Basis risk arising from contractual terms | (cont.) |
|---|---|---|---|---|---|---|---|---|---|
| C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | C0110 | |
| Legal name of reinsured undertaking | Identification code of the undertaking | Internal code of SPV | ID Code of SPV notes or other financing mechanism issued | ID Code Type of SPV notes or other financing mechanism issued | Lines of Business SPV securitisation relates | Type of Trigger(s) in the SPV | Contractual trigger event | Same trigger as in underlying cedant's portfolio? | Basis risk arising from risk-transfer structure | (cont.) |
|---|---|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | |
| Country | Identification code of the undertaking | Type of code of the ID of the undertaking | Legal Name of the undertaking | Type of undertaking | Legal form | Category (mutual/ non mutual) | Supervisory Authority | (cont.) |
|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | |
| EEA and non EEA insurance and reinsurance undertakings (using SII rules) | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SCR Market Risk | SCR Counterparty Default Risk | SCR Life Underwriting Risk | SCR Health Underwriting Risk | SCR Non-life Underwriting Risk | SCR Operational Risk | Individual SCR | ||||||
| Legal name of the undertaking | Identification code of the undertaking | Type of code of the ID of the undertaking | Entity Level/RFF or MAP/ Remaining Part | Fund Number | (cont.) | |||||||
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | C0110 | C0120 | |
| Legal name of the undertaking | Identification code of the undertaking | Type of code of the ID of the undertaking | Aggregated or not | Type of capital requirement | Notional SCR or Sectoral capital requirement | Notional MCR or Sectoral minimum capital requirement | Notional or Sectoral Eligible Own Funds | Contribution of solo (notional) SCR to group SCR |
|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | C0085 |
| Total amount of TP | Technical Provisions - Non-Life (excluding Health) | Technical Provisions - Health (similar to non-life) | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Legal name of the undertaking | Identification code of the undertaking | Type of code of the ID of the undertaking | Method of group solvency calculation used | Amount of TP gross of IGT | Amount of TP net of IGT | Amount of TP gross of IGT | Amount of TP net of IGT | Net contribution to Group TP (%) | Amount of TP gross of IGT | Amount of TP net of IGT | Net contribution to Group TP (%) | (cont.) |
| C0010 | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | C0090 | C0100 | C0110 | C0120 | |
| ID of intragroup transaction | Investor/ lender name | Identification code for investor/ lender | Type of code for investor / lender | Sector of the investor / lender | Issuer/ borrower name | Identification code for issuer / borrower | Type of code for issuer / borrower | Sector of the issuer / borrower | Indirect transactions | (cont.) |
|---|---|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0031 | NC0040 | C0050 | C0060 | C0061 | NC0070 | NC0080 | |
| ID of intragroup transaction | Investor/ Buyer | Identification code of the investor / buyer | Type of code of the investor / buyer | Sector of the investor/ buyer | Issuer/ Seller name | Identification code of the issuer / seller | Type of code of the issuer / seller | Financial sector of the issuer / seller | Indirect transactions | Single economic operation | ID Code of the instrument | ID Code Type of the instrument | (cont.) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0031 | NC0040 | C0050 | C0060 | C0061 | NC0070 | NC0080 | NC0090 | NC0100 | NC0101 | |
| Identification of the transaction | ||||||||
|---|---|---|---|---|---|---|---|---|
| ID of intragroup transaction | Provider name | Identification code of the provider | Type of code of the provider | Financial sector of the provider | Beneficiary name | Identification code of the beneficiary | Type of code of the beneficiary | (cont.) |
| C0010 | C0020 | C0030 | C0031 | C0040 | C0050 | C0060 | C0061 | |
| Identification of the transaction | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| ID of intragroup transaction | Insured party/ Cedent name | Identification code for insured party/ cedent | Type of code for insured party/ cedent | Sector of the insured party/ cedent | Insurer/ Reinsurer name | IIdentification code of insurer/ reinsurer | Type of code of insurer/ reinsurer | Sector of the insurer/ reinsurer | Indirect transactions | (cont.) |
| C0010 | C0020 | C0030 | C0031 | C0040 | C0050 | C0060 | C0061 | C0070 | C0080 | |
| ID of intragroup transaction | Revenue side name | Identification code for revenue side | Type of code for revenue side | Sector of the revenue side | Expense side name | Identification code for expense side | Type of code for expense side | Sector of the expense side | Indirect transactions | (cont.) |
|---|---|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0031 | C0040 | C0050 | C0060 | C0061 | C0070 | C0080 | |
| Name of the external counterparty | Identification code of the external counterparty of the group | ID code type of the external counterparty of the group | Name of the group (in case of group of counterparties) | Rating | Nominated ECAI | Sector | Country | Entity of the group | ID code of the Entity of the group | (cont.) |
|---|---|---|---|---|---|---|---|---|---|---|
| C0010 | C0020 | C0030 | C0045 | C0080 | C0090 | C0100 | C0040 | C0011 | C00120 | |
| Currency area | Exposure net | % |
|---|---|---|
| C0010 | C0030 | C0040 |
| Types of bonds | Z0010 |
|---|
Annex II
Instructions regarding reporting templates for individual undertakings
This Annex contains additional instructions in relation to the templates included in Annex I of this Regulation. The first column of the tables identifies the items to be reported by identifying the columns and rows as showed in the template in Annex I.
Templates which shall be filled in in accordance with the instructions of the different sections of this Annex are referred to as ‘this template’ throughout the text of the Annex.
All references to Articles should refer to Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of insurance and reinsurance (Solvency II) unless otherwise specified.
S.01.01 – Content of the submission
General comments:
This section relates to quarterly and annual submission of information for individual entities, ring-fenced funds, matching portfolios and remaining part.
When a special justification is needed, the explanation is not to be submitted within the reporting template but shall be part of the dialogue between undertakings and national competent authorities.
When a template is submitted only with zeros or without figures, then S.01.01 should indicate one of the ‘non reported’ options.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Ring–fenced fund/matching portfolio/remaining part | Identifies whether the reported figures are with regard to a ring–fenced fund (‘RFF’), matching adjustment portfolio (‘MAP’) or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0020 | Fund/Portfolio number | When item Z0010 = 1, identification number for a ring–fenced fund or matching portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates. |
| C0010/R0010 | S.01.02 – Basic Information – General | This template shall always be reported. The only option possible is:1 – Reported |
| C0010/R0020 | S.01.03 – Basic Information – RFF and matching adjustment portfolios | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no RFF or MAP0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0030 | S.02.01 – Balance sheet | One of the options in the following closed list shall be used:1 – Reported6 – Exempted under Article 35(6) to (8)0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0040 | S.02.02 – Liabilities by currency | One of the options in the following closed list shall be used:1 – Reported3 – Not due in accordance with instructions of the template0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0060 | S.03.01 – Off–balance sheet items – general | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no off–balance sheet items3 – Not reported due to value of guarantee/collateral/contingent liabilities below the threshold and no unlimited guarantee provided or received as in the template instructions0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0100 | S.04.02 – Information on class 10 in Part A of Annex I of Solvency II Directive, excluding carrier’s liability | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no activity outside the home country in relation to specific class18 – Not reported as no direct insurance business0 – Not reported (in this case special justification is needed) |
| C0010/R0104 | S.04.03 – Basic Information – list of underwriting entities | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no activity outside the home country0 – Not reported (in this case special justification is needed) |
| C0010/R0105 | S.04.04 – Activity by country – location of underwriting | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no activity outside the home country0 – Not reported (in this case special justification is needed) |
| C0010/R0106 | S.04.05 – Activity by country – location of risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no activity outside the home country3 – Not due in accordance with instructions of the template0 – Not reported (in this case special justification is needed) |
| C0010/R0110 | S.05.01 – Premiums, claims and expenses by line of business | One of the options in the following closed list shall be used:1 – Reported6 – Exempted under Article 35(6) to (8)0 – Not reported (in this case special justification is needed) |
| C0010/R0140 | S.06.02 – List of assets | One of the options in the following closed list shall be used:1 – Reported6 – Exempted under Article 35(6) to (8)7 – Not due annually as reported for Quarter 4 (this option is only applicable on annual submissions)0 – Not reported (in this case special justification is needed) |
| C0010/R0150 | S.06.03 – Collective investment undertakings – look–through approach | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no Collective investment undertakings (only for undertakings not exempted under Article 35(6) to (8))3 – Not due in accordance with instructions of the template6 – Exempted under Article 35(6) to (8)7 – Not due annually as reported for Quarter 4 (this option is only applicable on annual submissions)0 – Not reported (in this case special justification is needed) |
| C0010/R0151 | S.06.04 – Climate change-related risks to investments | One of the options in the following closed list shall be used:1 – Reported0 – Not reported (in this case special justification is needed) |
| C0010/R0160 | S.07.01 – Structured products | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no structured products (only for undertakings not exempted under Article 35(6) to (8))3 – Not due in accordance with instructions of the template6 – Exempted under 35(6) to (8)0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0170 | S.08.01 – Open derivatives | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no derivative transactions (only for undertakings not exempted under Article 35(6) to (8))6 – Exempted under Article 35(6) to (8)7 – Not due annually as reported for Quarter 4 (this option is only applicable on annual submissions)0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0190 | S.09.01 – Income/gains and losses in the period | One of the options in the following closed list shall be used:1 – Reported0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0200 | S.10.01 – Securities lending and repos | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no Securities lending and repos (only for undertakings not exempted under Article 35(6) to (8))3 – Not due in accordance with instructions of the template6 – Exempted under Article 35(6) to (8)0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0210 | S.11.01 – Assets held as collateral | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no Assets held as collateral (only for undertakings not exempted under Article 35(6) to (8))3 – Not due in accordance with instructions of the template6 – Exempted under Article 35(6) to (8)0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0220 | S.12.01 – Life and Health SLT Technical Provisions | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no life and health SLT business (only for undertakings not exempted under Article 35(6) to (8))6 – Exempted under Article 35(6) to (8)0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0230 | S.12.02 – Life and Health SLT Technical Provisions – by country | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no life and health SLT business3 – Not due in accordance with instructions of the template0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0240 | S.13.01 – Projection of future gross cash flows | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no life and health SLT business0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0250 | S.14.01 – Life obligations analysis | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no life and health SLT business0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0251 | S.14.02 – Non-life business – policy and customer information | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no non-life business0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0252 | S.14.03 – Cyber underwriting risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no cyber coverages3 – Not due in accordance with instructions of the template0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0280 | S.16.01 – Information on annuities stemming from Non–Life Insurance obligations | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no annuities stemming from Non–Life Insurance obligations0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0290 | S.17.01 – Non–Life Technical Provisions | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no non–life business (only for undertakings not exempted under Article 35(6) to (8))6 – Exempted under Article 35(6) to (8)0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0300 | S.17.03 – Non–Life Technical Provisions – By country | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no non–life business3 – Not due in accordance with instructions of the template0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0310 | S.18.01 – Projection of future cash flows (Best Estimate – Non Life) | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no non–life business3 – Not due in accordance with instructions of the template0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0320 | S.19.01 – Non–life insurance claims | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no non–life business0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0330 | S.20.01 – Development of the distribution of the claims incurred | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no non–life business3 – Not due in accordance with instructions of the template18 – Not reported as no direct insurance business0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0340 | S.21.01 – Loss distribution risk profile | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no non–life business3 – Not due in accordance with instructions of the template18 – Not reported as no direct insurance business0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0350 | S.21.02 – Underwriting risks non–life | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no non–life business3 – Not due in accordance with instructions of the template18 – Not reported as no direct insurance business0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0360 | S.21.03 – Non–life distribution of underwriting risks – by sum insured | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no non–life business3 – Not due in accordance with instructions of the template18 – Not reported as no direct insurance business0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0370 | S.22.01 – Impact of long term guarantees measures and transitionals | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no long term guarantees measures (LTG) measures or transitionals are applied0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0380 | S.22.04 – Information on the transitional on interest rates calculation | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no such transitional measure is applied0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0390 | S.22.05 – Overall calculation of the transitional on technical provisions | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no such transitional measure is applied0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0400 | S.22.06 – Best estimate subject to volatility adjustment by country and currency | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as volatility adjustment not applied0 – Not reported (in this case special justification is needed) |
| C0010/R0410 | S.23.01 – Own funds | One of the options in the following closed list shall be used:1 – Reported6 – Exempted under Article 35(6) to (8)0 – Not reported (in this case special justification is needed) |
| C0010/R0420 | S.23.02 – Detailed information by tiers on own funds | One of the options in the following closed list shall be used:1 – Reported0 – Not reported (in this case special justification is needed) |
| C0010/R0430 | S.23.03 – Annual movements on own funds | One of the options in the following closed list shall be used:1 – Reported3 – Not due in accordance with instructions of the template0 – Not reported (in this case special justification is needed) |
| C0010/R0440 | S.23.04 – List of items on own funds | One of the options in the following closed list shall be used:1 – Reported3 – Not due in accordance with instructions of the template0 – Not reported (in this case special justification is needed) |
| C0010/R0450 | S.24.01 – Participations held | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no participations held0 – Not reported (in this case special justification is needed) |
| C0010/R0460 | S.25.01 – Solvency Capital Requirement – for undertakings on Standard Formula | One of the options in the following closed list shall be used:1 – Reported as standard formula (SF) is used8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model16 – Reported due to request of Article 112 of Directive 2009/138/EC0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0470 | S.25.05 – Solvency Capital Requirement – for undertakings using an internal model (partial or full) | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model5 – Reported due to use of full internal model10 – Not reported due to use of standard formula0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0500 | S.26.01 – Solvency Capital Requirement – Market risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as reported at RFF/MAP level16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0510 | S.26.02 – Solvency Capital Requirement – Counterparty default risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as reported at RFF/MAP level16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0520 | S.26.03 – Solvency Capital Requirement – Life underwriting risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as reported at RFF/MAP level16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0530 | S.26.04 – Solvency Capital Requirement – Health underwriting risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as reported at RFF/MAP level16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0540 | S.26.05 – Solvency Capital Requirement – Non–Life underwriting risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as reported at RFF/MAP level16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0550 | S.26.06 – Solvency Capital Requirement – Operational risk | One of the options in the following closed list shall be used:1 – Reported8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as reported at RFF/MAP level16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0560 | S.26.07 – Solvency Capital Requirement – Simplifications | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no simplified calculations used8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as reported at RFF/MAP level16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0561 | S.26.08 – Solvency Capital Requirement – for undertakings using an internal model (partial or full) | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model5 – Reported due to use of full internal model10 – Not reported due to use of standard formula11 – Not reported as reported at RFF/MAP level0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0562 | S.26.09 – Internal model – Market & credit risk and sensitivities | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model covering these risks5 – Reported due to use of full internal model10 – Not reported due to use of standard formula or partial internal model not covering these risks0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0563 | S.26.10 – Internal model – Credit event risk Portfolio view details | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model covering these risks5 – Reported due to use of full internal model10 – Not reported due to use of standard formula or partial internal model not covering these risks0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0564 | S.26.11 – Internal model – Credit risk details for financial instruments | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model covering these risks5 – Reported due to use of full internal model10 – Not reported due to use of standard formula or partial internal model not covering these risks0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0565 | S.26.12 – Internal model – Credit risk Non-Financial Instruments | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model covering these risks5 – Reported due to use of full internal model10 – Not reported due to use of standard formula or partial internal model not covering these risks0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0566 | S.26.13 – Internal model – Non-life & Health non-SLT | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model covering these risks5 – Reported due to use of full internal model10 – Not reported due to use of standard formula or partial internal model not covering these risks0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0567 | S.26.14 – Internal model – Life & health risk | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model covering these risks5 – Reported due to use of full internal model10 – Not reported due to use of standard formula or partial internal model not covering these risks0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0568 | S.26.15 – Internal model – Operational risk | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model covering these risks5 – Reported due to use of full internal model10 – Not reported due to use of standard formula or partial internal model not covering these risks0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0569 | S.26.16 – Internal model – Model Changes | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model covering these risks5 – Reported due to use of full internal model10 – Not reported due to use of standard formula or partial internal model not covering these risks0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0570 | S.27.01 – Solvency Capital Requirement – Non–Life and Health catastrophe risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as reported at RFF/MAP level17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0580 | S.28.01 – Minimum Capital Requirement – Only life or only non–life insurance or reinsurance activity | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as both life and non–life insurance activity0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0590 | S.28.02 – Minimum Capital Requirement – Both life and non–life insurance activity | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as only life or only non–life insurance or reinsurance activity or only reinsurance activity0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0600 | S.29.01 – Excess of Assets over Liabilities | One of the options in the following closed list shall be used:1 – Reported0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0610 | S.29.02 – Excess of Assets over Liabilities – explained by investments and financial liabilities | One of the options in the following closed list shall be used:1 – Reported0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0620 | S.29.03 – Excess of Assets over Liabilities – explained by technical provisions | One of the options in the following closed list shall be used:1 – Reported0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0630 | S.29.04 – Detailed analysis per period – Technical flows versus Technical provisions | One of the options in the following closed list shall be used:1 – Reported0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0640 | S.30.01 – Facultative covers for non–life and life business basic data | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no facultative covers3 – Not reported due to reinsurance recoveries below the threshold specified in the template instructions0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0650 | S.30.02 – Facultative covers for non–life and life business shares data | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no facultative covers3 – Not reported due to reinsurance recoveries below the threshold specified in the template instructions0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0660 | S.30.03 – Outgoing Reinsurance Program basic data | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no reinsurance3 – Not reported due to reinsurance recoveries below the threshold specified in the template instructions0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0670 | S.30.04 – Outgoing Reinsurance Program shares data | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no reinsurance3 – Not reported due to reinsurance recoveries below the threshold specified in the template instructions0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0680 | S.31.01 – Share of reinsurers (including Finite Reinsurance and SPV’s) | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no reinsurance0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0690 | S.31.02 – Special Purpose Vehicles | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no Special Purpose Insurance Vehicles0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0740 | S.36.01 – IGT – Equity–type transactions, debt and asset transfer | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no intragroup transaction (IGT) on Equity–type transactions, debt and asset transfer12 – Not reported as no parent undertaking is a mixed–activity insurance holding company where they are not part of a group as defined under Article 213(2)(a), (b) and (c) of Solvency II Directive0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0750 | S.36.02 – IGT – Derivatives | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no IGT on Derivatives12 – Not reported as no parent undertaking is a mixed–activity insurance holding company where they are not part of a group as defined under Article 213(2)(a), (b) and (c) of Solvency II Directive0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0760 | S.36.03 – IGT – Off-balance sheet and contingent liabilities | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no IGT on off-balance sheet and contingent liabilities12 – Not reported as no parent undertaking is a mixed–activity insurance holding company where they are not part of a group as defined under Article 213(2)(a), (b) and (c) of Solvency II Directive0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0770 | S.36.04 – IGT – Insurance and Reinsurance | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no IGT on Insurance and Reinsurance12 – Not reported as no parent undertaking is a mixed–activity insurance holding company where they are not part of a group as defined under Article 213(2)(a), (b) and (c) of Solvency II Directive0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0775 | S.36.05 – IGT – P&L | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no IGT12 – Not reported as no parent undertaking is a mixed–activity insurance holding company where they are not part of a group as defined in points (a), (b) and (c) of Article 213(2) of Directive 2009/138/EC0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0790 | SR.02.01 – Balance Sheet | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no RFF/MAP14 – Not reported as refers to MAP fund0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0800 | SR.12.01 – Life and Health SLT Technical Provisions | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no RFF/MAP or no life and health SLT business0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0810 | SR.17.01 – Non–Life Technical Provisions | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no RFF/MAP or no non–life business0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0820 | SR.22.02 – Projection of future cash flows (Best Estimate – Matching portfolios) | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no Matching Adjustment (MA) is applied15 – Not reported as refers to RFF or remaining part0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0830 | SR.22.03 – Information on the matching adjustment calculation | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no MA is applied15 – Not reported as refers to RFF or remaining part0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0840 | SR.25.01 – Solvency Capital Requirement – Only SF | One of the options in the following closed list shall be used:1 – Reported as standard formula is used8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model16 – Reported due to request of Article 112 of Directive 2009/138/EC0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0855 | SR.25.05 – Solvency Capital Requirement – for undertakings using an internal model (partial or full) | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model5 – Reported due to use of full internal model10 – Not reported due to use of standard formula0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0870 | SR.26.01 – Solvency Capital Requirement – Market risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as no RFF/MAP16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0880 | SR.26.02 – Solvency Capital Requirement – Counterparty default risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as no RFF/MAP16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0890 | SR.26.03 – Solvency Capital Requirement – Life underwriting risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as no RFF/MAP16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0900 | SR.26.04 – Solvency Capital Requirement – Health underwriting risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as no RFF/MAP16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0910 | SR.26.05 – Solvency Capital Requirement – Non–Life underwriting risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as no RFF/MAP16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0920 | SR.26.06 – Solvency Capital Requirement – Operational risk | One of the options in the following closed list shall be used:1 – Reported8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as no RFF/MAP16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0930 | SR.26.07 – Solvency Capital Requirement – Simplifications | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no simplified calculations used8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as no RFF/MAP16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0935 | SR.26.08 – Solvency Capital Requirement – for undertakings using an internal model (partial or full) | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model5 – Reported due to use of full internal model10 – Not reported due to use of standard formula17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0940 | SR.27.01 – Solvency Capital Requirement – Non–Life Catastrophe risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as no RFF/MAP17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
S.01.02 – Basic information
General comments:
This section relates to quarterly and annual submission of information for individual entities.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010/R0010 | Undertaking name | Legal name of the undertaking. Needs to be consistent over different submissions |
| C0010/R0020 | Undertaking identification code | Identification code of the undertaking, using the Legal Entity Identifier (LEI). |
| C0010/R0040 | Type of undertaking | Identify the type of the reporting undertaking. The following closed list of options shall be used to identify the activity of the undertaking:2 – Life insurance undertakings3 – Non–Life insurance undertakings4 – Insurance undertakings pursuing life insurance activity and non-life insurance activities for the risks listed in classes 1 and 2 in Part A of Annex I – Article 73(2)5 – Insurance undertakings pursuing both life and non–life insurance activity – Article 73(5)6 – Reinsurance undertakings |
| C0010/R0050 | Country of authorisation | Identify the ISO 3166–1 alpha–2 code of the country where the undertaking was authorised (Home–country) |
| C0010/R0070 | Language of reporting | Identify the 2-letter code of ISO 639–1 code of the language used in the submission of information |
| C0010/R0080 | Reporting submission date | Identify the ISO 8601 (yyyy–mm–dd) code of the date when the reporting to the supervisory authority is made |
| C0010/R0081 | Financial year end | Identify the ISO 8601 (yyyy–mm–dd) code of the financial year end of the undertaking, e.g. 2017-12-1 |
| C0010/R0090 | Reporting reference date | Identify the ISO 8601 (yyyy–mm–dd) code of the date identifying the last day of the reporting period |
| C0010/R0100 | Regular/Ad–hoc submission | Identify if the submission of information relates to regular submission of information or ad–hoc. The following closed list of options shall be used:1 – Regular reporting2 – Ad–hoc reporting3 – Re-submission of S.30 templates in accordance with instructions of the template4 – Empty submission |
| C0010/R0110 | Currency used for reporting | Identify the ISO 4217 alphabetic code of the currency of the monetary amounts used in each report |
| C0010/R0120 | Accounting standards | Identification of the accounting standards used for reporting items in S.02.01, financial statements valuation. The following closed list of options shall be used:1 – The undertaking is using International Financial Reporting Standards (IFRS)2 – The undertaking is using local generally accepted accounting principles (GAAP) (other than IFRS) |
| C0010/R0130 | Method of Calculation of the SCR | Identify the method used to calculate the SCR. The following closed list of options shall be used:1 – Standard formula2 – Partial internal model3 – Full internal model |
| C0010/R0140 | Use of undertaking specific parameters | Identify if the undertaking is reporting figures using undertaking specific parameters. The following closed list of options shall be used:1 – Use of undertaking specific parameters2 – Don’t use undertaking specific parameters |
| C0010/R0150 | Ring–Fenced Funds | Identify if the undertaking is reporting activity by Ring-Fenced Funds. The following closed list of options shall be used:1 – Reporting activity by RFF2 – Not reporting activity by RFF |
| C0010/R0170 | Matching adjustment | Identify if the undertaking is reporting figures using the matching adjustment. The following closed list of options shall be used:1 – Use of matching adjustment2 – No use of matching adjustment |
| C0010/R0180 | Volatility adjustment | Identify if the undertaking is reporting figures using the volatility adjustment. The following closed list of options shall be used:1 – Use of volatility adjustment2 – No use of volatility adjustment |
| C0010/R0190 | Transitional measure on the risk–free interest rate | Identify if the undertaking is reporting figures using the transitional adjustment to the relevant risk-free interest rate term structure. The following closed list of options shall be used:1 – Use of transitional measure on the risk–free interest rate2 – No use of transitional measure on the risk–free interest rate |
| C0010/R0200 | Transitional measure on technical provisions | Identify if the undertaking is reporting figures using the transitional deduction to technical provisions. The following closed list of options shall be used:1 – Use of transitional measure on technical provisions2 – No use of transitional measure on technical provisions |
| C0010/R0210 | Initial submission or re–submission | Identify if it is an initial submission of information or a re–submission of information in relation to a reporting reference date already reported. The following closed list of options shall be used:1 – Initial submission2 – Re–submission |
| R0250 | Exemption of reporting ECAI information | One of the options in the following closed list shall be used:1 – Exempted for assets (based on Article 35(6) and (7))2 – Exempted for assets (based on outsourcing)3 – Exempted for derivatives (based on Article 35(6) and (7))4 – Exempted for derivatives (based on outsourcing)5 – Exempted for assets and derivatives (based on Article 35(6) and (7))6 – Exempted for assets and derivatives (based on outsourcing)0 – Not exempted |
| C0010/R0255 | Direct URL to the webpage where the Solvency and Financial Condition Report is disclosed | Include the direct URL to the webpage where the Solvency and Financial Condition Report (SFCR) corresponding to the reporting reference date as filled in C0010/R0081 ‘Financial year end’ will be published. In case undertaking has no webpage, "UNDERTAKING WITH NO WEBSITE" value should be reported. |
| C0010/R0260 | Direct URL to download the Solvency and Financial Condition Report | Include the direct URL to download the Solvency and Financial Condition Report (SFCR) corresponding to the reporting reference date as filled in C0010/R0081 ‘Financial year end’.The URL shall directly link to the file containing the SFCR and not to a webpage.Alternatively, if the SFCR file is already available at the submission date, or if the SFCR is not disclosed in a webpage, the file shall be included in the annual submission and in this cell choose one of the following options:SFCR file providedSFCR file not providedIf File not provided is chosen an explanation needs to be provided to the national competent authority. |
| C0010/R0270 | Captive Business | Identify if the undertaking performs a captive business in line with the definition in Article 13 of Directive 2009/138/EC.1 – Captive business2 – No captive business |
| C0010/R0280 | Run-Off Business | This item does not apply to the undertakings whose licence has been withdrawn.One of the options in the following closed list shall be used:1 – Undertakings running-off a portfolio of contracts but not their whole business (partial run-off undertaking or undertaking with run-off portfolio);2 – Undertakings running-off their whole (previous) business (full run-off undertaking);3 – Undertakings with a run-off business model (specialised run-off undertakings) – insurance undertakings or groups whose business model is to actively acquire legacy portfolios or whole insurers in run-off;4 – No run-off business. |
| C0010/R0290 | M&A during period | Identify if mergers or acquisitions or disposal of activities affecting the information reported occurred during the reporting period.One of the options in the following closed list shall be used:1 – Yes2 – No |
S.01.03 – Basic Information – RFF and matching adjustment portfolios
General comments:
This section relates to annual submission of information for individual entities.
All ring–fenced funds and matching portfolios should be identified regardless if they are material for the purposes of submission of information.
In the first table all ring–fenced funds and matching adjustments portfolios shall be reported. In case a ring–fenced fund has a matching portfolio not covering the full RFF three funds have to be identified, one for the RFF, other for the MAP inside the RFF and other for the remaining part of the fund (vice–versa for the situations where a MAP has an RFF).
In the second table the relations between the funds as explained in previous paragraph are explained. Only the funds with such relations shall be reported in the second table.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| List of all RFF/MAP (overlaps allowed) | ||
| C0040 | Fund/Portfolio Number | Number which is attributed by the undertaking, corresponding to the unique number assigned to each ring-fenced fund and matching adjustment portfolio. This number has to be consistent over time and shall be used to identify the ring-fenced funds and the matching portfolio number in other templates. |
| C0050 | Name of ring–fenced fund/Matching adjustment portfolio | Indicate the name of the ring-fenced fund and matching adjustment portfolio.When possible (if linked to a commercial product), the commercial name shall be used. If not possible, e.g. if the fund is linked to several commercial products, a different name shall be used.The name shall be unique and be kept consistent over time. |
| C0060 | RFF/MAP/Remaining part of a fund | Indicate if it is a ring-fenced fund or a matching portfolio. In the cases where other funds are included within one fund this cell shall identify the type of each fund or sub–fund. One of the options in the following closed list shall be used:1 – Ring–fenced fund2 – Matching portfolio3 – Remaining part of a fund |
| C0070 | RFF/MAP with sub RFF/MAP | Identify if the fund identified has other funds embedded. One of the options in the following closed list shall be used:1 – Fund with other funds embedded2 – Not a fund with other funds embeddedOnly the ‘mother’ fund shall be identified with option 1. |
| C0080 | Material | Indicate if the ring–fenced fund or a matching portfolio is material for the purposes of detailed submission of information. One of the options in the following closed list shall be used:1 – Material2 – Not materialIn case of fund with other funds embedded, this item is to be reported only for the ‘mother’ fund. |
| C0090 | Article 304 | Indicate whether the RFF is under Article 304 of Solvency II Directive. One of the following options shall be used:1 – RFF under Article 304 – with the option for the equity risk sub–module2 – RFF under Article 304 – without the option for the equity risk sub–module3 – RFF not under Article 304 |
| List of RFF/MAP with sub RFF/MAP | ||
| C0100 | Number of RFF/MAP with sub RFF/MAP | For the funds with other funds embedded (option 1 reported in item C0070) identify the number as defined for item C0040.The fund shall be repeated for as many rows as needed to report the funds embedded. |
| C0110 | Number of sub RFF/MAP | Identify the number of the funds embedded in other funds as defined for item C0040. |
| C0120 | Sub RFF/MAP | Identify if the nature of the fund embedded in other funds. One of the options in the following closed list shall be used:1 – Ring–fenced fund2 – Matching portfolio |
S.02.01 – Balance sheet
General comments:
This section relates to quarterly and annual submission of information for individual entities, ring-fenced funds and remaining part.
The ‘Solvency II value’ column (C0010) shall be completed using the valuation principles set out in the Directive 2009/138/EC, Delegated Regulation (EU) 2015/35, Technical Standards issued under Directive 2009/138/EC and EIOPA Guidelines.
With regards to the ‘Statutory accounts value’ column (C0020), recognition and valuation methods are the ones used by undertakings in their statutory accounts in accordance with the local GAAP or IFRS if accepted as local GAAP. In template SR.02.01 this column is only applicable if the development of financial statements by RFF is required by national law.
The default instruction is that each item shall be reported in the ‘Statutory accounts value’ column, separately. However, in the ‘Statutory accounts value’ column the dotted rows were introduced in order to enable the reporting of aggregated figures if the split figures are not available.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Assets | ||
| Z0020 | Ring–fenced fund or remaining part | Identifies whether the reported figures are with regard to an RFF or to the remaining part. One of the options in the following closed list shall be used:1 – RFF2 – Remaining part |
| Z0030 | Fund number | When item Z0020 = 1, this is a unique number or code of fund, as attributed by the undertaking. It shall remain unvarying over time. It shall not be re–used for any other fund.When item Z0020 = 2, then report ‘0’ |
| C0020/R0010 | Goodwill | Intangible asset that arises as the result of a business combination and that represents the economic value of assets that cannot be individually identified or separately recognised in a business combination. |
| C0020/R0020 | Deferred acquisition costs | Acquisition costs relating to contracts in force at the balance sheet date which are carried forward from one reporting period to subsequent reporting periods, relating to the unexpired periods of risks. In relation to life business, acquisition costs are deferred when it is probable that they will be recovered. |
| C0010–C0020/R0030 | Intangible assets | Intangible assets other than goodwill. An identifiable non–monetary asset without physical substance. |
| C0010–C0020/R0040 | Deferred tax assets | Deferred tax assets are the amounts of income taxes recoverable in future periods in respect of:(a) deductible temporary differences;(b) the carry forward of unused tax losses; and/or(c) the carry forward of unused tax credits. |
| C0010–C0020/R0050 | Pension benefit surplus | This is the total of net surplus related to employees’ pension scheme. |
| C0010–C0020/R0060 | Property, plant & equipment held for own use | Tangible assets which are intended for permanent use and property held by the undertaking for own use. It also includes property for own use under construction. |
| C0010–C0020/R0070 | Investments (other than assets held for index–linked and unit–linked contracts) | This is the total amount of investments, excluding assets held for index–linked and unit–linked contracts. |
| C0010–C0020/R0080 | Property (other than for own use) | Amount of the property, other than for own use. It also includes property under construction other than for own use. |
| C0010–C0020/R0090 | Holdings in related undertakings, including participations | Participations as defined in Article 13(20) and 212 (2) and holdings in related undertakings in Article 212(1)(b) of Directive 2009/138/EC.When part of the assets regarding participation and related undertakings refer to unit and index linked contracts, these parts shall be reported in ‘Assets held for index–linked and unit–linked contracts’ in C0010–C0020/R0220. |
| C0010–C0020/R0100 | Equities | This is the total amount of equities, listed and unlisted.With regard to ‘statutory accounts values’ column (C0020), where the split between listed and unlisted is not available, this item shall reflect the sum. |
| C0010–C0020/R0110 | Equities – listed | Shares representing corporations’ capital, e.g. representing ownership in a corporation, negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2004/39/EC.It shall exclude holdings in related undertakings, including participations.With regard to ‘statutory accounts values’ column (C0020), where the split between listed and unlisted is not available, this item shall not be reported. |
| C0010–C0020/R0120 | Equities – unlisted | Shares representing corporations’ capital, e.g. representing ownership in a corporation, not negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2004/39/EC.It shall exclude holdings in related undertakings, including participations.With regard to ‘statutory accounts values’ column (C0020), where the split between listed and unlisted is not available, this item shall not be reported. |
| C0010–C0020/R0130 | Bonds | This is the total amount of government bonds, corporate bonds, structured notes and collateralised securities.With regard to ‘statutory accounts values’ column (C0020) – where the split of bonds is not available, this item shall reflect the sum. |
| C0010–C0020/R0140 | Government Bonds | Bonds issued by public authorities, whether by central governments, supra–national government institutions, regional governments or local authorities and bonds that are fully, unconditionally and irrevocably guaranteed by the European Central Bank, Member States’ central government and central banks, multilateral development banks referred to in paragraph 2 of Article 117 of Regulation (EU) No 575/2013 or international organisations referred to in Article 118 of Regulation (EU) No 575/2013, regional governments and local authorities listed in Article 1 of Implementing Regulation (EU) 2015/2011, where the guarantee meets the requirements set out in Article 215 of Delegated Regulation (EU) 2015/35.With regard to ‘statutory accounts values’ column (C0020), where the split between bonds, structured products and collateralised securities is not available, this item shall not be reported. |
| C0010–C0020/R0150 | Corporate Bonds | Bonds issued by corporationsWith regard to ‘statutory accounts values’ column (C0020), where– the split between bonds, structured products and collateralised securities is not available, this item shall not be reported. |
| C0010–C0020/R0160 | Structured notes | Hybrid securities, combining a fixed income (return in a form of fixed payments) instrument with a series of derivative components. Excluded from this category are fixed income securities that are issued by sovereign governments. Concerns securities that have embedded any categories of derivatives, including Credit Default Swaps (‘CDS’), Constant Maturity Swaps (‘CMS’), Credit Default Options (‘CDOp’).With regard to ‘statutory accounts values’ column (C0020), where– the split between bonds, structured products and collateralised securities is not available, this item shall not be reported. |
| C0010–C0020/R0170 | Collateralised securities | Securities whose value and payments are derived from a portfolio of underlying assets. Includes Asset Backed Securities (‘ABS’), Mortgage Backed securities (‘MBS’), Commercial Mortgage Backed securities (‘CMBS’), Collateralised Debt Obligations (‘CDO’), Collateralised Loan Obligations (‘CLO’), Collateralised Mortgage Obligations (‘CMO’)With regard to ‘statutory accounts values’ column (C0020), where the split between bonds, structured products and collateralised securities is not available, this item shall not be reported. |
| C0010–C0020/R0180 | Collective Investments Undertakings | Collective investment undertaking means an undertaking for collective investment in transferable securities (‘UCITS’) as defined in Article 1(2) of Directive 2009/65/EC of the European Parliament and of the Council or an alternative investment fund (AIF) as defined in Article 4(1)(a) of Directive 2011/61/EU of the European Parliament and of the Council. |
| C0010–C0020/R0190 | Derivatives | A financial instrument or other contract with all three of the following characteristics:(a) Its value changes in response to the change in a specified interest rate, financial instrument price, commodity price, foreign exchange (FX) rate, index of prices or rates, credit rating or credit index, or other variable, provided in the case of a non–financial variable that the variable is not specific to a party to the contract (sometimes called the underlying).(b) It requires no initial net investment or an initial net investment that is smaller than would be required for other types of contracts that would be expected to have a similar response to changes in market factors.(c) It is settled at a future date.Solvency II value, only if positive, of the derivative as of the reporting date is reported here (in case of negative value, see R0790). |
| C0010–C0020/R0200 | Deposits other than cash equivalents | Deposits other than cash equivalents that cannot be used to make payments until before a specific maturity date and that are not exchangeable for currency or transferable deposits without any kind of significant restriction or penalty. |
| C0010–C0020/R0210 | Other investments | Other investments not covered already within investments reported above. |
| C0010–C0020/R0220 | Assets held for index–linked and unit–linked contracts | Assets held for index–linked and unit–linked contracts (classified in line of business 31 as defined in Annex I of Delegated Regulation (EU) 2015/35). |
| C0010–C0020/R0230 | Loans and mortgages | This is the total amount of loans and mortgages, i.e. financial assets created when undertakings lend funds, either with or without collateral, including cash pools.With regard to ‘statutory accounts values’ column (C0020) – where the split of the split of loans & mortgages is not available, this item shall reflect the sum |
| C0010–C0020/R0240 | Loans on policies | Loans made to policyholders, collateralised on policies (underlying technical provisions).With regard to ‘statutory accounts values’ column (C0020), where– the split between loans on policies, loans and mortgages to individuals and other loans and mortgages is not available, this item shall not be reported. |
| C0010–C0020/R0250 | Loans and mortgages to individuals | Financial assets created when creditors lend funds to debtors – individuals, with collateral or not, including cash pools.With regard to ‘statutory accounts values’ column (C0020), where– the split between loans on policies, loans and mortgages to individuals and other loans and mortgages is not available, this item shall not be reported. |
| C0010–C0020/R0260 | Other loans and mortgages | Financial assets created when creditors lend funds to debtors – others, not classifiable in item R0240 or R0250, with collateral or not, including cash pools.With regard to ‘statutory accounts values’ column (C0020), where– the split between loans on policies, loans and mortgages to individuals and other loans and mortgages is not available, this item shall not be reported. |
| C0010–C0020/R0270 | Reinsurance recoverables from: | This is the total amount of reinsurance recoverables. It corresponds to the amount of reinsurer share of technical provisions (including Finite reinsurance and SPV).For the ‘Solvency II value’ column (C0010) this cell in particular shall include all expected payments from reinsurers to the undertaking (or vice versa) corresponding to payments not yet made by the undertaking to policyholders (or by policyholders to the undertaking). All expected payments from reinsurers to the undertaking (or vice versa) corresponding to payments already made by the undertaking to policyholders (or by policyholders to the undertaking) shall be included in reinsurance receivables (or reinsurance payables). |
| C0010–C0020/R0280 | Non–life and health similar to non–life | Reinsurance recoverables in respect of technical provisions for non–life and health similar to non–life.With regard to ‘statutory accounts values’ column (C0020), where the split between non–life excluding health and health similar to non–life is not available this item shall reflect the sum. |
| C0010–C0020/R0290 | Non–life excluding health | Reinsurance recoverables in respect of technical provisions for non–life business, excluding technical provisions for health– similar to non –life |
| C0010–C0020/R0300 | Health similar to non–life | Reinsurance recoverables in respect of technical provisions for health similar to non – life. |
| C0010–C0020/R0310 | Life and health similar to life, excluding health and index–linked and unit–linked | Reinsurance recoverable in respect of technical provisions for life and health similar to life, excluding health and index–linked and unit–linkedWith regard to ‘statutory accounts values’ column (C0020), where the split between life excluding health and index–linked and unit–linked and health similar to life is not available, this item shall reflect the sum. |
| C0010–C0020/R0320 | Health similar to life | Reinsurance recoverables in respect of technical provisions for health–similar to life. |
| C0010–C0020/R0330 | Life excluding health and index–linked and unit–linked | Reinsurance recoverables in respect of technical provisions for life business, excluding technical provisions health–similar to life techniques and technical provisions for index–linked and unit–linked. |
| C0010–C0020/R0340 | Life index–linked and unit–linked | Reinsurance recoverables in respect of technical provisions for life index–linked and unit–linked business. |
| C0010–C0020/R0350 | Deposits to cedants | Deposits relating to reinsurance accepted. |
| C0010–C0020/R0360 | Insurance and intermediaries receivables | Amounts for payment by policyholders, insurers and other linked to insurance business that are not included in technical provisions.It shall include receivables from reinsurance accepted. |
| C0010–C0020/R0370 | Reinsurance receivables | For the ‘Solvency II value’ column (C0010) this cell shall include all expected payments (due and past-due) from reinsurers linked to reinsurance business to the undertaking that are not included in reinsurance recoverables.These should not be included in the item "any other assets not elsewhere shown".This cell in particular should take into account all expected payments from reinsurers to the undertaking corresponding to payments made by the undertaking to the policyholders.It also shall include all expected payments (due and past-due) from reinsurers in relation to other than insurance events or those that have been agreed between cedent and reinsurer and where the amount of the expected payment is certain. |
| C0010–C0020/R0380 | Receivables (trade, not insurance) | Includes amounts receivables from employees or various business partners (not insurance–related), including public entities. |
| C0010–C0020/R0390 | Own shares (held directly) | This is the total amount of own shares held directly by the undertaking. |
| C0010–C0020/R0400 | Amounts due in respect of own fund items or initial fund called up but not yet paid in | Value of the amount due in respect of own fund items or initial fund called up but not yet paid in. |
| C0010–C0020/R0410 | Cash and cash equivalents | Notes and coins in circulation that are commonly used to make payments, and deposits exchangeable for currency on demand at par and which are directly usable for making payments by cheque, draft, giro order, direct debit/credit, or other direct payment facility, without penalty or restriction.Bank accounts shall not be netted off, thus only positive accounts shall be recognised in this item and bank overdrafts shall be shown within liabilities unless where both legal right of offset and demonstrable intention to settle net exist. |
| C0010–C0020/R0420 | Any other assets, not elsewhere shown | This is the amount of any other assets not elsewhere already included within balance Sheet items. |
| C0010–C0020/R0500 | Total assets | This is the overall total amount of all assets. |
| Liabilities | ||
| C0010–C0020/R0510 | Technical provisions – non–life | Sum of the technical provisions non–life.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of Minimum capital requirement (‘MCR’) calculation.With regard to ‘statutory accounts values’ column (C0020), where the split of technical provisions for non –life between non – life (excluding health) and health (similar to non – life) is not possible, this item shall reflect the sum. |
| C0010–C0020/R0520 | Technical provisions – non–life (excluding health) | This is the total amount of technical provisions for non – life business (excluding health).This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0530 | Technical provisions – non–life (excluding health) – technical provisions calculated as a whole | This is the total amount of technical provisions calculated as whole (replicable/hedgeable portfolio) for non – life business (excluding health).This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0540 | Technical provisions – non–life (excluding health) – Best estimate | This is the total amount of best estimate of technical provisions for non – life business (excluding health).Best estimate shall be reported gross of reinsurance.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0550 | Technical provisions – non–life (excluding health) – Risk margin | This is the total amount of risk margin of technical provisions for non – life business (excluding health).This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010–C0020/R0560 | Technical provisions – health (similar to non–life) | This is the total amount of technical provisions for health (similar to non – life).This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0570 | Technical provisions – health (similar to non–life) – technical provisions calculated as a whole | This is the total amount of technical provisions calculated as a whole (replicable/hedgeable portfolio) for health (similar to non–life).This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0580 | Technical provisions – health(similar to non –life) – Best estimate | This is the total amount of best estimate of technical provisions for health business (similar to non–life).Best estimate shall be reported gross of reinsurance.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0590 | Technical provisions – health (similar to non – life) – Risk margin | This is the total amount of risk margin of technical provisions for health business (similar to non–life).This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010–C0020/R0600 | Technical provisions – life (excluding index–linked and unit–linked) | Sum of the technical provisions life (excluding index–linked and unit–linked).This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.With regard to ‘statutory accounts values’ column (C0020), where the split of technical provisions life (excluding index – linked and unit – linked) between health (similar to life) and life (excluding health, index– linked and unit – linked) is not possible, this item shall reflect the sum. |
| C0010–C0020/R0610 | Technical provisions – health (similar to life) | This is the total amount of technical provisions for health (similar to life) business.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0620 | Technical provisions – health (similar to life) – technical provisions calculated as a whole | This is the total amount of technical provisions calculated as a whole (replicable/hedgeable portfolio) for health (similar to life) business.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0630 | Technical provisions – health (similar to life) – Best estimate | This is the total amount of best estimate of technical provisions for health (similar to life) business.Best estimate shall be reported gross of reinsurance.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0640 | Technical provisions – health (similar to life) – Risk margin | This is the total amount of risk margin of technical provisions for health (similar to life) business.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010–C0020/R0650 | Technical provisions – life (excl. health and index–linked and unit–linked) | This is the total amount of technical provisions for life (excluding health and index – linked and unit – linked) business.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0660 | Technical provisions – life (excl. health and index–linked and unit–linked) – technical provisions calculated as a whole | This is the total amount of technical provisions calculated as a whole (replicable/hedgeable portfolio) for life (excluding health and index – linked and unit – linked) business.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0670 | Technical provisions – life (excl. health and index–linked and unit–linked) – Best estimate | This is the total amount of best estimate of technical provisions for life (excluding health and index – linked and unit – linked) business.Best estimate shall be reported gross of reinsurance.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0680 | Technical provisions – life (excl. health and index–linked and unit–linked) – Risk margin | This is the total amount of risk margin of technical provisions for life (excluding health and index – linked and unit – linked) business.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010–C0020/R0690 | Technical provisions – index–linked and unit–linked | This is the total amount of technical provisions for index – linked and unit – linked business.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0700 | Technical provisions – index–linked and unit–linked – technical provisions calculated as a whole | This is the total amount of technical provisions calculated as a whole (replicable/hedgeable portfolio) for index – linked and unit – linked business.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0710 | Technical provisions – index–linked and unit–linked – Best estimate | This is the total amount of best estimate of technical provisions for index – linked and unit – linked business.Best estimate shall be reported gross of reinsuranceThis amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0720 | Technical provisions – index–linked and unit–linked – Risk margin | This is the total amount of risk margin of technical provisions for index – linked and unit – linked business.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0020/R0730 | Other technical provisions | Other technical provisions, as recognised by undertakings in their statutory accounts, in accordance with the local GAAP or IFRS. |
| C0010–C0020/R0740 | Contingent liabilities | A contingent liability is defined as:a) a possible obligation that arises from past events and whose existence will be confirmed only by the occurrence or non–occurrence of one or more uncertain future events not wholly within the control of the entity; orb) a present obligation that arises from past events even if: (i)it is not probable that an outflow of resources embodying economic benefits will be required to settle the obligation; or(ii)the amount of the obligation cannot be measured with sufficient reliability.The amount of contingent liabilities recognised in the balance sheet shall follow the criteria set in Article 11 of the Delegated Regulation (EU) 2015/35. |
| C0010–C0020/R0750 | Provisions other than technical provisions | Liabilities of uncertain timing or amount, excluding the ones reported under ‘Pension benefit obligations’.The provisions are recognised as liabilities (assuming that a reliable estimate can be made) when they represent obligations and it is probable that an outflow of resources embodying economic benefits will be required to settle the obligations. |
| C0010–C0020/R0760 | Pension benefit obligations | This is the total net obligations related to employees’ pension scheme. |
| C0010–C0020/R0770 | Deposits from reinsurers | Amounts (e.g. cash) received from reinsurer or deducted by the reinsurer according to the reinsurance contract. |
| C0010–C0020/R0780 | Deferred tax liabilities | Deferred tax liabilities are the amounts of income taxes payable in future periods in respect of taxable temporary differences. |
| C0010–C0020/R0790 | Derivatives | A financial instrument or other contract with all three of the following characteristics:(a) Its value changes in response to the change in a specified interest rate, financial instrument price, commodity price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided in the case of a non–financial variable that the variable is not specific to a party to the contract (sometimes called the underlying).(b) It requires no initial net investment or an initial net investment that is smaller than would be required for other types of contracts that would be expected to have a similar response to changes in market factors.(c) It is settled at a future date.Only derivative liabilities shall be reported on this row (i.e. derivatives with negative values as of the reporting date.) Derivatives assets shall be reported under C0010–C0020/R0190.Undertakings which do not value derivatives in their Local GAAP do not need to provide a financial statements value. |
| C0010–C0020/R0800 | Debts owed to credit institutions | Debts, such as mortgage and loans, owed to credit institutions, excluding bonds held by credit institutions (it is not possible for the undertaking to identify all the holders of the bonds that it issues) and subordinated liabilities. It This shall also include bank overdrafts. |
| C0010–C0020/R0810 | Financial liabilities other than debts owed to credit institutions | Financial liabilities including bonds issued by undertaking (held by credit institutions or not), structured notes issued by the undertaking itself and mortgage and loans due to other entities than credit institutions.Subordinated liabilities shall not be included here. |
| C0010–C0020/R0820 | Insurance and intermediaries payables | Amounts payable to policyholders, insurers and other business linked to insurance that are not included in technical provisions.Includes amounts payable to (re)insurance intermediaries (e.g. commissions due to intermediaries but not yet paid by the undertaking).Excludes loans & mortgages due to other insurance companies, if they only relate to financing and are not linked to insurance business (such loans and mortgages shall be reported as financial liabilities).It shall include payables from reinsurance accepted. |
| C0010–C0020/R0830 | Reinsurance payables | Amounts payable to reinsurers (in particular current accounts) other than deposits linked to reinsurance business that are not included in reinsurance recoverables, including payables from the undertaking to reinsurers in relation to other than insurance events.Includes payables to reinsurers that relate to ceded premiums.For the ‘Solvency II value’ column (C0010) this cell shall include all expected payments (due and past-due) from the undertaking to reinsurers that are not included in reinsurance recoverables. These should not be included in the item "any other liabilities not elsewhere shown".This cell in particular should take into account all expected payments from the undertaking to reinsurers corresponding to payments made by the policyholders to the undertaking.It also shall include all expected payments (due and past-due) to reinsurers in relation to other than insurance events or those that have been agreed between cedent and reinsurer and where the amount of the expected payment is certain. |
| C0010–C0020/R0840 | Payables (trade, not insurance) | This is the total amount trade payables, including amounts due to employees, suppliers, etc. and not insurance–related, parallel to receivables (trade, not insurance) on asset side; includes public entities. |
| C0010–C0020/R0850 | Subordinated liabilities | Subordinated liabilities are debts which rank after other specified debts when undertaking is liquidated. This is the total of subordinated liabilities classified as Basic Own Funds and those that are not included in Basic Own Funds.With regard to ‘statutory accounts values’ column (C0020), where the split between subordinated liabilities not in basic own funds and subordinated liabilities in basic own funds is not available, this item shall reflect the sum. |
| C0010–C0020/R0860 | Subordinated liabilities not in Basic Own Funds | Subordinated liabilities are debts which rank after other specified debts when undertaking is liquidated. Other debts may be even more deeply subordinated. Only subordinated liabilities that are not classified in Basic Own Funds shall be presented here.With regard to ‘statutory accounts values’ column (C0020), where the split between subordinated liabilities not in basic own funds and subordinated liabilities in basic own funds is not available, this item shall not be reported. |
| C0010–C0020/R0870 | Subordinated liabilities in Basic Own Funds | Subordinated liabilities classified in Basic Own Funds.With regard to ‘statutory accounts values’ column (C0020), where– the split between subordinated liabilities not in basic own funds and subordinated liabilities in basic own funds is not available, this item shall not be reported. |
| C0010–C0020/R0880 | Any other liabilities, not elsewhere shown | This is the total of any other liabilities, not elsewhere already included in other Balance Sheet items. |
| C0010–C0020/R0900 | Total liabilities | This is the overall total amount of all liabilities |
| C0010/R1000 | Excess of assets over liabilities | This is the total of undertaking’s excess of assets over liabilities, valued in accordance with Solvency II valuation basis. Value of the assets minus liabilities. |
| C0020/R1000 | Excess of assets over liabilities(statutory accounts value) | This is the total of excess of assets over liabilities of statutory accounts value column. |
S.02.02 – Liabilities by currency
General comment:
This section relates to annual submission of information for individual entities.
This template is to be filled in accordance with the Balance sheet (S.02.01). Valuation principles are laid down in Directive 2009/138/EC, Delegated Regulation (EU) 2015/35, Solvency II Technical Standards and Guidelines.
This template is not required to be submitted if one single currency represents more than 80 % of liabilities. In case the value of technical provisions, as reported in R0030 and R0120 in S.12.01 and R0060 and R0160 in S.17.01, is negative, for the purposes of the calculation of the threshold above the absolute value of those notional amounts should be considered without netting of technical provisions between different LoBs.
If submitted, information on the reporting currency shall always be reported regardless of the amount of liabilities. Information reported by currency shall at least represent 80 % of the total liabilities. The remaining 20 % may be aggregated. If a specific currency has to be reported to comply with the 80 % threshold then that currency shall be reported for all liabilities.
Captives are exempted from reporting this template.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| R0010 | Material currency | Identify the ISO 4217 alphabetic code of each currency to be reported. |
| C0020/R0110 | Total value of all currencies – Technical provisions (excluding index–linked and unit–linked contracts) | Report the total value of the technical provisions (excl. index–linked and unit–linked contracts) for all currencies. |
| C0030/R0110 | Value of the reporting currency – Technical provisions (excluding index–linked and unit–linked contracts) | Report the value of the technical provisions (excl. index–linked and unit–linked contracts) for the reporting currency |
| C0040/R0110 | Value of remaining other currencies – Technical provisions (excluding index–linked and unit–linked contracts) | Report the total value of the technical provisions (excl. index–linked and unit–linked contracts) for the remaining currencies that are not reported by currency.This means that this cell excludes the amount reported in the reporting currency (C0030/R0110) and in the currencies reported by currency (C0050/R0110). |
| C0050/R0110 | Value of material currencies – Technical provisions (excluding index–linked and unit–linked contracts) | Report the value of the Technical provisions (excl. index–linked and unit–linked contracts) for each of the currencies required to be reported separately. |
| C0020/R0120 | Total value of all currencies – Technical provisions – index–linked and unit–linked contracts | Report the total value of the technical provisions – index–linked and unit–linked contracts for all currencies. |
| C0030/R0120 | Value of the reporting currency – Technical provisions – index–linked and unit–linked contracts | Report the value of the technical provisions – index–linked and unit–linked contracts for the reporting currency. |
| C0040/R0120 | Value of remaining other currencies – Technical provisions – index–linked and unit–linked contracts | Report the value of the technical provisions – index–linked and unit–linked contracts for the remaining currencies that are not reported by currency.This means that this cell excludes the amount reported in the reporting currency (C0030/R0120) and in the currencies reported by currency (C0050/R0120). |
| C0050/R0120 | Value of material currencies – Technical provisions – index–linked and unit–linked contracts | Report the value of the technical provisions – index–linked and unit–linked contracts for each of the currencies required to be reported separately. |
| C0020/R0130 | Total value of all currencies – Deposits from reinsurers and insurance, intermediaries and reinsurance payables | Report the total value of the deposits from reinsurers, insurance and intermediaries payables and reinsurance payables for all currencies. |
| C0030/R0130 | Value of the reporting currency – Deposits from reinsurers and insurance, intermediaries and reinsurance payables | Report the value of the deposits from reinsurers, insurance and intermediaries payables and reinsurance payables for the reporting currency. |
| C0040/R0130 | Value of remaining other currencies – Deposits from reinsurers and insurance, intermediaries and reinsurance payables | Report the value of the deposits from reinsurers, insurance and intermediaries payables and reinsurance payables for the remaining currencies that are not reported by currency.This means that this cell excludes the amount reported in the reporting currency (C0030/R0130) and in the currencies reported by currency (C0050/R0130). |
| C0050/R0130 | Value of material currencies – Deposits from reinsurers and insurance, intermediaries and reinsurance payables | Report the value of the deposits from reinsurers, insurance and intermediaries payables and reinsurance payables for each of the currencies required to be reported separately. |
| C0020/R0140 | Total value of all currencies – Derivatives | Report the total value of the derivatives for all currencies. |
| C0030/R0140 | Value of the reporting currency – Derivatives | Report the value of the derivatives for the reporting currency. |
| C0040/R0140 | Value of remaining other currencies – Derivatives | Report the total value of the derivatives for the remaining currencies that are not reported by currency.This means that this cell excludes the amount reported in the reporting currency (C0030/R0140) and in the currencies reported by currency (C0050/R0140). |
| C0050/R0140 | Value of material currencies – Derivatives | Report the value of the derivatives for each of the currency required to be reported separately. |
| C0020/R0150 | Total value of all currencies – Financial liabilities | Report the total value of the financial liabilities for all currencies. |
| C0030/R0150 | Value of the reporting currency – Financial liabilities | Report the value of the financial liabilities for the reporting currency. |
| C0040/R0150 | Value of remaining other currencies – Financial liabilities | Report the total value of the financial liabilities for the remaining currencies that are not reported by currency.This means that this cell excludes the amount reported in the reporting currency (C0030/R0150) and in the currencies reported by currency (C0050/R0150). |
| C0050/R0150 | Value of material currencies – Financial liabilities | Report the value of the financial liabilities for each of the currencies required to be reported separately. |
| C0020/R0160 | Total value of all currencies – Contingent liabilities | Report the total value of the contingent liabilities for all currencies. |
| C0030/R0160 | Value of the reporting currency – Contingent liabilities | Report the value of the contingent liabilities for the reporting currency. |
| C0040/R0160 | Value of remaining other currencies – Contingent liabilities | Report the total value of the contingent liabilities for the remaining currencies that are not reported by currency.This means that this cell excludes the amount reported in the reporting currency (C0030/R0160) and in the currencies reported by currency (C0050/R0160). |
| C0050/R0160 | Value of material currencies – Contingent liabilities | Report the value of the contingent liabilities for each of the currencies required to be reported separately |
| C0020/R0170 | Total value of all currencies – Any other liabilities | Report the total value of any other liabilities for all currencies. |
| C0030/R0170 | Value of the reporting currency – Any other liabilities | Report the value of any other liabilities for the reporting currency. |
| C0040/R0170 | Value of remaining other currencies – Any other liabilities | Report the total value of any other liabilities for remaining currencies that are not reported by currency.This means that this cell excludes the amount reported in the reporting currency (C0030/R0170) and in the currencies reported by currency (C0050/R0170). |
| C0050/R0170 | Value of material currencies – Any other liabilities | Report the value of any other liabilities for each of the currencies required to be reported separately. |
| C0020/R0200 | Total value of all currencies – Total liabilities | Report the total value of the total liabilities for all currencies. |
| C0030/R0200 | Value of the reporting currency – Total liabilities | Report the value of total liabilities for the reporting currency. |
| C0040/R0200 | Value of remaining other currencies – Total liabilities | Report the total value of total liabilities for the remaining currencies that are not reported by currency.This means that this cell excludes the amount reported in the reporting currency (C0030/R0200) and in the currencies reported by currency (C0050/R0200). |
| C0050/R0200 | Value of material currencies – Total liabilities | Report the value of total liabilities for each of the currency required to be reported separately. |
S.03.01 – Off–balance sheet items – General
General comments:
a)a possible obligation that arises from past events and whose existence will be confirmed only by the occurrence or non–occurrence of one or more uncertain future events not wholly within the control of the entity; or
a)the amount of any of the following sums is higher than 2 % of Total Assets:
i.(C0020/R0010) Value of guarantee/collateral/contingent liabilities – Guarantees provided by the undertaking, including letters of credit + (C0020/R0300) Value of guarantee/collateral/contingent liabilities – Total collateral pledged + (C0010/R0400) Maximum value – Total Contingent liabilities;
ii.(C0020/R0030) Value of guarantee/collateral/contingent liabilities – Guarantees received by the undertaking, including letters of credit + (C0020/R0200) Value of guarantee/collateral/contingent liabilities – Total collateral held; or
b)a present obligation that arises from past events even if:
i.it is not probable that an outflow of resources embodying economic benefits will be required to settle the obligation; or
ii.the amount of the obligation cannot be measured with sufficient reliability.
b)the undertaking has provided or received unlimited guarantee.
This section relates to annual submission of information for individual entities.
This section includes the information referring to off–balance sheet items and the maximum and solvency II value of contingent liabilities in Solvency II balance sheet.
A pool of assets that secure an investment (e.g. the pool of assets that are a collateral for covered bonds) should not be reported in this template.
As regards the Solvency II value, the instructions define the items from a recognition perspective. Valuation principles are laid down in Directive 2009/138/EC, Delegated Regulation (EU) 2015/35, Technical Standards issued under Directive 2009/138/EC and EIOPA Guidelines.
Guarantees require the issuer to make specified payments to reimburse the holder for a loss it incurs if a specified debtor fails to make payment when due under the original or modified terms of a debt instrument. These guarantees can have various legal forms, such as financial guarantees, letters of credit, credit default contracts. These items shall not include guarantees stemming from insurance contracts, which are recognised in technical provisions.
A contingent liability is defined as:
Collateral is an asset with a monetary value or a commitment that secure the lender against the defaults of the borrower. The value of the collateral should be reported as the economic value of the collateral at per reference date (Solvency II value of the assets), not as the risk-adjusted value of a collateral according to Article 197 of the Delegated Regulation.
Only limited guarantees are to be reported in this template excluding information about any provided or received unlimited guarantee.
This template shall be submitted when any of the following conditions apply:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010/R0010 | Maximum value – Guarantees provided by the undertaking, including letters of credit | Sum of all possible cash out–flows related to guarantees if events triggering guarantees were all to happen in relation to guarantees provided by the undertaking to another party. It includes cash–flows related to letter of credit.In case any guarantee is also identified as contingent liability under R0310, the maximum amount shall also be included in this row. |
| C0010/R0020 | Maximum value – Guarantees provided by the undertaking, including letters of credit, of which, guarantees, including letters of credit provided to other undertakings of the same group | Part of C0010/R0010 related to guarantees, including letters of credit, provided to other undertakings of the same group. |
| C0020/R0010 | Value of guarantee/collateral/contingent liabilities – Guarantees provided by the undertaking, including letters of credit | Solvency II value of the guarantees provided by the undertaking, including letters of credit |
| C0020/R0020 | Value of guarantee/collateral/contingent liabilities – Guarantees provided by the undertaking, including letters of credit, of which, guarantees, including letters of credit provided to other undertakings of the same group | Part of C0020/R0010 related guarantees, including letters of credit provided to other undertakings of the same group. |
| C0010/R0030 | Maximum value – Guarantees received by the undertaking, including letters of credit | Sum of all possible cash in–flows related to guarantees if events triggering guarantees were all to happen in relation to guarantees received by the undertaking from another party to guarantee the payment of the liabilities due by the undertaking (includes letter of credit, undrawn committed borrowing facilities). |
| C0010/R0040 | Maximum value – Guarantees received by the undertaking, including letters of credit, of which, guarantees, including letters of credit received from other undertakings of the same group | Part of C0010/R0030 related to guarantees, including letters of credit received from other undertakings of the same group. |
| C0020/R0030 | Value of guarantee/collateral/contingent liabilities – Guarantees received by the undertaking, including letters of credit | Solvency II value of the guarantees received by the undertaking, including letters of credit. |
| C0020/R0040 | Value of guarantee/collateral/contingent liabilities – Guarantees received by the undertaking, including letters of credit, of which, guarantees, including letters of credit received from other undertakings of the same group | Part of C0020/R0030 related to guarantees, including letters of credit received from other undertakings of the same group. |
| C0020/R0100 | Value of guarantee/collateral/contingent liabilities –Collateral held for loans made or bonds purchased | Solvency II value of the collaterals held for loans made or bonds purchased. |
| C0020/R0110 | Value of guarantee/collateral/contingent liabilities –Collateral held for derivatives | Solvency II value of the collaterals held for derivatives. |
| C0020/R0120 | Value of guarantee/collateral/contingent liabilities – Assets pledged by reinsurers for ceded technical provisions | Solvency II value of the assets pledged by reinsurers for ceded technical provisions. |
| C0020/R0130 | Value of guarantee/collateral/contingent liabilities – Other collateral held | Solvency II value of other collaterals held. |
| C0020/R0200 | Value of guarantee/collateral/contingent liabilities –Total collateral held | Total Solvency II value of the collaterals held. |
| C0030/R0100 | Value of assets for which collateral is held – Collateral held for loans made or bonds purchased | Solvency II value of the assets for which the collateral for loans made or bonds purchased is held. |
| C0030/R0110 | Value of assets for which collateral is held – Collateral held for derivatives | Solvency II value of the assets for which the collateral for derivatives is held. |
| C0030/R0120 | Value of assets for which collateral is held – Assets pledged by reinsurers for ceded technical provisions | Solvency II value of the assets for which the collateral on assets pledged by reinsurers for ceded technical provisions is held. |
| C0030/R0130 | Value of assets for which collateral is held – Other collateral held | Solvency II value of the assets for which the other collateral is held. |
| C0030/R0200 | Value of assets for which collateral is held – Total collateral held | Total Solvency II value of the assets for which the total collateral is held. |
| C0020/R0210 | Value of guarantee/collateral/contingent liabilities – Collateral pledged for loans received or bonds issued | Solvency II value of the collaterals pledged for loans received or bonds issued. |
| C0020/R0220 | Value of guarantee/collateral/contingent liabilities – Collateral pledged for derivatives | Solvency II value of the collaterals pledged for derivatives. |
| C0020/R0230 | Value of guarantee/collateral/contingent liabilities – Assets pledged to cedants for technical provisions (reinsurance accepted) | Solvency II value of the assets pledged to cedants for technical provisions (reinsurance accepted). |
| C0020/R0240 | Value of guarantee/collateral/contingent liabilities – Other collateral pledged | Solvency II value of the collateral pledged for other collateral. |
| C0020/R0300 | Value of guarantee/collateral/contingent liabilities – Total collateral pledged | Total Solvency II value of the collateral pledged. |
| C0040/R0210 | Value of liabilities for which collateral is pledged – Collateral pledged for loans received or bonds issued | Solvency II value of the liabilities for which the collateral for loans received or bonds issued is pledged. |
| C0040/R0220 | Value of liabilities for which collateral is pledged – Collateral pledged for derivatives | Solvency II value of the liabilities for which the collateral for derivatives is pledged. |
| C0040/R0230 | Value of liabilities for which collateral is pledged – Assets pledged to cedants for technical provisions (reinsurance accepted) | Solvency II value of the liabilities for which the assets are pledged to cedants for technical provisions (reinsurance accepted). |
| C0040/R0240 | Value of liabilities for which collateral is pledged – Other collateral pledged | Solvency II value of the liabilities for which other collateral is pledged. |
| C0040/R0300 | Value of liabilities for which collateral is pledged – Total collateral pledged | Total Solvency II value of the liabilities for which the collateral is pledged. |
| C0010/R0310 | Maximum value – Contingent liabilities not in Solvency II Balance Sheet | Maximum possible value, regardless of their probability (i.e. future cash out–flows required to settle the contingent liability over the lifetime of that contingent liability, discounted at the relevant risk–free interest rate term structure) of contingent liabilities that are not included in those valued in Solvency II Balance Sheet (item C0010/R0740 of S.02.01).This shall relate to contingent liabilities that are not material.This amount shall include guarantees reported in R0010 if considered as contingent liabilities. |
| C0010/R0320 | Maximum value – Contingent liabilities not in Solvency II Balance Sheet, of which contingent liabilities toward entities of the same group | Part of C0010/R0310 related to contingent liabilities toward entities of the same group. |
| C0010/R0330 | Maximum value – Contingent liabilities in Solvency II Balance Sheet | Maximum possible value, regardless of their probability (i.e. future cash out– flows required to settle the contingent liability over the lifetime of that contingent liability, discounted at the relevant risk–free interest rate term structure) of contingent liabilities that are valued in Solvency II Balance Sheet as defined in Article 11 of Delegated Regulation (EU) 2015/35. |
| C0010/R0400 | Maximum value – Total Contingent liabilities | Total maximum possible value regardless of their probability (i.e. future cash flows required to settle the contingent liability over the lifetime of that contingent liability, discounted at the relevant risk–free interest rate term structure) of contingent liabilities. |
| C0020/R0310 | Value of guarantee/collateral/contingent liabilities – Contingent liabilities not in Solvency II Balance Sheet | Solvency II value of the contingent liabilities not in Solvency II Balance Sheet. |
| C0020/R0330 | Value of guarantee/collateral/contingent liabilities – Contingent liabilities in Solvency II Balance Sheet | Solvency II value of the contingent liabilities in Solvency II Balance Sheet. This value shall only be reported in relation to contingent liabilities for which a value in item C0010/R0330 in S.03.01 was reported.If this value is lower than C0010/R0740 in S.02.01 an explanation shall be provided in the narrative reporting. |
| C0050/R0510 | Unlimited guarantees – received | Indication if the undertaking has received any unlimited guarantees. One of the options in the following closed list shall be used:0 – no unlimited guarantees received;1 – Unlimited guarantees received only from entities of the same group;2 – Unlimited guarantees received only from entities not belonging to the same group;3 – Unlimited guarantees received from entities of the same group and from entities not belonging to the same group. |
| C0050/R0520 | Unlimited guarantees – provided | Indication if the undertaking has provided any unlimited guarantees. One of the options in the following closed list shall be used:0 – no unlimited guarantees provided;1 – Unlimited guarantees provided only to entities of the same group;2 – Unlimited guarantees provided only to entities not belonging to same group;3 – Unlimited guarantees provided to entities of the same group and to entities not belonging to same group. |
S.04.02 – Information on class 10 in Part A of Annex I of Solvency II Directive, excluding carrier’s liability
General comments:
This section relates to annual submission of information for individual entities.
This template is to be reported according to Article 159 of Directive 2009/138/EC and addresses only direct business.
Information shall be reported in relation to freedom to provide services performed by the undertaking and by EEA country, identifying separately the business performed by branch and through freedom to provide services.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| R0010… | EEA country | ISO 3166–1 alpha–2 code of the EEA country where the branch is located |
| C0010/R0020 | Undertaking – FPS – Frequency of claims for Motor Vehicle Liability (except carrier’s liability) | Number of claims, in relation to the business performed by the undertaking through freedom to provide services, incurred with regard to class 10 in Part A of Annex I of Directive 2009/138/EC (except carrier’s liability), over the average insured vehicles in the reporting period. The average insured vehicles correspond to the mean between the number of insured vehicles at the end of the reporting year and the number of insured vehicles at the end of the year before the reporting year. Claims without any incurred amounts shall not be taken into account. |
| C0010/R0030 | Undertaking – FPS – Average cost of claims for Motor Vehicle Liability (except carrier’s liability) | Average of claims incurred, in relation to the business performed by the undertaking through freedom to provide services, with regard to class 10 in Part A of Annex I of Directive 2009/138/EC (except carrier’s liability), measured as amount of claims incurred divided by the number of claims incurred. Claims without any incurred amounts shall not be taken into account. |
| C0020/R0020 | Branch – Frequency of claims for Motor Vehicle Liability (except carrier’s liability) | Number of claims, for each branch in relation to the business performed in the country where the branch is established, incurred with regard to class 10 in Part A of Annex I of Directive 2009/138/EC (except carrier’s liability), over the average insured vehicles in the reporting period. The average insured vehicles correspond to the mean between the number of insured vehicles at the end of the reporting year and the number of insured vehicles at the end of the year before the reporting year. Claims without any incurred amounts shall not be taken into account. |
| C0030/R0020 | FPS – Frequency of claims for Motor Vehicle Liability (except carrier’s liability) | Number of claims, for each branch in relation to the business performed through freedom to provide services, incurred with regard to class 10 in Part A of Annex I of Directive 2009/138/EC (except carrier’s liability), over the average insured vehicles in the reporting period. The average insured vehicles correspond to the mean between the number of insured vehicles at the end of the reporting year and the number of insured vehicles at the end of the year before the reporting year. Claims without any incurred amounts shall not be taken into account. |
| C0020/R0030… | Branch – Average cost of claims for Motor Vehicle Liability (except carrier’s liability) | Average of claims incurred, for each branch in relation to the business performed in the country where the branch is established, with regard to class 10 in Part A of Annex I of Directive 2009/138/EC (except carrier’s liability), measured as amount of claims incurred divided by the number of claims incurred. Claims without any incurred amounts shall not be taken into account. |
| C0030/R0030… | FPS – Average cost of claims for Motor Vehicle Liability (except carrier’s liability) | Average of claims incurred, for each branch in relation to the business performed through freedom to provide services, with regard to class 10 in Part A of Annex I of Directive 2009/138/EC (except carrier’s liability), measured as amount of claims incurred divided by the number of claims incurred. Claims without any incurred amounts shall not be taken into account. |
S.04.03 – Basic Information – List of underwriting entities
General comments
a)The country where the insurance undertaking is authorised (home country) when the contract was not sold through a branch; and
b)The country where the branch is located (host country) when the contract was sold through a branch.
—all insurance business regardless of the possible different classification between investment contracts and insurance contracts applicable in the financial statements; and
—direct business and accepted reinsurance business.
This section relates to annual submission of information for individual insurance and reinsurance undertakings only.
The reporting instructions for template S.04.03 should be read in conjunction with the reporting instructions for S.04.04 and S.04.05. Across these three templates, entities shall report all business from two distinct perspectives: location of underwriting and location of risk.
The information in these templates shall include:
This template shall be reported from an accounting perspective (i.e. Local GAAP, or IFRS if accepted as local GAAP); however, it shall be fulfilled using the lines of business as defined in Annex I to Delegated Regulation (EU) 2015/35. Undertakings shall use the recognition and valuation basis as for the published financial statements (i.e. no new recognition or re–valuation is required) except for the classification between investment contracts and insurance contracts when this is applicable in the financial statements.
The information in these templates shall be presented gross, without deduction of reinsurance ceded.
For the purposes of this template ‘country of establishment’ means:
For the purposes of this template, an intermediary is not considered to be a separate underwriting entity. If an intermediary is used, or in any other situation, the country of establishment is either a) or b) depending on who sold the contract.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| List of underwriting entities | ||
| C0010 | Underwriting entity code | The identification code of the underwriting entity shall be the LEI for the head office. Where a non-EEA branch has a LEI distinct from that of the head office, this LEI shall be used as the underwriting entity number.For EEA branches and non-EEA branches which do not have a distinct LEI, a specific code shall be attributed by the undertaking. Such code shall be unique for the specific underwriting entity and shall not overlap with any other code attributed by the undertaking or LEI code. |
| C0011 | Type of underwriting entity code | Identification of the code used in item ‘Underwriting entity code’:1 – LEI2 – Specific code |
| C0020 | Type of entity | Identification of the type of entity. The following closed list shall be used:1 – Head office2 – Branch |
| C0030 | Type of branch localisation | Identification of the type of branch. The following closed list shall be used:1 – EEA branch2 – Non-EEA branchWhere the ‘type of entity’ has been identified as head office in C0020, this field shall be left blank. |
| C0040 | Country of establishment | Identify the ISO 3166–1 alpha–2 code of the country of establishment of each branch.This field is not applicable (in this template) where ‘head office’ is selected in C0020, as in this case the country code is defined as the ‘Country of authorisation’ reported in template S.01.02 |
S.04.04 – Activity by country – location of underwriting
General comments
This section relates to annual submission of information for individual insurance and reinsurance undertakings only.
The reporting instructions for template S.04.04 should be read in conjunction with the reporting instructions for S.04.03 and S.04.05. Across these three templates, entities shall report all business from two distinct perspectives: location of underwriting and location of risk. Template S.04.04 focuses on the location of underwriting.
The information shall be reported distinguishing between the business underwritten in the country in which each of the underwriting entities (as listed in template S.04.03) are established and business underwritten in each of the other countries belonging to the EEA under freedom to provide services (FPS) by each of the underwriting entities.
Any business underwritten by an underwriting entity which is not underwritten under freedom to provide services shall be classified as business underwritten in the country in which the underwriting entity is established.
The summation of any row in C0030 across all considered countries shall total to the value provided in C0020 for that same row.
Insurance and reinsurance undertakings shall report written/earned premiums as defined in Article 1(11) and (12) of Delegated Regulation (EU) 2015/35 regardless whether local GAAP or IFRS is used.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| By underwriting entity | ||
| Z0010 | Line of Business | Identification of the line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:1 – Medical expense insurance2 – Income protection insurance3 – Workers’ compensation insurance4 – Motor vehicle liability insurance5 – Other motor insurance6 – Marine, aviation and transport insurance7 – Fire and other damage to property insurance8 – General liability insurance9 – Credit and suretyship insurance10 – Legal expenses insurance11 – Assistance12 – Miscellaneous financial loss13 – Proportional medical expense reinsurance14 – Proportional income protection reinsurance15 – Proportional workers’ compensation reinsurance16 – Proportional motor vehicle liability reinsurance17 – Proportional other motor reinsurance18 – Proportional marine, aviation and transport reinsurance19 – Proportional fire and other damage to property reinsurance20 – Proportional general liability reinsurance21 – Proportional credit and suretyship reinsurance22 – Proportional legal expenses reinsurance23 – Proportional assistance reinsurance24 – Proportional miscellaneous financial loss reinsurance25 – Non–proportional health reinsurance26 – Non–proportional casualty reinsurance27 – Non–proportional marine, aviation and transport reinsurance28 – Non–proportional property reinsurance29 – Health insurance30 – Insurance with profit participation31 – Index–linked and unit–linked insurance32 – Other life insurance33 – Annuities stemming from non–life insurance contracts and relating to health insurance obligations34 – Annuities stemming from non–life insurance contracts and relating to insurance obligations other than health insurance obligations35 – Health reinsurance36 – Life reinsurance |
| Z0020 | Underwriting entity code | The identification code of each individual underwriting entity as reported in template S.04.03. |
| C0010/R0020 | Business underwritten in the country of establishment – Premiums Written (gross) | Premiums written by the individual underwriting entity in the country of establishment.Gross premiums written shall comprise all amounts due during the financial year in respect of insurance contracts, regardless of the fact that such amounts may relate in whole or in part to a later financial year.Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0010/R0030 | Business underwritten in the country of establishment – Claims incurred | Claims incurred by the individual underwriting entity in the country of establishment.Claims incurred in the reporting period as defined in Directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the financial year related to insurance contracts.The figure for claims incurred shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0010/R0040 | Business underwritten in the country of establishment – Acquisition expenses | Acquisition expenses by the individual underwriting entity in the country of establishment.Acquisition expenses include expenses which can be identified at the level of individual insurance contract and have been incurred because the entity has issued that particular contract. This item shall be reported inclusive of renewal expenses.These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs, where applicable. |
| C0010/R0050 | Business underwritten in the country of establishment – Acquisition expenses of which commissions | Commissions by the individual underwriting entity in the country of establishment.The portion of the total acquisition expenses (as reported in R0040) which relate to commission costs. |
| C0020/R0020 | Business underwritten through FPS in country different from the country of establishment – Premiums Written (gross) | Premiums written through FPS in any country different from the country of establishment of the individual underwriting entity.Gross premiums written shall comprise all amounts due during the financial year in respect of insurance contracts, regardless of the fact that such amounts may relate in whole or in part to a later financial year.Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0020/R0030 | Business underwritten through FPS in country different from the country of establishment – Claims Incurred | Claims incurred through FPS in any country different from the country of establishment of the individual underwriting entity.Claims incurred in the reporting period as defined in Directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the financial year related to insurance contracts.The figure for claims incurred shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0020/R0040 | Business underwritten through FPS in country different from the country of establishment – Acquisition expenses | Acquisition expenses through FPS in any country different from the country of establishment of the individual underwriting entity.Acquisition expenses include expenses which can be identified at the level of individual insurance contract and have been incurred because the entity has issued that particular contract. This item shall be reported inclusive of renewal expenses.These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs, where applicable. |
| C0020/R0050 | Business underwritten through FPS in country different from the country of establishment – Acquisition costs of which commissions | Commissions through FPS in any country different from the country of establishment of the individual underwriting entity.The portion of the total acquisition expenses (as reported in R0040) which relate to commission costs. |
| By underwriting entity and by EEA country (localisation of activity [based on place of underwriting]) | ||
| R0010 | EEA country | ISO 3166–1 alpha–2 code of the EEA country where the business is underwritten through FPS. |
| C0030/R0020 | Business underwritten in the considered country through FPS – Premiums Written (gross) | Premiums written by the individual underwriting entity through FPS in the EEA country reported in R0010.Gross premiums written shall comprise all amounts due during the financial year in respect of insurance contracts, regardless of the fact that such amounts may relate in whole or in part to a later financial year.Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0030/R0030 | Business underwritten in the considered country through FPS – Claims incurred | Claims incurred by the individual underwriting entity through FPS in the EEA country reported in R0010.Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the financial year related to insurance contracts.The figure for claims incurred shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0030/R0040 | Business underwritten in the considered country through FPS – Acquisition costs | Acquisition expenses by the individual underwriting entity through FPS in the EEA country reported in R0010.Acquisition expenses include expenses which can be identified at the level of individual insurance contract and have been incurred because the entity has issued that particular contract. This item shall be reported inclusive of renewal expenses.These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs, where applicable. |
| C0030/R0050 | Business underwritten in the considered country through FPS – Acquisition costs of which commissions | Commissions by the individual underwriting entity through FPS in the EEA country reported in R0010.The portion of the total acquisition expenses (as reported in R0040) which relate to commission costs. |
S.04.05 – Activity by country – location of risk
General comments
a)the country in which the property is situated, where the insurance relates either to buildings or to buildings and their contents, in so far as the contents are covered by the same insurance policy;
b)the country of registration, where the insurance relates to vehicles of any type;
c)the country where the policy holder took out the policy in the case of policies of a duration of four months or less covering travel or holiday risks, whatever the class concerned;
d)the country in which the credit/receivable is situated, where the insurance relates to credit/receivables;
e)in all cases not explicitly covered by points (a), (b), (c) or (d), the country in which either of the following is situated:
i.the habitual residence of the policy holder; or
ii.if the policy holder is a legal person, that policy holder’s establishment to which the contract relates.
This section relates to annual submission of information for individual insurance and reinsurance undertakings only.
The reporting instructions for template S.04.05 should be read in conjunction with the reporting instructions for S.04.03 and S.04.04. Across these three templates, entities shall report all business from two distinct perspectives: location of underwriting and location of risk. Template S.04.05 focuses on the location of risk.
For the purposes of this template and in the case of direct insurance, the ‘country in which the risk is situated’ means:
For the purposes of this template and in the case of proportional or non-proportional reinsurance, the ‘country in which the risk is situated’ means the country of localisation of the ceding undertaking.
Undertakings shall report on a country-by-country basis for at least 95 % of gross written premium. All business shall be reported, however, any residual business over the 95 % threshold may be grouped as ‘other countries’.
Insurance and reinsurance undertakings shall report written/earned premiums as defined in Article 1(11) and (12) of Delegated Regulation (EU) 2015/35 regardless whether local GAAP or IFRS is used.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Total underwriting entity activity | ||
| Z0010 | Line of Business | Identification of the line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:1 – Medical expense insurance2 – Income protection insurance3 – Workers’ compensation insurance4 – Motor vehicle liability insurance5 – Other motor insurance6 – Marine, aviation and transport insurance7 – Fire and other damage to property insurance8 – General liability insurance9 – Credit and suretyship insurance10 – Legal expenses insurance11 – Assistance12 – Miscellaneous financial loss13 – Proportional medical expense reinsurance14 – Proportional income protection reinsurance15 – Proportional workers’ compensation reinsurance16 – Proportional motor vehicle liability reinsurance17 – Proportional other motor reinsurance18 – Proportional marine, aviation and transport reinsurance19 – Proportional fire and other damage to property reinsurance20 – Proportional general liability reinsurance21 – Proportional credit and suretyship reinsurance22 – Proportional legal expenses reinsurance23 – Proportional assistance reinsurance24 – Proportional miscellaneous financial loss reinsurance25 – Non–proportional health reinsurance26 – Non–proportional casualty reinsurance27 – Non–proportional marine, aviation and transport reinsurance28 – Non–proportional property reinsurance29 – Health insurance30 – Insurance with profit participation31 – Index–linked and unit–linked insurance32 – Other life insurance33 – Annuities stemming from non–life insurance contracts and relating to health insurance obligations34 – Annuities stemming from non–life insurance contracts and relating to insurance obligations other than health insurance obligations35 – Health reinsurance36 – Life reinsurance |
| Z0020 | Underwriting Entity Code | The identification code of each individual underwriting entity as reported in template S.04.03. |
| C0010/R0020 | Total of business written by the undertakings – Premiums written (gross) | Gross premiums written shall comprise all amounts due during the financial year in respect of insurance contracts, regardless of the fact that such amounts may relate in whole or in part to a later financial year.Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0010/R0030 | Total of business written by the undertakings – Premiums earned (gross) | The sum of gross premiums written minus the change in the gross provision for unearned premiums. |
| C0010/R0040 | Total of business written by the undertakings – Claims incurred (gross) | Claims incurred in the reporting period as defined in Directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the financial year related to insurance contracts.The figure for claims incurred shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0010/R0050 | Total of business written by the undertakings – Expenses incurred (gross) | All technical expenses incurred by the undertaking during the reporting period, on accrual basis. |
| Activity by country – location of risk | ||
| R0010 | Country | ISO 3166–1 alpha–2 code of the country in which the risk is situated |
| C0020/R0020 | Total by country – Premiums written (gross) | Gross premiums written for the business where the risk is located in the country reported in R0010.Gross premiums written shall comprise all amounts due during the financial year in respect of insurance contracts, regardless of the fact that such amounts may relate in whole or in part to a later financial year.Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0020/R0030 | Total by country – Premiums earned (gross) | Gross premiums earned for the business where the risk is located in the country reported in R0010.It is the sum of gross premiums written minus the change in the gross provision for unearned premiums. |
| C0020/R0040 | Total by country – Claims incurred (gross) | Gross claims incurred for the business where the risk is located in the country reported in R0010.Claims incurred in the reporting period as defined in Directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the financial year related to insurance contracts.The figure for claims incurred shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0020/R0050 | Total by country – Expenses incurred (gross) | Gross expenses incurred for the business where the risk is located in the country reported in R0010.All technical expenses incurred by the undertaking during the reporting period, on accrual basis. |
S.05.01 – Premiums, claims and expenses by line of business
General comments
This section relates to quarterly and annual submission of information for individual entities.
This template shall be reported from an accounting perspective, i.e.: Local GAAP or IFRS if accepted as local GAAP but using Solvency II lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. Undertakings shall use the recognition and valuation basis as for the published financial statements, no new recognition or re–valuation is required, unless otherwise stated in these instructions. The template is based on a year–to–date basis, except for the classification between investment contracts and insurance contracts or different reporting requirements when this is applicable in the financial statements. This template shall include all insurance business regardless of the possible different classification between investment contracts and insurance contracts applicable in the financial statements.
Insurance and reinsurance undertakings shall report written/earned premiums as defined in Article 1(11) and (12) of Delegated Regulation (EU) 2015/35 regardless whether local GAAP or IFRS is used.
For quarterly reporting administrative expenses, investment management expenses, acquisition expenses, claims management expenses, overhead expenses shall be presented aggregated.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Non–life insurance and reinsurance obligations | ||
| C0010 to C0120/R0110 | Premiums written – Gross – Direct Business | Gross premiums written shall comprise all amounts due during the reporting period in respect of insurance contracts, arising from direct business, regardless of the fact that such amounts may relate in whole or in part to a later reporting period. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0010 to C0120/R0120 | Premiums written – Gross – Proportional reinsurance accepted | Gross premiums written shall comprise all amounts due during the reporting period in respect of insurance contracts, arising from proportional reinsurance accepted business, regardless of the fact that such amounts may relate in whole or in part to a later reporting period. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0130 to C0160/R0130 | Premiums written – Gross – Non proportional reinsurance accepted | Gross premiums written shall comprise all amounts due during the reporting period in respect of insurance contracts, arising from non–proportional reinsurance accepted business, regardless of the fact that such amounts may relate in whole or in part to a later reporting period. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0010 to C0160/R0140 | Premiums written – Reinsurers’ share | Gross premiums written shall comprise all amounts ceded to reinsurers during the reporting period in respect of insurance contracts regardless of the fact that such amounts may relate in whole or in part to a later reporting period. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0010 to C0160/R0200 | Premiums written – Net | The net premiums written represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0010 to C0120/R0210 | Premiums earned – Gross – Direct business | The sum of gross premiums written minus the change in the gross provision for unearned premiums related to direct insurance business. Amount of taxes or charges levied with premiums shall be excluded from the premiums earned. |
| C0010 to C0120/R0220 | Premiums earned – Gross – Proportional reinsurance accepted | The sum of gross premiums written minus the change in the gross provision for unearned premiums related to proportional reinsurance accepted business. Amount of taxes or charges levied with premiums shall be excluded from the premiums earned. |
| C0130 to C0160/R0230 | Premiums earned – Gross – Non proportional reinsurance accepted | The sum of gross premiums written minus the change in the gross provision for unearned premiums related to non–proportional reinsurance accepted business. Amount of taxes or charges levied with premiums shall be excluded from the premiums earned. |
| C0010 to C0160/R0240 | Premiums earned – Reinsurers’ share | The sum of reinsurer’s share in gross premiums written minus the change in the reinsurer’s share in provision for unearned premiums. Amount of taxes or charges levied with premiums shall be excluded from the premiums earned. |
| C0010 to C0160/R0300 | Premiums earned – Net | The sum of gross premiums written minus the change in the gross provision for unearned premiums related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0010 to C0120/R0310 | Claims incurred Gross – Direct business | Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period (according to the local GAAP or IFRS used) related to insurance contracts arising from direct business.This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0010 to C0120/R0320 | Claims incurred Gross – Proportional reinsurance accepted | Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period (according to the local GAAP or IFRS used) related to insurance contracts arising from the gross proportional reinsurance accepted. This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0130 to C0160/R0330 | Claims incurred – Gross – Non proportional reinsurance accepted | Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period (according to the local GAAP or IFRS used) related to insurance contracts arising from the gross non proportional reinsurance accepted. This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0010 to C0160/R0340 | Claims incurred – Reinsurers’ share | Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: it is the reinsurer’s share in the sum of the claims paid and the change in the provision for claims during the reporting period (according to the local GAAP or IFRS used).This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0010 to C0160/R0400 | Claims incurred – Net | Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period (according to the local GAAP or IFRS used) related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0010 to C0160/R0550 | Expenses incurred | All technical expenses incurred by the undertaking during the reporting period, on accrual basis. |
| C0010 to C0120/R0610 | Administrative expenses – Gross – direct business | Administrative expenses incurred by the undertaking during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.The amount relates to the gross direct business. |
| C0010 to C0120/R0620 | Administrative expenses – Gross – Proportional reinsurance accepted | Administrative expenses incurred by the undertaking during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.The amount relates to the gross proportional reinsurance accepted. |
| C0130 to C0160/R0630 | Administrative expenses – Gross – non proportional reinsurance accepted | Administrative expenses incurred by the undertaking during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.The amount relates to the gross non proportional reinsurance accepted. |
| C0010 to C0160/R0640 | Administrative expenses – reinsurers’ share | Administrative expenses incurred by the undertaking during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.The amount relates to the reinsurer’s share.Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses. |
| C0010 to C0160/R0700 | Administrative expenses – Net | Administrative expenses incurred by the undertaking during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.The net administrative expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0010 to C0120/R0710 | Investment management expenses – Gross – direct business | Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of record keeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.The amount relates to the gross direct business. |
| C0010 to C0120/R0720 | Investment management expenses – Gross – proportional reinsurance accepted | Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.The amount relates to the gross proportional reinsurance accepted. |
| C0130 to C0160/R0730 | Investment management expenses – Gross – non proportional reinsurance accepted | Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.The amount relates to the gross non proportional reinsurance accepted. |
| C0010 to C0160/R0740 | Investment management expenses – Reinsurers’ share | Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.The amount relates to the reinsurers’ share.Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses. |
| C0010 to C0160/R0800 | Investment management expenses – Net | Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.The amount relates to the net investment management expenses.The net investment management expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0010 to C0120/R0810 | Claims management expenses– Gross – direct business | Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).The amount relates to the gross direct business.This shall include the movement in provisions in claims management expenses. |
| C0010 to C0120/R0820 | Claims management expenses – Gross – Proportional reinsurance accepted | Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).The amount relates to the gross proportional reinsurance accepted.This shall include the movement in provisions in claims management expenses. |
| C0130 to C0160/R0830 | Claims management expenses – Gross – Non–proportional reinsurance accepted | Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).The amount relates to the gross non proportional reinsurance accepted.This shall include the movement in provisions in claims management expenses. |
| C0010 to C0160/R0840 | Claims management expenses – Reinsurers’ share | Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).The amount relates to the reinsurers’ share.This shall include the movement in provisions in claims management expenses.Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses. |
| C0010 to C0160/R0900 | Claims management expenses – Net | Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).The net claims management expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.This shall include the movement in provisions in claims management expenses. |
| C0010 to C0120/R0910 | Acquisition expenses – Gross – direct business | Acquisition expenses include expenses, including renewal expenses, which can be identified at the level of individual insurance contract and have been incurred because the undertaking has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.The amount relates to the gross direct business. |
| C0010 to C0120/R0920 | Acquisition expenses – Gross – Proportional reinsurance accepted | Acquisition expenses include expenses, including renewal expenses, which can be identified at the level of individual insurance contract and have been incurred because the undertaking has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.The amount relates to the gross proportional reinsurance accepted. |
| C0130 to C0160/R0930 | Acquisition expenses – Gross – Non proportional reinsurance accepted | Acquisition expenses include expenses, including renewal expenses, which can be identified at the level of individual insurance contract and have been incurred because the undertaking has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.The amount relates to the non–proportional reinsurance accepted. |
| C0010 to C0160/R0940 | Acquisition expenses – Reinsurers’ share | Acquisition expenses include expenses, including renewal expenses, which can be identified at the level of individual insurance contract and have been incurred because the undertaking has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.The amount relates to the reinsurers’ share.Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses. |
| C0010 to C0160/R1000 | Acquisition expenses – Net | Acquisition expenses include expenses, including renewal expenses, which can be identified at the level of individual insurance contract and have been incurred because the undertaking has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertakings, the definition shall be applied mutatis mutandis.The net acquisition expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0010 to C0120/R1010 | Overhead expenses – Gross – direct business | Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software).The amount relates to the gross direct business. |
| C0010 to C0120/R1020 | Overhead expenses – Gross – Proportional reinsurance accepted | Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software).The amount relates to the gross proportional reinsurance accepted. |
| C0130 to C0160/R1030 | Overhead expenses – Gross – Non proportional reinsurance accepted | Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software).The amount relates to the gross – non proportional reinsurance accepted. |
| C0010 to C0160/R1040 | Overhead expenses – Reinsurers’ share | Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software).The amount relates to the reinsurers’ share.Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses. |
| C0010 to C0160/R1100 | Overhead expenses – Net | Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software).The net overhead expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0200/R0110–R1100 | Total | Total for different items for all Lines of Business. |
| C0200/R1210 | Balance – other technical expenses/income | Net technical expenses/income not covered by above mentioned expenses/income and reduced by the amount ceded to reinsurance undertakings. Other technical expenses/income shall not be split by lines of business.Shall not include change in other technical provisions and non–technical expenses/income such as tax, interest expenses, losses on disposals, etc.The amount of net technical expenses/income shall be reported negative if the amount of technical income is larger than the amount of technical expenses. |
| C0200/R1300 | Total technical expenses | Amount of all technical expenses |
| Life insurance and reinsurance obligations | ||
| C0210 to C0280/R1410 | Premiums written – Gross | Gross premiums written shall comprise all amounts due during the reporting period in respect of insurance contracts, arising from gross business, regardless of the fact that such amounts may relate in whole or in part to a later reporting period. Amount of taxes or charges levied with premiums shall be excluded from the written premiums.It includes both direct and reinsurance business. |
| C0210 to C0280/R1420 | Premiums written – Reinsurers’ share | Gross premiums written shall comprise all amounts ceded to reinsurers due during the reporting period in respect of insurance contracts regardless of the fact that such amounts may relate in whole or in part to a later reporting period. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0210 to C0280/R1500 | Premiums written – net | The net premiums written represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0210 to C0280/R1510 | Premiums earned – Gross | The sum of gross premiums written minus the change in the gross provision for unearned premiums related to direct insurance and reinsurance accepted business. Amount of taxes or charges levied with premiums shall be excluded from the premiums earned. |
| C0210 to C0280/R1520 | Premiums earned – reinsurers’ share | The reinsurer’s share in gross premiums written minus the change in the reinsurer’s share in provision for unearned premiums. Amount of taxes or charges levied with premiums shall be excluded from the premiums earned. |
| C0210 to C0280/R1600 | Premiums earned – Net | The sum of gross premiums written minus the change in the gross provision for unearned premiums related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0210 to C0280/R1610 | Claims incurred – Gross | Claims incurred in the reporting period as defined in directive 91/674/EEC: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period (according to the local GAAP or IFRS used), related to insurance contracts arising from the direct and reinsurance business.This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0210 to C0280/R1620 | Claims incurred – Reinsurers’ share | Claims incurred in the reporting period as defined in Directive 91/674/EEC: it is the reinsurer’s share in the sum of the claims paid and the change in the provision for claims during the reporting period.This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0210 to C0280/R1700 | Claims incurred – Net | Claims incurred in the reporting period as defined in Directive 91/674/EEC: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period (according to the local GAAP or IFRS used), related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0210 to C0280/R1900 | Expenses incurred | All technical expenses incurred by the undertaking during the reporting period, on accrual basis. |
| C0210 to C0280/R1910 | Administrative expenses – Gross | Administrative expenses incurred by the undertaking during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.The amount relates to the gross direct and reinsurance business. |
| C0210 to C0280/R1920 | Administrative expenses – reinsurers’ share | Administrative expenses incurred by the undertaking during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.The amount relates to the reinsurer’s share.Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses. |
| C0210 to C0280/R2000 | Administrative expenses – Net | Administrative expenses incurred by the undertaking during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.The amount relates to the net administrative expenses.The net administrative expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0210 to C0280/R2010 | Investment management expenses – Gross | Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.The amount relates to the gross direct and reinsurance business. |
| C0210 to C0280/R2020 | Investment management expenses – reinsurers’ share | Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.The amount relates to the reinsurers’ share.Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses. |
| C0210 to C0280/R2100 | Investment management expenses – Net | Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.The amount relates to the net investment management expenses.The net investment management expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0210 to C0280/R2110 | Claims management expenses – Gross | Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).The amount relates to the gross direct and reinsurance business.This shall include the movement in provisions in claims management expenses. |
| C0210 to C0280/R2120 | Claims management expenses – Reinsurers’ share | Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).The amount relates to the reinsurers’ share.This shall include the movement in provisions in claims management expenses.Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses. |
| C0210 to C0280/R2200 | Claims management expenses – Net | Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).The net claims management expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.This shall include the movement in provisions in claims management expenses. |
| C0210 to C0280/R2210 | Acquisition expenses – Gross | Acquisition expenses include expenses which can be identified at the level of individual insurance contract and have been incurred because the undertaking has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.The amount relates to the gross direct and reinsurance business. |
| C0210 to C0280/R2220 | Acquisition expenses – Reinsurers’ share | Acquisition expenses include expenses which can be identified at the level of individual insurance contract and have been incurred because the undertaking has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.The amount relates to the reinsurers’ share.Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses. |
| C0210 to C0280/R2300 | Acquisition expenses – Net | Acquisition expenses include expenses which can be identified at the level of individual insurance contract and have been incurred because the undertaking has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.The net acquisition expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0210 to C0280/R2310 | Overhead expenses – Gross | Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software).The amount relates to the gross direct and reinsurance business. |
| C0210 to C0280/R2320 | Overhead expenses – Reinsurers’ share | Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software).The amount relates to the reinsurers’ share.Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses. |
| C0210 to C0280/R2400 | Overhead expenses – Net | Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software).The net overhead expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0300/R1410–R2400 | Total | Total for different items for all life lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0300/R2510 | Balance – other technical expenses/income | Net technical expenses/income not covered by above mentioned expenses/income and reduced by the amount ceded to reinsurance undertakings. Other technical expenses/income shall not be split by lines of business.Shall not include change in other technical provisions and non–technical expenses/income such as tax, interest expenses, losses on disposals, etc.The amount of net technical expenses/income shall be reported negative if the amount of technical income is larger than the amount of technical expenses. |
| C0300/R2600 | Total expenses | Amount of all technical expenses. |
| C0210 to C0280/R2700 | Total amount of surrenders | This amount represents the total amount of surrenders occurred during the year.This amount is also reported under claims incurred (item R1610). |
S.06.02 – List of assets
General comments:
a)Cash shall be reported in one row per currency, for each combination of items C0060, C0070, C0080 and C0090;
a)through a decision of the national supervisory authority (‘NSA’) under Article 35(6) and (7) of Directive 2009/138/EC; or
b)Transferable deposits (cash equivalents) and other deposits with maturity of less than one year shall be reported in one row per pair of bank and currency, for each combination of items C0060, C0070, C0080, C0090 and C0290;
b)through a decision of the national supervisory authority in the cases where the insurance and reinsurance undertakings have in place outsourcing arrangements in the area of investments that lead to this specific information not being available directly to the undertaking
c)Mortgages and loans to individuals, including loans on policies, shall be reported in two rows, one row regarding loans to administrative, management and supervisory body, for each combination of items C0060, C0070, C0080, C0090 and C0290 and another regarding loans to other natural persons, for each combination of items C0060, C0070, C0080, C0090 and C0290;
d)Deposits to cedants shall be reported in one single line, for each combination of items C0060, C0070, C0080 and C0090;
e)Plant and equipment for the own use of the undertaking shall be reported in one single line, for each combination of items C0060, C0070, C0080 and C0090;
This section relates to quarterly and annual submission of information for individual entities.
The asset categories referred to in this template are the ones defined in Annex IV – Assets Categories of this Regulation and references to Complementary Identification Code (‘CIC’) refer to Annex VI – CIC table of this Regulation.
This template shall reflect the list of all assets included in the Balance–sheet classifiable as asset categories 0 to 9 of Annex IV – Assets Categories of this Regulation. In particular in case of securities lending and repurchase agreements the underlying securities that are kept in the Balance–sheet shall be reported in this template.
This template contains an item–by–item list of assets held directly by the undertaking (i.e. not on a look–through basis), classifiable as asset categories 0 to 9 (in case of unit–linked and index–linked products managed by the (re)insurance undertaking, the assets to be reported are also only the ones covered by asset categories 0 to 9, e.g. recoverables and liabilities related to these products shall not be reported), with the following exceptions:
All items shall be reported, except when otherwise stated in these instructions. Items C0110, C0120, C0121, C0122, C0130, C0140, C0200, C0230, C0270, C0280, C0310, C0370, and C0380 are not applicable to CIC 09 – Other investments.
This template comprises two tables: Information on positions held and Information on assets.
On the table Information on positions held, each asset shall be reported separately in as many lines as needed in order to properly fill in all non-monetary variables with the exception of item ‘Quantity’, requested in that table. If for the same asset two values can be attributed to one variable, then this asset needs to be reported in more than one line.
On the table Information on assets, each asset shall be reported separately, with one row for each asset, filling in all applicable variables requested in that table.
The information regarding the external rating (C0320) and nominated External Credit Assessment Institutions (ECAI) (C0330) may be limited (not reported) in the following circumstances:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Information on positions held | ||
| C0040 | Asset ID Code | Asset ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time.When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code + EUR’ |
| C0050 | Asset ID Code Type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO 6166 for ISIN code2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertakingWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘99/1’. |
| C0060 | Portfolio | Distinction between life, non–life, shareholder’s funds, other internal funds, general (no split) and ring-fenced funds.Underlying assets of life technical provisions shall be assigned to life portfolio and underlying assets of non-life technical provisions shall be assigned to non-life portfolio (by applying the available most precise split). One of the options in the following closed list shall be used:1 – Life2 – Non–life3 – Ring fenced funds4 – Other internal funds5 – Shareholders’ funds6 – GeneralThe split is not mandatory, unless otherwise required by the national supervisory authority, except for identifying ring fenced funds, but shall be reported if the undertaking uses it internally. When an undertaking does not apply a split ‘general’ shall be used. |
| C0070 | Fund number | Applicable to assets held in ring fenced funds or other internal funds defined at national level, in particular regarding funds (asset portfolios) supporting life products.Number or code which is attributed by the undertaking, corresponding to the unique number or code assigned to each fund. This number or code has to be consistent over time and shall be used to identify the same funds in other templates (e.g. in S.08.01, S.14.01). It shall not be re–used for a different fund.The fund number is not mandatory, unless otherwise required by the national supervisory authority. |
| C0080 | Matching portfolio number | Number or code which is attributed by the undertaking, corresponding to the unique number or code assigned to each matching adjustment portfolio as prescribed in Article 77b(1)(a) of Directive 2009/138/EC. This number or code has to be consistent over time and shall be used to identify the matching adjustment portfolio in other templates. It shall not be re–used for a different matching adjustment portfolio. |
| C0090 | Asset held in unit linked and index linked contracts | Identify the assets that are held by unit linked and index linked contracts. One of the options in the following closed list shall be used:1 – Unit–linked or index–linked2 – Neither unit–linked nor index–linked |
| C0100 | Asset pledged as collateral | Identify assets kept in the undertaking’s balance–sheet that are pledged as collateral. For partially pledged assets two rows for each asset shall be reported, one for the pledged amount and another for the remaining part. One of the options in the following closed list shall be used for the asset:1 – Assets in the balance sheet that are collateral pledged2 – Collateral for reinsurance accepted3 – Collateral for securities borrowed4 – Repos9 – Not collateral |
| C0110 | Country of custody | ISO 3166–1 alpha–2 code of the country where undertaking assets are held in custody. For identifying international custodians, such as Euroclear, the country of custody will be the one where the custody service was contractually defined.In case of the same asset being held in custody in more than one country, each asset shall be reported separately in as many rows as needed in order to properly identify all countries of custody.This item is not applicable for CIC category 8 – Mortgages and Loans, CIC 71, CIC 75 and for CIC 95 – Plant and equipment.Regarding CIC Category 9, excluding CIC 95 – Plant and equipment (for own use), the country of custody corresponds to the issuer country, which is assessed by the address of the property. |
| C0120 | Custodian | Name of the financial institution that is the custodian.In case of the same asset being held in custody in more than one custodian, each asset shall be reported separately in as many rows as needed in order to properly identify all custodians.For assets stored in-house, the insurance undertaking shall be reported as the custodian.When available, this item corresponds to the entity name in the LEI database. When this is not available it corresponds to the legal name.This item is not applicable for CIC category 8 – Mortgages and Loans, CIC 71, CIC 75, CIC 09 and for CIC category 9 – Property and to any other asset that, due to their nature, are not held in custody.For assets where there is no custodian or when this item is not applicable, ‘No custodian’ shall be reported. |
| C0121 | Code of custodian | Identification of the custodian code using the LEI if available.If none is available this item shall not be reported. |
| C0122 | Type of code of custodian | Identification of the type of code used for the ‘Code of custodian’ item. One of the options in the following closed list shall be used:1 – LEI9 – None |
| C0130 | Quantity | Number of assets, for relevant assets.This item shall not be reported if item Par amount (C0140) is reported.This item is not applicable for CIC 71 and 09 and CIC category 9 – Property. |
| C0140 | Par amount | Amount outstanding measured at par amount, for all assets where this item is relevant, and at nominal amount for CIC 72, 73, 74, 75, 79 and CIC Category 8 – Mortgages and Loans. This item is not applicable for CIC 71, 09 and CIC category 9 – Property. This item shall not be reported if item Quantity (C0130) is reported. |
| C0145 | Long-term equity investment | Only applicable to CIC categories 3 – Equity and 4 – Collective Investment Undertakings.Identify if an equity or collective investment undertaking is classified under the provisions of Art. 171a. of Delegated Regulation (EU) 2015/35. One of the options in the following closed list shall be used:1 – Yes2 – No9 – Not applicable |
| C0150 | Valuation method | Identify the valuation method used when valuing assets. One of the options in the following closed list shall be used:1 – quoted market price in active markets for the same assets2 – quoted market price in active markets for similar assets3 – alternative valuation methods4 – adjusted equity methods (applicable for the valuation of participations)5 – IFRS equity methods (applicable for the valuation of participations)6 – Market valuation according to Article 9(4) of Delegated Regulation (EU) 2015/35 |
| C0160 | Acquisition value | Total acquisition value for assets held, clean value without accrued interest. Not applicable to CIC categories 7 – Cash and deposits and 8 – Mortgages and Loans. |
| C0170 | Total Solvency II amount | Value calculated as defined by Article 75 of Directive 2009/138/EC, which corresponds to:the multiplication of Par amount (principal amount outstanding measured at par amount or nominal amount) by Unit percentage of par amount Solvency II price plus Accrued interest, for assets where the first two items are relevant;the multiplication of Quantity by Unit Solvency II price, for assets where these two items are relevant (plus Accrued interest if applicable);Solvency II value of the asset for assets classifiable under CIC 71 and CIC category 9 – Property. |
| C0180 | Accrued interest | Quantify the amount of accrued interest after the last coupon date for interest bearing assets. Note that this value is also part of item Total Solvency II amount. |
| ITEM | INSTRUCTION | |
|---|---|---|
| Information on assets | ||
| C0040 | Asset ID Code | Asset ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time.When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code + EUR’ |
| C0050 | Asset ID Code Type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO 6166 for ISIN code2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertakingWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘99/1’. |
| C0190 | Item Title | Identify the reported item by filling the name of the asset (or the address in case of property), with the detail settled by the undertaking.The following shall be considered:Regarding CIC 87 and CIC 88, this item shall contain Loans to AMSB members i.e. loans to the Administrative, Management and Supervisory Body (AMSB) or Loans to other natural persons, according to its nature, as those assets are not required to be individualised. Loans to other than natural persons shall be reported line–by–line.This item is not applicable for CIC 95 – Plant and equipment (for own use) as those assets are not required to be individualised, CIC 71, and CIC 75, unless required by the national supervisory authority.For property the country ISO Alpha-2 + postal code + city + street name + street number) of the property held or the latitude & longitude or the CRESTA/NUTS region of the property investment shall be reported: administrative boundaries (e.g. province or county boundaries, e.g. NUTS3 level) or merged postal code areas (e.g. first-two-digit postal code areas, similar to CRESTA 2019[2] low resolution zones). |
| C0200 | Issuer Name | Name of the issuer, defined as the entity that issues assets to investors.When available, this item corresponds to the entity name in the LEI database. When this is not available corresponds to the legal name.The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the issuer name is the name of the fund manager (entity). The authorised management company who can be responsible and is responsible for managing the fund is the one to be reported regardless if some activities have been outsourced, including the actual management of the portfolio, i.e. the decision on buying/selling;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer name is the name of the depositary entity;Regarding CIC 87 and CIC 88, this item shall contain Loans to AMSB members or Loans to other natural persons, according to its nature, as those assets are not required to be individualised;Regarding CIC category 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the information shall relate to the borrower;This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property. |
| C0210 | Issuer Code | Identification of the issuer code using the Legal Entity Identifier (LEI) if available.If none is available this item shall not be reported.The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the issuer code is the code of the fund manager (entity). The authorised management company who can be responsible and is responsible for managing the fund is the one to be reported regardless if some activities have been outsourced, including the actual management of the portfolio, i.e. the decision on buying/selling;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer code is the code of the depositary entityRegarding CIC category 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the information shall relate to the borrower;This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property;This item is not applicable to CIC 87 and CIC 88. |
| C0220 | Type of issuer code | Identification of the type of code used for the ‘Issuer Code’ item. One of the options in the following closed list shall be used:1 – LEI9 – NoneThis item is not applicable to CIC 87 and CIC 88.This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property. |
| C0230 | Issuer Sector | Identify the economic sector of issuer based on the latest version of the Statistical classification of economic activities in the European Community (‘NACE’) code (as published in an EC Regulation). For NACE sections A to N full four-digit reporting of the NACE codes is required, i.e. the letter identifying the Section followed by the 4 digits code for the class shall be used (e.g. ‘K6411’). For the remaining sections the letter reference of the NACE code identifying the Section shall be used as a minimum for identifying sectors (e.g. ‘P’ or ‘P8501’ would be acceptable).The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the issuer sector is the sector of the fund manager;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer sector is the sector of the depositary entity;Regarding CIC category 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the information shall relate to the borrower;This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 – Property;This item is not applicable to CIC 87 and CIC 88. |
| C0240 | Issuer Group | Name of issuer’s ultimate parent entity. For collective investment undertakings the ultimate parent of the fund manager (entity) shall be reported.When available, this item corresponds to the entity name in the LEI database. When this is not available corresponds to the legal name.The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the ultimate parent of the fund manager (entity) shall be reported;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the group relation relates to the depositary entityRegarding CIC category 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the group relation relates to the borrower;This item is not applicable for CIC 87 and CIC 88;This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 – Property;This item is not applicable for bonds issued by:a central government,a local government,a government agency,a central bank,the group/entity itself,a supranational organisation (as long as no issuer group exists). |
| C0250 | Issuer Group Code | Issuer group’s identification using the LEI if available.If none is available, this item shall not be reported.The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the ultimate parent of the fund manager (entity) shall be reported;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the group relation relates to the depositary entity;Regarding CIC category 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the group relation relates to the borrower;This item is not applicable for CIC 87 and CIC 88;This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 – Property;This item is not applicable for bonds issued by:a central governmenta local government,a government agency,a central bank,the group/entity itself,a supranational organization (as long as no issuer group exists). |
| C0260 | Type of issuer group code | Identification of the code used for the ‘Issuer Group Code’ item. One of the options in the following closed list shall be used:1 – LEI9 – None |
| C0270 | Issuer Country | ISO 3166–1 alpha–2 code of the country of localisation of the issuer.The localisation of the issuer is assessed by the address of the entity issuing the asset.The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the issuer country is the country of the fund manager (entity);Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer country is the country of the depositary entity;Regarding CIC category 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the information shall relate to the borrower;This item is not applicable to CIC 87 and CIC 88;This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 – Property.One of the options shall be used:ISO 3166–1 alpha–2 code;XA: Supranational issuers (public institutions established by a commitment between national states, e.g. securities issued by a multilateral development bank as referred to in paragraph 2 of Article 117 of Regulation (EU) No 575/2013 or securities issued by an international organisation referred to in Article 118 of Regulation (EU) No 575/2013, with exemption of European Union Institutions);EU: European Union Institutions (as defined in Article 13 of the Treaty on European Union. |
| C0280 | Currency | Identify the ISO 4217 alphabetic code of the currency of the issue.The following shall be considered:This item is not applicable for CIC 87 and CIC 88, as those assets are not required to be individualised), CIC 75, CIC 09 and for CIC 95 Plant and equipment (for own use) for the same reason;Regarding CIC Category 9 – Property, excluding CIC 95 Plant and equipment (for own use), the currency corresponds to the currency in which the investment was made. |
| C0290 | CIC | Complementary Identification Code used to classify assets, as set out in Annex VI – CIC Table of this Regulation. When classifying an asset using the CIC table, undertakings shall take into consideration the most representative risk to which the asset is exposed to. |
| C0292 | SCR calculation approach for CIU | One of the options in the following closed list shall be used:1 - CIUs for which a full look-through was applied for the purposes of SCR calculation in accordance with Article 84(1) of Delegated Regulation (EU) 2015/35;2 - CIUs for which the simplified look-through was applied on the basis of the target underlying asset allocation or last reported asset allocation and for which the data groupings are used in accordance with Article 84(3) of Delegated Regulation (EU) 2015/35;3 - CIUs for which the simplified look-through was applied on the basis of the target underlying asset allocation or last reported asset allocation and for which no data groupings are used in accordance with Article 84(3) of Delegated Regulation (EU) 2015/35;4 - CIUs for which for the equity risk type 2 was applied in accordance with Article 168(3) of Delegated Regulation (EU) 2015/35;9 - Not applicable.The look-through options of this item shall reflect the approach taken for the SCR calculation. For the purposes of reporting the information on look-through required in template S.06.03 the look-through information is required considering the thresholds defined in the general comments of that template.This item is only applicable to CIC category 4 – Collective Investment Undertakings. |
| C0293 | Bail-in rules | Identify if the asset is subject to bail-in rules, in line with Articles 43 and 44 of Directive 2014/59/EU (the Bank Recovery and Resolution Directive – BRRD).One of the options in the following closed list shall be used:1 – Yes;2 – No;9 – Not applicable. |
| C0294 | Regional Governments and Local Authorities (RGLA) | Identify assets issued or guaranteed by Regional Governments and Local Authorities (RGLA) listed and not listed in the Implementing Regulation (EU) 2015/2011, regarding assets classifiable with CIC 13 and 14.One of the options in the following closed list shall be used:1 – Listed in Implementing Regulation (EU) 2015/2011;2 – Not listed in Implementing Regulation (EU) 2015/2011;9 – Not applicable. |
| C0295 | Crypto-assets | Identify assets linked to crypto-assets.Crypto-asset means a digital representation of value or rights which may be transferred and stored electronically, using distributed ledger technology or similar technology.One of the options in the following closed list shall be used:1 – Electronic money token – a type of crypto-asset the main purpose of which is to be used as a means of exchange and that purports to maintain a stable value by referring to the value of a fiat currency that is legal tender;2 – Asset-referenced token – a type of crypto-asset that purports to maintain a stable value by referring to the value of several fiat currencies that are legal tender, one or several commodities or one or several crypto-assets, or a combination of such assets;3 - Utility token – a type of crypto-asset which is intended to provide digital access to a good or service, available on DLT, and is only accepted by the issuer of that token;4 – Other crypto-assets5 – No. |
| C0296 | Property type | Identify property type, according to ESRB Recommendation of 21 March 2019 amending Recommendation ESRB/2016/14 on closing real estate data gaps.One of the options in the following closed list shall be used:1 – Residential, e.g. multi-household premises;2 – Retail, e.g. hotels, restaurants, shopping malls;3 – Offices, e.g. a property primarily used as professional or business offices;4 – Industrial, e.g. property used for the purposes of production, distribution and logistics;5 – Other types of commercial property;9 – Not applicable.If a property has a mixed use, it shall be considered as different properties (based for example on the surface areas dedicated to each use) whenever it is feasible to make such breakdown, otherwise, the property can be classified according to its dominant use.This item is only applicable to CIC category 9 – Property |
| C0297 | Property location | Identify property location, according to ESRB Recommendation of 21 March 2019 amending Recommendation ESRB/2016/14 on closing real estate data gaps.One of the options in the following closed list shall be used:1 – Prime;2 – Non-prime;9 – Not applicable.This item is only applicable to CIC category 9 – Property |
| C0300 | Infrastructure investment | Identify if the asset is an infrastructure investment as defined in Article 1(55a) and (55b) of Delegated Regulation (EU) 2015/35.One of the options in the following closed list shall be used:1 – Not an infrastructure investment;2 – Infrastructure non-qualifying: Government Guarantee (Government, Central bank, Regional government or local authority);3 – Infrastructure non-qualifying: Government Supported including Public Finance initiative (Government, Central bank, Regional government or local authority);4 – Infrastructure non-qualifying: Supranational Guarantee/Supported (ECB, Multilateral development bank, International organisation);9 – Infrastructure non-qualifying: Other non-qualifying infrastructure loans or investments, not classified under the above categories;12 – Infrastructure qualifying: Government Guarantee (Government, Central bank, Regional government or local authority);13 – Infrastructure qualifying: Government Supported including Public Finance initiative (Government, Central bank, Regional government or local authority);14 – Infrastructure qualifying: Supranational Guarantee/Supported (ECB, Multilateral development bank, International organisation);19 – Infrastructure qualifying: Other qualifying infrastructure investments, not classified in the above categories;20 – European Long-Term Investment Fund (ELTIF investing in infrastructure assets and ELTIF investing in other – non infrastructure – assets). |
| C0310 | Holdings in related undertakings, including participations | Only applicable to CIC categories 3 – Equity and 4 – Collective Investment Undertakings.Identify if an equity and other share is a participation. One of the options in the following closed list shall be used:1 – Not a participation;2 – Is a participation in which the look though approach in accordance with Article 84 of Delegated Regulation (EU) 2015/35 is applied;3 – Is a participation in which the look though approach in accordance with Article 84 of Delegated Regulation (EU) 2015/35 is not applied. |
| C0320 | External rating | Applicable at least to CIC categories 1 – Government bonds, 2 – Corporate bonds, 5 – Structured notes, 6 – Collateralised securities, CIC 87 and CIC 88, where available.This is the issue rating of the asset at the reporting reference date as provided by the nominated credit assessment institution (ECAI).If an issue rating is not available, the item shall be left blank. |
| C0330 | Nominated ECAI | Identify the credit assessment institution (ECAI) giving the external rating in C0320, by using the name of the ECAI as published on ESMA’s website. In case of ratings issued by subsidiaries of the ECAI please report the parent ECAI (the reference is made to ESMA list of credit rating agencies registered or certified in accordance with Regulation (EC) No 1060/2009 on credit rating agencies).Applicable at least to CIC categories 1 – Government bonds, 2 – Corporate bonds, 5 – Structured notes, 6 – Collateralised securities and 8 – Mortgages and Loans, (other than CIC 87 and CIC 88), where available.This item shall be reported where External rating (C0320) is reported. In case ‘No ECAI has been nominated and a simplification is used to calculate the SCR’, the External rating (C0320) shall be left blank and in Credit quality step (C0340) one of the following options shall be used: 2a; 3a or 3b. |
| C0340 | Credit quality step | Applicable to any asset for which Credit quality step needs to be attributed for the purpose of SCR calculation.Identify the credit quality step attributed to the asset, as defined by Article 109a(1) of Directive 2009/138/EC, by applying the mapping table prescribed in Implementing Regulation (EU) 2016/1800.The credit quality step shall in particular reflect any readjustments to the credit quality made internally by the undertakings that use the standard formula.This item is not applicable to assets for which undertakings using internal model use internal ratings. If undertakings using internal model do not use internal rating, this item shall be reported.One of the options in the following closed list shall be used:0 – Credit quality step 0;1 – Credit quality step 1;2 – Credit quality step 2;2a – Credit quality step 2 due to the application of Article 176a of Delegated Regulation (EU) 2015/35 for unrated bonds and loans;3 – Credit quality step 3;3a – Credit quality step 3 due to the application of the simplified calculation under Article 105a of Delegated Regulation (EU) 2015/35;3b – Credit quality step 3 due to the application of Article 176a of Delegated Regulation (EU) 2015/35 for unrated bonds and loans;4 – Credit quality step 4;5 – Credit quality step 5;6 – Credit quality step 6;9 – No rating available. |
| C0350 | Internal rating | Applicable at least to CIC categories 1- Government bonds, 2 – Corporate bonds, 5 – Structured notes, 6 – Collateralised securities and 8 – Mortgages and Loans, (other than CIC 87 and CIC 88), where available.Internal rating of assets for undertakings using internal ratings.For undertakings applying a matching adjustment the item shall be reported to the extent that the internal ratings are used to calculate the fundamental spread referred to in Article 77c(2) of Directive 2009/138/EC. |
| C0360 | Duration | Only applicable to CIC categories 1 – Government bonds, 2 – Corporate bonds, 4 – Collective Investments Undertakings (when applicable, e.g. for collective investment undertaking mainly invested in bonds), 5 – Structured notes and 6 – Collateralised securities.Asset duration, defined as the ‘residual modified duration’ (modified duration calculated based on the remaining time for maturity of the security, counted from the reporting reference date). For assets without fixed maturity the first call date shall be used but the probability of the call option being exercised shall be taken into account. The duration shall be calculated based on economic value. |
| C0370 | Unit Solvency II price | Amount in reporting currency for the asset, if relevant.This item shall be reported if a ‘quantity’ (C0130) has been provided in the first part of the template (‘Information on positions held’).This item shall not be reported if item Unit percentage of par amount Solvency II price (C0380) is reported. |
| C0380 | Unit percentage of par amount Solvency II price | Amount in percentage of par value, clean price without accrued interest, for the asset, if relevant.This item shall be reported if a ‘par amount’ information (C0140) has been provided in the first part of the template (‘Information on positions held’) except for CIC 71 and CIC category 9 – Property.This item shall not be reported if item Unit Solvency II price (C0370) is reported. |
| C0390 | Maturity date | Only applicable for CIC categories 1 – Government bonds, 2 – Corporate bonds, 5 – Structured notes, 6 – Collateralised securities, and 8 – Mortgages and Loans, CIC 74 and CIC 79.Identify the ISO 8601 (yyyy–mm–dd) code of the maturity date.It corresponds always to the maturity date, even for callable securities.The following shall be considered:For perpetual securities use 9999–12–31;For CIC 87 and CIC 88, the weighted (based on the loan amount) remaining maturity is to be reported. |
S.06.03 – Collective investment undertakings – look–through approach
General comments:
This section relates to quarterly and annual submission of information for individual entities.
This template contains information on the look through of collective investment undertakings or investments packaged as funds, including when they are participations, by underlying asset category, country of issue and currency. Considering proportionality and specific instructions of the template, the look through shall be performed until the asset categories, countries and currencies are identified. In case of funds of funds the look–through shall follow the same approach.
The template shall include information corresponding to 100 % of the value invested in collective investment undertakings. However, for the identification of countries the look–through shall be implemented in order to identify the exposures of 90 % of the total value of the funds minus the amounts relating to CIC 8 and 9, and for the identification of currencies the look–through shall be implemented in order to identify the exposures of 90 % of the total value of the funds. Undertakings shall ensure that the 10 % not identified by country is diversified across geographical areas, for example that not more than 5 % is in one single country. The look-through shall be applied by undertakings starting from the major, considering the amount invested, to the lowest single fund and the approach shall be kept consistent over time.
Quarterly information shall only be reported when the ratio of collective investments undertakings held by the undertaking to total investments, measured as the ratio between item C0010/R0180 of template S.02.01 plus collective investments undertakings included in item C0010/R0220 of template S.02.01 plus collective investments undertakings included in item C0010/R0090 and the sum of item C0010/R0070 and C0010/RC0220 of template S.02.01, is higher than 30 %.
Items shall be reported with positive values unless otherwise stated in the respective instructions.
The asset categories referred to in this template are the ones defined in Annex IV – Assets Categories of this Regulation and references to CIC codes refer to Annex VI – CIC table of this Regulation.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Collective Investments Undertaking ID Code | Asset ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available, and must be consistent over time |
| C0020 | Collective Investments Undertaking ID Code type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO/6166 for ISIN2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertaking |
| C0030 | Underlying asset category | Identify the assets categories, receivables and derivatives within the collective investment undertaking. One of the options in the following closed list shall be used:1 – Government bonds2 – Corporate bonds3L – Listed equity3X – Unlisted equity4 – Collective Investment Undertakings5 – Structured notes6 – Collateralised securities7 – Cash and deposits8 – Mortgages and loans9 – Properties0 – Other investments (including receivables)A – FuturesB-Call OptionsC – Put OptionsD – SwapsE – ForwardsF – Credit derivativesL – LiabilitiesCategory 4 – Collective Investment Undertakings shall be used only for non–material residual values for both funds of funds and any other fund. |
| C0040 | Country of issue | Breakdown of each asset category identified in C0030 by issuer country. Identify the country of localisation of the issuer.The localisation of the issuer is assessed by the address of the entity issuing the asset.One of the options shall be used:ISO 3166–1 alpha–2 codeXA: Supranational issuersEU: European Union InstitutionsAA: aggregated countries due to application of thresholdThis item is not applicable to Categories 7, 8 and 9 as reported in C0030. |
| C0050 | Currency | Identify whether the currency of the asset category is the reporting currency or a foreign currency. All other currencies than the reporting currency are referred to as foreign currencies. One of the options in the following closed list shall be used:1 — Reporting currency2 — Foreign currency3 — Aggregated currencies due to application of threshold |
| C0060 | Total amount | Total amount invested by asset category, country and currency through collective investment undertakings.For liabilities a positive amount shall be reported, unless the item is a derivative liability.For derivatives the Total amount can be positive (if an asset) or negative (if a liability). |
S.06.04 – Climate change-related risks to investments
General comments:
This template shall be reported in case of regular reporting even if no KPI is provided. In case no KPI is reported a justification is necessary to be provided in R0040/C0010 and/or R0050/C0010.
This section relates to annual submission of information for individual entities.
This template contains information on the share of investments exposed to climate change-related transition and physical risk. As an input to computing the share of investments exposed to transition risk, undertakings are required to report four-digit level NACE codes for NACE sections A to N in the List of assets S.06.02. For physical risk, undertakings are required to report in a standardised manner on the location of properties in the List of assets S.06.02.
| R0010/C0010 | Climate change-related transition risk – KPI | Proportion of the Solvency II value of investments exposed to transition risk, in relation to total of investments. Undertakings may use their own methodology to compute the KPI. The identification of investments exposed to transition risk shall be consistent with the classification made and reported through the four-digit level NACE codes for NACE sections A to N, as prescribed in S.06.02. |
| R0020/C0010 | Climate change-related physical risk – KPI | Proportion of the Solvency II value of property exposed to physical risk, in relation to total of property. Undertakings can use their own methodology to compute the KPI. The identification of properties exposed to physical risk should be consistent with the identification made, in C0190 Item Title in S.06.02. |
| R0030/C0010 | Justification for not reporting climate change-related transition risk – KPI | Explanation of why the KPI on climate change-related transition risk was not reported (e.g. not material). |
| R0040/C0010 | Justification for not reporting climate change-related physical risk – KPI | Explanation of why the KPI on climate change-related physical risk was not reported (e.g. not material). |
S.07.01 – Structured products
General comments:
This section relates to annual submission of information for individual entities.
The asset categories referred to in this template are the ones defined in Annex IV – Assets Categories of this Regulation and references to CIC codes refer to Annex VI – CIC table of this Regulation.
This template contains an item–by–item list of structured products held directly by the undertaking in its portfolio (i.e. not on a look–through basis). Structured products are defined as assets falling into the asset categories 5 (Structured notes) and 6 (Collateralised securities).
This template shall only be reported when the amount of structured products, measured as the ratio between assets classified as asset categories 5 (Structured notes) and 6 (Collateralised securities) as defined in Annex IV – Asset Categories of this Regulation and the sum of item C0010/R0070 and C0010/R0220 of template S.02.01, is higher than 5 %.
In some cases the types of structured products (C0070) identify the derivative embedded in the structured product. In this case this classification shall be used when the structured product has the referred derivative embedded.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0040 | Asset ID Code | The Identification code of the structured product, as reported in S.06.02. using the following priority:ISO 6166 ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available. The code used shall be kept consistent over time and shall not be reused for other product.When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code + EUR’ |
| C0050 | Asset ID Code type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO/6166 for ISIN2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertakingWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘99/1’. |
| C0060 | Collateral type | Identify the type of collateral, using the assets categories defined in Annex IV – Assets Categories. One of the options in the following closed list shall be used:1 – Government bonds2 – Corporate bonds3 – Equity4 – Collective Investment Undertakings5 – Structured notes6 – Collateralised securities7 – Cash and deposits8 – Mortgages and loans9 – Properties0 – Other investments10 – No collateralWhen more than one category of collateral exists for one single structured product, the most representative one shall be reported. |
| C0070 | Type of structured product | Identify the type of structure of the product. One of the options in the following closed list shall be used:1 – Credit linked notesSecurity or deposit with an embedded credit derivative (e.g. credit default swaps or credit default options)2 – Constant maturity swaps(security with an embedded interest rate swap (IRS), where the floating interest portion is reset periodically according to a fixed maturity market rate.)3 – Asset backed securities(security that has an asset as collateral.)4 – Mortgage backed securities(security that has real estate as collateral.)5 – Commercial mortgage backed securities(security that has real estate as collateral such as retail properties, office properties, industrial properties, multifamily housing and hotels.)6 – Collateralised debt obligations(structured debt security backed by a portfolio consisting of secured or unsecured bonds issued by corporate or sovereign obligators, or secured or unsecured loans made to corporate commercial and industrial loan costumers of lending banks.)7 – Collateralised loan obligations(security that has as underlying a trust of a portfolio of loans where the cash–flows from the security are derived from the portfolio.)8 – Collateralised mortgage obligations(investment–grade security backed by a pool of bonds, loans and other assets.)9 – Interest rate–linked notes and deposits10 – Equity–linked and Equity Index Linked notes and deposits11 – FX and commodity–linked notes and deposits12 – Hybrid linked notes and deposits(it includes real estate and equity securities)13 – Market–linked notes and deposits14 – Insurance–linked notes and deposits, including notes covering Catastrophe and Weather Risk as well as Mortality Risk99 – Others not covered by the previous options |
| C0080 | Capital protection | Identify whether the product has capital protection. One of the options in the following closed list shall be used:1 – Full capital protection2 – Partial capital protection3 – No capital protection |
| C0090 | Underlying security/index/portfolio | Describe the type of underlying. One of the options in the following closed list shall be used:1 – Equity and Funds (a selected group or basket of equities)2 – Currency (a selected group or basket of currencies)3 – Interest rate and yields (bond indices, yield curves, differences in prevailing interest rates on shorter and longer–term maturities, credit spreads, inflation rates and other benchmarks related to interest rates or yield)4 – Commodities (a selected, basic good or group of goods)5 – Index (performance of a selected index)6 – Multi (allowing for a combination of the possible types listed above)9 – Others not covered by the previous options (e.g. other economic indicators) |
| C0100 | Callable or Putable | Identify whether the product has call and/or put features, or both, if applicable. One of the options in the following closed list shall be used:1 – Call by the buyer2 – Call by the seller3 – Put by the buyer4 – Put by the seller5 – Any combination of the previous options6 – Not applicable |
| C0110 | Synthetic structured product | Identify if it is a structured products without any transfer of assets (e.g. products that will not give rise to any delivery of assets, except cash, if an adverse/favourable event occurs). One of the options in the following closed list shall be used:1 – Structured product without any transfer of asset2 – Structured product with transfer of asset |
| C0120 | Prepayment structured product | Identify if it is a structured products which have the possibility of prepayment, considered as an early unscheduled return of principal. One of the options in the following closed list shall be used:1 – Prepayment structured product2 – Not a prepayment structured product |
| C0130 | Collateral value | Total amount of collateral attached to the structured product despite the nature of the collateral.In case of collateralisation on a portfolio basis, only the value referred to the single contract must be reported and not the total. |
| C0140 | Collateral portfolio | This item informs if the collateral to the structured product covers only one structured product or more than one structured product that is held by the undertaking. Net positions refer to the positions held on structured products. One of the options in the following closed list shall be used:1 – Collateral calculated on the basis of net positions resulting from a set of contracts2 – Collateral calculated on the basis of a single contract10 – No collateral |
| C0150 | Fixed annual return | Identify the coupon (reported as a decimal), if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). |
| C0160 | Variable annual return | Identify variable rate of return, if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). It is most commonly identified as a benchmark market rate plus a spread, or as dependent on the performance of a portfolio or index (underlying dependent) or more complex returns set by the path of the underlying asset’s price (path dependent), among others.When needed this item may be reported as a string to reflect how the return is calculated. |
| C0170 | Loss given default | The percentage (reported as a decimal) of the invested amount that will not be recovered following default, if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities).If information is not defined in the contract this item shall not be reported. This item is not applicable for non–credit structured product. |
| C0180 | Attachment point | The contractually defined loss percentage (reported as a decimal) above which the losses affect the structured product, if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). This item is not applicable for non–credit structured product. |
| C0190 | Detachment point | The contractually defined loss percentage (reported as a decimal) above which the losses seize to affect the structured product, if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). This item is not applicable for non–credit structured product. |
S.08.01 – Open derivatives
General comments:
a)Its value changes in response to the change in a specified interest rate, financial instrument price, commodity price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided in the case of a non–financial variable that the variable is not specific to a party to the contract (sometimes called the ‘underlying’).
a)through a decision of the national supervisory authority under Article 35(6) and (7) of Directive 2009/138/EC; or
b)It requires no initial net investment or an initial net investment that is smaller than would be required for other types of contracts that would be expected to have a similar response to changes in market factors.
b)through a decision of the national supervisory authority in the cases where the insurance and reinsurance undertakings have in place outsourcing arrangements in the area of investments that lead to this specific information not being available directly to the undertaking.
c)It is settled at a future date.
This section relates to quarterly and annual submission of information for individual entities.
The derivatives categories referred to in this template are the ones defined in Annex IV – Assets Categories of this Regulation and references to CIC codes refer to Annex VI – CIC table of this Regulation. This template contains an item–by–item list of derivatives held directly by the undertaking (i.e. not on a look–through basis), classifiable as asset categories A to F.
This template covers derivatives traded on a stock exchange or equivalent centralised market, as well as derivatives traded over-the-counter.
When a derivative is traded on a stock exchange or equivalent centralised market, the counterparty is that a stock exchange or equivalent centralised market and not the end-counterparty, as is the case for derivatives traded over-the-counter.
Derivatives are considered assets if their Solvency II value is positive or zero. They are considered liabilities if their Solvency II value is negative. Both derivatives considered as assets or considered as liabilities shall be included.
Information shall include all derivatives contracts that existed during the reporting period and were not closed prior to the reporting reference date.
If there are frequent trades on the same derivative, resulting in multiple open positions, the derivative can be reported on an aggregated or net basis, as long as all the relevant characteristics are common and following the specific instruction for each relevant item.
Items shall be reported with positive values unless otherwise stated in the respective instructions.
A derivative is a financial instrument or other contract with all three of the following characteristics:
This template comprises two tables: Information on positions held and Information on derivatives.
On the table Information on positions held, each derivative shall be reported separately in as many rows as needed in order to properly fill in all non-monetary variables, requested in that table. If for the same derivative two values can be attributed to one variable, then this derivative needs to be reported in more than one line.
In particular, for derivatives that have more than a pair of currencies, it shall be split into the pair components and reported in different rows.
On the table Information on derivative, each derivative shall be reported separately, with one row for each derivative, filling in all variables requested in that table.
The information regarding the External rating (C0290) and Nominated ECAI (C0300) may be limited (not reported) in the following circumstances:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Information on positions held | ||
| C0040 | Derivative ID Code | Derivative ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available, and must be consistent over time |
| C0041 | Unique Transactions Identifier | Identify the Trade IDs used in the trade reports to trade repositories according to Regulation (EU) No 648/2012 on OTC derivatives, central counterparties and trade repositories.As many Trade IDs as needed to build the position being reported should be reported in this item. The trade IDs shall be reported separated by commas.This item shall be reported with ‘No ID’ when the derivative not in the scope of Regulation (EU) No 648/2012. |
| C0050 | Derivative ID Code type | Type of ID Code used for the ‘Derivative ID Code’ item. One of the options in the following closed list shall be used:1 – ISO/6166 for ISIN2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertaking |
| C0060 | Portfolio | Distinction between life, non–life, shareholder’s funds, general (no split) and ring-fenced funds.Underlying derivatives of life technical provisions shall be assigned to life portfolio and underlying derivatives of non-life technical provisions shall be assigned to non-life portfolio (by applying the available most precise split).One of the options in the following closed list shall be used:1 – Life2 – Non–life3 – Ring fenced funds4 – Other internal fund5 – Shareholders’ funds6 – GeneralThe split is not mandatory, unless otherwise required by the national supervisory authority, except for identifying ring fenced funds, but shall be reported if the undertaking uses it internally. When an undertaking does not apply a split ‘general’ shall be used. |
| C0070 | Fund number | Applicable to derivatives held in ring fenced funds or other internal funds, defined at national level, in particular regarding funds (asset portfolios) supporting life products.Number or code which is attributed by the undertaking, corresponding to the unique number or code assigned to each fund. This number or code has to be consistent over time and shall be used to identify the same funds in other templates (e.g. in S.06.02, S.14.01). It shall not be re–used for a different fund. |
| C0080 | Derivatives held in unit linked and index linked contracts | Identify the derivatives that are held by unit linked and index linked contracts. One of the options in the following closed list shall be used:1 – Unit–linked or index–linked2 – Neither unit–linked nor index–linked |
| C0090 | Instrument underlying the derivative | ID Code of the instrument (asset or liability) underlying the derivative contract. This item is to be provided only for derivatives that have a single or multiple underlying instruments in the undertakings’ portfolio. An index is considered a single instrument and shall be reported. Identification code of the instrument underlying the derivative using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking for the underling instrument when the options above are not available and must be unique and consistent over time for that instrument;Multiple assets/liabilities, if the underlying assets or liabilities are more than one.If the underlying instrument is an index, then the code of the index shall be reported. |
| C0100 | Type of code of asset or liability underlying the derivative | Type of ID Code used for the ‘Instrument underlying the derivative’ item. One of the options in the following closed list shall be used:1 — ISO/6166 for ISIN2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 — WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 — Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 — BBGID (The Bloomberg Global ID)7 — Reuters RIC (Reuters instrument code)8 — FIGI (Financial Instrument Global Identifier)9 — Other code by members of the Association of National Numbering Agencies99 — Code attributed by the undertaking in case that none of the above options are available. This option shall also be used for the cases of Multiple assets/liabilities and indexes |
| C0110 | Use of derivative | Describe the use of the derivative (micro/macro hedge, efficient portfolio management).Micro hedge refers to derivatives covering a single financial instrument (asset or liability), forecasted transaction or other liability.Macro hedge refers to derivatives covering a set of financial instruments (assets or liabilities), forecasted transactions or other liabilities.Efficient portfolio management refers usually to operations where the manager wishes to improve a portfolio’ income by exchanging a (lower) cash–flow pattern by another with a higher value, using a derivative or set of derivatives, without changing the asset’ portfolio composition, having a lower investment amount and less transaction costs.One of the options in the following closed list shall be used:1 – Micro hedge2 – Macro hedge3 – Matching assets and liabilities cash–flows used in the context of matching adjustment portfolios4 – Efficient portfolio management, other than Matching assets and liabilities cash–flows used in the context of matching adjustment portfolios |
| C0131 | Notional amount of the derivative | The amount covered or exposed to the derivative, reported in the original currency.For futures and options corresponds to contract size multiplied by the trigger value and by the number of contracts reported in that line. For swaps and forwards it corresponds to the contract amount of the contracts reported in that line. When the trigger value corresponds to a range, the average value of the range shall be used.The notional amount refers to the amount that is being hedged/invested (when not covering risks). If several trades occur, it shall be the net amount at the reporting date. |
| C0140 | Buyer/Seller | Only for futures and options, swaps and credit derivatives contracts.Identify whether the derivative contract was bought or sold.The buyer and seller position for swaps is defined relatively to the security or notional amount and the swap flows.A seller of a swap owns the security or notional amount at the contract inception and agrees to deliver during the contract term that security or notional amount, including any other outflows related to the contract, when applicable.A buyer of a swap will own the security or the notional amount at the end of the derivatives contact and will receive during the contract term that security or notional amount, including any other inflows related to the contract, when applicable.One of the options in the following closed list shall be used, with the exception of Interest Rate Swaps:1 – Buyer2 – SellerFor interest rate swaps one of the options in the following closed list shall be use:3 – FX–FL: Deliver fixed–for–floating4 – FX–FX: Deliver fixed–for–fixed5 – FL–FX: Deliver floating–for–fixed6 – FL–FL: Deliver floating–for–floating |
| C0150 | Premium paid to date | The payment made (if bought), for options and also up–front and periodical premium amounts paid for swaps, since the moment the undertaking entered into the derivative contract. |
| C0160 | Premium received to date | The payment received (if sold), for options and also up–front and periodical premium amounts received for swaps, since the moment the undertaking entered into the derivative contract. |
| C0170 | Number of contracts | Number of similar derivative contracts reported in the line. It shall be the number of contracts entered into. For Over–The–Counter derivatives, e.g., one swap contract, ‘1’ shall be reported, if ten swaps with the same characteristics, ‘10’ shall be reported.The number of contracts can be non-integer, when there is a need to split contracts.The number of contracts shall be the ones outstanding at the reporting date. |
| C0180 | Contract size | Number of underlying assets in the contract (e.g. for equity futures it is the number of equities to be delivered per derivative contract at maturity, for bond futures it is the reference amount underlying each contract).The way the contract size is defined varies according with the type of instrument. For futures on equities it is common to find the contract size defined as a function of the number of shares underlying the contract.For futures on bonds, it is the bond nominal amount underlying the contract.Only applicable for futures and options. |
| C0190 | Maximum loss under unwinding event | Maximum amount of loss if an unwinding event occurs. Applicable to CIC category F.Where a credit derivative is 100 % collateralised, the maximum loss under an unwinding event is zero. |
| C0200 | Swap outflow amount | Amount delivered under the swap contract (other than premiums), during the reporting period. Corresponds to interest paid for IRS and amounts delivered for currency swaps, credit swaps, total return swaps and other swaps.In the cases where the settlement is made on a net basis then only one of the items C0200 and C0210 shall be reported. |
| C0210 | Swap inflow amount | Amount received under the swap contract (other than premiums), during the reporting period. Corresponds to interest received for IRS and amounts received for currency swaps, credit swaps, total return swaps and other swaps.In the cases where the settlement is made on a net basis then only one of the items C0200 and C0210 shall be reported. |
| C0220 | Initial date | Identify the ISO 8601 (yyyy–mm–dd) code of the date when obligations under the contract come into effect.When various dates occur for the same derivative, report only the one regarding the first trade date of the derivative and only one row for each derivative (no different rows for each trade) reflecting the total amount invested in that derivative considering the different dates of trade.In case of novation, the novation date becomes the trade date for that derivative. |
| C0230 | Duration | Derivative duration, defined as the residual modified duration, for derivatives for which a duration measure is applicable.Calculated as the net duration between in and out flows from the derivative, when applicable. |
| C0240 | Solvency II value | Value of the derivative as of the reporting date calculated as defined by Article 75 of Directive 2009/138/EC. It can be positive, negative or zero. |
| C0250 | Valuation method | Identify the valuation method used when valuing derivatives. One of the options in the following closed list shall be used:1 – quoted market price in active markets for the same assets or liabilities2 – quoted market price in active markets for similar assets or liabilities3 – alternative valuation methods6 – market valuation according to Article 9(4) of Delegated Regulation (EU) 2015/35 |
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Information on derivatives | ||
| C0040 | Derivative ID Code | Derivative ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available, and must be consistent over time |
| C0050 | Derivative ID Code type | Type of ID Code used for the ‘Derivative ID Code’ item. One of the options in the following closed list shall be used:1 – ISO/6166 for ISIN2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertaking |
| C0260 | Counterparty Name | Name of the counterparty of the derivative. When available, this item corresponds to the entity name in the LEI database. When not available, corresponds to the legal name.The following shall be considered:Name of the exchange market for exchanged traded derivatives; orName of Central Counterparty (CCP) for Over–The–Counter derivatives where they are cleared through a CCP; orName of the contractual counterparty for the other Over–The–Counter derivatives. |
| C0270 | Counterparty Code | Identification code of the counterparty using the following priority:LEI, when availableCode attributed by the undertaking, when LEI is not available, which shall be consistent over timeThis item is applicable to all counterparties, including for derivatives cleared through a central counterparty, in which case the Counterparty code refers to that central counterparty. |
| C0280 | Type of counterparty code | Identification of the code used for the ‘Counterparty Code’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0290 | External rating | Only applicable to Over–The–Counter derivatives.The rating of the counterparty of the derivative at the reporting reference date as provided by the nominated credit assessment institution (ECAI).This item is not applicable to derivatives for which undertakings using internal model use internal ratings. If undertakings using internal model do not use internal rating, this item shall be reported.If an issuer rating is not available, the item shall be left blank. |
| C0300 | Nominated ECAI | Identify the credit assessment institution (ECAI) giving the external rating in C0290, by using the name of the ECAI as published on ESMA’s website. In case of ratings issued by subsidiaries of the ECAI please report the parent ECAI (the reference is to ESMA list of credit rating agencies registered or certified in accordance with Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies).This item shall be reported when External rating (C0290) is reported. |
| C0310 | Credit quality step | Identify the credit quality step attributed to the counterparty of the derivative, as defined by Article 109a(1) of Directive 2009/138/EC. The credit quality step shall reflect any readjustments to the credit quality made internally by the undertakings that use the standard formula.This item is not applicable to derivatives for which undertakings using internal model use internal ratings. If undertakings using internal model do not use internal rating, this item shall be reported.One of the options in the following closed list shall be used:0 – Credit quality step 01 – Credit quality step 12 – Credit quality step 23 – Credit quality step 34 – Credit quality step 45 – Credit quality step 56 – Credit quality step 69 – No rating available |
| C0320 | Internal rating | Internal rating of derivatives for undertakings using internal ratings.For undertakings applying a matching adjustment the internal rating shall be reported to the extent that the internal ratings are used to calculate the fundamental spread referred to in Article 77c(2) of Directive 2009/138/EC. |
| C0330 | Counterparty group | Only applicable to Over–The–Counter derivatives, regarding contractual counterparties other than an exchange market and Central Counterparty (CCP).Name of the ultimate parent entity of counterparty. When available, this item corresponds to the entity name in the LEI database. When not available, corresponds to the legal name. |
| C0340 | Counterparty group code | Only applicable to Over–The–Counter derivatives, regarding contractual counterparties other than an exchange market and Central Counterparty (CCP).Identification code of the counterparty using the following priority:LEI, when availableCode attributed by the undertaking, when LEI is not available, which shall be consistent over timeWhen not applicable, this item shall not be reported. |
| C0350 | Type of counterparty group code | Identification of the code used for the ‘Counterparty group Code’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0360 | Contract name | Name of the derivative contract. |
| C0370 | Currency | Identify the ISO 4217 alphabetic code of the currency of the derivative, i.e., currency of the notional amount of the derivative (e.g.: option having as underlying an amount in USD, currency for which the notional amount is expressed contractually for FX swap, etc.). |
| C0371 | Currency of price | The ISO 4217 alphabetic code of the currency of the price of the derivative shall be identify, i.e. currency of the amount exchanged against the notional amount of the derivative. For example, if the undertaking is paying (or receiving) currency A for the notional amount (currency B), the currency of the price is A. The currency of the notional amount is B, reported in (C0370). |
| C0380 | CIC | Complementary Identification Code used to classify assets, as set out in Annex – VI CIC Table of this Regulation. When classifying derivatives using the CIC table, undertakings shall take into consideration the most representative risk to which the derivative is exposed to. |
| C0390 | Trigger value | Reference price for futures, strike price for options (for bonds, price shall be a percentage of the par amount), currency exchange rate or interest rate for forwards, etc.Not applicable to CIC D3 – Interest rate and currency swaps. For CIC F1 – Credit default swaps it shall not be completed if not possible.In the case of more than one trigger over time, report the next trigger occurring.When the derivative has a range of trigger values, report the set separated by comma ‘,’ if the range is not continuous and report the range separated by ‘–’ if it is continuous. |
| C0400 | Unwind trigger of contract | The event that causes the unwinding of the contract, out of the regular expiration or term conditions, shall be identified. One of the options in the following closed list shall be used:1 – Bankruptcy of the underlying or reference entity2 – Adverse fall in value of the underlying reference asset3 – Adverse change in credit rating of the underlying assets or entity4 – Novation, i.e. the act of replacing an obligation under the derivative with a new obligation, or replacing a party of the derivative with a new party5 – Multiple events or a combination of events6 – Other events not covered by the previous options9 – No unwind trigger |
| C0430 | Maturity date | Identify the contractually defined ISO 8601 (yyyy–mm–dd) code of the date of close of the derivative contract, whether at maturity date, expiring date for options (European or American), etc. |
| C0440 | Swap delivered | Identify what the undertaking delivers under the swap contract (E.g. Euribor + 0,5 %; 2,3 %; EUR). |
| C0450 | Swap received | Identify what the undertaking receives under the swap contract (E.g. Euribor + 0,5 %; 2,3 %; EUR). |
S.09.01 – Information on gains/income and losses in the period
General comments:
This section relates to annual submission of information for individual entities.
This template contains information on gains/income and losses by asset category (including derivatives). i.e., no item–by–item reporting is required. The asset categories considered in this template are the ones defined in Annex IV – Assets Categories.
Items shall be reported with positive values unless otherwise stated in the respective instructions.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0040 | Asset category | Identify the asset categories present in the portfolio.Use the categories defined in Annex IV – Assets Categories. |
| C0050 | Portfolio | Distinction between life, non–life, shareholder’s funds, other internal funds, general (no split) and ring-fenced funds. Gains/income and losses regarding assets underlying life technical provisions shall be assigned to life portfolio and gains/income and losses regarding assets underlying non-life technical provisions shall be assigned to non-life portfolio (by applying the available most precise split).One of the options in the following closed list shall be used:1 – Life2 – Non–life3 – Ring fenced funds4 – Other internal funds5 – Shareholders’ funds6 – GeneralThe split is not mandatory, unless otherwise required by the national supervisory authority, except for identifying ring fenced funds, but shall be reported if the undertaking uses it internally. When an undertaking does not apply a split ‘general’ shall be used. |
| C0060 | Asset held in unit linked and index linked contracts | Identify the assets that are held by unit linked and index linked contracts. One of the options in the following closed list shall be used:1 – Unit–linked or index–linked2 – Neither unit–linked nor index–linked |
| C0070 | Dividends | Amount of dividends earned over the reporting period, i.e. dividends received less the right to receive a dividend already recognised at the beginning of the reporting period, plus the right to receive a dividend recognised at the end of the reporting period. Applicable to dividend paying assets such as equity, preferred securities and collective investment undertakings.Includes also dividends received from assets that have been sold or matured. |
| C0080 | Interest | Amount of interest earned, i.e. interest received less accrued interest at the start of the period plus accrued interest at the end of the reporting period.Includes interest received when the asset is sold/matured or when the coupon is received.Applicable to coupon and interest paying assets such as bonds, loans and deposits. |
| C0090 | Rent | Amount of rent earned i.e. rent received less accrued rent at the start of the period plus accrued rent at the end of the reporting period. Includes also rents received when the asset is sold or matured.Only applicable to properties, regardless of the function. |
| C0100 | Net gains and losses | Net gains and losses resulting from assets sold or matured during the reporting period.The gains and losses are calculated as the difference between selling or maturity value and the value according to Article 75 of Directive 2009/138/EC at the end of the prior reporting year (or, in case of assets acquired during the reporting period, the acquisition value).The net value can be positive, negative or zero.This calculation shall be performed without interest accrued. |
| C0110 | Unrealised gains and losses | Unrealised gains and losses resulting from assets not sold nor matured during the reporting period.The unrealised gains and losses are calculated as the difference between the value according to Article 75 of Directive 2009/138/EC at the end of the reporting year end and the value according to Article 75 of Directive 2009/138/EC at the end of the prior reporting year (or, in case of assets acquired during the reporting period, the acquisition value).The net value can be positive, negative or zero.This calculation shall be performed without interest accrued. |
S.10.01 – Securities lending and repos
General comments:
This section relates to annual submission of information for individual entities.
This template contains an item–by–item list of securities lending transactions and repurchase agreements (buyer and seller) contracts, held directly by the undertaking (i.e. not on a look–through basis), which also include the liquidity swaps referred to in Article 309(2)(f) of Delegated Regulation (EU) 2015/35.
It shall be reported only when the value of the underlying securities on and off-balance sheet involved in lending or repurchase agreements, with maturity date falling after the reporting reference date represent more than 5 % of the total investments as reported in C0010/R0070 and C0010/R0220 of template S.02.01.
All contracts that are on the balance sheet or off-balance sheet shall be reported. The information shall include all contracts in the reporting period regardless of whether they were open or closed at the reporting date. For contracts which are part of a roll–over strategy, where they substantially are the same transaction, only open positions shall be reported.
A repurchase agreement (repo) is defined as the sale of securities together with an agreement for the seller to buy back the securities at a later date. Securities lending is defined as the lending of securities by one party to another, which requires that the borrower provides the lender with collateral.
Items shall be reported with positive values unless otherwise stated in the respective instructions.
The asset categories referred to in this template are the ones defined in Annex IV – Assets Categories of this Regulation and references to CIC codes refer to Annex VI – CIC table of this Regulation.
Each repo and securities lending contract shall be reported in as many rows as needed to provide the information requested. If for one item one option fits one part of the instrument being reported and a different option fits the other part, then the contract needs to be unbundled unless is stated otherwise in the instructions.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0040 | Portfolio | Distinction between life, non–life, shareholder’s funds, general (no split) and ring-fenced funds. Underlying assets of life technical provisions shall be assigned to life portfolio and underlying assets of non-life technical provisions shall be assigned to non-life portfolio (by applying the available most precise split).One of the options in the following closed list shall be used:1 – Life2 – Non–life3 – Ring fenced funds4 – Other internal fund5 – Shareholders’ funds6 – GeneralThe split is not mandatory, unless otherwise required by the national supervisory authority, except for identifying ring fenced funds, but shall be reported if the undertaking uses it internally. When an undertaking does not apply a split ‘general’ shall be used.For assets held off–balance sheet this item shall not be reported. |
| C0050 | Fund number | Applicable to assets held in ring fenced funds or other internal funds, defined according to national markets, in particular regarding funds (asset portfolios) supporting life products.Number or code which is attributed by the undertaking, corresponding to the unique number or code assigned to each fund. This number or code has to be consistent over time and shall be used to identify the same funds in other templates (e.g. in S.06.02, S.14.01). It shall not be re–used for a different fund.The Fund Number is not mandatory, unless otherwise required by the national supervisory authority. |
| C0060 | Asset category | Identify the asset category of the underlying asset lent/provided as part of a securities lending transactions or repurchase agreements.Use the categories defined in Annex IV – Assets Categories of this Regulation. |
| C0070 | Counterparty Name | Name of the counterparty of the contract.When available, this item corresponds to the entity name in the LEI database. When not available, corresponds to the legal name. |
| C0080 | Counterparty code | Identification code of the counterparty using the Legal Entity Identifier (LEI) if available.If none is available, this item shall not be reported. |
| C0090 | Type of counterparty code | Identification of the code used for the ‘Counterparty Code’ item. One of the options in the following closed list shall be used:1 – LEI9 – None |
| C0100 | Counterparty asset category | Identify the most significant asset category borrowed/received as part of a securities lending transactions or repurchase agreements.Use the asset categories defined in Annex IV – Assets Categories of this Regulation. |
| C0110 | Asset held in unit–linked and index–linked contracts | Identify if the underlying asset identified in C0060 is held by unit linked and index linked contracts. One of the options in the following closed list shall be used:1 – Unit–linked or index–linked2 – Neither unit–linked nor index–linked |
| C0120 | Position in the contract | Identify whether the undertaking is a buyer or seller in the repo or a lender or borrower in the securities lending. One of the options in the following closed list shall be used:1 – Buyer in a repo2 – Seller in a repo3 – Lender in a securities lending4 – Borrower in a securities lending |
| C0130 | Near leg amount | Represents the following amounts:Buyer in a repo: amount received at the contract inceptionSeller in a repo: amount ceded at the contract inceptionLender in a securities lending: amount received as guarantee at the contract inceptionBorrower in a securities lending: amount or market value of the securities received at the contract inception |
| C0140 | Far leg amount | This item is only applicable for repos and represents the following amounts:Buyer in a repo: amount ceded at the contract maturitySeller in a repo: amount received at the contract maturity |
| C0150 | Start date | Identify the ISO 8601 (yyyy–mm–dd) code of the contract start date. The contract start date refers to the date when obligations under the contract come into effect. |
| C0160 | Maturity date | Identify the ISO 8601 (yyyy–mm–dd) code of the contract closing date. Even if the contract is on an open call basis, there is usually a date when the contract expires. In these cases this date must be reported if no call occurs before.An agreement is considered closed when it has matured, a call occurs or the agreement is cancelled.For contracts with no defined maturity date report ‘9999–12–31’. |
| C0170 | Solvency II Value | This item is only applicable for contracts that are still open at the reporting date.Value of the repo or securities lending contract, following Article 75 of Directive 2009/138/EC rules for valuation of contracts.This value can be positive, negative or zero. |
S.11.01 – Assets held as collateral
General comments:
This section relates to annual submission of information for individual entities.
This template shall be reported annually only when the ratio of the value of assets held as collateral to total balance sheet exceeds 10 %.
The pool of assets that secure the investment (e.g. the pool of asset that are a collateral for covered bonds) shall not be reported in this template. The collateral covering reinsurance receivables shall be reported in S.11.01 template.
This template contains an item–by–item list of off–balance sheet assets held as collateral for covering balance sheet assets held directly by the undertaking (i.e. not on a look–through basis) at the end of the reporting period. Collaterals are considered ‘held’ when the undertaking has the ‘right of direct access to the collateral’, so the collateral has been committed to the entity and it is individually identifiable.
It consists of detailed information from the perspective of the assets held as collateral and not from the perspective of the collateral arrangement.
If there is a pool of collaterals or a collateral arrangement comprising multiple assets, as many rows as the assets in the pool or arrangement shall be reported.
This template comprises two tables: Information on positions held and Information on assets.
On the table Information on positions held, each asset held as collateral shall be reported separately in as many rows as needed in order to properly fill in all variables requested in that table. If for the same asset two values can be attributed to one variable, then this asset needs to be reported in more than one line. Real estate held as collateral of the mortgages related to individuals shall be reported in one single line.
On the table Information on assets, each asset held as collateral shall be reported separately, with one row for each asset, filling in all variables requested in that table.
All items except items ‘Type of asset for which the collateral is held’ (C0140), ‘Name of the counterparty pledging the collateral’ (C0060) and ‘Name of the group of the counterparty pledging the collateral’ (C0070) relate to information on the assets held as collateral. Item C0140 relates to the asset on the balance sheet for which the collateral is held while items C0060 and C0070 relate to the counterparty pledging the collateral.
The asset categories referred to in this template are the ones defined in Annex IV – Assets Categories of this Regulation and references to CIC codes refer to Annex VI – CIC table of this Regulation.
Template S.11.01 includes the off-balance sheet assets held as collateral for covering balance sheet assets held directly by the undertaking and these amounts shall also be reported in S.03.01 in C0020/R0100 to R0130.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Information on positions held | ||
| C0040 | Asset ID Code | Asset ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available, and must be consistent over timeWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code + EUR’ |
| C0050 | Asset ID Code Type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO/6166 for ISIN2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertakingWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘99/1’. |
| C0060 | Name of the counterparty pledging the collateral | The name of the counterpart that is pledging the collateral. When available, this item corresponds to the entity name in the LEI database. When this is not available corresponds to the legal name.When the assets on the balance sheet for which the collateral is held are loans on policies, ‘Policyholder’ shall be reported. |
| C0070 | Name of the group of the counterparty pledging the collateral | Identify the economic group of the counterpart pledging the collateral. When available, this item corresponds to the entity name in the LEI database. When this is not available corresponds to the legal name.This item is not applicable when the assets on the balance sheet for which the collateral is held are loans on policies. |
| C0080 | Country of custody | ISO 3166–1 alpha–2 code of the country where undertaking assets are held in custody. For identifying international custodians, such as Euroclear, the country of custody will be the one where the custody service was contractually defined.In case of the same asset being held in custody in more than one country, each asset shall be reported separately in as many rows as needed in order to properly identify all countries of custody.This item is not applicable for collateral with CIC category 8 – Mortgages and Loans, CIC 71, CIC 75 and for CIC 95 – Plant and equipment.Regarding CIC Category 9, excluding CIC 95 – Plant and equipment (for own use), the issuer country is assessed by the address of the property. |
| C0090 | Quantity | Number of assets, for all assets if relevant.This item shall not be reported if item Par amount (C0100) is reported. |
| C0100 | Par amount | Amount outstanding measured at par amount, for all assets where this item is relevant, and at nominal amount for CIC = 72, 73, 74, 75, 79 and 8. This item is not applicable for CIC category 71 and 9. This item shall not be reported if item Quantity (C0090) is reported. |
| C0110 | Valuation method | Identify the valuation method used when valuing assets. One of the options in the following closed list shall be used:1 – quoted market price in active markets for the same assets2 – quoted market price in active markets for similar assets3 – alternative valuation methods:4 – adjusted equity methods (applicable for the valuation of participations)5 – IFRS equity methods (applicable for the valuation of participations6 – Market valuation according to Article 9(4) of Delegated Regulation (EU) 2015/35 |
| C0120 | Total amount | Value calculated as defined by Article 75 of Directive 2009/138/EC, which corresponds to:the multiplication of Par amount (principal amount outstanding measured at par amount or nominal amount) by Unit percentage of par amount Solvency II price plus Accrued interest, for assets where the first two items are relevant;the multiplication of Quantity by Unit Solvency II price, for assets where these two items are relevant;Solvency II value of the asset for assets classifiable under asset categories 71 and 9. |
| C0130 | Accrued interest | Quantify the amount of accrued interest after the last coupon date for interest bearing securities. Note that this value is also part of item Total amount. |
| C0140 | Type of asset for which the collateral is held | Identify the type of asset for which the collateral is held.One of the options in the following closed list shall be used:1 – Government bonds2 – Corporate bonds3 – Equities4 – Collective Investment Undertakings5 – Structured notes6 – Collateralised securities7 – Cash and deposits8 – Mortgages and loans9 – Properties0 – Other investments (including receivables)X – DerivativesE.g. option ‘0 – Other investments’ shall be chosen for the collateral covering Reinsurance receivables |
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Information on assets | ||
| C0040 | Asset ID Code | Asset ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available, and must be consistent over timeWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code + EUR’ |
| C0050 | Asset ID Code Type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO/6166 for ISIN2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertakingWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘99/1’. |
| C0150 | Item Title | Identify the reported item by filling the name of the asset (or the address in case of property), with the detail settled by the undertaking.The following shall be considered:Regarding CIC category 8 – Mortgages and Loans, when relating to mortgage and loans to natural persons, this item shall contain Loans to AMSB members or Loans to other natural persons, according to its nature, as those assets are not required to be individualised. Loans to other than natural persons shall be reported line–by–line.This item is not applicable for CIC 95 – Plant and equipment (for own use) as those assets are not required to be individualised, CIC 71 and CIC 75When the collateral comprises insurance policies (regarding loans collateralised by insurance policies) those policies do not need to be individualised and this item is not applicable.For property the country ISO Alpha-2 + postal code + city + street name + street number) of the property held or the latitude & longitude or the CRESTA/NUTS region of the property investment shall be reported: administrative boundaries (e.g. province or county boundaries, e.g. NUTS3 level) or merged postal code areas (e.g. first-two-digit postal code areas, similar to CRESTA 2019[2] low resolution zones). |
| C0160 | Issuer Name | Name of the issuer, defined as the entity that issues assets to investors, representing part of its capital, part of its debt, derivatives, etc.When available, this item corresponds to the entity name in the LEI database. When not available, corresponds to the legal name.The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the issuer name is the name of the fund manager;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer name is the name of the depositary entityRegarding CIC category 8 – Mortgages and Loans, when relating to mortgage and loans to natural persons, this item shall contain Loans to AMSB members or Loans to other natural persons, according to its nature, as those assets are not required to be individualised;Regarding CIC 8 – Mortgages and Loans, other than mortgage and loans to natural persons the information shall relate to the borrower;This item is not applicable for CIC 71, CIC 75 and – CIC category 9 – Property. |
| C0170 | Issuer Code | Identification code of the issuer code using the LEI if available.The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the issuer code is the code of the fund manager;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer code is the code of the depositary entityRegarding CIC category 8 – Mortgages and Loans, other than mortgage and loans to natural persons the information shall relate to the borrower;This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property;This item is not applicable to CIC category 8 – Mortgages and Loans, when relating to mortgage and loans to natural persons. |
| C0180 | Type of issuer code | Identification of the code used for the ‘Issuer Code’ item. One of the options in the following closed list shall be used:1 – LEI9 – NoneThis item is not applicable to CIC category 8 – Mortgages and Loans, when relating to mortgage and loans to natural persons.This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property. |
| C0190 | Issuer Sector | Identify the economic sector of issuer based on the latest version of NACE code (as published in an EC Regulation). For NACE sections A to N full four-digit reporting of the NACE codes is required, i.e. the letter identifying the Section followed by the 4 digits code for the class shall be used (e.g. ‘K6411’). For the remaining sections the letter reference of the NACE code identifying the Section shall be used as a minimum for identifying sectors (e.g. ‘P’ or ‘P8501’ would be acceptable).The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the issuer sector is the sector of the fund manager;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer sector is the sector of the depositary entityRegarding CIC category 8 – Mortgages and Loans, other than mortgage and loans to natural persons the information shall relate to the borrower;This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 – Property;This item is not applicable to CIC category 8 – Mortgages and Loans, when relating to mortgage and loans to natural persons. |
| C0200 | Issuer Group Name | Name of issuer’s ultimate parent entity.When available, this item corresponds to the entity name in the LEI database. When not available, corresponds to the legal name.The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the group relation relates to the fund manager;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the group relation relates to the depositary entityRegarding CIC category 8 – Mortgages and Loans, other than mortgage and loans to natural persons the group relation relates to the borrower;This item is not applicable for CIC category 8 – Mortgages and Loans (for mortgages and loans to natural persons)This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property. |
| C0210 | Issuer Group Code | Issuer group identification code using the LEI if available.If none is available this item shall not be reported.The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the group relation relates to the fund manager;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the group relation relates to the depositary entityRegarding CIC category 8 – Mortgages and Loans, other than mortgage and loans to natural persons the group relation relates to the borrower;This item is not applicable for CIC category 8 – Mortgages and Loans (for mortgages and loans to natural persons)This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property. |
| C0220 | Type of issuer group code | Identification of the code used for the ‘Issuer Group Code’ item. One of the options in the following closed list shall be used:1 – LEI9 – NoneThis item is not applicable to CIC category 8 – Mortgages and Loans, when relating to mortgage and loans to natural persons.This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property. |
| C0230 | Issuer Country | ISO 3166–1 alpha–2 code of the country of localisation of the issuer.The localisation of the issuer is assessed by the address of the entity issuing the asset.The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the issuer country is the country is relative to the fund manager;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer country is the country of the depositary entityRegarding CIC category 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the information shall relate to the borrower;This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 – Property;One of the options shall be used:ISO 3166–1 alpha–2 codeXA: Supranational issuersEU: European Union Institutions |
| C0240 | Currency | Identify the ISO 4217 alphabetic code of the currency of the issue.The following shall be considered:This item is not applicable for CIC category 8 – Mortgages and Loans (for mortgages and loans to natural persons, as those assets are not required to be individualised), CIC 75 and for CIC 95 – Plant and equipment (for own use) for the same reason.Regarding CIC category 9, excluding CIC 95 – Plant and equipment (for own use), the currency corresponds to the currency in which the investment was made. |
| C0250 | CIC | Complementary Identification Code used to classify assets, as set out in Annex VI – CIC table of this Regulation. When classifying an asset using the CIC table, undertakings shall take into consideration the most representative risk to which the asset is exposed to. |
| C0260 | Unit price | Unit price of the asset, if relevant.This item shall not be reported if item Unit percentage of par amount Solvency II price (C0270) is reported. |
| C0270 | Unit percentage of par amount Solvency II price | Amount in percentage of par value, clean price without accrued interest, for the asset, if relevant.This item shall be reported if a ‘par amount’ information (C0100) has been provided in the first part of the template (‘Information on positions held’) except for CIC category 71 and 9.This item shall not be reported if item Unit Solvency II price (C0260) is reported. |
| C0280 | Maturity date | Only applicable for CIC categories 1, 2, 5, 6 and 8, and CIC 74 and CIC 79.Identify the ISO 8601 (yyyy–mm–dd) code of the maturity date.Corresponds always to the maturity date, even for callable securities. The following shall be considered:For perpetual securities use 9999–12–31For CIC category 8, regarding loans and mortgages to individuals, the weighted (based on the loan amount) remaining maturity is to be reported. |
S.12.01 – Life and Health SLT Technical Provisions
General comments:
—‘Contracts without options and guarantees’ shall include the amounts related to contracts without any financial guarantees or contractual options, meaning that the technical provision calculation does not reflect the amount of any financial guarantees or contractual options. Contracts with non–material contractual options or financial guarantees that are not reflected in the technical provisions calculation shall also be reported in this column;
—‘Contracts with options or guarantees’ shall include contracts that have either financial guarantees, contractual options, or both as far as the technical provision calculation reflect the existence of those financial guarantees or contractual options.
This section relates to quarterly and annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
Undertakings may apply appropriate approximations in the calculation of the technical provisions as referred to in Article 21 of Delegated Regulation (EU) 2015/35. In addition, Article 59 of Delegated Regulation (EU) 2015/35 may be applied to calculate the risk margin during the financial year.
Line of business for life obligations: The lines of business, referred to in Article 80 of Directive 2009/138/EC, as defined in Annex I to Delegated Regulation (EU) 2015/35. The segmentation shall reflect the nature of the risks underlying the contract (substance), rather than the legal form of the contract (form). By default, where an insurance or reinsurance contract covers risks across the lines of business undertakings shall, where possible, unbundled the obligations into the appropriate lines of business (Article 55 of Delegated Regulation (EU) 2015/35).
Lines of business ‘Index–linked and unit–linked insurance’, ‘Other life insurance’ and ‘Health insurance’ are split between ‘Contracts without options and guarantees’ and ‘Contracts with options or guarantees’. For this split the following shall be considered:
The information reported shall be gross of reinsurance as information on Recoverables from reinsurance/SPV and Finite reinsurance is requested in specific rows.
All references to surrender values shall not be applicable to the reinsurance business.
The information to be reported between R0010 and R0100 shall be after the volatility adjustment, the matching adjustment and the transitional adjustment to the relevant risk-free interest rate term structure if applied but shall not include the transitional deduction to technical provisions. The amount of transitional deduction to technical provisions is requested separately between rows R0110 and R0130.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0020 | Ring Fenced Fund/Matching adjustment portfolio or remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | Identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates. |
| Technical provisions calculated as a whole | ||
| C0020, C0030, C0060, C0090, C0100, C0110, C0120, C0130, C0140, C0160, C0190, C0200/R0010 | Technical provisions calculated as a whole | Amount of Technical provisions calculated as a whole per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0150/R0010 | Technical provisions calculated as a whole – Total (Life other than health insurance, incl. Unit–Linked) | Total amount of technical provisions calculated as a whole for Life other than health insurance, including Unit–Linked. |
| C0210/R0010 | Technical provisions calculated as a whole – Total (Health similar to life insurance) | Total amount of technical provisions calculated as a whole for Health similar to life insurance. |
| C0020, C0030, C0060, C0090, C0100 to C0140, C0160, C0190, C0200/R0020 | Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole | Amount of recoverables from reinsurance/SPV and finite reinsurance (‘Finite Re’) after the adjustment for expected losses due to counterparty default of technical provisions (‘TP’) calculated as a whole per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0150/R0020 | Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole – Total (Life other than health insurance, incl. Unit–Linked) | Total amount of recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default of technical provisions calculated as a whole for Life other than health insurance, including Unit–Linked. |
| C0210/R0020 | Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole – Total (Health similar to life insurance) | Total amount of recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default of technical provisions calculated as a whole for Health similar to life insurance. |
| Technical provisions calculated as a sum of best estimate and risk margin | ||
| C0020, C0040, C0050, C0070, C0080, C0090, C0100 to C0140, C0170, C0180, C0190, C0200/R0030 | Technical provisions calculated as a sum of Best Estimate (‘BE’) and Risk Margin (‘RM’), Gross Best Estimate | Amount of Gross Best estimate (no deduction of reinsurance, SPVs and Finite Re according to Article 77(2) of Directive 2009/138/EC) per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0150/R0030 | Technical provisions calculated as a sum of BE and RM, Gross Best Estimate – Total (Life other than health insurance, incl. Unit–Linked) | Total amount of Gross Best estimate (no deduction of reinsurance, SPVs and Finite Re according to Article 77(2) of Directive 2009/138/EC), for Life other than health insurance, including Unit–Linked. |
| C0210/R0030 | Technical provisions calculated as a sum of BE and RM, Gross Best Estimate – Total (Health similar to life insurance) | Total amount of Gross Best estimate (no deduction of reinsurance, SPVs and Finite Re according to Article 77(2) of Directive 2009/138/EC), for Health similar to life insurance. |
| C0020, C0040, C0050, C0070, C0080, C0090, C0100, C0170, C0180, C0190, C0200/R0040 | Total Recoverables from reinsurance/SPV and Finite Re before the adjustment for expected losses due to counterparty default | Amount of recoverables before adjustment for expected losses due to possibility of default of the reinsurer, as defined in Article 81 of Directive 2009/138/EC, including ceded intra group reinsurance, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0150/R0040 | Total Recoverables from reinsurance/SPV and Finite Re before the adjustment for expected losses due to counterparty default – Total (Life other than health insurance, incl. Unit–Linked) | Total amount of recoverables before adjustment for expected losses due to possibility of default of the reinsurer, as defined in art. 81 of Directive 2009/138/EC, including ceded intra group reinsurance, for Life other than health insurance, including Unit–Linked. |
| C0210/R0040 | Total Recoverables from reinsurance/SPV and Finite Re before the adjustment for expected losses due to counterparty default – Total (Health similar to life insurance) | Total amount of the recoverables from reinsurance and SPVs before the adjustment for expected losses due to counterparty default for Health similar to life insurance. |
| C0020, C0040, C0050, C0070, C0080, C0090, C0100, C0170, C0180, C0190, C0200/R0050 | Recoverables from reinsurance (except SPV and Finite Re) before adjustment for expected losses | Amount of recoverables (before adjustment for expected losses) from ‘traditional’ reinsurance, i.e. without SPVs and Finite Reinsurance, calculated consistently with the boundaries of the contracts to which they relate, including ceded intra group reinsurance, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0150/R0050 | Total Recoverables from reinsurance (except SPV and Finite Re) before adjustment for expected losses – Total (Life other than health insurance, incl. Unit–Linked) | Total Amount of recoverables (before adjustment for expected losses) from ‘traditional’ reinsurance, i.e. without SPVs and Finite Reinsurance, calculated consistently with the boundaries of the contracts to which they relate, including ceded intra group reinsurance, for Life other than health insurance, including Unit–Linked. |
| C0210/R0050 | Total Recoverables from reinsurance (except SPV and Finite Re) before adjustment for expected losses – Total (Health similar to life insurance) | Total amount of recoverables from reinsurance (except SPVs and Finite Reinsurance) before adjustment for expected losses, calculated consistently with the boundaries of the contracts to which they relate, for Health similar to life insurance. |
| C0020, C0040, C0050, C0070, C0080, C0090, C0100, C0170, C0180, C0190, C0200/R0060 | Recoverables from SPV before adjustment for expected losses | Amount of recoverables from SPVs before adjustment for expected losses, calculated consistently with the boundaries of the contracts to which they relate, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, including ceded intra group reinsurance, per each line of business. |
| C0150/R0060 | Total Recoverables from SPV before adjustment for expected losses – Total (Life other than health insurance, incl. Unit–Linked) | Total amount of recoverables from SPVs before adjustment for expected losses, calculated consistently with the boundaries of the contracts to which they relate, for Life other than health insurance, including Unit–Linked. |
| C0210/R0060 | Total Recoverables from SPV before adjustment for expected losses – Total (Health similar to life insurance) | Total amount of recoverables from SPVs before adjustment for expected losses for Health similar to life insurance |
| C0020, C0040, C0050, C0070, C0080, C0090, C0100, C0170, C0180, C0190, C0200/R0070 | Recoverables from Finite Re before adjustment for expected losses | Amount of recoverables from Finite Re before adjustment for expected losses, calculated consistently with the boundaries of the contracts to which they relate, including ceded intra group reinsurance, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0150/R0070 | Total Recoverables from Finite Re before adjustment for expected losses – Total (Life other than health insurance, incl. Unit–Linked) | Total amount of recoverables from Finite Re before adjustment for expected losses, calculated consistently with the boundaries of the contracts to which they relate, including ceded intra group reinsurance, for Life other than health insurance, including Unit–Linked. |
| C0210/R0070 | Total Recoverables from Finite Re before adjustment for expected losses – Total (Health similar to life insurance) | Total amount of recoverables from Finite Reinsurance before adjustment for expected losses for Health similar to life insurance. |
| C0020, C0040, C0050, C0070, C0080, C0090, C0100 to C0140, C0170, C0180, C0190, C0200/R0080 | Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default | Amount of recoverables after adjustment for expected losses due to possibility of default of the reinsurer, as defined in art. 81 of Directive 2009/138/EC, including ceded intra group reinsurance, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0150/R0080 | Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default – Total (Life other than health insurance, incl. Unit–Linked) | Total amount of recoverables after adjustment for expected losses due to possibility of default of the reinsurer, as defined in art. 81 of Directive 2009/138/EC, including ceded intra group reinsurance, for Life other than health insurance, including Unit–Linked. |
| C0210/R0080 | Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default – Total (Health similar to life insurance) | Total amount of recoverables after adjustment for expected losses due to possibility of default of the reinsurer, as defined in art. 81 of Directive 2009/138/EC, including ceded intra group reinsurance, for Health similar to life insurance. |
| C0020, C0040, C0050, C0070, C0080, C0090, C0100, C0170, C0180, C0190, C0200/R0090 | Best Estimate minus recoverables from reinsurance/SPV and Finite Re | Amount of Best Estimate minus recoverables from reinsurance/SPV and Finite Re after adjustment for expected losses due to possibility of default of the reinsurer, as defined in art. 81 of Directive 2009/138/EC, per each Line of Business. |
| C0150/R0090 | Best Estimate minus recoverables from reinsurance/SPV and Finite Re – Total (Life other than health insurance, incl. Unit–Linked) | Total amount of Best Estimate minus recoverables from reinsurance/SPV and Finite Re, after adjustment for expected losses due to possibility of default of the reinsurer, as defined in art. 81 of Directive 2009/138/EC, for Life other than health insurance, including Unit–Linked. |
| C0210/R0090 | Best estimate minus recoverables from reinsurance/SPV and Finite Re – Total (Health similar to life insurance) | Total amount of Best estimate minus recoverables from reinsurance/SPV and Finite Re after adjustment for expected losses due to possibility of default of the reinsurer, as defined in art. 81 of Directive 2009/138/EC, for Health similar to life insurance. |
| C0020, C0030, C0060, C0090, C0100 to C0140, C0160, C0190, C0200/R0100 | Risk Margin | Amount of Risk margin, as defined in Article 77(3) of Directive 2009/138/EC, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0150/R0100 | Risk Margin – Total (Life other than health insurance, incl. Unit–Linked) | Total amount of Risk Margin for Life other than health insurance, including Unit–Linked. |
| C0210/R0100 | Risk Margin – Total (Health similar to life insurance) | Total amount of Risk Margin for Health similar to life insurance. |
| Amount of the transitional on Technical Provisions | ||
| C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0110 | Technical Provisions calculated as a whole | Amount of the transitional deduction to technical provisions allocated to the technical provisions calculated as a whole, per each Line of Business.This value shall be reported as a negative value when it reduces the technical provisions. |
| C0150/R0110 | Technical Provisions calculated as a whole – Total (Life other than health insurance, including Unit–Linked) | Amount of the transitional deduction to technical provisions allocated to the technical provisions calculated as a whole for Life other than health insurance, including Unit–Linked.This value shall be reported as a negative value when it reduces the technical provisions. |
| C0210/R0110 | Technical Provisions calculated as a whole – Total (Health similar to life insurance) | Amount of the transitional deduction to technical provisions allocated to the technical provisions calculated as a whole for Health similar to life insurance.This value shall be reported as a negative value when it reduces the technical provisions. |
| C0020, C0040, C0050, C0070, C0080, C0090, C0100, C0170, C0180, C0190, C0200/R0120 | Best Estimate | Amount of the transitional deduction to technical provisions allocated to the best estimate, per each Line of Business.This value shall be reported as a negative value when it reduces the technical provisions.; |
| C0150/R0120 | Best Estimate – Total (Life other than health insurance, including Unit–Linked) | Total amount of the transitional deduction to technical provisions allocated to the best estimate for Life other than health insurance, including Unit–Linked.This value shall be reported as a negative value when it reduces the technical provisions. |
| C0210/R0120 | Best Estimate – Total (Health similar to life insurance) | Total amount of the transitional deduction to technical provisions allocated to the best estimate for Health similar to life insurance.This value shall be reported as a negative value when it reduces the technical provisions. |
| C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0130 | Risk Margin | Amount of the transitional deduction to technical provisions allocated to the risk margin, per each Line of Business.This value shall be reported as a negative value when it reduces the technical provisions. |
| C0150/R0130 | Risk Margin – Total (Life other than health insurance, including Unit–Linked) | Total amount of the transitional deduction to technical provisions allocated to the risk margin for Life other than health insurance, including Unit–Linked.This value shall be reported as a negative value when it reduces the technical provisions. |
| C0210/R0130 | Risk Margin – Total (Health similar to life insurance) | Total amount of the transitional deduction to technical provisions allocated to the risk margin for Health similar to life insurance.This value shall be reported as a negative value when it reduces the technical provisions. |
| Technical provisions – Total | ||
| C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0200 | Technical Provisions – Total | Total amount of Technical Provisions for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, including technical provisions calculated as a whole and after the transitional deduction to technical provisions. |
| C0150/R0200 | Technical Provisions – Total (Life other than health insurance, including Unit–Linked) | Total amount of Technical Provisions for Life other than health insurance, including Unit–Linked, including technical provisions calculated as a whole and after the transitional deduction to technical provisions. |
| C0210/R0200 | Technical Provisions – Total (Health similar to life insurance) | Total amount of Technical Provisions for Health similar to life insurance, including technical provisions calculated as a whole and after the transitional deduction to technical provisions. |
| C0020, C0030, C0060, C0090, C0100, C0110, C0120, C0130, C0140, C0160, C0190, C0200/R0210 | Technical Provisions minus Recoverables from reinsurance/SPV and Finite Re – Total | Total amount of Technical Provisions minus Recoverables from reinsurance/SPV and Finite Re per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, including technical provisions calculated as a whole and after the transitional deduction to technical provisions. |
| C0150/R0210 | Technical Provisions minus Recoverables from reinsurance/SPV and Finite Re – Total – Total (Life other than health insurance, including Unit–Linked) | Total amount of Technical Provisions minus Recoverables from reinsurance/SPV and Finite Re for Life other than health insurance, including Unit–Linked, including technical provisions calculated as a whole and after the transitional deduction to technical provisions. |
| C0210/R0210 | Technical Provisions minus Recoverables from reinsurance/SPV and Finite Re – Total – Total (Health similar to life insurance) | Total amount of Technical Provisions minus Recoverables from reinsurance/SPV and Finite Re for Health similar to life insurance, including technical provisions calculated as a whole and after the transitional deduction to technical provisions. |
| Best Estimate of products with a surrender option | ||
| C0020, C0030, C0060, C0090, C0100, C0160, C0190/R0220 | Best Estimate of products with a surrender option | Amount of gross Best Estimate of products with a surrender option per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.This amount shall also be included in R0030 to R0090. |
| C0150/R0220 | Best Estimate of products with a surrender option – Total (Life other than health insurance, including Unit–Linked) | Total amount of gross Best Estimate of products with a surrender option for Life other than health insurance, including Unit–Linked.This amount shall also be included in R0030 to R0090. |
| C0210/R0220 | Best Estimate of products with a surrender option – Total (Health similar to life insurance) | Total amount of gross Best Estimate of products with a surrender option for Health similar to life insurance.This amount shall also be included in R0030 to R0090. |
| Gross BE for Cash flow | ||
| C0030, C0060, C0090, C0160, C0190, C0200/R0230 | Gross Best Estimate for Cash flow, Cash out–flow, Future guaranteed and discretionary benefits | Amount of discounted Cash out–flows (payments to policyholders and beneficiaries) for future guaranteed benefits and for future discretionary benefits, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.Future Discretionary Benefits means future benefits other than index–linked or unit–linked benefits of insurance or reinsurance contracts which have one of the following characteristics:a) The benefits are legally or contractually based on one or several of the following results: i.the performance of a specified group of contracts or a specified type of contract or a single contract;ii.the realised or unrealised investment return on a specified pool of assets held by the insurance or reinsurance undertaking;iii.the profit or loss of the insurance or reinsurance undertaking or fund corresponding to the contract;b) the benefits are based on a declaration of the insurance or reinsurance undertaking and the timing or the amount of the benefits is at its full or partial discretion. |
| C0150/R0230 | Gross Best Estimate for Cash flow, Cash out–flow, Future guaranteed and discretionary benefits – Total (Life other than health insurance, including Unit–Linked). | Total amount of discounted Cash out–flows (payments to policyholders and beneficiaries) for future guaranteed benefits and for future discretionary benefits for Life other than health insurance, including Unit–Linked. |
| C0210/R0230 | Gross Best Estimate for Cash flow, Cash out–flow, Future guaranteed and discretionary benefits – Total (Health similar to life insurance). | Total amount of discounted Cash out–flows (payments to policyholders and beneficiaries) for future guaranteed benefits and for future discretionary benefits for Health similar to life insurance. |
| C0020, C0100/R0240 | Gross Best Estimate for Cash flow, Cash out–flow, Future guaranteed benefits | Amount of discounted Cash out–flows (payments to policyholders and beneficiaries) for future guaranteed benefits. Regarding C0020/R0240, line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, ‘Insurance with profit participation’ shall be reported. Regarding C0100/R0240 all future guaranteed benefits relating to accepted reinsurance, regardless of the line of business, shall be reported. |
| C0150/R0240 | Gross Best Estimate for Cash flow, Cash out–flow, Future guaranteed benefits – Total (Life other than health insurance, including Unit–Linked) | Total amount of Gross Best Estimate for Cash flow, Cash out–flow, Future guaranteed benefits for Life other than health insurance, including Unit–Linked. |
| C0020, C0100/R0250 | Gross Best Estimate for Cash flow, Cash out–flows, Future discretionary benefits – Insurance with profit participation | Amount of discounted Cash out–flows (payments to policyholders and beneficiaries) for future discretionary benefits, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, ‘Insurance with profit participation’.Future Discretionary Benefits means future benefits other than index–linked or unit–linked benefits of insurance or reinsurance contracts which have one of the following characteristics:a) The benefits are legally or contractually based on one or several of the following results: i.the performance of a specified group of contracts or a specified type of contract or a single contract;ii.the realised or unrealised investment return on a specified pool of assets held by the insurance or reinsurance undertaking;iii.the profit or loss of the insurance or reinsurance undertaking or fund corresponding to the contract;b) the benefits are based on a declaration of the insurance or reinsurance undertaking and the timing or the amount of the benefits is at its full or partial discretion. |
| C0150/R0250 | Gross Best Estimate for Cash flow, Cash out–flows, Future discretionary benefits – Insurance with profit participation – Total (Life other than health insurance, including Unit–Linked) | Total amount of Gross Best Estimate for Cash flow, Cash out–flows, Future discretionary benefits – Insurance with profit participation for Life other than health insurance, including Unit–Linked. |
| C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0260 | Gross Best Estimate for Cash flow, Cash out–flow, Future expenses and other cash out–flows | Amount of discounted Cash out–flows for Future expenses and other cash out–flows, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. Shall reflect expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash–flow items such as taxation payments which are, or are expected to be, charged to policyholders, or are required to settle the insurance or reinsurance obligations. |
| C0150/R0260 | Gross Best Estimate for Cash flow, Cash out–flow, Future expenses and other cash out–flows – Total (Life other than health insurance, including Unit–Linked) | Total amount of discounted Cash out–flows for Future expenses and other cash out–flows, for Life other than health insurance, including Unit–Linked.Shall reflect expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash–flow items such as taxation payments which are, or are expected to be, charged to policyholders, or are required to settle the insurance or reinsurance obligations. |
| C0210/R0260 | Gross Best Estimate for Cash flow, Cash out–flow, Future expenses and other cash out–flows – Total (Health similar to life insurance) | Total amount of discounted Cash out–flows for Future expenses and other cash out–flows, for Health similar to life insurance.Shall reflect expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash–flow items such as taxation payments which are, or are expected to be, charged to policyholders, or are required to settle the insurance or reinsurance obligations. |
| C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0270 | Gross Best Estimate for Cash flow, Cash in–flows, Future premiums | Amount of discounted Cash in–flows from future premiums and any additional cash–flows that results from those premiums, including accepted reinsurance premiums, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0150/R0270 | Gross Best Estimate for Cash flow, Cash in–flows, Future premiums – Total (Life other than health insurance, including Unit–Linked) | Amount of discounted Cash in–flows from future premiums and any additional cash–flows that results from those premiums, including accepted reinsurance premiums, for Life other than health insurance, including Unit–Linked. |
| C0210/R0270 | Gross Best Estimate for Cash flow, Cash in–flows, Future premiums – Total (Health similar to life insurance) | Amount of discounted Cash in–flows from future premiums and any additional cash–flows that results from those premiums, including accepted reinsurance premiums, for Health similar to life insurance. |
| C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0280 | Gross Best Estimate for Cash flow, Cash in–flows, Other cash in–flows | Amount of any other discounted cash in–flows not included in Future premiums and not including investment returns, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0150/R0280 | Gross Best Estimate for Cash flow, Cash in–flows, Other cash in–flows – Total (Life other than health insurance, including Unit–Linked) | Amount of any other discounted cash in–flows not included in Future premiums and not including investment returns, for Life other than health insurance, including Unit–Linked. |
| C0210/R0280 | Gross Best Estimate for Cash flow, Cash in–flows, Other cash in–flows – Total (Health similar to life insurance) | Amount of any other discounted cash in–flows not included in Future premiums and not including investment returns, for Health similar to life insurance. |
| C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0290 | Percentage of gross Best Estimate calculated using approximations | Indicate the percentage of gross best estimate included in Gross Best Estimate (R0030) calculated using approximations as established in Article 21 of Delegated Regulation (EU) 2015/35, per each Line of Business. |
| C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0300 | Surrender value | Indicate the amount of surrender value, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, as mentioned in Article 185(3)(f) of Directive 2009/138/EC, net of taxes.Shall reflect the amount, defined contractually, to be paid to the policyholder in case of early termination of the contract (i.e. before it becomes payable by maturity or occurrence of the insured event, such as death), net of charges and policy loans. It includes surrender values guaranteed and not guaranteed. |
| C0150/R0300 | Surrender value, Total (Life other than health insurance, including Unit–Linked) | Total surrender value for Life other than health insurance, including Unit–Linked. |
| C0210/R0300 | Surrender value, Total (Health similar to life insurance) | Total surrender value for Health similar to life insurance. |
| C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0310 | Best estimate subject to transitional of the interest rate | Indicate the amount of gross best estimate (R0030) subject to the transitional adjustment to the relevant risk-free interest rate term structure, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0150/R0310 | Best estimate subject to transitional of the interest rate – Total (Life other than health insurance, including Unit–Linked) | Total amount of gross best estimate (R0030) subject to the transitional adjustment to the relevant risk-free interest rate term structure, for Life other than health insurance, including Unit–Linked. |
| C0210/R0310 | Best estimate subject to transitional of the interest rate – Total (Health similar to life insurance) | Total amount of gross best estimate (R0030) subject to transitional adjustment to the relevant risk-free interest rate term structure, for Health similar to life insurance. |
| C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0320 | Technical provisions without transitional on interest rate | Amount of technical provisions where the transitional adjustment to the relevant risk-free interest rate term structure has been applied calculated without the transitional adjustment to the relevant risk-free interest rate term structure, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.In the cases where the same best estimates were also subject to the volatility adjustment, the amount reported in this item shall reflect the value without the transitional adjustment to the relevant risk-free interest rate term structure but with the volatility adjustment. |
| C0150/R0320 | Technical provisions without transitional on interest rate – Total (Life other than health insurance, including Unit–Linked) | Total amount of technical provisions calculated without the transitional adjustment to the relevant risk-free interest rate term structure, for Life other than health insurance, including Unit–Linked.In the cases where the same best estimates were also subject to the volatility adjustment, the amount reported in this item shall reflect the value without the transitional adjustment to the relevant risk-free interest rate term structure but with the volatility adjustment. |
| C0210/R0320 | Technical provisions without transitional on interest rate – Total (Health similar to life insurance) | Total amount of technical provisions calculated without the transitional adjustment to the relevant risk-free interest rate term structure, for Health similar to life insurance.In the cases where the same best estimates were also subject to the volatility adjustment, the amount reported in this item shall reflect the value without the transitional adjustment to the relevant risk-free interest rate term structure but with the volatility adjustment. |
| C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0330 | Best estimate subject to volatility adjustment | Indicate the amount of gross best estimate (R0030) subject to volatility adjustment, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0150/R0330 | Best estimate subject to volatility adjustment – Total (Life other than health insurance, including Unit–Linked) | Total amount of gross best estimate (R0030) subject to volatility adjustment, for Life other than health insurance, including Unit–Linked |
| C0210/R0330 | Best estimate subject to volatility adjustment – Total (Health similar to life insurance) | Total amount of gross best estimate (R0030) subject to volatility adjustment, for Health similar to life insurance. |
| C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0340 | Technical provisions without volatility adjustment and without others transitional measures | Amount of technical provisions calculated without volatility adjustment, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.In the cases where the same technical provisions were also subject to the transitional deduction to technical provisions/transitional adjustment to the relevant risk-free interest rate term structure, the amount reported in this item shall reflect the value with neither the volatility adjustment nor the transitional deduction to technical provisions/transitional adjustment to the relevant risk-free interest rate term structure. |
| C0150/R0340 | Technical provisions without volatility adjustment and without others transitional measures – Total (Life other than health insurance, including Unit–Linked) | Total amount of technical provisions calculated without volatility adjustment, for Life other than health insurance, including Unit–Linked.In the cases where the same technical provisions were also subject to the transitional deduction to technical provisions/transitional adjustment to the relevant risk-free interest rate term structure, the amount reported in this item shall reflect the value with neither the volatility adjustment nor the transitional deduction to technical provisions/transitional adjustment to the relevant risk-free interest rate term structure. |
| C0210/R0340 | Technical provisions without volatility adjustment and without others transitional measures – Total (Health similar to life insurance) | Total amount of technical provisions calculated without volatility adjustment, for Health similar to life insurance.In the cases where the same technical provisions were also subject to the transitional deduction to technical provisions/transitional adjustment to the relevant risk-free interest rate term structure, the amount reported in this item shall reflect the value with neither the volatility adjustment nor the transitional deduction to technical provisions/transitional adjustment to the relevant risk-free interest rate term structure. |
| C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0350 | Best estimate subject to matching adjustment | Indicate the amount of gross best estimate (R0030) subject to matching adjustment, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0150/R0350 | Best estimate subject to matching adjustment – Total (Life other than health insurance, including Unit–Linked) | Total amount of gross best estimate (R0030) subject to matching adjustment, for Life other than health insurance, including Unit–Linked |
| C0210/R0350 | Best estimate subject to matching adjustment – Total (Health similar to life insurance) | Total amount of gross best estimate (R0030) subject to matching adjustment, for Health similar to life insurance |
| C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0360 | Technical provisions without matching adjustment and without all the others | Amount of technical provisions calculated without matching adjustment, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.In the cases where the same technical provisions were also subject to the transitional deduction to technical provisions, the amount reported in this item shall reflect the value with neither the matching adjustment nor the transitional deduction to technical provisions. |
| C0150/R0360 | Technical provisions without matching adjustment and without all the others – Total (Life other than health insurance, including Unit–Linked) | Total amount of technical provisions calculated without matching adjustment, for Life other than health insurance, including Unit–Linked.In the cases where the same technical provisions were also subject to the transitional deduction to technical provisions, the amount reported in this item shall reflect the value with neither the matching adjustment nor the transitional deduction to technical provisions. |
| C0210/R0360 | Technical provisions without matching adjustment and without all the others – Total (Health similar to life insurance) | Total amount of technical provisions calculated without matching adjustment, for Health similar to life insurance.In the cases where the same technical provisions were also subject to the transitional deduction to technical provisions, the amount reported in this item shall reflect the value with neither the matching adjustment nor the transitional deduction to technical provisions. |
| C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0370 | Expected profits included in future premiums (EPIFP) | Indicate the amount of Expected profits in future premiums (‘EPIFP’) gross of reinsurance and taxes (i.e. without considering their impact), for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0150/R0370 | Expected profits included in future premiums (EPIFP)— Total (Life other than health insurance, including Unit–Linked) | Total amount Expected profits in future premiums (‘EPIFP’) gross of reinsurance and taxes (i.e. without considering their impact) for Life other than health insurance, including Unit–Linked. |
| C0210/R0370 | Expected profits included in future premiums (EPIFP)— Total (Health similar to life insurance) | Total amount Expected profits in future premiums (‘EPIFP’) gross of reinsurance and taxes (i.e. without considering their impact) Health similar to life insurance. |
S.12.02 – Life and Health SLT Technical Provisions – by Country
General comments:
a)Information on the home country shall be always reported regardless of the amount of technical provisions calculated as a whole and gross best estimate;
a)The country where the insurance undertaking is established (home country) when the contract was not sold through a branch or freedom to provide services;
b)Information reported by country shall at least represent 90 % of the sum of the technical provisions calculated as a whole and gross best estimate of any line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35;
b)The country where the branch is located (host country) when the contract was sold through a branch;
c)If a specific country has to be reported for a particular line of business to comply with sub–paragraph b) then that country shall be reported for all lines of business;
c)The country where the freedom to provide services was notified (host country) when the contract was sold through freedom to provide services.
d)The other countries shall be reported aggregated in ‘other–EEA’ or ‘other–non-EEA’
d)If an intermediary is used or in any other situation, it is a), b) or c) depending on who sold the contract.
e)For direct business information shall be reported by country where the contract was entered into;
f)For proportional and non–proportional reinsurance information shall be reported by country of localisation of the ceding undertaking.
This section relates to annual submission of information for individual entities. The template is not due when the thresholds for reporting by country described below are not applicable, i.e. the home country represents 100 % of the sum of the technical provisions calculated as a whole and gross best estimate. When this amount is higher than 90 % but lower than 100 % only R0010, R0020 and R0030 shall be reported.
Undertakings shall take into account all the obligations in different currencies and convert them into the reporting currency.
The information by country shall be reported according to the following specifications:
For the purposes of this template ‘country where the contract was entered into’ means:
The negative technical provisions at the level of the line of business or countries shall be considered with absolute value for the purpose of the calculation of the materiality of the above thresholds.
The information to be reported shall include the volatility adjustment, the matching adjustment, the transitional adjustment to the relevant risk-free interest rate term structure and the transitional deduction to technical provisions.
| Gross TP calculated as a whole and Gross BE for different countries | ||
|---|---|---|
| ITEM | INSTRUCTIONS | |
| C0010/R0040, … | Countries in the materiality threshold | Report the country ISO 3166–1 alpha–2 code for identifying the countries within the materiality threshold |
| C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200,/R0010 | Gross TP calculated as a whole and Gross BE for different countries – Home country | Amount of Gross TP calculated as a whole and gross Best Estimate by country where the contract was entered into or country of localisation of the ceding undertaking, when the country is the home country, for each Line of Business and totals for Life other than health insurance, including Unit–Linked and Health similar to life insurance. |
| C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200,/R0020 | Gross TP calculated as a whole and Gross BE for different countries – EEA countries outside the materiality threshold – not reported by country | Amount of Gross TP calculated as a whole and gross Best Estimate, for EEA countries outside the materiality threshold (i.e. those not reported separately by country), except the home country, for each Line of Business and totals for Life other than health insurance, including Unit–Linked and Health similar to life insurance. |
| C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200,/R0030 | Gross TP calculated as a whole and Gross BE for different countries – Non–EEA countries outside the materiality threshold – not reported by country | Amount of Gross TP calculated as a whole and gross Best Estimate, for non–EEA countries outside the materiality threshold (i.e. those not reported separately by country), except the home country, for each Line of Business and totals for Life other than health insurance, including Unit–Linked and Health similar to life insurance. |
| C0020, C0030, C0060, C0090, C0100,, C0160, C0190, C0200,/R0040, … | Gross TP calculated as a whole and Gross BE for different countries – Country 1 [one row for each country in the materiality threshold] | Amount of Gross TP calculated as a whole and gross Best Estimate by country where the contract was entered into or country of localisation of the ceding undertaking, for each of the countries in the materiality threshold, except the home country, for each Line of Business and totals for Life other than health insurance, including Unit–Linked and Health similar to life insurance. |
S.13.01 – Projection of future gross cash flows (Best Estimate –life)
General comments:
This part of Annex II relates to annual submission of information for individual entities.
This template shall include information only in relation to the best estimates. The cash flows to be reported are gross of reinsurance and undiscounted.
Cash–flow projections such as central scenarios can be used as no perfect reconciliation with Best Estimate calculation is required. Undertakings may follow different approaches to identify Future Discretionary Benefits, e.g. using the certainty equivalent scenario or an average through all the scenarios considered. If difficult to project some future cash–flows like collective Future Discretionary Benefits the undertaking shall report the cash flow it effectively uses for calculating the Best Estimate. Other example of complex projection are reinsurance contracts covering multiple lines of business. In this case, allocation of reinsurance cash-flows by line of business should be consistent with the approach followed to unbundle insurance recoverables by line of business.
All cash flows expressed in different currencies shall be considered and converted in the reporting currency using the exchange rate at the reporting date
In case the undertaking uses simplifications for the calculation of technical provisions, for which an estimate of the expected future cash–flows arising from the contracts are not calculated, the information shall not be reported.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0011/R0010–R0330 | Future cash–flows used in the Best estimate, Insurance with profit participation (gross), Cash out–flows – Future guaranteed benefits | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones stemming from future guaranteed benefits regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Insurance with profit participation. |
| C0015/R0010-R0330 | Future cash–flows used in the Best estimate, Insurance with profit participation (gross), Cash out–flows – Future discretionary benefits | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones stemming from future discretionary benefits regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Insurance with profit participation. |
| C0020/R0010–R0330 | Future cash–flows used in the Best estimate, Insurance with profit participation(gross), Cash out–flows – Future expenses and other cash out–flows | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones related to expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash–flow items such as taxation payments which are, or expected to be, charged to policyholders or are required to settle the insurance obligations, for line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Insurance with profit participation.Cash out–flows from non–life insurance contracts that will change to Annuities but not yet formally settled as Annuities, and dealt with within the same company shall also be included. |
| C0030/R0010–R0330 | Future cash–flows used in the Best estimate, Insurance with profit participation (gross), Cash in–flows – Future premiums | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash– flows are the ones stemming from future premiums and any additional cash–flows that result from those premiums, for line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Insurance with profit participation. |
| C0040/R0010–R0330 | Future cash–flows used in the Best estimate, Insurance with profit participation (gross), Cash in–flows – Other cash in–flows | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash– flows are the ones not included in Future premiums and not including investment returns, for line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Insurance with profit participation. |
| C0045/R0010-R0330 | Future cash–flows used in the Best estimate, Insurance with profit participation (gross), Cash flows – Total recoverable from reinsurance (after the adjustment) | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The future cash–flows undiscounted from amounts recoverables from reinsurance and SPVs/Finite Re, including ceded intra group reinsurance, including future reinsurance premiums. Amount shall be reported net of adjustment for counterparty default risk. |
| C0051/R0010–R0330 | Future cash–flows used in the Best estimate, Index linked and unit–linked insurance (gross), Cash out–flows – Future guaranteed benefits | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones stemming from Future guaranteed benefits regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Index linked and unit–linked insurance. |
| C0055/R0010-R0330 | Future cash–flows used in the Best estimate, Index linked and unit–linked insurance (gross), Cash out–flows – Future discretionary benefits | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones stemming from Future discretionary benefits regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Index linked and unit–linked insurance. |
| C0060/R0010–R0330 | Future cash–flows used in the Best estimate, Index linked and unit–linked insurance (gross), Cash out–flows – Future expenses and other cash out–flows | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones related to expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash–flow items such as taxation payments which are, or expected to be, charged to policyholders or are required to settle the insurance obligations, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Index linked and unit–linked insurance.Cash out–flows from non–life insurance contracts that will change to Annuities but not yet formally settled as Annuities, and dealt with within the same company shall also be included. |
| C0070/R0010–R0330 | Future cash–flows used in the Best estimate, Index linked and unit–linked insurance (gross), Cash in–flows – Future premiums | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash– flows are the ones stemming from future premiums and any additional cash–flows that result from those premiums, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Index linked and unit–linked insurance. |
| C0080/R0010–R0330 | Future cash–flows used in the Best estimate, Index linked and unit–linked insurance (gross), Cash in–flows – Other cash in–flows | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash– flows are the ones not included in Future premiums and not including investment returns, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Index linked and unit–linked insurance. |
| C0085/R0010-R0330 | Future cash–flows used in the Best estimate, Index linked and unit–linked insurance (gross), Cash flows – Total recoverable from reinsurance (after the adjustments) | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The future cash–flows undiscounted from amounts recoverables from reinsurance and SPVs/Finite Re, including ceded intra group reinsurance, including future reinsurance premiums. Amount shall be reported net of adjustment for counterparty default risk. |
| C0091/R0010–R0330 | Future cash–flows used in the Best estimate, Other life insurance (gross), Cash out–flows – Future guaranteed benefits | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones stemming from Future guaranteed benefits regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Other life insurance. |
| C0095/R0010-R0330 | Future cash–flows used in the Best estimate, Other life insurance (gross), Cash out–flows – Future discretionary benefits | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones stemming from Future discretionary benefits regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Other life insurance (gross). |
| C0100/R0010–R0330 | Future cash–flows used in the Best estimate, Other life insurance (gross), Cash out–flows – Future expenses and other cash out–flows | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones related to expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash–flow items such as taxation payments which are, or expected to be, charged to policyholders or are required to settle the insurance obligations, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Other life insurance.Cash out–flows from non–life insurance contracts that will change to Annuities but not yet formally settled as Annuities, and dealt with within the same company shall also be included. |
| C0110/R0010–R0330 | Future cash–flows used in the Best estimate, Other life insurance (gross), Cash in–flows – Future premiums | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash– flows are the ones stemming from future premiums and any additional cash–flows that result from those premiums, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Other life insurance. |
| C0120/R0010–R0330 | Future cash–flows used in the Best estimate, Other life insurance (gross), Cash in–flows – Other cash in–flows | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash– flows are the ones not included in Future premiums and not including investment returns, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Other life insurance. |
| C0125/R0010–R0330 | Future cash–flows used in the Best estimate, Other life insurance (gross), Cash flows – Total recoverable from reinsurance (after adjustment) | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The future cash–flows undiscounted from amounts recoverables from reinsurance and SPVs/Finite Re, including ceded intra group reinsurance, including future reinsurance premiums. Amount shall be reported net of adjustment for counterparty default risk. |
| C0131/R0010–R0330 | Future cash–flows used in the Best estimate, Annuities stemming from non–life contracts (gross), Cash out–flows – Future guaranteed benefits | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones stemming from Future guaranteed benefits regarding lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Annuities stemming from non–life contracts relating to insurance obligations, including health insurance obligations.Cash out–flows from non–life insurance contracts that will change to Annuities but are not yet formally settled as Annuities and shall not be included. |
| C0135/R0010–R0330 | Future cash–flows used in the Best estimate, Annuities stemming from non–life contracts (gross), Cash out–flows – Future discretionary benefits | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones stemming from Future discretionary benefits regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, annuities stemming from non-life contracts (gross). |
| C0140/R0010–R0330 | Future cash–flows used in the Best estimate, Annuities stemming from non–life contracts (gross), Cash out–flows – Future expenses and other cash out–flows | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones related to expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash–flow items such as taxation payments which are, or expected to be, charged to policyholders or are required to settle the insurance obligations, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Annuities stemming from non–life contracts relating to insurance obligations, including health insurance obligations.Cash out–flows from non–life insurance contracts that are not yet settled as Annuities and will change to Annuities and dealt with within the same company shall not be included. |
| C0150/R0010–R0330 | Future cash–flows used in the Best estimate, Annuities stemming from non–life contracts (gross), Cash in–flows – Future premiums | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash– flows are the ones stemming from future premiums and any additional cash–flows that result from those premiums, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Annuities stemming from non–life contracts relating to insurance obligations, including health insurance obligations. |
| C0160/R0010–R0330 | Future cash–flows used in the Best estimate, Annuities stemming from non–life contracts (gross), Cash in–flows – Other cash in–flows | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash– flows are the ones not included in Future premiums and not including investment returns, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Annuities stemming from non–life contracts relating to insurance obligations, including health insurance obligations. |
| C0165/R0010–R0330 | Future cash–flows used in the Best estimate, Annuities stemming from non–life contracts (gross), Cash flows – Total recoverables from reinsurance (after the adjustment) | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The future cash–flows undiscounted from amounts recoverables from reinsurance and SPVs/Finite Re, including ceded intra group reinsurance, including future reinsurance premiums. Amount shall be reported net of adjustment for counterparty default risk. |
| C0171/R0010–R0330 | Future cash–flows used in the Best estimate, Accepted reinsurance (gross), Cash out–flows – Future guaranteed benefits | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones stemming from Future guaranteed benefits regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Accepted reinsurance. |
| C0175/R0010–R0330 | Future cash–flows used in the Best estimate, Accepted reinsurance (gross), Cash out–flows – Future discretionary benefits | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones stemming from Future discretionary benefits regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Accepted reinsurance. |
| C0180/R0010–R0330 | Future cash–flows used in the Best estimate, Accepted reinsurance (gross), Cash out–flows – Future expenses and other cash out–flows | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones related to expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash–flow items such as taxation payments which are, or expected to be, charged to policyholders or are required to settle the insurance obligations, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Accepted reinsurance.Cash out–flows from non–life insurance contracts that will change to Annuities but not yet formally settled as Annuities, and dealt with within the same company shall also be included. |
| C0190/R0010–R0330 | Future cash–flows used in the Best estimate, Accepted reinsurance (gross), Cash in–flows – Future premiums | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash– flows are the ones stemming from future premiums and any additional cash flows that result from those premiums, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Accepted reinsurance. |
| C0200/R0010–R0330 | Future cash–flows used in the Best estimate, Accepted reinsurance (gross), Cash in–flows – Other cash in–flows | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash– flows are the ones not included in Future premiums and not including investment returns, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Accepted reinsurance. |
| C0205/R0010–R0330 | Future cash–flows used in the Best estimate, Accepted reinsurance (gross), Cash flows – Total recoverable from reinsurance (after the adjustment) | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The future cash–flows undiscounted from amounts recoverables from reinsurance and SPVs/Finite Re, including ceded intra group reinsurance, including future reinsurance premiums. Amount shall be reported net of adjustment for counterparty default risk. |
| C0211/R0010–R0330 | Future cash–flows used in the Best estimate, Health insurance (gross), Cash out–flows – Future guaranteed benefits | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones stemming from Future guaranteed benefits regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Health insurance. |
| C0215/R0010–R0330 | Future cash–flows used in the Best estimate, Health insurance (gross), Cash out–flows —Future discretionary benefits | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones stemming from Future discretionary benefits regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Health insurance (gross). |
| C0220/R0010–R0330 | Future cash–flows used in the Best estimate, Health insurance (gross), Cash out–flows – Future expenses and other cash out–flows | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones related to expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash–flow items such as taxation payments which are, or expected to be, charged to policyholders or are required to settle the insurance obligations, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Health insurance. |
| C0230/R0010–R0330 | Future cash–flows used in the Best estimate, Health insurance (gross), Cash in–flows – Future premiums | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash– flows are the ones stemming from future premiums and any additional cash flows that result from those premiums, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35,line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Health insurance. |
| C0240/R0010–R0330 | Future cash–flows used in the Best estimate, Health insurance (gross), Cash in–flows – Other cash in–flows | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash– flows are the ones not included in Future premiums and not including investment returns, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Health insurance. |
| C0245/R0010–R0330 | Future cash–flows used in the Best estimate, Health Insurance (gross), Cash flows – Total recoverable from reinsurance (after the adjustment) | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The future cash–flows undiscounted from amounts recoverables from reinsurance and SPVs/Finite Re, including ceded intra group reinsurance, including future reinsurance premiums. Amount shall be reported net of adjustment for counterparty default risk. |
| C0251/R0010–R0330 | Future cash–flows used in the Best estimate, Health reinsurance (gross), Cash out–flows – Future guaranteed benefits | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones stemming from Future guaranteed benefits regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Health reinsurance. |
| C0255/R0010–R0330 | Future cash–flows used in the Best estimate, Health reinsurance (gross), Cash out–flows – Future discretionary benefits | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones stemming from Future discretionary benefits regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Health reinsurance. |
| C0260/R0010–R0330 | Future cash–flows used in the Best estimate, Health reinsurance (gross), Cash out–flows – Future expenses and other cash out–flows | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash–flows are the ones related to expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash–flow items such as taxation payments which are, or expected to be, charged to policyholders or are required to settle the insurance obligations, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Health reinsurance.Cash out–flows from non–life insurance contracts that will change to Annuities but not yet formally settled as Annuities, and dealt within the same company shall also be included. |
| C0270/R0010–R0330 | Future cash–flows used in the Best estimate, Health reinsurance (gross), Cash in–flows – Future premiums | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash– flows are the ones stemming from future premiums and any additional cash flows that result from those premiums, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Health reinsurance. |
| C0280/R0010–R0330 | Future cash–flows used in the Best estimate, Health reinsurance (gross), Cash in–flows – Other cash in–flows | Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The cash– flows are the ones not included in Future premiums and not including investment returns, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Health reinsurance. |
| C0285/R0010–R0330 | Future cash–flows used in the Best estimate, Health reinsurance (gross), Cash flows – Total recoverable from reinsurance (after the adjustment) | Amount of Health SLT insurance obligations undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The future cash–flows undiscounted from amounts recoverables from reinsurance and SPVs/Finite Re, including ceded intra group reinsurance, including future reinsurance premiums. Amount shall be reported net of adjustment for counterparty default risk. |
| C0290/R0010-R0330 | Future cash–flows used in the Best estimate – Total recoverable from reinsurance (after the adjustment) | Amount of Life and Health SLT undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.The future cash–flows undiscounted from amounts recoverables from reinsurance and SPVs/Finite Re, including ceded intra group reinsurance, including future reinsurance premiums. Amount shall be reported net of adjustment for counterparty default risk. |
S.14.01 – Life obligations analysis
General comments:
This section relates to annual submission of information for individual entities.
This template includes information about life insurance contracts only to direct business and also includes life obligation from non-life contracts such as annuities stemming from non–life contracts (which are also analysed in S.16.01). No information shall be provided for accepted reinsurance business. All insurance contracts shall be reported even if classified as investments contract on accounting basis. In case of products unbundled, the different parts of the product shall be reported in different rows, using different ID codes.
All information shall be reported by product including the table on portfolio product. Reporting by fund number shall not mandatory, unless otherwise required by the national supervisory authority. Reporting of specific items related to the fund number can be defined by national supervisory authority.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Portfolio | ||
| C0010 | Product ID code | Internal product ID code used by the undertaking for the product. If a code is already in use or is attributed by the competent authority for supervisory purposes that code shall be used.The ID code shall be consistent over time.In the cases where the same product needs to be reported in more than one row the content of C0010 (and C0090) shall follow the specific pattern:{}{ID code of product}}/ + /{}{number of version}}. For example ‘AB222/ + /3’. |
| C0030 | Line of Business | Line of business as defined in Annex 1 of Delegated Regulation (EU) 2015/35.The following closed list shall be used:29 – Health insurance30 – Insurance with profit participation31 – Index–linked and unit–linked insurance32 – Other life insurance33 – Annuities stemming from non–life insurance contracts and relating to health insurance obligations34 – Annuities stemming from non–life insurance contracts and relating to insurance obligations other than health insurance obligations35 – Health reinsurance36 – Life reinsurance |
| C0040 | Number of contracts at the end of the year | Number of contracts attached to each reported product. Contracts with more than one policyholder count as only one contract.In case of inactive policyholder (no premium paid) the contract shall be reported anyway unless the contract is cancelled. As no premiums are paid in this case, these inactive policyholders are included with premiums equal to zero.For annuities stemming from non–life use the number of annuities obligations.For products which are unbundled in more than one row, please report the number of contracts in all rows reported. |
| C0041 | Number of contracts at the end of year – of which contracts with surrender option | Number of contracts at the end of the year which include a surrender option for the policyholder.Contracts where policyholders do not have the right to surrender their policy, but can still transfer their policy to another insurer should be captured in this cell.Not applicable for annuities stemming from non-life contracts. |
| C0050 | Number of new contracts during year | Number of new contracts issued during reporting year (this is for all new contracts). Otherwise use the same instructions as for cell C0040.For annuities stemming from non–life use the number of annuities obligations.Contracts are considered as new contracts, when they are recognized in the valuation of technical provisions at any time during the year in accordance with Article 17 of the Delegated Regulation. New contracts therefore include renewals which were not included in the contract boundaries before as well as new business sales. |
| C0051 | Number of contracts surrendered during year | Number of contracts that surrendered during reporting year.Where a contract is only partially surrendered or has turned into paid-up status, this should not be counted as a surrender for the purpose of C0051 as the contract is still in the book of business.Not applicable for annuities stemming from non-life contracts. |
| C0054 | Number of insured at the end of the year | Number of insured persons at the end of the year with respect to the contracts reported in C0040.The number of insured should correspond to the number of policyholders for a contract. In the case of collective/group policies, where the ‘policyholder’ acts both as a distributor and as a policyholder, the number of insured should correspond to the number of insured persons joining the collect/group contract. |
| C0055 | Fiscal treatment of the products | This field is to provide information on the fiscal treatment of the products, in particular when fiscal treatment could influence decision on exercising surrender/cancellation. The following closed list should be used:1 – In case of lapse/surrender there is no tax or subsidy related loss2 – In case of lapse/surrender past or future tax benefits or other subsidies are lost3 – Other tax related losses not covered above4 – Not applicableOption 1 includes cases where policyholders would suffer a tax or subsidy loss unless a similar insurer is willing to accept the contract.Tax benefits that relate to future premiums i.e. where premiums reduce future income tax payments are not relevant for the purpose of above classification.Whether for a particular contract within a product a fiscal loss actually would occur at the valuation date may depend on individual contractual parameters like duration or the age of the policyholder. For the purpose of the reporting in C0210 no differentiation according to such parameters is however required. The criteria should be chosen where such a fiscal loss may occur for the contracts of that product.Not applicable for annuities stemming from non-life contracts. |
| C0080 | Country | Country ISO 3166–1 alpha–2 code or list of codes according to the following instructions:ISO 3166–1 alpha–2 code of the country where the contract was entered into, for countries representing more than 10 % of technical provisions or written premiums for a given product.For countries representing less than 10 % of Technical Provisions or written premiums for a given product, report a list of ISO 3166–1 alpha–2 Codes of the countries concerned. |
| Portfolio product | ||
| C0020 | Fund number | Applicable to product that are part of ring-fenced funds or other internal funds – defined at national level, in particular regarding funds (asset portfolios) supporting life products.Number or code, which is attributed by the undertaking, corresponding to the unique number or code assigned to each fund. This number or code has to be consistent over time and shall be used to identify the same funds in other templates (e.g. in S.08.01). It shall not be re–used for a different fund.The fund number is not mandatory, unless otherwise required by the national supervisory authority. |
| C0060 | Total amount of Written premiums | Total amount of gross written premiums as defined in Article 1(11) of Delegated Regulation (EU) 2015/35.For annuities stemming from non–life this cell is not applicable. |
| C0061 | Total amount of written premiums – of which written directly by the insurance undertaking | Total amount of gross written premiums as defined in Article 1(11) of Delegated Regulation (EU) 2015/35 written directly by the insurance undertaking.For annuities stemming from non–life this cell is not applicable. |
| C0062 | Total amount of written premiums – of which written via credit institutions | Total amount of gross written premiums as defined in Article 1(11) of Delegated Regulation (EU) 2015/35 written via credit institutions acting as insurance distributors.For annuities stemming from non–life this cell is not applicable. |
| C0063 | Total amount of written premiums – of which written via other insurance distributors | Total amount of gross written premiums as defined in Article 1(11) of Delegated Regulation (EU) 2015/35 written via insurance distributors other than credit institutions.For annuities stemming from non–life this cell is not applicable. |
| C0070 | Total amount of claims paid during year | Total amount of gross claims paid during the year, including claims management expenses. |
| C0071 | Total amount of commissions paid during year | Commissions should include any form of monetary benefits which is paid to an insurance distributor by any other person than the customer or a third party acting on behalf of the customer, in relation to insurance distribution activities. Whereas commissions are generally calculated as a percentage of the premium paid by the customer for insurance coverage, this applies for any type of payment made to an insurance distributor (e.g., paid/received initially based on the conclusion of an insurance contract or paid/received on a recurring basis).Where this cell is not applicable, e.g. in case of annuities from non-life expenses, the cell should be left blank. |
| C0075 | Expected future premiums | Total premiums for all contracts in force at the valuation date expected for the future as projected in the Best Estimate calculation. Projected future premiums should be the present value (reflecting the total premium volume for the expected duration of the contract).The premiums should only be recognised in the contract boundaries.As the calculation of technical provisions is only required on the level of HRG, approximations can be applied for the breakdown of the provisions by product.Not applicable for annuities stemming from non-life contracts. |
| C0077 | Expected future commissions | Total future commissions for all contracts in force at the valuation date expected for the future as projected in the Best Estimate calculation.Projected future commissions should be the present value (reflecting the total volume of future commissions for the expected duration of the contract). For the definition of commissions please confer C0071.The commissions should only be recognised in the contract boundaries.As the calculation of technical provisions is only required on the level of HRG, approximations can be applied for the breakdown of the provisions by product.Not applicable for annuities stemming from non-life contracts. |
| C0180 | Best Estimate and Technical Provisions as a whole | Amount of gross best estimate and Technical Provisions as a whole calculated by product.As the calculation of technical provisions is only required on the level of HRG, approximations can be applied for the breakdown of the provisions by product. |
| C0190 | Capital–at–risk | The capital at risk, as defined in the Delegated Regulation (EU) 2015/35.As the calculation of technical provisions is only required on the level of HRG, approximations can be applied for the breakdown of the provisions by product.For annuities stemming from non–life contracts this cell shall be filled in with zero unless the annuities have positive risk. |
| C0200 | Surrender value | Surrender value (where available), as mentioned in Article 185(3)(f) of Directive 2009/138/EC, net of taxes: amount to be paid to the policyholder in case of early termination of the contract (i.e. before it becomes payable by maturity or occurrence of the insured event, such as death), net of charges and policy loans; does not concern contracts without options, given that surrender value is an option.Not applicable for annuities stemming from non-life contracts. |
| C0260 | Guaranteed rate – Annualised guaranteed rate (over average duration of guarantee) | Average guaranteed yearly interest rate to the policy holder over the remaining life time of the contract expressed as a percentage.Where no guaranteed interest rate is implicitly or explicitly provided in the contract, the cell should be left blank, where a guaranteed interest rate is implicitly or explicitly provided, this should be reported accordingly (e.g. ‘0 %’).Applicable where an average guaranteed interest rate is explicitly provided in the contract or where an alternative financial guarantee is implicitly provided, e.g. in form of a guaranteed sum assured, a guaranteed return of premiums or a guaranteed annuity benefit.Where no yearly interest rate guarantee is prescribed explicitly in the contract, the implied (yearly) guaranteed rate from the valuation date to the expected end of the guarantee should be reported.Not applicable for annuities stemming from non-life contracts. |
| C0261 | Guaranteed rate – Yearly interest rate guarantee for the reporting year | Guaranteed yearly interest rate to the policyholder of the contract for the reporting year expressed as a percentage.Where no guaranteed interest rate is implicitly or explicitly provided in the contract, the cell should be left blank, where a guaranteed interest rate is implicitly or explicitly provided, this should be reported accordingly (e.g. ‘0 %’).Applicable where an average guaranteed interest rate is explicitly provided in the contract or where an alternative financial guarantee is implicitly provided, e.g. in form of a guaranteed sum assured, a guaranteed return of premiums.Where no yearly interest rate guarantee is prescribed explicitly in the contract, the implied (yearly) guaranteed rate for the reporting year should be reported.Not applicable for annuities stemming from non-life contracts. |
| C0270 | Exit conditions at reporting date | Please classify the product according to the following closed list regarding exit conditions at the situation of the reporting date:1 – Surrender value equal to the best estimate/local statutory reserves and notice required lower than one week2 – Surrender value equal to the best estimate/local statutory reserves and notice required higher than one week but lower than 3 months3 – Surrender value equal to the best estimate/local statutory reserves and notice required higher than 3 months4 – Surrender value between 100 % (exclusively) and 80 % of the best estimate/local statutory reserves and notice required lower than one week5 – Surrender value between 100 % (exclusively) and 80 % of the best estimate/local statutory reserves and notice required higher than one week but lower than 3 months6 – Surrender value between 100 % (exclusively) and 80 % of the best estimate/local statutory reserves and notice required higher than 3 months7 – Surrender value lower than 80 % of the best estimate/local statutory reserves and notice required lower than one week8 – Surrender value lower than 80 % of the best estimate/local statutory reserves and notice required higher than one week but lower than 3 months9 – Surrender value lower than 80 % of the best estimate/local statutory reserves and notice required higher than 3 months10 – OtherThe notice period should be understood as the time period (e.g. days or weeks) requested by the insurance company between the notification of the policyholder of his/her intention to terminate the insurance policy and the actual termination date. This term does not refer to the cool-off period which a client has to cancel the policy without penalty.Where this cell is not applicable, i.e. a contract cannot be surrender, e.g. for annuities from non-life contracts, this cell can be left blank.Not applicable for annuities stemming from non-life contracts. |
| C0280 | Amount on which interest rate is guaranteed | Monetary amount to which the guaranteed interest rate reported in C0260 need to be applied. Amount is to be reported as the monetary value at the reference date.Not applicable for annuities stemming from non-life contracts. |
| Characteristics of product | ||
| C0101 | Product classification | The following closed list shall be used:1. single life2. joint life3. collective4. otherIf more than one characteristic is applicable use ‘4 – other’.For annuities stemming from non–life use ‘4 – other’. |
| C0102 | Pension entitlements | Specify if the product category is a pension entitlement. The following closed list shall be used:1. Yes2. NoWhen assessing if a product should be classified as pension entitlement under template S.14 the following should be considered:If product is a pension product based on national regulation/law. For this the Database of pension plans and products in the EEA published at EIOPA website might be considered (with the caveats referred to on the website);If a product (e.g. a unit-linked product) accumulates money for retirement using a tax advantage related to pensions;If the future payments are explicitly linked to the retirement itself;If the product complies with all features identified but also includes some very exceptional situations where the money could be surrendered like long unemployment or serious illness, it should continue to be considered as a pension entitlement.The following should not influence the decision:If the product substitutes or is additional to the social security system in place;If the product is compulsory (usually if substitute) or not compulsory (usually if additional);If the payment in future is to be done through annuities or through a lump sum, as long as the payment is at retirement age. |
| C0110 | Type of product | General qualitative description of the product type. If a product code is attributed by the competent authority for supervisory purposes, the description of product type for that code shall be used. |
| C0120 | Product denomination | Commercial name of product (undertaking–specific). |
| C0130 | Product still commercialised? | Specify if product is still for sale or if it is just in run–off. The following closed list shall be used:1 – still commercialised2 – In run-off |
| C0141 | Profit sharing | Specify if product category includes profit sharing or not. The following closed list shall be used.1 – Yes2 – No |
| C0142 | Remaining contractual maturity | This field is to provide information about the average contractually defined remaining maturity of the contracts according to that product category. The selection should be made from the following six options:1 - < 5 years2 - 5-10 years3 - 10-15 years4 - 15-20 years5 - > 20 years6 - LifelongThe determination is based on the assumptions that the contract does not end due to the realisation of a biometrical risk, the policyholder does not exercise any surrender/cancellation option and exercises all renewal options and the insurance or reinsurance undertaking does not exercise any option to terminate the contract and exercises all renewal options. In the case of an endowment policy this would for example mean that the insured person does not die and the policyholder does not cancel the contract. For the determination a typical age of the policyholder when entering the contract should be assumed.Consider as example an endowment policy with the possibility to cancel at any time where the typical contract is entered into at age 30 and ends with a lump-sum payment at age 65 in case the insured person is still alive. Even though the contract may end earlier due to death or cancellation the option ‘> 20 years’ should be selected.Not applicable for annuities stemming from non-life contracts. |
S.14.02 – Non-Life obligation analysis
General comments:
This section relates to annual submission of information for individual entities.
This template includes information about non-life insurance contracts only to direct business. No information has to be provided for accepted reinsurance business.
Columns C0010 to C0120 shall be reported by line of business with the exceptions indicated below where further breakdown by product categories is envisaged as defined in C0020.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Portfolio | ||
| C0010 | Line of Business (1 to 12) | Line of business as defined in Annex 1 of Delegated Regulation (EU) 2015/35. Information on products, unless otherwise specified in C0020, should not be disaggregated but reported under the main line of business. All non-life insurance products commercialized should be reported under the line of business which best corresponds to the main product characteristics, taking into account the product characteristics and main risks covered by the product. For modular products, the products should be unbundled and information for each product forming the bundle should be reported under the line of business which best corresponds to the main characteristics:The following list shall be used:1 – Medical expense insurance2 – Income protection insurance3 – Workers’ compensation insurance4 – Motor vehicle liability insurance5 – Other motor insurance6 – Marine, aviation and transport insurance7 – Fire and other damage to property insurance8 – General liability insurance9 – Credit and suretyship insurance10 – Legal expenses insurance11 – Assistance12 – Miscellaneous financial loss |
| C0020 | Of which Product category | For non-life insurance products falling under one of the product categories in the closed list below information should be reported in a separate row:7.1 Fire and other damage to property, of which Natural catastrophe insurance: Products covering damages to properties and people caused by natural forces including earthquake, floods, storm, hail, frost, drought.11.1 Assistance, of which Travel insurance: Products covering unforeseen losses incurred while travelling such as coverage for trip cancellation, lost luggage, flight delays and/or medical expenses while on travel12.1 Miscellaneous financial loss, of which Business Interruption: Products covering business interruption, closure of business, or any financial loss of such nature regardless of whether physical damages on an insured property are required (e.g. business interruption referring to coverage for property damage arising from storm or flood; business closure covering damage for temporary closure of shops due to administrative actions or health authorities’ decisions)12.2 Miscellaneous financial loss, of which Payment protection insurance: Products covering the event of not being able to meet the financial obligations of a mortgage, loan or any credit facilities for any reason excluding death. |
| C0030 | For the products commercialised under this product category/LOB, which proportion (measured by gross written premiums) covers climate related perils? (0-100) | Climate-related perils includes events such as flooding, heat waves, landslides, droughts or wildfires for example). Considering that under one line of business there could be multiple products some covering and other not covering climate related perils, please report here the percentage of products in this category (measured by gross written premiums) that covers at least one aspect of climate-related perils, between 0 and 100. |
| C0040 | If the product covers climate related perils does the product design make allowance for risk-prevention measures? (Yes/No/Not applicable) | If this line of business contains at least one product that covers at least one aspect of climate-related perils, please indicate with ‘Yes’ or ‘No’ if some of these products include risk-prevention measures in their design.Prevention measures in this context refers to things such as financial incentives for the policyholder to mitigate the underlying insured risk (e.g. through rebates on premiums or lower deductibles) or tailored risk expertise provided by the insurer to advise the policyholder on the available risk mitigation measures to implement. |
| C0050 | Number of contracts at the end of the year | Number of contracts attached to each product falling under the relevant line of business. Contracts with more than one policyholder count as only one contract.In case of inactive policyholders (no premium paid) the contract shall be reported anyway unless the contract is cancelled. |
| C0060 | Number of new contracts during year | Number of new contracts during reporting year (this is for all new contracts including those that are renewed).New contract refer to contract written during the year with respect to other ongoing contracts written in previous years.Contracts with more than one policyholder count as only one contract.In case of inactive policyholders (no premium paid) the contract shall be reported anyway unless the contract is cancelled. |
| C0070 | Total amount of Gross Written premiums – written directly by the insurance undertaking | Total amount of gross written premiums as defined in Article 1(11) of Delegated Regulation (EU) 2015/35 written directly by the insurance undertaking. |
| C0080 | Total amount of Gross Written premiums – written via credit institutions | Total amount of gross written premiums as defined in Article 1(11) of Delegated Regulation (EU) 2015/35 written via credit institutions acting as insurance distributors. |
| C0090 | Total amount of Gross Written premiums – written via insurance distributors other than credit institutions | Total amount of gross written premiums as defined in Article 1(11) of Delegated Regulation (EU) 2015/35 written via insurance distributors other than credit institutions. |
| C0100 | Total amount of commissions paid during year | Commissions should include any form of monetary benefits which is paid to an insurance distributor by any other person than the customer or a third party acting on behalf of the customer, in relation to insurance distribution activities. Whereas commissions are generally calculated as a percentage of the premium paid by the customer for insurance coverage, this applies for any type of payment made to an insurance distributor (e.g., paid/received initially based on the conclusion of an insurance contract or paid/received on a recurring basis). |
| C0110 | Total amount of claims paid during the year | Claims paid during the year related to the sum of the direct business.This shall not include changes in provisions for claims that have not yet been paid and exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0120 | Country | Country ISO 3166–1 alpha–2 code or list of codes according to the following instructions:ISO 3166–1 alpha–2 code of the country where the contract was entered into, for countries representing more than 10 % of technical provisions or written premiums for a given product.for countries representing less than 10 % of Technical Provisions or written premiums for a given product, report a list of ISO 3166–1 alpha–2 Codes of the countries concerned. |
| Information on number of insured | ||
| C0130 | Number of insured at the end of the year | For products falling under line of business 1 and product categories 11.1 and 12.2 report the total number of insured for contracts reported under C0050. |
| C0140 | Number of insured properties at the end of the year | For products falling under line of business 4 and 5 report the total number of insured properties for contracts reported under C0050. |
S.14.03 – Cyber underwriting risk
General comments
—The sum of premiums earned for standalone cyber policies and policies with cyber as add-on coverage (where only the (estimated) premiums earned for cyber risk should be taken into account) is greater than 5 % of the overall non-life business pursued by the undertaking or greater than 5 million EUROR
—Number of policies that include cyber coverage (i.e. standalone cyber and/or cyber ad add-on policy) represent more than 3 % of the total number of policies of the non-life business).
This section relates to annual submission of information for individual entities.
This template is relevant to non-life insurance and reinsurance undertakings which underwrite products covering cyber risks as defined in these instructions.
Undertakings are required to provide information related with cyber risk underwritten by product group code and by Product Identification. When more than one commercial product is provided for the same Product Identification, for same set of LoB and the same set of Risk Coverage, products shall be reported using a single line, providing a ‘Product Group Code’ defined by the undertaking to identify the group of reported products. Products within the same Product Identification not sharing the mentioned characteristic cannot be aggregated and therefore shall be reported using individual lines.
When a special justification is needed, the explanation is not to be submitted within the reporting template but shall be part of the dialogue between undertakings and the National Competent Authorities (NCAs).
The template shall be subject to the application of a threshold based on the following:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Product Group Code | Internal product group ID code defined by the undertaking.The Product Group Code shall be consistent over time.In the cases where the same product group needs to be reported in more than one row the content of C0010 shall follow the specific pattern:{}{Product Group code}}/ + /{}{cardinal number}}. For example ‘AB222/ + /1’. |
| C0020 | Target Market | Identification of the Target Market. One of the options in the following closed list shall be used:1 – B2B (Business to Business)2 – Private3 – BothGiven the granularity of Risks identified in the cell C0060, option 3 is expected only as an exceptional case of the regular identification of the Target Market for product categories. |
| C0030 | Product Identification | Identification of the Product Category. One of the options in the following closed list shall be used:(1) First Party Loss(2) Third Party Loss(3) Costs and related servicesFirst Party Loss includes losses that relate to policyholders’ own data or loss of income, including any negative consequence that can cause, as a result of an event, a data breach or cyber attack to the policyholder’s business/personal sphere.Third Party Loss includes losses that relate to policyholders’ liability for damage caused to others’ data or income, including any negative consequence that can cause, as a result of an event, a data breach or cyber attack to the policyholder’s business/personal sphere.Costs and related services include coverages that only relate to costs or services delivered by the coverage issuer to restore systems and data after a cyber event (including legal costs).In principle, only one item can be chosen from the list to characterise the Product Identification; however, in exceptional cases and in case of reporting from Reinsurance undertakings, multiple selection is allowed.The Product Identification is uniquely defined by the combination of Line(s) of Business and Description of Risks included in the Coverage, provided that the latter is not filled in as ‘Other’ or that multiple selections of the items available in the list is performed. If this is the case, two Product Categories characterised by same LoB(s) and Description of Risks included in the Coverage as ‘Other’ cannot be considered as the same Product Identification and will need to be reported as separate lines. |
| C0040 | Cyber coverage in the Product Identification | Identification of the Cyber coverage included in the commercial products included in the Product identification. One of the options in the following closed list shall be used:(1) Cyber Standalone Coverage(2) Cyber as add-on coverage but main risk being covered(3) Cyber as add-on coverage and not as main risk being coveredCyber Standalone Coverage includes all the coverages where cyber is the provided as standalone (i.e. unique) coverage.Cyber as add-on coverage but main risk being covered (> 50 %) includes all coverages where cyber is an add-on item but represents the main risk being covered.Cyber as add-on coverage and not as main risk being covered (< 50 %) includes all coverages where cyber is an add-on item but does not represent the main risk being covered.Only one item can be chosen from the list to characterise the Product Identification. |
| C0050 | Line(s) of Business | Identification of the Line of Business covered in the commercial products. Options in the following closed list shall be used:1 – Medical Expense Insurance2 – Income Protection Insurance3 – Workers’ Compensation Insurance4 – Motor Vehicle Liability Insurance5 – Other Motor Insurance6 – Marine, Aviation and Transport Insurance7 – Fire and other Damage to Property Insurance8 – General Liability Insurance9 – Credit and Suretyship insurance10 – Legal Expenses Insurance11 – Assistance12 – Miscellaneous Financial Loss13 – Proportional reinsurance – Medical Expense Insurance14 – Proportional reinsurance – Income Protection Insurance15 – Proportional reinsurance – Workers’ Compensation Insurance16 – Proportional reinsurance – Motor Vehicle Liability Insurance17 – Proportional reinsurance – Other Motor Insurance18 – Proportional reinsurance – Marine, Aviation and Transport Insurance19 – Proportional reinsurance – Fire and other Damage to Property Insurance20 – Proportional reinsurance – General Liability Insurance21 – Proportional reinsurance – Credit and Suretyship insurance22 – Proportional reinsurance – Legal Expenses Insurance23 – Proportional reinsurance – Assistance24 – Proportional reinsurance – Miscellaneous Financial Loss25 – Non-Proportional reinsurance – Health26 – Non-Proportional reinsurance – Casualty27 – Non-Proportional reinsurance – Marine, Aviation and Transport28 – Non-Proportional reinsurance – Property |
| C0060 | Description of Risk(s) included in the coverage | Description of the risks included in the coverage using the options in the following closed list:(1) Network Interruption (refers to a network security failure leading to business interruption. Examples may include a Distributed Denial of Service or DDoS attack (i.e. website being overloaded with requests organized by a malicious party) or a hacker accessing the network and deleting critical files, or adding malicious code that causes the system to fail)(2) Network Interruption OSP (where OSP stands for Outsourced Service Providers (OSP), i.e. a client-server protocol that manages access control, accounting, usage data and inter-domain routing to make it easier for internet service providers (ISPs) to support IP telephony)(3) Network Interruption: system failure which may include an unintentional or unplanned outage on the network. The failure could be due to human error, system error or both. (e.g. a company upgrading its accounting system may unexpectedly cause the entire network to freeze in the process)(4) Cyber Extortion (a form of online crime in which a website, email server, or computer system is subjected to repeated denial of service (DDoS) or other attacks by malicious hackers, who demand money in return for promising to stop the attacks)(5) Electronic Data Incident (incident in which sensitive, confidential or otherwise protected data is accessed and/or disclosed in an unauthorized fashion. Data breaches may involve personal health information (PHI), personally identifiable information (PII), trade secrets or intellectual property)(6) Cyber Theft (may include online fraud or other similar illicit activities)(7) Data Restoration (refers to the process of copying backup data from secondary storage and restoring it to its original location or a new location. A restore is performed to return data that has been lost, stolen or damaged to its original condition or to move data to a new location)(8) Extra expense(9) System clean-up costs(10) Administrative investigation and penalties(11) Physical injury(12) Data Protection and Cyber Liability (includes also GDPR implications regarding third party data protection)(13) Media Liability (i.e. reputational risk)(14) Wrongful collection of information(15) Media Content infringement/defamatory content(16) Violation of notification obligations (notification of data breaches is provided in defined time lags by law and or GDPR provisions)(17) First Response (costs incurred in responding quickly to attacks to restore service)(18) Event management (all activities needed to restore normal activities)(19) Communication Costs (big data breaches may require mass communication of the outcomes of the breach)(20) Credit/Identity monitoring (ensure the restoration/block of credit or identity data collected from customers/employees, etc.)(21) Criminal Reward Fund (contribution to government funds established to cover cyber liabilities towards third parties)(22) Contingent business interruption(23) Financial Fraud(24) OtherMore than one options may be reported. |
| C0070 | Other risk detailed description | A detailed description of the risks if other risk is chosen. |
| C0080 | Sum(s) insured | Amount of the total sum(s) insured for the reported Product Identification. |
| C0090 | Premium(s) | Amount of the total premium(s) earned for the reported product Identification. |
| C0100 | Sum(s) reinsured | Amount of the total sum(s) ceded to reinsurance undertakings for the reported product Identification. |
| C0110 | Number of Claims settled with Payment | Number of Claims, for the relevant product category, that have been settled with payment during the reporting year. |
| C0120 | Amount of Claims Paid | Amount of claims paid, for the relevant product Identification, for claims that have been settled with payment during the reporting year. |
| C0130 | Number of Claims settled without payment | Number of Claims, for the relevant product Identification, that have been settled without payment during the reporting year. |
| C0140 | Technical Provisions | Amount of technical provisions, for the relevant product Identification. |
S.16.01 – Information on annuities stemming from Non–Life Insurance obligations
General comments:
i.If the best estimate for the annuity claims provisions on a discounted basis from one non–life line of business represents more than 3 % of the total best estimate for all annuity claims provisions the information shall be reported with the following split by currencies in addition to the total for the line of business:
a)Amounts for the reporting currency;
b)Amounts for any currency that represents more than 25 % of the best estimate for the annuity claims provisions on a discounted basis from that non–life line of business; or
c)Amounts for any currency that represents less than 25 % of the best estimate for the annuity claims provisions (discounted basis) from that non–life line of business but more than 5 % of total best estimate for all annuity claims provisions.
i.All or part of the obligation has been formally settled as an annuity; and
ii.If the best estimate for the annuity claims provisions on a discounted basis from one non–life line of business represents less than 3 % of the total best estimate for all annuity claims provisions no currency split is required, only the total for the line of business shall be reported;
ii.a best estimate of an obligation formally settled as an annuity can be established using life techniques.
iii.The information shall be reported in the original currency of the contracts unless otherwise specified.
iv.For captive insurance and reinsurance undertakings complying with the conditions specified in Article 5(4) and (5), this template shall be reported without currency split i.e. Z0030 is reported always as Total.
This section relates to annual submission of information for individual undertakings.
This template shall not be reported for accepted reinsurance business.
This template shall be reported only for annuities formally settled stemming from non–life contracts and relating to health insurance obligations and relating to insurance obligations other than health insurance obligations.
Formally settled as an annuity means that a legal process has ordered that the beneficiary is to receive payments as an annuity.
In the event that after an obligation has been formally settled as an annuity some of that obligation subsequently ends up being settled via a lump sum payment that was not in the original annuity payment order, that lump sum would be recorded as a payment in template S.16.01; i.e. there is no movement of claims data out of template S.16.01 and into S.19.01.
Undertakings are required to report data on an accident year or underwriting year basis, in accordance with any requirements of the National Supervisory Authority. If the National Supervisory Authority has not stipulated which to use then the undertaking may use accident or underwriting year according to how they manage each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, provided that they use the same year consistently, year on year.
This template shall be reported by non–life line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, originating the annuity and by currency, considering the following specifications:
As already specified above, this template is interlinked with the non–Life template S.19.01. The sum of technical provisions in templates S.16.01 and S.19.01 for one non–life line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, represents the total claims best estimate originating from this line of business (also refer log to template S.19.01). All or part of an obligation moves from S.19.01 into S.16.01, when both of the below conditions are met:
Year N is the reporting year.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | The related non–life line of business | Name of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.The origin of the liability (medical expense, income protection, workers’ comp, motor liability etc.). All the figures in the template are stemming from the related line of business.The following closed list shall be used:1 — 1 and 13 Medical expense insurance2 — 2 and 14 Income protection insurance3 — 3 and 15 Workers’ compensation insurance4 — 4 and 16 Motor vehicle liability insurance5 — 5 and 17 Other motor insurance6 — 6 and 18 Marine, aviation and transport insurance7 — 7 and 19 Fire and other damage to property insurance8 — 8 and 20 General liability insurance9 — 9 and 21 Credit and suretyship insurance10 — 10 and 22 Legal expenses insurance11 — 11 and 23 Assistance12 — 12 and 24 Miscellaneous financial loss25 — Non–proportional health reinsurance26 — Non–proportional casualty reinsurance27 — Non–proportional marine, aviation and transport reinsurance28 — Non–proportional property reinsurance |
| Z0020 | Accident year/Underwriting year | Report the standard used by the undertakings for reporting of claims development.The following closed list shall be used:1 – Accident year2 – Underwriting year |
| Z0030 | Currency | Identify the ISO 4217 alphabetic code of the settlement currency of the obligation. All amounts, not reported by currency, are reported in the undertaking’s reporting currency.This item shall be filled in with ‘Total’ when reporting the total for the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.For captive insurance and reinsurance undertakings complying with the conditions specified Article 5(4) and (5) this cell shall always be reported as Total. |
| Z0040 | Currency conversion | Identify if the information reported by currency is being reported in the original currency (default) or in the reporting currency (otherwise specified). The following closed list shall be used:1 – Original currency2 – Reporting currencyOnly applicable when reporting by currency. |
| Information on year N: | ||
| C0010/R0010 | The average interest rate | The average interest rate used in percentage (as a decimal) for the end of year N |
| C0010/R0020 | The average duration of the obligations | Average duration in years on total obligations basis for the end of the year N |
| C0010/R0030 | The weighted average age of the beneficiaries | The weight shall be the Best Estimate for annuity claims provisions at the end of year N. Age of beneficiaries calculated on a weighted average for total obligations.The beneficiary is the person to whom the payments are reverting to, following the occurrence of a claim (that affects the insured person) which originates this type of payment.Information should be considered gross of reinsurance. |
| Annuities information: | ||
| C0020/R0040–R0190 | Undiscounted annuity claims provisions at the start of year N | Amount of annuity claims best estimate stemming from Non–Life Insurance obligations at beginning of year N. |
| C0030/R0040–R0190 | Undiscounted annuity claims provisions set up during year N | Total amount of annuity claims provisions stemming from Non–Life Insurance obligations set up during year N as at the moment they were first set up (i.e., where assumptions used were for the first time based on life techniques)This is a part of technical provisions set up during year N (Net movements between new reserves during year N/release of reserves during year N). |
| C0040/R0040–R0190 | Annuity payments paid during year N | Total amount of annuity payments stemming from Non–Life Insurance obligations made during the calendar year N. |
| C0050/R0040–R0190 | Undiscounted annuity claims provisions at the end of year N | Total amount of annuity claims provisions stemming from Non–Life Insurance obligations at end of year N. |
| C0060/R0040–R0190 | Number of annuities obligations at the end of year N | Number of non–life insurance annuity obligations. |
| C0070/R0040–R0190 | Best Estimate for annuity claims provisions at the end of year N (discounted basis) | Best estimate covering annuities stemming from Non–Life Insurance obligations at the end of calendar year N.Information should be considered gross of reinsurance. |
| C0080/R0040–R0190 | Undiscounted development result | Undiscounted development result calculated as the undiscounted annuity claims provisions at the start of year N, minus annuity payments paid during year N and minus undiscounted annuity claims provisions at the end of year N. |
| C0020–C0080/R0200 | Total | Total amount of the undiscounted development result for all accident/underwriting years. |
S.17.01 – Non–life Technical Provisions
General comments:
This section relates to quarterly and annual submission of information for individual entities, ring-fenced funds, matching adjustment portfolios and remaining part.
Undertakings may apply appropriate approximations in the calculation of the technical provisions as referred to in Article 21 of Delegated Regulation (EU) 2015/35. In addition, Article 59 of the Delegated Regulation (EU) 2015/35 may be applied to calculate the risk margin during the financial year.
Line of Business for non–life obligations: The lines of business, referred to in Article 80 of the Directive 2009/138/EC, as defined in Annex I to Delegated Regulation (EU) 2015/35, referred to direct business/accepted proportional reinsurance and accepted non–proportional reinsurance. The segmentation shall reflect the nature of the risks underlying the contract (substance), rather than the legal form of the contract (form).
Health direct insurance business pursued on a non–similar technical basis to life insurance shall be segmented into Non–Life line of business 1 to 3.
Accepted proportional reinsurance shall be considered together with the direct business in the C0020 to C0130.
The information to be reported between R0010 and R0280 shall be after the volatility adjustment, the matching adjustment and the transitional adjustment to the relevant risk-free interest rate term structure if applied but shall not include the transitional deduction to technical provisions. The amount of transitional deduction to technical provisions is requested separately between rows R0290 and R0310.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0020 | Ring-Fenced Fund/Matching adjustment portfolio or remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | Identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates. |
| Technical provisions calculated as a whole | ||
| C0020 to C0170/R0010 | Technical provisions calculated as a whole | The amount of technical provisions calculated as a whole per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted business.This amount shall be gross of any recoverable from reinsurance contract/SPV and Finite Re related to this business. |
| C0180/R0010 | Technical provisions calculated as a whole – Total Non–Life obligation | The total amount of technical provisions calculated as a whole regarding direct and accepted business.This amount shall be gross of any recoverable from reinsurance contract/SPV and Finite Re related to this business. |
| C0020 to C0130/R0020 | Technical provisions calculated as a whole – direct business | The amount of technical provisions calculated as a whole per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, for the direct business.This amount shall be gross of any recoverable from reinsurance contract/SPV and Finite Re related to this business. |
| C0180/R0020 | Total Non–Life obligations, Technical provisions calculated as a whole, total direct business | The total amount of technical provisions calculated as a whole, for the direct business.This amount shall be gross of any recoverable from reinsurance contract/SPV and Finite Re related to this business. |
| C0020 to C0130/R0030 | Technical provisions calculated as a whole – accepted proportional reinsurance business | The amount of technical provisions calculated as a whole per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, for the accepted proportional reinsurance business.This amount shall be gross of any recoverable from reinsurance contract/SPV and Finite Re related to this business. |
| C0180/R0030 | Total Non–Life obligations, Technical provisions calculated as a whole, total accepted proportional reinsurance business | The total amount of technical provisions calculated as a whole, for the accepted proportional reinsurance business.This amount shall be gross of any recoverable from reinsurance contract/SPV and Finite Re related to this business. |
| C0140 to C0170/R0040 | Technical provisions calculated as a whole – accepted non–proportional reinsurance business | The amount of technical provisions calculated as a whole per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, for the accepted non–proportional reinsurance business.This amount shall be gross of any recoverable from reinsurance contract/SPV and Finite Re related to this business. |
| C0180/R0040 | Total Non–Life obligations, Technical provisions calculated as a whole, total accepted non proportional reinsurance business | The total amount of technical provisions calculated as a whole, for the accepted non–proportional reinsurance business.This amount shall be gross of any recoverable from reinsurance contract/SPV and Finite Re related to this business. |
| C0020 to C0170/R0050 | Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole | The amount of recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default of technical provisions calculated as a whole per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35 |
| C0180/R0050 | Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole | The total amount, for all lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default of technical provisions calculated as a whole per each line of business. |
| Technical provisions calculated as a sum of a best estimate and a risk margin – Best estimate | ||
| C0020 to C0170/R0060 | Best Estimate of Premium provisions, Gross, total | The amount of best estimate for premium provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted business. |
| C0180/R0060 | Total Non–Life obligations, Best Estimate of Premium provisions, Gross, total | The total amount of best estimate for premium provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance regarding direct and accepted business. |
| C0020 to C0130/R0070 | Best Estimate of Premium provisions, Gross – direct business | The amount of best estimate for premium provisions, for the direct business, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0180/R0070 | Total Non–Life obligations, Best Estimate of Premium provisions, Gross, total direct business | The total amount of best estimate for premium provisions, for the direct business, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance. |
| C0020 to C0130/R0080 | Best Estimate of Premium provisions, Gross – accepted proportional reinsurance business | The amount of best estimate for premium provisions, for accepted proportional reinsurance business, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0180/R0080 | Total Non–Life obligations, Best Estimate of Premium provisions, Gross, total accepted proportional reinsurance business | The total amount of best estimate for premium provisions, for the accepted proportional reinsurance business, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance. |
| C0140 to C0170/R0090 | Best Estimate of Premium provisions, Gross – accepted non proportional reinsurance business | The amount of best estimate for premium provisions, for accepted non–proportional reinsurance business, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0180/R0090 | Total Non–Life obligations, Best Estimate of Premium provisions, Gross, total accepted non proportional reinsurance business | The total amount of best estimate for premium provisions, for accepted non–proportional reinsurance business, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance. |
| C0020 to C0170/R0100 | Best estimate of Premium provisions, Total recoverable from reinsurance/SPV and Finite re before the adjustment for expected losses due to counterparty default Direct and accepted reinsurance business | Total recoverable from reinsurance/SPV and Finite reinsurance before the adjustment for expected losses due to counterparty default, referred to the best estimate for premium provisions for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0180/R0100 | Total Non–Life obligations, Best estimate of Premium provisions, Total recoverable from reinsurance/SPV and Finite re before the adjustment for expected losses due to counterparty default | The Total recoverable from reinsurance/SPV and Finite reinsurance before the adjustment for expected losses due to counterparty default, referred to the best estimate for premium provisions. |
| C0020 to C0170/R0110 | Best Estimate of Premium provisions, Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses – Direct and accepted reinsurance business | The amount of Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses, referred to the best estimate for premium provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35 regarding direct and accepted reinsurance business. |
| C0180/R0110 | Total Non–Life obligations, Best Estimate of Premium provisions, Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses | The total amount of Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses, referred to the best estimate for premium provisions. |
| C0020 to C0170/R0120 | Best Estimate of Premium provisions, Recoverables from SPV before adjustment for expected losses – Direct and accepted reinsurance business. | The amount of Recoverables from SPV before adjustment for expected losses, referred to the best estimate for premium provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business. |
| C0180/R0120 | Total Non–Life obligations, Best Estimate of Premium provisions, Recoverables from SPV before adjustment for expected losses | The total amount of Recoverables from SPV before adjustment for expected losses, referred to the best estimate for premium provisions. |
| C0020 to C0170/R0130 | Best Estimate of Premium provisions, Recoverables from Finite Reinsurance before adjustment for expected losses – Direct and accepted reinsurance business | The amount of Recoverables from Finite Reinsurance before adjustment for expected losses, referred to the best estimate for premium provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business. |
| C0180/R0130 | Total Non–Life obligations, Best Estimate of Premium provisions, Recoverables from Finite Reinsurance before adjustment for expected losses. | The total amount of Recoverables from Finite Reinsurance before adjustment for expected losses, referred to the best estimate for premium provisions. |
| C0020 to C0170/R0140 | Best Estimate of Premium provisions, Total recoverable from reinsurance/SPV and Finite reinsurance after the adjustment for expected losses due to counterparty default – Direct and accepted reinsurance business | The amount of recoverable from reinsurance/SPV and Finite reinsurance after the adjustment for expected losses due to counterparty default, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted reinsurance business. |
| C0180/R0140 | Total Non–Life obligations, Best Estimate of Premium provisions, Recoverable from reinsurance/SPV and Finite reinsurance after the adjustment for expected losses due to counterparty default. | The total amount of Recoverable from reinsurance/SPV and Finite reinsurance after the adjustment for expected losses due to counterparty default, referred to the best estimate for premium provisions. |
| C0020 to C0170/R0150 | Net best estimate of Premium provisions – Direct and accepted reinsurance business | The amount of net best estimate for premium provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0180/R0150 | Total Non–Life obligations, Net best estimate of Premium provisions | The total amount of net best estimate for premium provisions. |
| C0020 to C0170/R0160 | Best Estimate of Claims Provisions, Gross, Total | The amount of best estimate for Claims Provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted business. |
| C0180/R0160 | Total Non–Life obligations, Best Estimate of Claims Provisions, Gross, total | The total amount of best estimate for Claims Provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance. |
| C0020 to C0130/R0170 | Best Estimate of Claims Provisions, Gross – direct business | The amount of best estimate for claims provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business. |
| C0180/R0170 | Total Non–Life obligations, Best Estimate of Claims Provisions, Gross, total direct business | The total amount of best estimate for Claims provisions, direct business, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance. |
| C0020 to C0130/R0180 | Best Estimate of Claims Provisions, Gross – accepted proportional reinsurance business | The amount of best estimate for claims provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding accepted proportional reinsurance. |
| C0180/R0180 | Total Non–Life obligations, Best Estimate of Claims Provisions, Gross, total accepted proportional reinsurance business | The total amount of best estimate for Claims provisions, accepted proportional reinsurance business, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance. |
| C0140 to C0170/R0190 | Best Estimate of Claims Provisions, Gross – accepted non proportional reinsurance business | The amount of best estimate for Claims Provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding accepted non proportional reinsurance. |
| C0180/R0190 | Total Non–Life obligations, Best Estimate of Claims Provisions, Gross – accepted non proportional reinsurance business | The total amount of best estimate for Claims Provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance. |
| C0020 to C0170/R0200 | Best Estimate of Claims provisions, Total recoverable from reinsurance/SPV and Finite before the adjustment for expected losses due to counterparty default | Total recoverable from reinsurance/SPV and Finite Re, before the adjustment for expected losses due to counterparty default, referred to the Best Estimate for Claims Provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business. |
| C0180/R0200 | Total Non–Life obligations, Best estimate of Claims Provisions, Total recoverable from reinsurance/SPV and Finite re before the adjustment for expected losses due to counterparty default | The Total recoverable from reinsurance/SPV, and Finite before the adjustment for expected losses due to counterparty default, referred to the Best Estimate for Claims Provisions. |
| C0020 to C0170/R0210 | Best Estimate of Claims provisions, Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses – Direct and accepted reinsurance business | The amount of Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses, referred to the Best Estimate for Claims Provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business. |
| C0180/R0210 | Total Non–Life obligations, Best estimate of Claims provisions, Total Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses – Direct and accepted reinsurance business | The total amount of Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses, referred to the Best Estimate for Claims Provisions. |
| C0020 to C0170/R0220 | Best Estimate of Claims provisions, Recoverables from SPV before adjustment for expected losses – Direct and accepted reinsurance business. | The amount of Recoverables from SPV before adjustment for expected losses, referred to the Best Estimate for Claims Provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business. |
| C0180/R0220 | Total Non–Life obligations, Best Estimate of Claims Provisions, Recoverables from SPV before adjustment for expected losses | The total amount of Recoverables from SPV before adjustment for expected losses, referred to the Best Estimate for Claims Provisions. |
| C0020 to C0170/R0230 | Best Estimate of Claims provisions, Recoverables from Finite Reinsurance before adjustment for expected losses – Direct and accepted reinsurance business. | The amount of Recoverables from Finite Reinsurance before adjustment for expected losses, referred to the best estimate for claims provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted reinsurance business. |
| C0180/R0230 | Total Non–Life obligations, Best Estimate of Claims Provisions, Recoverables from Finite Reinsurance before adjustment for expected losses. | The total amount of Recoverables from Finite Reinsurance before adjustment for expected losses, referred to the Best Estimate for Claims Provisions. |
| C0020 to C0170/R0240 | Best Estimate of Claims provisions, Total recoverable from reinsurance/SPV and Finite re after the adjustment for expected losses due to counterparty default – Direct and accepted reinsurance business | The amount recoverable from reinsurance/SPV and Finite re after the adjustment for expected losses due to counterparty default, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business. |
| C0180/R0240 | Total Non–Life obligations, Best Estimate of Claims Provisions, Recoverable from reinsurance/SPV and Finite re after the adjustment for expected losses due to counterparty default. | The total amount of Recoverable from reinsurance/SPV and Finite re after the adjustment for expected losses due to counterparty default, referred to the Best Estimate for Claims Provisions. |
| C0020 to C0170/R0250 | Net best estimate of Claims provisions – Direct and accepted reinsurance business | The amount of net best estimate for claims provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business. |
| C0180/R0250 | Total Non–Life obligations, Net best estimate of Claims Provisions | The total amount of net Best Estimate for Claims Provisions. |
| C0020 to C0170/R0260 | Total best estimate, Gross – Direct and accepted reinsurance business | The amount of Total gross best estimate, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business. |
| C0180/R0260 | Total Non–Life obligations, Total Best Estimate, Gross | The total amount of Gross Best Estimate (sum of the Premium Provision and Claims Provisions). |
| C0020 to C0170/R0270 | Total best estimate, Net – Direct and accepted reinsurance business | The amount of Total net best estimate, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business. |
| C0180/R0270 | Total Non–Life obligations, Total Best Estimate, Net | The total amount of Net Best Estimate (sum of the Premium Provision and Claims Provisions). |
| C0020 to C0170/R0280 | Technical provisions calculated as a sum of a best estimate and a risk margin – Risk margin | The amount of risk margin, as required by Directive 2009/138/EC (Article 77(3)). The risk margin is calculated to whole portfolio of (re)insurance obligations and then allocated to each single line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted reinsurance business. |
| C0180/R0280 | Total Non–Life obligations, Total risk margin | The total amount of risk margin, as required by Directive 2009/138/EC (Article 77(3)). |
| Amount of the transitional on Technical Provisions | ||
| C0020 to C0170/R0290 | Amount of the transitional on Technical Provisions – Technical Provisions calculated as a whole | Amount of the transitional deduction to Technical Provisions allocated to the technical provisions calculated as a whole, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.This value shall be reported as a negative value when it reduces the technical provisions. |
| C0180/R0290 | Amount of the transitional on Technical Provisions – Technical Provisions calculated as a whole | Total amount, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of the transitional deduction to technical provisions allocated to the technical provisions calculated as a whole.This value shall be reported as a negative value when it reduces the technical provisions. |
| C0020 to C0170/R0300 | Amount of the transitional on Technical Provisions – Best Estimate | Amount of the transitional deduction to technical provisions allocated to the best estimate, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.This value shall be reported as a negative value when it reduces the technical provisions. |
| C0180/R0300 | Amount of the transitional on Technical Provisions – Best Estimate | Total amount, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of the transitional deduction to technical provisions allocated to the best estimate.This value shall be reported as a negative value when it reduces the technical provisions. |
| C0020 to C0170/R0310 | Amount of the transitional on Technical Provisions – Risk Margin | Amount of the transitional deduction to technical provisions allocated to the risk margin, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.This value shall be reported as a negative value when it reduces the technical provisions. |
| C0180/R0310 | Amount of the transitional on Technical Provisions – Risk Margin | Total amount, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of the transitional deduction to technical provisions allocated to the risk margin.This value shall be reported as a negative value when it reduces the technical provisions. |
| Technical provisions – Total | ||
| C0020 to C0170/R0320 | Technical provisions, Total – Direct and accepted reinsurance business | The total amount of gross technical provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business, including technical provisions calculated as a whole and after the transitional deduction to technical provisions. |
| C0180/R0320 | Total Non–Life obligations, Technical Provision – total | The total amount of gross technical provisions regarding direct and accepted reinsurance business, including technical provisions calculated as a whole and after the transitional deduction to technical provisions. |
| C0020 to C0170/R0330 | Technical provisions, Total – Recoverable from reinsurance contract/SPV and Finite reinsurance, after the adjustment for expected losses due to counterparty default – Direct and accepted reinsurance business | The total amount of recoverable from reinsurance contract/SPV and Finite reinsurance, after the adjustment for expected losses due to counterparty default, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business. |
| C0180/R0330 | Total Non–Life obligations, Recoverable from reinsurance contract/SPV and Finite re, after the adjustment for expected losses due to counterparty default – Direct and accepted reinsurance business | The total amount of recoverable from reinsurance contract/SPV and Finite reinsurance, after the adjustment for expected losses due to counterparty default regarding direct and accepted reinsurance business. |
| C0020 to C0170/R0340 | Technical provisions, Total – Technical provisions minus recoverables from reinsurance/SPV and Finite reinsurance – Direct and accepted reinsurance business | The total amount of net technical provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business, including technical provisions calculated as a whole and after the transitional deduction to technical provisions. |
| C0180/R0340 | Total Non–Life obligations, Technical provisions minus recoverables from reinsurance and SPV – Direct and accepted reinsurance business | The total amount of net technical provisions regarding direct and accepted reinsurance business, including technical provisions calculated as a whole and after the transitional deduction to technical provisions. |
| Line of Business: further segmentation (Homogeneous Risk Groups) | ||
| C0020 to C0170/R0350 | Line of Business, further segmentation by (Homogeneous Risk Groups) – Premium provisions – Total number of homogeneous risk groups | Information regarding the number of HRG in the segmentation, if the (re)insurance undertaking further segmented line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, into homogenous risk groups according to nature of the risks underlying the contract, for each line of business where that segmentation was performed, regarding direct business and accepted proportional reinsurance and accepted non–proportional reinsurance, in respect of premium provisions. |
| C0020 to C0170/R0360 | Line of Business, further segmentation by (Homogeneous Risk Groups) – Claims provisions – Total number of homogeneous risk groups | Information regarding the number of HRG in the segmentation, if the (re)insurance undertaking further segmented line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, into homogenous risk groups according to nature of the risks underlying the contract, for each line of business where that segmentation was performed, regarding direct business and accepted proportional reinsurance and accepted non–proportional reinsurance, in respect of claims provisions. |
| C0020 to C0170/R0370 | Best estimate Premium Provisions, Cash out–flows, future benefits and claims | The amount of split, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted proportional reinsurance and Accepted non–proportional reinsurance, of cash flows for future benefits and claims used to determine the gross best estimate of premium provisions, i.e. the probability–weighted average of future cash out–flows, discounted to take into account the time value of money (expected present value of future cash–flows). In case of use of a stochastic methodology for the cash–flow projection, it is required to report the average scenario. |
| C0180/R0370 | Best estimate Premium Provisions, Cash out–flows, future benefits and claims – Total | The total amount of cash flows for future benefits and claims used to determine the gross best estimate of premium provisions. |
| C0020 to C0170/R0380 | Best estimate Premium Provisions, Cash out–flows, future expenses and other cash–out flows | The amount of split, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted proportional reinsurance and Accepted non–proportional reinsurance, of cash flows for future expenses and other cash out–flows used to determine the gross best estimate of premium provisions, i.e. the probability–weighted average of future cash out–flows, discounted to take into account the time value of money (expected present value of future cash–flows). In case of use of a stochastic methodology for the cash–flow projection, it is required to report the average scenario. |
| C0180/R0380 | Best estimate Premium Provisions, Cash out–flows, future expenses and other cash–out flows – Total | The total amount of future expenses and other cash–out flows used to determine the gross best estimate of premium provisions. |
| C0020 to C0170/R0390 | Best estimate Premium Provisions, Cash in–flows, future premiums | The amount of split, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted proportional reinsurance and accepted non–proportional reinsurance, of cash flows for future premiums used to determine the gross best estimate of premium provisions, i.e. the probability–weighted average of future cash in–flows, discounted to take into account the time value of money (expected present value of future cash–flows). In case of use of a stochastic methodology for the cash–flow projection, it is required to report the average scenario. |
| C0180/R0390 | Best estimate Premium Provisions, Cash in–flows, future premiums – Total | The total amount of future premiums used to determine the gross best estimate of premium provisions. |
| C0020 to C0170/R0400 | Best estimate Premium Provisions, Cash in–flows, Other cash–in flows (incl. Recoverables from salvages and subrogations) | The amount of split, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted proportional reinsurance and Accepted non–proportional reinsurance, of cash flows for other cash in–flows, including recoverables from salvages and subrogations, used to determine the gross best estimate of premium provisions, i.e. the probability–weighted average of future cash in–flows, discounted to take into account the time value of money (expected present value of future cash–flows). In case of use of a stochastic methodology for the cash–flow projection, it is required to report the average scenario. |
| C0180/R0400 | Best estimate Premium Provisions, Cash in–flows, Other cash–in flows (incl. recoverables from salvages and subrogations) – Total | The total amount of Other cash–in flows (including recoverables from salvages and subrogations) used to determine the gross best estimate of premium provisions. |
| C0020 to C0170/R0410 | Best estimate Claims Provisions, Cash out–flows, future benefits and claims | The amount of split, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted proportional reinsurance and Accepted non–proportional reinsurance, of cash flows for future benefits and claims used to determine the gross best estimate of Claims provisions, i.e. the probability–weighted average of future cash out–flows, discounted to take into account the time value of money (expected present value of future cash–flows). In case of use of a stochastic methodology for the cash–flow projection, it is required to report the average scenario. |
| C0180/R0410 | Best estimate Claims Provisions, Cash out–flows, future benefits and claims – Total | The total amount of Claims Provisions, Cash out–flows, future benefits and claims used to determine the gross best estimate of claims provisions. |
| C0020 to C0170/R0420 | Best estimate Claims Provisions, Cash out–flows, future expenses and other cash–out flows | The amount of split, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted proportional reinsurance and Accepted non–proportional reinsurance, of cash flows for future expenses and other cash out–flows used to determine the gross best estimate of Claims provisions, i.e. the probability–weighted average of future cash out–flows, discounted to take into account the time value of money (expected present value of future cash–flows). In case of use of a stochastic methodology for the cash–flow projection, it is required to report the average scenario. |
| C0180/R0420 | Best estimate Claims Provisions, Cash out–flows, future expenses and other cash–out flows – Total | The total amount of Claims Provisions, Cash out–flows, future expenses and other cash–out flows used to determine the gross best estimate of claims provisions. |
| C0020 to C0170/R0430 | Best estimate Claims Provisions, Cash in–flows, future premiums | The amount of split, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted proportional reinsurance and accepted non–proportional reinsurance, of cash flows for future premiums used to determine the gross best estimate of claims provisions, i.e. the probability–weighted average of future cash in–flows, discounted to take into account the time value of money (expected present value of future cash–flows). In case of use of a stochastic methodology for the cash–flow projection, it is required to report the average scenario. |
| C0180/R0430 | Best estimate Claims Provisions, Cash in–flows, future premiums – Total | The total amount of Claims Provisions, cash in–flows, future premiums used to determine the gross best estimate of claims provisions. |
| C0020 to C0170/R0440 | Best estimate Claims Provisions, Cash in–flows, Other cash–in flows (incl. Recoverable from salvages and subrogations) | The amount of split, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted proportional reinsurance and accepted non–proportional reinsurance, of other cash–in flows (including Recoverable from salvages and subrogations) used to determine the gross best estimate of Claims provisions, i.e. the probability–weighted average of future cash in–flows, discounted to take into account the time value of money (expected present value of future cash–flows). In case of use of a stochastic methodology for the cash–flow projection, it is required to report the average scenario. |
| C0180/R0440 | Best estimate Claims Provisions, Cash in–flows, Other cash–in flows (incl. Recoverable from salvages and subrogations) – Total | The total amount of Claims Provisions, cash in–flows, Other cash–in flows (including Recoverable from salvages and subrogations) used to determine the gross best estimate of claims provisions. |
| C0020 to C0170/R0450 | Use of simplified methods and techniques to calculate technical provisions – Percentage of gross Best Estimate calculated using approximations | Percentage of gross best estimate included in Total Best Estimate Gross (R0260) calculated using approximations as established in Article 21 of Delegated Regulation (EU) 2015/35, per each Line of Business. |
| C0180/R0450 | Use of simplified methods and techniques to calculate technical provisions – Percentage of gross Best Estimate calculated using approximations – Total | Percentage of total gross best estimate included in Total Best Estimate Gross (R0260) calculated using approximations as established in Article 21 of Delegated Regulation (EU) 2015/35, per each Line of Business regarding direct business and accepted proportional reinsurance and accepted non–proportional reinsurance. |
| C0020 to C0170/R0460 | Best estimate subject to transitional of the interest rate | Amount of best estimate reported in R0260 subject to transitional adjustment to the relevant risk-free interest rate term structure, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0180/R0460 | Best estimate subject to transitional of the interest rate – Total Non–Life obligation | Total amount, for all lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of Best estimate reported in R0260 subject to transitional adjustment to the relevant risk-free interest rate term structure. |
| C0020 to C0170/R0470 | Technical provisions without transitional of the interest rate | Amount of the technical provisions calculated without the transitional adjustment to the relevant risk-free interest rate term structure, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.In the cases where the same best estimates were also subject to the volatility adjustment, the amount reported in this item shall reflect the value without the transitional adjustment to the relevant risk-free interest rate term structure but with the volatility adjustment. |
| C0180/R0470 | Technical provisions without transitional of the interest rate – Total Non–Life obligation | Total amount, for all lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of the technical provisions calculated without the transitional adjustment to the relevant risk-free interest rate term structure.In the cases where the same best estimates were also subject to the volatility adjustment, the amount reported in this item shall reflect the value without the transitional adjustment to the relevant risk-free interest rate term structure but with the volatility adjustment. |
| C0020 to C0170/R0480 | Best estimate subject to volatility adjustment | Amount of best estimate reported in R0260 subject to volatility adjustment, for each Line of Business. |
| C0180/R0480 | Best estimate subject to volatility adjustment – Total Non–Life obligation | Total amount, for all lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of the best estimate reported in R0260 subject to volatility adjustment. |
| C0020 to C0170/R0490 | Technical provisions without volatility adjustment and without others transitional measures | Amount of Technical provisions without volatility adjustment, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.In the cases where the same best estimates were also subject to the transitional deduction to technical provisions/transitional adjustment to the relevant risk-free interest rate term structure, the amount reported in this item shall reflect the value without both the transitional adjustment to the relevant risk-free interest rate term structure and without the volatility adjustment. |
| C0180/R0490 | Technical provisions without volatility adjustment and without others transitional measures – Total Non–Life obligation | Total amount, for all lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of technical provisions without volatility adjustment.In the cases where the same best estimates were also subject to the transitional deduction to technical provisions/transitional adjustment to the relevant risk-free interest rate term structure, the amount reported in this item shall reflect the value without both the transitional adjustment to the relevant risk-free interest rate term structure and without the volatility adjustment. |
| C0020, C0030, C0040, C0050, C0060, C0070, C0080, C0090, C0100, C0110, C0120, C0130, C0140, C0150, C0160, C0170/R0500 | Expected profits included in future premiums (EPIFP) | Amount of Expected profit in future premiums (‘EPIFP’) gross of reinsurance and taxes (i.e. without considering their impact), for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0180/R0500 | Expected profits included in future premiums (EPIFP)— Total Non-Life obligation | Total amount Expected profit in future premiums (‘EPIFP’) gross of reinsurance and taxes (i.e. without considering their impact) for Non-Life obligation. |
S.17.03 – Non-Life Technical Provisions – By country
General comments:
a)Information on the home country shall be always reported regardless of the amount of Technical Provisions as a whole and Gross Best Estimate (referred to direct business);
a)The country where the insurance undertaking is established (home country) when the contract was not sold through a branch or freedom to provide services;
b)Information reported by country shall at least represent 90 % of the total Technical Provisions as a whole and Gross Best Estimate (referred to direct business) of any line of business;
b)The country where the branch is located (host country) when the contract was sold through a branch;
c)If a specific country has to be reported for a particular line of business to comply with sub–paragraph b) then that country shall be reported for all lines of business;
c)The country where the freedom to provide services was notified (host country) when the contract was sold through freedom to provide services.
d)The other countries shall be reported aggregated in ‘other–EEA’ or ‘other–non EEA’;
d)If an intermediary is used or in any other situation, it is a), b) or c) depending on who sold the contract.
e)For the direct insurance business for the lines of business ‘Medical expense’, ‘Income protection’, ‘Workers’ compensation’, ‘Fire and other damage to property’ and ‘Credit and suretyship’ information shall be reported by country where the risk is situated as defined in Article 13(13) of Directive 2009/138/EC;
f)For direct insurance business for all other lines of business not referred in sub–paragraph e) information shall be reported by country where the contract was entered into;
This section relates to annual submission of information for individual entities. The template is not due when the thresholds for reporting by country described below are not applicable, i.e. the home country represents 100 % of the sum of the technical provisions calculated as a whole and gross best estimate. When this amount is higher than 90 % but lower than 100 % then only R0010, R0020,R0030, R0040, R0050, R0060, R0070, R0080 and R0090 shall be reported.
The negative technical provisions at the level of the line of business or countries shall be considered with absolute value for the purpose of the calculation of the materiality of the above thresholds.
Health direct insurance business pursued on a non–similar technical basis to life insurance shall be segmented into Non–Life line of business 1 to 3.
Undertakings shall take into account all the obligations in different currencies and convert them into the reporting currency.
The information by country shall be reported according to the following:
For the purposes of this template ‘country where the contract was entered into’ means:
The information to be reported shall include the volatility adjustment, the matching adjustment, the transitional adjustment to the relevant risk-free interest rate term structure and the transitional deduction to technical provisions.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Country 1… | Report the country ISO 3166–1 alpha–2 code of each required country in the materiality threshold, row by row. |
| Z0010 | Business Type | One of the following options shall be used:1 – Insurance2 – Accepted proportional reinsurancethe right value between option (a) and (b) |
| C0020 to C0130/R0010 | Gross TP calculated as a whole and Gross BE for different countries – Home country | Amount of gross technical provision calculated as a whole and gross best estimate, by country where the risk is situated or country where the contract was entered into when the country is the Home country, for each Line of Business, regarding direct business only (excluding accepted reinsurance).In some cases undertaking may need to use their judgment/approximations to provide correct data, in line with assumptions used for the calculation of Technical Provisions. |
| C0020 to C0130/R0020 | Gross TP calculated as a whole and Gross BE for different countries – EEA countries outside the materiality threshold – not reported by country | Amount of gross technical provision calculated as a whole and gross best estimate, for EEA countries outside the materiality threshold (i.e. those not reported separately by country), except the home country for each Line of Business, regarding direct business only (excluding accepted reinsurance)In some cases undertaking may need to use their judgment/approximations to provide correct data, in line with assumptions used for the calculation of TP. |
| C0020 to C0130/R0030 | Gross TP calculated as a whole and Gross BE for different countries – Non–EEA countries outside the materiality threshold – not reported by country | Amount of gross technical provision calculated as a whole and gross best estimate, for non–EEA countries outside the materiality threshold (i.e. those not reported separately by country), for each Line of Business, regarding direct business only (excluding accepted reinsurance).In some cases undertaking may need to use their judgment/approximations to provide correct data, in line with assumptions used for the calculation of TP. |
| C0020 to C0130/R0041 | Gross TP calculated as a whole and Gross BE for different countries accepted proportional reinsurance businessHome country | Amount of gross technical provision calculated as a whole and gross best estimate, by country of the direct insurer, for each Line of Business, regarding only accepted proportional reinsurance.In some cases undertakings may need to use their judgment/approximations to provide correct data, in line with assumptions used for the calculation of Technical Provisions. |
| C0020 to C0130/R0050 | Gross TP calculated as a whole and Gross BE for different countries accepted proportional reinsurance businessEEA countries outside the materiality threshold – not reported by country | Amount of gross technical provision calculated as a whole and gross best estimate, for EEA countries outside the materiality threshold (i.e. those not reported separately by country), except the country of the insurer for each Line of Business, regarding accepted proportional reinsurance.In some cases undertakings may need to use their judgment/approximations to provide meaningful data, in line with assumptions used for the calculation of Technical Provisions. |
| C0020 to C0130/R0060 | Gross TP calculated as a whole and Gross BE for different countries accepted proportional reinsurance business – Non–EEA countries outside the materiality threshold – not reported by country | Amount of gross technical provision calculated as a whole and gross best estimate, for non–EEA countries outside the materiality threshold (i.e. those not reported separately by country), for each Line of Business, regarding only accepted proportional reinsurance.In some cases undertakings may need to use their judgment/approximations to provide meaningful data, in line with assumptions used for the calculation of Technical Provisions. |
| C0140 to C0170/R0070 | Gross TP calculated as a whole and Gross BE for different countries accepted non- proportional reinsurance businessHome country | Amount of gross technical provision calculated as a whole and gross best estimate, by country of the direct insurer, for each Line of Business, regarding only accepted non-proportional reinsurance.In some cases undertakings may need to use their judgment/approximations to provide meaningful data, in line with assumptions used for the calculation of Technical Provisions. |
| C0140 to C0170/R0080 | Gross TP calculated as a whole and Gross BE for different countries accepted non-proportional reinsurance businessEEA countries outside the materiality threshold – not reported by country | Amount of gross technical provision calculated as a whole and gross best estimate, for EEA countries outside the materiality threshold (i.e. those not reported separately by country), except the country of the direct insurer for each Line of Business, regarding accepted non-proportional reinsurance.In some cases undertakings may need to use their judgment/approximations to provide meaningful data, in line with assumptions used for the calculation of Technical Provisions. |
| C0140 to C0170/R0090 | Gross TP calculated as a whole and Gross BE for different countries accepted non-proportional reinsurance business – Non–EEA countries outside the materiality threshold – not reported by country | Amount of gross technical provision calculated as a whole and gross best estimate, for non–EEA countries outside the materiality threshold (i.e. those not reported separately by country), for each Line of Business, regarding only accepted non-proportional reinsurance.In some cases undertakings may need to use their judgment/approximations to provide meaningful data, in line with assumptions used for the calculation of Technical Provisions. |
| C0020 to C0130/R0100 | Gross TP calculated as a whole and Gross BE for different countries – Country 1 [one row for each country in the materiality threshold] | Amount of gross technical provision calculated as a whole and gross best estimate, by country where the risk is situated or country where the contract was entered into, for each Line of Business, regarding direct business only or accepted proportional reinsurance only depending on Z0020 (excluding non-proportional accepted reinsurance).In some cases undertakings may need to use their judgment/approximations to provide meaningful data, in line with assumptions used for the calculation of Technical Provisions. |
| C0140 to C0170/R0110 | Gross TP calculated as a whole and Gross BE for different countries – Country 1 [one row for each country in the materiality threshold] for accepted non-proportional reinsurance | Amount of gross technical provision calculated as a whole and gross best estimate, by country where the risk is situated or country where the contract was entered into, for each Line of Business, regarding only accepted non-proportional reinsurance.In some cases undertakings may need to use their judgment/approximations to provide meaningful data, in line with assumptions used for the calculation of Technical Provisions. |
S.18.01 – Projection of future cash flows (Best Estimate – Non Life)
General Comments:
—All cash flows expressed in different currencies shall be considered and converted in the reporting currency using the exchange rate at the reporting date;
—The cash flows shall be reported gross of reinsurance and undiscounted;
This section relates to annual submission of information for individual undertakings.
This template shall be reported for the material non-life line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, representing a coverage of 90 % of the non-life technical provisions. Line of business shall be reported in accordance with the amount of technical provisions, i.e. the line of business with the highest amount of technical provisions.
The negative technical provisions at the level of the line of business shall be considered with absolute value for the purpose of the calculation of the materiality of the above thresholds.
In case the undertaking uses simplifications for the calculation of technical provisions, for which an estimate of the expected future cash–flows arising from the contracts are not calculated, the information shall not be reported.
This template applies only to Best Estimate and the following shall be considered:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010/R0010 to R0310 | Best Estimate Premium Provision (Gross) – Cash out–flows – Future Benefits | Amounts of all the expected payments to policyholders and beneficiaries as defined in Article 78(3) of Directive 2009/138/EC, referred to the whole portfolio of non–life obligations falling within the contract boundary, used in the calculation of premium provisions, from year 1 to year 30 and from year 31 and after. |
| C0020/R0010 to R0310 | Best Estimate Premium Provision (Gross) – Cash out–flows – Future expenses and other cash–out flows | Amount of expenses that will be incurred in servicing insurance and reinsurance obligations as defined in Article 78(1) of Directive 2009/138/EC and in Article 31 of Delegated Regulation (EU) 2015/35 and other cash–out flow items such as taxation payments which are charged to policyholders used in the calculation of premium provisions, referred to the whole portfolio of non–life obligations from year 1 to year 30 and from year 31 and after. |
| C0030/R0010 to R0310 | Best Estimate Premium Provision (Gross) – Cash in–flows – Future Premiums | Amounts of all the future premiums stemming from existing policies, excluding the past–due premiums, referred to the whole portfolio of non–life obligations, used in the calculation of premium provisions, from year 1 to year 30 and from year 31 and after. |
| C0040/R0010 to R0310 | Best Estimate Premium Provision (Gross) – Cash in–flows – Other cash–in flows | Amount of recoverables from salvages and subrogations and other cash–in flows (not including investment returns), used in the calculation of premium provisions, referred to the whole portfolio of non–life obligations from year 1 to year 30 and from year 31 and after. |
| C0050/R0010 to R0310 | Best Estimate Claims Provision (Gross) – Cash out–flows – Future Benefits | Amounts of all the expected payments to policyholders and beneficiaries as defined in Article 78(3) of Directive 2009/138/EC, referred to the whole portfolio of non–life obligations and relating existing contracts, used in the calculation of claims provisions, from year 1 to year 30 and from year 31 and after. |
| C0060/R0010 to R0310 | Best Estimate Claims Provision (Gross) – Cash out–flows – Future Expenses and other cash–out flows | Amount of expenses that will be incurred in servicing insurance and reinsurance obligations as defined in Article 78(1) of Directive 2009/138/EC and other cash–flow items such as taxation payments which are charged to policyholders used in the calculation of claims provisions, referred to the whole portfolio of non–life obligations from year 1 to year 30 and from year 31 and after. |
| C0070/R0010 to R0310 | Best Estimate Claims Provision (Gross) – Cash in–flows – Future premiums | Amounts of all the future premiums stemming from existing policies, excluding the past–due premiums, referred to the whole portfolio of non–life obligations used in the calculation of claims provisions, from year 1 to year 30 and from year 31 and after. |
| C0080/R0010 to R0310 | Best Estimate Claims Provision (Gross) – Cash in–flows – Other cash–in flows | Amount of recoverables from salvages and subrogations and other cash–in flows (not including investment returns), used in the calculation of claims provisions, referred to the whole portfolio of non–life obligations and relating existing contracts, from year 1 to year 30 and from year 31 and after. |
| C0090/R0010 to R0310 | Total recoverable from reinsurance (after the adjustment) | Amount of undiscounted cash–flows expected for each year from year 1 to year 30 and from year 31 and after.The future cash–flows undiscounted from amounts recoverables from reinsurance and SPVs/Finite Re, including ceded intra group reinsurance, including future reinsurance premiums. Amount shall be reported net of adjustment for counterparty default risk. |
| C1000/R1000 | Lines of business included | Identify the material lines of business considered in this template.The following closed list of multi-selection choice shall be used:1 – 1 and 13 Medical expense insurance2 – 2 and 14 Income protection insurance3 – 3 and 15 Workers’ compensation insurance4 – 4 and 16 Motor vehicle liability insurance5 – 5 and 17 Other motor insurance6 – 6 and 18 Marine, aviation and transport insurance7 – 7 and 19 Fire and other damage to property insurance8 – 8 and 20 General liability insurance9 – 9 and 21 Credit and suretyship insurance10 – 10 and 22 Legal expenses insurance11 – 11 and 23 Assistance12 – 12 and 24 Miscellaneous financial loss25 – Non–proportional health reinsurance26 – Non–proportional casualty reinsurance27 – Non–proportional marine, aviation and transport reinsurance28 – Non–proportional property reinsurance |
S.19.01 – Non–life insurance claims
General comments:
i.reporting by line of business: it is required to report lines of business 1–12 (as reported in S.17.01) for both direct and accepted proportional reinsurance (to be reported together) and lines of business 25–28 for accepted non–proportional reinsurance representing a coverage of 90 % of the non-life Technical Provisions. Lines of business should be selected using a decreasing order of technical provisions;
i.All or part of the obligation has been formally settled as an annuity; and
ii.If the total gross best estimate for one non–life line of business represents more than 10 % of the total gross best estimate of the claims provision the information shall be reported with the following split by currencies in addition to the total for the line of business:
a)Amounts for any currency that represents more than 25 % of the gross best estimate of the claims provisions from that non–life line of business; or
b)Amounts for any currency that represents less than 25 % of the gross best estimate of the claims provisions from that non–life line of business but more than 5 % of total gross best estimate of the claims provisions.
ii.a best estimate of an obligation formally settled as an annuity can be established using life techniques.
iii.If the total gross best estimate for one non–life line of business represents less than 10 % of the total gross best estimate of the claims provision no currency split is required, only the total for the line of business shall be reported.
iv.The information by currency shall be reported in the original currency of the contracts unless otherwise specified.
v.For captive insurance and reinsurance undertakings complying with the conditions specified in Article 5(4) and (5), this template shall be reported without the currency split i.e. Z0030 is reported always as Total.
This section relates to annual submission of information for individual entities.
Claims development triangles show the insurer’s estimate of the cost of claims (claims paid and claims provisions under Solvency II valuation principle) and how this estimate develops over time.
Three set of triangles are required regarding claims paid, best estimate of claims provisions and RBNS claims.
This template shall be reported for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and material considering the following specifications:
The negative technical provisions at the level of the line of business or currencies shall be considered with absolute value for the purpose of the calculation of the materiality of the above thresholds.
Undertakings are required to report data on an accident year or underwriting year basis, in accordance with any requirements of the National Supervisory Authority. If the National Supervisory Authority has not stipulated which to use then the undertaking may use accident or underwriting year according to how they manage each line of business, provided that they use the same year consistently, year on year.
The default length of run–off triangle is 15 + 1 years for all lines of business but the reporting requirement is based on the undertakings’ claims development (if length of the claims settlement cycle is shorter than 15 years, undertakings are required to report according to the internal shorter development).
Historical data, starting from the first time application of Solvency II, are required for claims paid and RBNS claims but not for Best Estimate of Claims Provision. For the compilation of the historical data for claims paid and RBNS claims the same approach concerning the length of triangle for the on–going reporting will be applied (i.e. the shorter between 15 + 1 years and the undertakings’ claims settlement cycle).
All or part of an obligation moves from S.19.01 into S.16.01, when both of the below conditions are met:
Formally settled as an annuity typically means that a legal process has ordered that the beneficiary is to receive payments as an annuity.
The sum of provisions in templates S.16.01 and S.19.01 for one non–life line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, represents the total claims reserves originating from this line of business.
If option ‘2 – reporting currency’ is selected in Z0040 ‘currency conversion’, the default value should be reported in Z0030 ‘currency’.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Line of Business | Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:1 – 1 and 13 Medical expense insurance2 – 2 and 14 Income protection insurance3 – 3 and 15 Workers’ compensation insurance4 – 4 and 16 Motor vehicle liability insurance5 – 5 and 17 Other motor insurance6 – 6 and 18 Marine, aviation and transport insurance7 – 7 and 19 Fire and other damage to property insurance8 – 8 and 20 General liability insurance9 – 9 and 21 Credit and suretyship insurance10 – 10 and 22 Legal expenses insurance11 – 11 and 23 Assistance12 – 12 and 24 Miscellaneous financial loss25 – Non–proportional health reinsurance26 – Non–proportional casualty reinsurance27 – Non–proportional marine, aviation and transport reinsurance28 – Non–proportional property reinsurance |
| Z0020 | Accident year or Underwriting year | Report the standard used by the undertakings for reporting of claims development. One of the options from the following closed list shall be used:1 – Accident year2 – Underwriting year |
| Z0030 | Currency | Identify the ISO 4217 alphabetic code of the currency in which the obligation is denominated.This item shall be filled in with ‘Total’ when reporting the total for the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| Z0040 | Currency conversion | Identify if the information reported by currency is being reported in the original currency (default) or in the reporting currency (otherwise specified). The following closed list shall be used:1 – Original currency2 – Reporting currencyOnly applicable when reporting by currency. |
| C0010 to C0160/R0100 to R0250 | Gross Claims Paid (non–cumulative) –Triangle | The Gross Claims Paid, net of salvage and subrogation, excluding expenses, in a triangle showing the developments of the gross claims payment already made: for each of the accident/underwriting years from N–14 (and prior) and all previous reporting periods to – including – N (last reporting year) report the payments already made corresponding at each development year (which is the delay between the accident/underwriting date and the payment date).The data are in absolute amount, non–cumulative and undiscounted.The amount includes all the elements that compose the claim itself but excludes any expenses. |
| C0170/R0100 to R0260 | Gross Claims Paid (non–cumulative) – In current year | Total ‘Current year’ reflects the last diagonal (all data referred to last reporting year) from R0100 to R0250.R0260 is the total of R0100 to R0250. |
| C0180/R0100 to R0260 | Gross Claims Paid – Sum of years (cumulative) | Total ‘Sum of all years’ contains the sum of all data in rows (sum of all payments referred to the accident/underwriting year), including total. |
| C0200 to C0350/R0100 to R0250 | Gross undiscounted Best Estimate Claims Provisions – Triangle | Triangles of undiscounted best estimate of claims provisions, gross of reinsurance for each of the accident/underwriting years from N–14 (and prior) and all previous reporting periods to – including – N (last reporting year). The best estimate for claims provision relates to claims events occurred before or at the valuation date, whether the claims arising from these events have been reported or not.The data are in absolute amount, non–cumulative and undiscounted, net of salvage and subrogation and excluding any expenses as well as any future premiums. |
| C0360/R0100 to R0260 | Gross Best Estimate Claims Provisions – Year end (discounted data) | Total ‘Year end’ reflects the last diagonal but on a discounted basis (all data referred to last reporting year) from R0100 to R0250.R0260 is the total of R0100 to R0250 |
| C0400 to C0550/R0100 to R0250 | Gross Reported but not Settled Claims (RBNS) – Triangle | Triangles for each of the accident/underwriting years from N–14 (and prior) and all previous reporting periods to – including – N (last reporting year) of provisions in respect of claim events that have happened and been reported to the insurer, but have not yet been settled, excluding incurred but not reported claims (‘IBNR’). These may be case–by–case reserves estimated by claim handlers and do not need to be on a best estimate Solvency II basis. The reported but not settled claims (‘RBNS’) shall be measured using consistent reserve strength over time.The data are in absolute amount, non–cumulative and undiscounted, net of salvage and subrogation.The amount includes all the elements that compose the claim itself but excludes any expenses. |
| C0560/R0100 to R0260 | Gross Reported but not Settled Claims (RBNS) – Year end (discounted data) | Total ‘Year end’ reflects the last diagonal but on a discounted basis (all data referred to last reporting year) from R0100 to R0250.R0260 is the total of R0100 to R0250. |
| C0600 to C0750/R0300 to R0450 | Reinsurance Recoveries (non–cumulative) – Triangle | Triangles for each of the accident/underwriting years from N–14 (and prior) and all previous reporting periods to – including – N (last reporting year) of payments (claims paid by reinsurer plus reinsurance recoverables), reported in the ‘Gross Claims Paid (non–cumulative)’, covered by a reinsurance contract.The amounts of reinsurance recoverables shall be considered after the adjustment for the counterparty default.The amount includes all the elements that compose the claim itself but excludes any expenses. |
| C0760/R0300 to R0460 | Reinsurance Recoveries received (non–cumulative) – In current year | Total ‘Current year’ reflects the last diagonal (all data referred to last reporting year) from R0300 to R0450.R0460 is the total of R0300 to R0450.The amount includes all the elements that compose the claim itself but excludes any expenses. |
| C0770/R0300 to R0450 | Reinsurance Recoveries received – Sum of years (cumulative) | Total ‘Sum of years’ contains the sum of all data in rows (sum of all payments referred to the i–accident/underwriting year), including total. |
| C0800 to C0950/R0300 to R0450 | Undiscounted Best Estimate Claims Provisions – Reinsurance recoverable – Triangle | Provisions referred to the amounts recoverable from reinsurance contracts and special purpose vehicles. In the triangle is required to reported undiscounted data, while the column ‘Year end’ will contain data on discounted basis.The amounts shall be considered after the adjustment for the counterparty default, net of salvage and subrogation and excluding any expenses, as well as any future premiums. |
| C0960/R0300 to R0460 | Best Estimate Claims Provisions – Reinsurance recoverable – Year end (discounted data) | Total ‘Year end’ reflects the last diagonal but a on discounted basis (all data referred to last reporting year) from R0300 to R0450.R0460 is the total of R0300 to R0450. |
| C1000 to C1150/R0300 to R0450 | Reinsurance RBNS Claims – Triangle | Triangles for each of the accident/underwriting years from N–14 (and prior) and all previous reporting periods to – including – N (last reporting year) of reinsurance share of provisions, reported in the ‘Gross Reported but not Settled Claims (RBNS)’, covered by a reinsurance contract.The amount includes all the elements that compose the claim itself but excludes any expenses and is net of salvage and subrogation. |
| C1160/R0300 to R0460 | Reinsurance RBNS Claims – Year end (discounted data) | Total ‘Year end’ reflects the last diagonal but on a discounted basis (all data referred to last reporting year) from R0300 to R0450.R0460 is the total of R0300 to R0450. |
| C1200 to C1350/R0500 to R0650 | Net Claims Paid (non–cumulative) – Triangle | Triangles for each of the accident/underwriting years from N–14 (and prior) and all previous reporting periods to – including – N (last reporting year) of claims paid net of salvage/subrogation and reinsurance.The amount includes all the elements that compose the claim itself but excludes any expenses. |
| C1360/R0500 to R0660 | Net Claims Paid (non–cumulative) – In current year | Total ‘Current year’ reflects the last diagonal (all data referred to last reporting year), from R0500 to R0650.R0660 is the total of R0500 to R0650 |
| C1370/R0500 to R0660 | Net Claims Paid – Sum of year (cumulative) | Total ‘Sum of years’ contains the sum of all data in rows (sum of all payments referred to the accident/underwriting year), including total. |
| C1400 to C1550/R0500 to R0650 | Net Undiscounted Best Estimate Claims Provisions – Triangle | Triangles for each of the accident/underwriting years from N–14 (and prior) and all previous reporting periods to – including – N (last reporting year) of Best Estimate of Claims Provisions, net of reinsurance, net of salvage and subrogation and excluding any expenses, as well as any future premiums. |
| C1560/R0500 to R0660 | Net Undiscounted Best Estimate Claims Provisions – Year end (discounted data) | Total ‘Year end’ reflects the last diagonal but on a discounted basis (all data referred to last reporting year) from R0500 to R0650.R0660 is the total of R0500 to R0650 |
| C1600 to C1750/R0500 to R0650 | Net RBNS Claims – Triangle | Triangles for each of the accident/underwriting years from N–14 (and prior) and all previous reporting periods to – including – N (last reporting year) of Claims Outstanding net of salvage/subrogation and reinsurance.The amount includes all the elements that compose the claim itself but excludes any expenses. |
| C1760/R0500 to R0660 | Net RBNS Claims – Year end (discounted data) | Total ‘Year end’ reflects the last diagonal but on a discounted basis (all data referred to last reporting year) from R0500 to R0650.R0660 is the total of R0500 to R0650. |
| Inflation rates (only in the case of using methods that take into account inflation to adjust data) | ||
| C1800 to C1940/R0700 | Historic inflation rate – total | In the case of use of run–off techniques that explicitly take into account inflation in order to adjust data report by year, and for the 15 years, historic inflation rate used to adjust historical paid losses triangles. |
| C1800 to C1940/R0710 | Historic inflation rate – external inflation | In the case of use of run–off techniques that explicitly take into account inflation in order to adjust data report, by year, and for the 15 years, historic external inflation: which is the ‘economic’ or ‘general’ inflation, i.e. the increase of the price of goods and services in a specific economy (e.g. Consumer Price Index, Producer Price Index, etc. |
| C1800 to C1940/R0720 | Historic inflation rate – endogenous inflation | In the case of use of run–off techniques that explicitly take into account inflation in order to adjust data report, by year, and for the 15 years, historic endogenous inflation: which is an increase of claim costs specific of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, under consideration. |
| C2000 to C2140/R0730 | Expected inflation rate – total | In the case of use of run–off techniques that explicitly take into account inflation in order to adjust data report by year, and for the 15 years, expected inflation rate used to adjusted historical paid losses triangles. |
| C2000 to C2140/R0740 | Expected inflation rate – external inflation | In the case of use of run–off techniques that explicitly take into account inflation in order to adjust data report, by year, and for the 15 years, expected external inflation: which is the ‘economic’ or ‘general’ inflation, i.e. the increase of the price of goods and services in a specific economy (e.g. Consumer Price Index, Producer Price Index, etc. |
| C2000 to C2140/R0750 | Expected inflation rate – endogenous inflation | In the case of use of run–off techniques that explicitly take into account inflation in order to adjust data report, by year, and for the 15 years, expected endogenous inflation: which is an increase of claim costs specific of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, under consideration. |
| C2200/R0760 | Description of inflation rate used | In the case of use of run–off techniques that explicitly take into account inflation in order to adjust data report narrative description of inflation rate used. |
S.20.01 – Development of the distribution of the claims incurred
General comments:
This section provides an overview about the run–off/movement of non–life claims portfolios, in terms of both claims paid (split by different type of claims) and RBNS claims (as defined in S.19.01).
RBNS claims shall be reported undiscounted.
This template must be filled for each material non-life line of Business for direct business, as defined in Annex I to Delegated Regulation (EU) 2015/35, representing a coverage of 90 % of the non-life technical provisions. Line of business should be selected using a decreasing order of technical provisions.
The negative technical provisions at the level of the line of business shall be considered with absolute value for the purpose of the calculation of the materiality of the above thresholds.
With regard to the number of claims to be reported, undertakings will use their specific definition or, if available, specification existing at national level (for instance requirement laid down by the National Supervisory Authority). However, each claim shall be reported once by Line of Business. If any claim is closed and reopened during the year, it shall not be reported in the column ‘Reopen Claims during the year’ but it shall be reported in relevant column regarding ‘Open Claims at the beginning of the year’ or ‘Claims reported during the year’.
Undertakings are required to report data on accident year or underwriting year basis, in accordance with any requirements of the National Supervisory Authority. If the National Supervisory Authority has not stipulated which to use then the undertaking may use accident or underwriting year according to how they manage each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, provided that they use the same year consistently, year on year.
As per the number of years to be reported, the same reporting requirement introduced in S.19.01 applies.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Line of business | Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:1 – Medical expense insurance2 – Income protection insurance3 – Workers’ compensation insurance4 – Motor vehicle liability insurance5 – Other motor insurance6 – Marine, aviation and transport insurance7 – Fire and other damage to property insurance8 – General liability insurance9 – Credit and suretyship insurance10 – Legal expenses insurance11 – Assistance12 – Miscellaneous financial loss |
| Z0020 | Accident year/Underwriting year | Report the standard used by the undertakings for reporting of claims development. One of the options from the following closed list shall be used:1 – Accident year2 – Underwriting year |
| C0020/R0010 to R0160 | RBNS claims. Open Claims at the beginning of the year, Open Claims at the end of the year – Number of claims | The number of open claims at the beginning of the year and still open at the end of the reporting year, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14. |
| C0030/R0010 to R0160 | RBNS claims. Open Claims at the beginning of the year, Open Claims at the end of the year – Gross RBNS at the beginning of the year | The amount of gross RBNS Claims, net of salvage and subrogation, at the beginning of the year and still open at the end of the reporting year, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims. |
| C0040/R0010 to R0160 | RBNS claims. Open Claims at the beginning of the year, Open Claims at the end of the year – Gross payments made during the current year | The amount of gross payments, net of salvage and subrogation, made during the current year regarding claims still open at the end of the reporting year, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims. |
| C0050/R0010 to R0160 | RBNS claims. Open Claims at the beginning of the year, Open Claims at the end of the year – Gross RBNS at the end of the period | The amount of gross RBNS Claims, net of salvage and subrogation, at the end of the period regarding claims still open at the end of the reporting year, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims. |
| C0060/R0010 to R0160 | RBNS claims. Open Claims at the beginning of the year, Closed Claims at the end of the year, settled with payment – Number of claims ended with payments | The number of Claims open at the beginning of the year and closed at the end of the year and settled with payments, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14. |
| C0070/R0010 to R0160 | RBNS claims. Open Claims at the beginning of the year, Closed Claims at the end of the year, settled with payment – Gross RBNS at the beginning of the year | The amount of gross RBNS Claims, net of salvage and subrogation, open at the beginning of the year and closed at the end of the year and settled with payments, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims. |
| C0080/R0010 to R0160 | RBNS claims. Open Claims at the beginning of the year, Closed Claims at the end of the year, settled with payment – Gross payments made during the current year | The amount of gross payments, net of salvage and subrogation, made during the current year regarding claims closed at the end of the reporting year and settled with payments, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims |
| C0090/R0010 to R0160 | RBNS claims. Open Claims at the beginning of the year, Closed Claims at the end of the year, settled without any payment – Number of claims ended without any payment | The number of Claims open at the beginning of the year and closed at the end of the year and settled without any payment, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14. |
| C0100/R0010 to R0160 | RBNS claims. Open Claims at the beginning of the year, Closed Claims at the end of the year, settled without any payment – Gross RBNS at the beginning of the year referred to claims settled without any payment | The amount of gross RBNS Claims, net of salvage and subrogation, open at the beginning of the year and closed at the end of the year and settled without any payment, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims. |
| C0110/R0010 to R0160 | Claims reported during the year, Open Claims at the end of the year – Number of claims | The number of claims reported during the year and still open at the end of the year, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14. |
| C0120/R0010 to R0160 | Claims reported during the year, Open Claims at the end of the year – Gross payments made during the current year | The amount of gross payments, net of salvage and subrogation, made during the current year regarding claims reported during the year and still open at the end of the reporting year, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims. |
| C0130/R0010 to R0160 | Claims reported during the year, Open Claims at the end of the year – Gross RBNS at the end of the period | The amount of gross RBNS Claims, net of salvage and subrogation, at the end of the period regarding claims reported during the year and still open at the end of the reporting year, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims. |
| C0140/R0010 to R0160 | Claims reported during the year, Closed Claims at the end of the year, settled with payment – Number of claims ended with payments | The number of Claims reported during the year and closed at the end of the year and settled with payments, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14. |
| C0150/R0010 to R0160 | Claims reported during the year, Closed Claims at the end of the year, settled with payment – Gross payments made during the current year | The amount of gross payments, net of salvage and subrogation, made during the current year regarding claims reported during the year and closed at the end of the year and settled with payments, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims. |
| C0160/R0010 to R0160 | Claims reported during the year, Closed Claims at the end of the year, settled without any payment – Number of claims ended without any payment | The number of Claims reported during the year and closed at the end of the year and settled without any payment, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14. |
| C0170/R0010 to R0160 | Reopen claims during the year, Open Claims at the end of the year – Number of claims | The number of Claims reopened during the year and still open at the end of the year, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14. |
| C0180/R0010 to R0160 | Reopen claims during the year, Open Claims at the end of the year – Gross payments made during the current year | The amount of gross payments, net of salvage and subrogation, made during the current year regarding claims reopened during the year and still open at the end of the year, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims. |
| C0190/R0010 to R0160 | Reopen claims during the year, Open Claims at the end of the year – Gross RBNS at the end of the period | The amount of gross RBNS Claims, net of salvage and subrogation, at the end of the period regarding claims reopened during the year and still open at the end of the year, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims. |
| C0200/R0010 to R0160 | Reopen claims during the year, Closed Claims at the end of the period – Number of claims ended with payments | The number of Claims reopened during the year and closed at the end of the year and ended with payments, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14. |
| C0210/R0010 to R0160 | Reopen claims during the year, Closed Claims at the end of the period – Gross payments made during the current year | The amount of gross payments, net of salvage and subrogation, made during the current year regarding claims reopened during the year and closed at the end of the year with payments, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims. |
| C0110/R0170 | Claims reported during the year, Open Claims at the end of the year – Number of claims | The number of claims reported during the year and still open at the end of the year, for the accident/underwriting year, regarding the reporting year N. |
| C0120/R0170 | Claims reported during the year, Open Claims at the end of the year – Gross payments made during the current year | The amount of gross payments, net of salvage and subrogation, made during the current year regarding claims reported during the year and still open at the end of the reporting year, for the accident/underwriting year, regarding the reporting year N.The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims. |
| C0130/R0170 | Claims reported during the year, Open Claims at the end of the year – Gross RBNS at the end of the period | The amount of gross RBNS Claims, net of salvage and subrogation, at the end of the period regarding claims reported during the year and still open at the end of the reporting year, for the accident/underwriting year, regarding the reporting year N.The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims. |
| C0140/R0170 | Claims reported during the year, Closed Claims at the end of the year, settled with payment – Number of claims ended with payments | The number of Claims reported during the year and closed at the end of the year and settled with payments, for the accident/underwriting year, regarding the reporting year N. |
| C0150/R0170 | Claims reported during the year, Closed Claims at the end of the year, settled with payment – Gross payments made during the current year | The amount of gross payments, net of salvage and subrogation, made during the current year regarding claims reported during the year and closed at the end of the year and settled with payments, for the accident/underwriting year, regarding the reporting year N.The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims. |
| C0160/R0170 | Claims reported during the year, Closed Claims at the end of the year, settled without any payment – Number of claims ended without any payment | The number of Claims reported during the year and closed at the end of the year and settled without any payment, for the accident/underwriting year, regarding the reporting year N. |
| C0110/R0180 | Total Claims reported during the year, Open Claims at the end of the year – Number of claims | Total number of claims reported during the year still open at the end of the year. |
| C0120/R0180 | Total Claims reported during the year, Open Claims at the end of the year – Gross payments made during the current year | Total of gross payments, net of salvage and subrogation, made during the current year in relation to total number of claims reported during the year still open at the end of the year.The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims. |
| C0130/R0180 | Total Claims reported during the year, Open Claims at the end of the year – Gross RBNS at the end of the period | Total of Gross RBNS, net of salvage and subrogation, at the end of the period in relation to total number of claims reported during the year still open at the end of the year.The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims. |
| C0140/R0180 | Total Claims reported during the year, Closed Claims at the end of the year, settled with payment – Number of claims ended with payments | Total number of claims reported during the year and settled with payments. |
| C0150/R0180 | Total Claims reported during the year, Closed Claims at the end of the year, settled with payment – Gross payments made during the current year | Gross payments, net of salvage and subrogation, made during the current year in relation to claims reported during the year and settled with payments.The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims. |
| C0160/R0180 | Total Claims reported during the year, Closed Claims at the end of the year, settled without any payment – Number of claims ended without any payment | Total number of claims reported during the year and settled without any payment. |
S.21.01 – Loss distribution risk profile
General comments:
This section relates to annual submission of information for individual undertakings.
This template shall be reported for each material non-life line of Business for direct business, as defined in Annex I to Delegated Regulation (EU) 2015/35, representing a coverage of 90 % of the non-life technical provisions. Line of business shall be reported in accordance with the amount of technical provisions, i.e. the line of business with the highest amount of technical provisions.
The negative technical provisions at the level of the line of business shall be considered with absolute value for the purpose of the calculation of the materiality of the threshold.
The loss distribution profile non–life shows the distribution, in (predefined) brackets, of the accumulated claims incurred at the end of the reporting year.
Accumulated claims incurred means the sum of gross claims paid and gross reported but not settled claims (RBNS) on a case-by-case basis for each and every single claim, open or closed, which belongs to a specific accident year (‘AY’)/underwriting year (‘UWY’) (AY/UWY). Claims incurred amounts include all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims. Data regarding claims shall be reported net of salvage and subrogation. Historical data, starting from the first time application of Solvency II, is required.
Undertakings are required to report data on an accident year or underwriting year basis, in accordance with any requirements of the National Supervisory Authority. If the National Supervisory Authority has not stipulated which to use then the undertaking may use accident or underwriting year according to how they manage each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, provided that they use the same year consistently, year on year.
The default brackets to be used are defined in euros. For different reporting currencies each relevant supervisory authority shall define the equivalent options for the amounts to be used in the 20 brackets.
An undertaking may use undertaking specific brackets, in particular when incurred losses are lower than EUR 100000. The brackets chosen shall be used consistently over the reporting periods, unless the distribution of claims changes significantly. In this case the undertaking shall notify the supervisory authority in advance, unless already specified by the supervisory authority.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Line of business | Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:1 – Medical expense insurance2 – Income protection insurance3 – Workers’ compensation insurance4 – Motor vehicle liability insurance5 – Other motor insurance6 – Marine, aviation and transport insurance7 – Fire and other damage to property insurance8 – General liability insurance9 – Credit and suretyship insurance10 – Legal expenses insurance11 – Assistance12 – Miscellaneous financial loss |
| Z0020 | Accident year/underwriting year | Report the standard used by the undertakings for reporting of template S.19.01. The following closed list shall be used:1 – Accident year2 – Underwriting year |
| C0030/R0010 to R0210 | Start claims incurred | Start amount of the interval of the corresponding bracket.In case the reporting currency is in Euros, one of the following 5 base options based on the normal loss distribution can be used:1 – 20 brackets of 5000 plus 1 extra open bracket for accumulated incurred losses > 100000.2 – 20 brackets of 50000 plus 1 extra open bracket for accumulated incurred losses > 1 million.3 – 20 brackets of 250000 plus 1 extra open bracket for accumulated incurred losses > 5 million.4 – 20 brackets of 1 million plus 1 extra open bracket for accumulated incurred losses > 20 million.5 – 20 brackets of 5 million plus 1 extra open bracket for accumulated incurred losses > 100 million.However, an undertaking shall use undertaking specific brackets, in particular when accumulated incurred losses < 100000 to guarantee that the level of detail is sufficient to provide adequate insight in the distribution of the accumulated claims incurred, unless already specified by the supervisory authority.The option chosen needs to be used consistently over the reporting periods, unless the distribution of claims changes significantly.For different reporting currencies National Supervisory Authorities need to define the equivalent options for the amounts to be used in the 20 brackets. |
| C0040/R0010 to R0200 | End claims incurred | End amount of the interval of the corresponding bracket. |
| C0050, C0070, C0090, C0110, C0130, C0150, C0170, C0190, C0210, C0230, C0250, C0270, C0290, C0310, C0330/R0010 to R0210 | Number of claims AY/UWY year N:N–14 | The number of claims attributed to each of the accident/underwriting years N to N–14, whose accumulated claims incurred at the end of the reporting year falls within the start amount and end amount of the applicable bracket. The number of claims is the sum of the accumulated number of open claims at the end of the period plus the accumulated number of closed claims ended with payments. |
| C0060, C0080, C0100, C0120, C0140, C0160, C0180, C0200, C0220, C0240, C0260, C0280, C0300, C0320, C0340/R0010 to R0210 | Total claims incurred AY/UWY year N:N–14 | The accumulated and aggregated amount of claims incurred of all individual claims, attributed to each of the accident/underwriting years N to N–14, whose accumulated claims incurred at the end of the reporting year falls within the start amount and end amount of the applicable bracket.For smaller claims, estimations (e.g. default amount) are allowed as long as it is in line with the amounts considered in run–off triangles reported in Non–life Insurance Claims Information (template S.19.01).Accumulated claims incurred means the sum of gross claims paid and gross reported but not settled claims (RBNS) on a case-by-case basis for each and every single claim, open and closed, which belongs to a specific accident year/underwriting year (AY/UWY). |
| C0050, C0070, C0090, C0110, C0130, C0150, C0170, C0190, C0210, C0230, C0250, C0270, C0290, C0310, C0330/R0300 | Number of claims AY/UWY year N:N–14 – Total | Total of the accumulated and aggregated number of claims for all brackets for each of the years N to N–14. |
| C0060, C0080, C0100, C0120, C0140, C0160, C0180, C0200, C0220, C0240, C0260, C0280, C0300, C0320, C0340/R0300 | Total claims incurred AY/UWY year N:N–14 – Total | Total of the accumulated and aggregated claims incurred for all brackets for each of the years N to N–14. |
S.21.02 – Underwriting risks non–life
General comments:
This section relates to annual submission of information for individual undertakings.
Template shall be filled in relation to non–life business (including Non–SLT Health) only for direct business.
In this template the 20 biggest single underwriting risks, based on net retention, across all lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, shall be reported. If the 2 biggest single underwriting risks for any of the lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35 are not covered through the above methodology, then they shall be reported in addition. In case a single underwriting risk of a specific line of business forms part of the top 20, the same risk of the affected line of business must only be filled in once.
Net retention of the single underwriting risk means the maximum possible liability of the undertaking after the recoverables from reinsurers (including SPV and Finite Reinsurance) and the original deductible of the policyholder has been taken into account. In case the net retention is equal for too many risks the policy with the highest Sum insured shall be used as a second criteria. In case the Sum insured is also the same and the most appropriate risk considering the risk profile of the undertaking must be used as the ultimate criteria.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Risk identification code | The code is a unique identifying number assigned by the undertaking that identifies the risk and shall remain unchanged for subsequent annual reports. |
| C0020 | Identification of the company/person to which the risk relates | If the risk relates to a company identify the name of the company to whom the risk relates.If the risk relates to a natural person, pseudonymise the original policy number and report pseudonymised information. Pseudonymous data refer to data that cannot be attributed to a specific individual without the use of additional information, as long as such additional information is kept separately. Consistency over time shall be insured. It implies that if a single underwriting risk appears from one year to another, it shall receive the same pseudonymised format. |
| C0030 | Description risk | The description of the risk. Depending on the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, report the type of company, building or occupation of the specific risk insured. |
| C0040 | Line of business | Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. The following closed list shall be used:1 – Medical expense insurance2 – Income protection insurance3 – Workers’ compensation insurance4 – Motor vehicle liability insurance5 – Other motor insurance6 – Marine, aviation and transport insurance7 – Fire and other damage to property insurance8 – General liability insurance9 – Credit and suretyship insurance10 – Legal expenses insurance11 – Assistance12 – Miscellaneous financial loss |
| C0050 | Description risk category covered | The description of the risk category covered is entity specific and is not mandatory. Also the term ‘risk category’ isn’t based on Level 1 and 2 terminologies but can be considered as an extra possibility to give additional information about the underwriting risk(s). |
| C0060 | Validity period (start date) | Identify the ISO 8601 (yyyy–mm–dd) code of the date of commencement of the specific cover, i.e., date when the cover took effect. |
| C0070 | Validity period (expiry date) | Identify the ISO 8601 (yyyy–mm–dd) code of the final expiry date of the specific cover. |
| C0080 | Currency | Identify the ISO 4217 alphabetic code of the original currency. |
| C0090 | Sum insured | The highest amount that the insurer can be obliged to pay out under the policy. The insured sum relates to the underwriting risk.Where the policy covers a number of exposures/risks across the country the individual underwriting risk with the highest net retention shall be specified. If the risk has been accepted on a co–insurance basis, the insured sum indicates the maximum liability of the reporting non–life insurer. In case of a joint several liability, the part belonging to a defaulting co–insurer must be included as well. |
| C0100 | Original deductible policyholder | Part of the sum insured which is retained by the policyholder. |
| C0110 | Type of underwriting model | Type of underwriting model which is used to estimate the exposure of the underwriting risk and the need for reinsurance protection. One of the options in the following closed list shall be used:1 – Sum Insured:the highest amount that the insurer can be obliged to pay out according to the original policy. Sum insured must also be filled when type of underwriting model is not applicable2 – Maximum Possible Loss:loss which may occur when the most unfavourable circumstances being more or less exceptionally combined, the fire is only stopped by impassable obstacles or lack of substance.3 – Probable Maximum Loss:defined as the estimate of the largest loss from a single fire or peril to be expected, assuming the worst single impairment of primary private fire protection systems but with secondary protection systems or organizations (such as emergency organizations and private and/or public fire department response) functioning as intended. Catastrophic conditions like explosions resulting from massive release of flammable gases, which might involve large areas of the plant, detonation of massive explosives, seismic disturbances, tidal waves or flood, falling aircraft, and arson committed in more than one area are excluded in this estimate. This definition is a hybrid form between Maximum Possible Loss and Estimated Maximum Loss that is generally accepted and frequently used by insurers, reinsurers and reinsurance brokers4 – Estimated Maximum Loss:loss that could reasonably be sustained from the contingencies under consideration, as a result of a single incident considered to be within the realms of probability taking into account all factors likely to increase or lessen the extent of the loss, but excluding such coincidences and catastrophes which may be possible but remain unlikely.5 – Other:defined as other possible underwriting models used. The type of other underwriting model applied must be explained in the Regular Supervisory ReportAlthough abovementioned definitions are used for the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Fire and other damage to property insurance, similar definitions might be in place for other lines of business. |
| C0120 | Amount underwriting model | Maximum loss amount of the single underwriting risk which is the result of the underwriting model applied. In case no specific type of underwriting model is used the amount must be equal to the sum insured reported in C0090 minus the original deductible reported in C0100. |
| C0130 | Sum reinsured on a facultative basis, with all reinsurers | Part of the sum insured that the insurer has reinsured on a facultative basis (by treaty and/or by individual cover) with the reinsurers. When the facultative cover is not placed for 100 % but only for 80 % the 20 % not placed shall be considered as retention. |
| C0140 | Sum reinsured, other than on facultative basis, with all reinsurers | Part of the sum insured that the insurer has reinsured through traditional reinsurance treaties or another basis (including SPV and Finite Reinsurance) other than facultative reinsurance. |
| C0150 | Net retention of the insurer | The net amount for which the insurer acts as risk carrier, i.e.: part of the sum insured that exceeds the original deductible of the policyholder and is not reinsured. |
S.21.03 – Non–life distribution of underwriting risks – by sum insured
General comments:
—If the sum insured of the additional cover for ‘Theft’ is lower than the sum insured of the main cover for ‘Fire and other damage’ (both belonging to the same line of business), the highest sum insured must be taken.
—A policy cover comprising a number of buildings across the country/car fleet etc. must be broken down.
—If the risk has been accepted on a co–insurance basis, the insured sum indicates the maximum liability of the reporting non–life insurer.
—In case of joint liability through co–insurance, the part belonging to a defaulting co–insurer must be included in the sum insured as well.
This section relates to annual submission of information for individual undertakings.
This template shall be reported for each material non-life line of Business for direct business, as defined in Annex I to Delegated Regulation (EU) 2015/35, representing a coverage of 90 % of the non-life technical provisions. Line of business shall be reported in accordance with the amount of technical provisions, i.e. the line of business with the highest amount of technical provisions.
The negative technical provisions at the level of the line of business shall be considered with absolute value for the purpose of the calculation of the materiality of the threshold.
The underwriting risk portfolio is the distribution, in (predefined) brackets, of the sum insured of each and every single underwriting risk which have been accepted by the undertaking. The underwriting risk portfolio is per line of business. However, whereas some lines of business are reportable on a compulsory basis for all Member States, the individual Member States may also require compulsory basis reporting for further lines of business where deemed to be relevant. For certain lines of business, the template would not be applicable. (See also item Line of business).
The default brackets to be used are defined in euros. For different reporting currencies each relevant supervisory authority shall define the equivalent options for the amounts to be used in the 20 brackets.
An undertaking may use undertaking specific brackets, in particular when sum insured is lower than EUR 100000. The brackets chosen shall be used consistently over the reporting periods, unless the distribution of claims changes significantly. In this case the undertaking shall notify the supervisory authority in advance, unless already specified by the supervisory authority.
By default the reference date shall be the end of the reporting year, however if duly justified, the undertaking may choose the reference date of collecting the information from the policy administration. This means that the underwriting risk portfolio can be based for example on the same reference date that is used to collect similar information for the renewal of reinsurance treaties and facultative cover.
The sum insured relates to each and every individual underwriting risk, only looking at the main coverage of the policy per line of business, and means the highest amount that the insurer can be obliged to pay out. This means:
| ITEMS | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Line of business | Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, reported.First category: lines of business that are compulsory for all Member States:Other motor insurance;Marine, aviation and transport insurance;Fire & other damage to property insurance;Credit & Suretyship insurance.Second category: lines of business that are compulsory at the discretion of each individual NSAs:Motor vehicle liability insurance;General liability insurance;Medical expense insurance;Income protection insurance;Worker’s compensation insurance;Miscellaneous financial loss;Legal expenses insurance;Assistance.The following closed list shall be used:1 – Medical expense insurance2 – Income protection insurance3 – Workers’ compensation insurance4 – Motor vehicle liability insurance5 – Other motor insurance6 – Marine, aviation and transport insurance7 – Fire and other damage to property insurance8 – General liability insurance9 – Credit and suretyship insurance10 – Legal expenses insurance11 – Assistance12 – Miscellaneous financial loss |
| C0020/R0010–R0210 | Start sum insured | Start amount of the interval within which the sum insured of the individual underwriting risk belongs and needs to be aggregated.In case the reporting currency is in Euros, one of the following 5 base options for the distribution of the underwriting risks can be used:1 – 20 brackets of 25000 plus 1 extra bracket for Sum Insured > 500000.2 – 20 brackets of 50000 plus 1 extra bracket for Sum Insured > 1 million.3 – 20 brackets of 250000 plus 1 extra bracket for Sum Insured > 5 million.4 – 20 brackets of 1 million plus 1 extra bracket for Sum Insured > 20 million.5 – 20 brackets of 5 million plus 1 extra bracket for Sum Insured > 100 million.However, an undertaking shall use undertaking specific brackets, in particular when Sum Insured < 100000 to guarantee that the level of detail is sufficient to provide adequate insight in the distribution of the claims incurred, unless already specified by the supervisory authority.For policies where there is no Sum Insured defined in the policy the undertaking shall do their own estimations or use default values.The option chosen needs to be used consistently over the reporting periods, unless the distribution of claims changes significantly.For different reporting currencies National Supervisory Authorities need to define the equivalent options for the amounts to be used in the 20 brackets. |
| C0030/R0010–R0200 | End sum insured | End amount of the interval within which the sum insured of the individual underwriting risk belongs and needs to be aggregated. |
| C0040/R0010–R0210 | Number of underwriting risks | The number of underwriting risks whose sum insured falls within the start amount and end amount of the applicable bracket. |
| C0040/R0220 | Number of underwriting risks – Total | Total number of underwriting risks reported in all brackets. |
| C0050/R0010–R0210 | Total sum insured | The aggregated amount of the sum insured, on a gross basis and using the reporting currency, of all the individual underwriting risks, whose sum insured falls within the start amount and end amount of the applicable bracket. |
| C0050/R0220 | Total sum insured – Total | Total of the aggregated amounts of the sum insured, on a gross basis and using the reporting currency, of all the individual underwriting risks reported in all brackets. |
| C0060/R0010–R0210 | Total annual written premium | The aggregated amount of the written premium as defined in Article 1(11) of Delegated Regulation (EU) 2015/35of the underlying underwriting risks. |
| C0060/R0220 | Total annual written premium – Total | Total of the aggregated amounts of the annual written premium reported in all brackets. |
S.22.01 – Impact of long term guarantees measures and transitionals
General comments:
This section relates to annual submission of information for individual entities.
This template is relevant when at least one long term guarantee measure or transitional is used by the undertaking.
This template shall reflect the impact on the financial positions when no transitional is used and each LTG measures or transitional is set to zero. For that purpose, a cumulative step–by–step approach shall be followed taking out each transitional and LTG measure one by one and without recalculating the impact of the remaining measures after each step.
The impacts need to be reported positive if they increase the amount of the item being reported and negative if they decrease the amount of the item (e.g. if amount of SCR increases or if amount of Own Funds increases then positive values shall be reported).
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010/R0010 | Amount with LTG measures and transitionals – Technical Provisions | Total amount of gross technical provisions including long term guarantee measures and transitional measures |
| C0020/R0010 | Without transitional on technical provisions – Technical Provisions | Total amount of gross technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping adjustments due to the volatility adjustment and the matching adjustment.If transitional deduction to technical provisions is not applicable report the same amount as in C0010. |
| C0030/R0010 | Impact of transitional on technical provisions – Technical provisions | Amount of the adjustment to the gross technical provisions due to the application of the transitional deduction to technical provisions.It shall be the difference between the technical provisions without transitional deduction to technical provisions and the technical provisions with LTG and transitional measures. |
| C0040/R0010 | Without transitional on interest rate – Technical Provisions | Total amount of gross technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping adjustments due to the volatility adjustment and the matching adjustment (‘MA’).If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020. |
| C0050/R0010 | Impact of transitional on interest rate – Technical provisions | Amount of the adjustment to the gross technical provisions due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.It shall be the difference between the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the technical provisions with LTG and transitional measures. |
| C0060/R0010 | Without volatility adjustment and without other transitional measures – Technical Provisions | Total amount of gross technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping adjustments due to the matching adjustment, if any.If volatility adjustment is not applicable report the same amount as in C0040. |
| C0070/R0010 | Impact of volatility adjustment set to zero – Technical provisions | Amount of the adjustment to the gross technical provisions due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.It shall be the difference between the technical provisions without volatility adjustment and without other transitional measures and the maximum between the technical provisions reported under C0010, C0020 and C0040. |
| C0080/R0010 | Without matching adjustment and without all the others – Technical Provisions | Total amount of gross technical provisions without any LTG measure.If matching adjustment is not applicable report the same amount as in C0060. |
| C0090/R0010 | Impact of matching adjustment set to zero – Technical Provisions | Amount of the adjustment to the gross technical provisions due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.It shall be the difference between the technical provisions without matching adjustment and without all the other transitional measures and the maximum between the technical provisions reported under C0010, C0020, C0040 and C0060. |
| C0100/R0010 | Impact of all LTG measures and transitionals – Technical Provisions | Amount of the adjustment to the gross technical provisions due to the application of the LTG measures and transitionals. |
| C0010/R0020 | Amount with LTG measures and transitionals – Basic own funds | Total amount of basic own funds calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures. |
| C0020/R0020 | Without transitional on technical provisions – Basic own funds | Total amount of basic own funds calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional deduction to technical provisions is not applicable report the same amount as in C0010. |
| C0030/R0020 | Impact of transitional on technical provisions – Basic own funds | Amount of the adjustment to the Basic own funds due to the application of the transitional deduction to technical provisions.It shall be the difference between the basic own funds calculated considering the technical provisions without transitional deduction to technical provisions and the basic own funds calculated with the technical provisions with LTG and transitional measures. |
| C0040/R0020 | Without transitional on interest rate – Basic own funds | Total amount of basic own funds calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020. |
| C0050/R0020 | Impact of transitional on interest rate – Basic own funds | Amount of the adjustment to the basic own funds due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.It shall be the difference between the basic own funds calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the basic own funds calculated with the technical provisions reported under C0020. |
| C0060/R0020 | Without volatility adjustment and without other transitional measures – Basic own funds | Total amount of basic own funds calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment.If volatility adjustment is not applicable report the same amount as in C0040. |
| C0070/R0020 | Impact of volatility adjustment set to zero – Basic own funds | Amount of the adjustment to the Basic own funds due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.It shall be the difference between the basic own funds calculated considering the technical provisions without volatility adjustment and without other transitional measures and the basic own funds calculated with the technical provisions reported under C0040. |
| C0080/R0020 | Without matching adjustment and without all the others – Basic own funds | Total amount of basic own funds calculated considering technical provisions without any LTG measure.If matching adjustment is not applicable report the same amount as in C0060. |
| C0090/R0020 | Impact of matching adjustment set to zero – Basic own funds | Amount of the adjustment to the basic own funds due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.It shall be the difference between the basic own funds calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the basic own funds calculated with the technical provisions reported under C0060. |
| C0100/R0020 | Impact of all LTG measures and transitionals – Basic own funds | Amount of the adjustment to the basic own funds due to the application of the LTG measures and transitionals. |
| C0010/R0030 | Amount with LTG measures and transitionals – Basic own funds – Excess of assets over liabilities | Total amount of excess of assets over liabilities calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures. |
| C0020/R0030 | Without transitional on technical provisions – Basic own funds – Excess of assets over liabilities | Total amount of excess of assets over liabilities calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional deduction to technical provisions is not applicable report the same amount as in C0010. |
| C0030/R0030 | Impact of transitional on technical provisions – Basic own funds – Excess of assets over liabilities | Amount of the adjustment to the excess of assets over liabilities due to the application of the transitional deduction to technical provisions.It shall be the difference between the excess of assets over liabilities calculated considering the technical provisions without transitional deduction to technical provisions and the excess of assets over liabilities calculated with the technical provisions with LTG and transitional measures. |
| C0040/R0030 | Without transitional on interest rate – Basic own funds – Excess of assets over liabilities | Total amount of excess of assets over liabilities calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020. |
| C0050/R0030 | Impact of transitional on interest rate – Basic own funds – Excess of assets over liabilities | Amount of the adjustment to the excess of assets over liabilities due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.It shall be the difference between the excess of assets over liabilities calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the excess of assets over liabilities calculated with the technical provisions reported under C0020. |
| C0060/R0030 | Without volatility adjustment and without other transitional measures – Basic own funds – Excess of assets over liabilities | Total amount of excess of assets over liabilities calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment.If volatility adjustment is not applicable report the same amount as in C0040. |
| C0070/R0030 | Impact of volatility adjustment set to zero – Basic own funds – Excess of assets over liabilities | Amount of the adjustment to the excess of assets over liabilities due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.It shall be the difference between the excess of assets over liabilities calculated considering the technical provisions without volatility adjustment and without other transitional measures and the excess of assets over liabilities calculated with the technical provisions reported under C0040. |
| C0080/R0030 | Without matching adjustment and without all the others – Basic own funds – Excess of assets over liabilities | Total amount of excess of assets over liabilities calculated considering Technical provisions without any LTG measure.If matching adjustment is not applicable report the same amount as in C0060. |
| C0090/R0030 | Impact of matching adjustment set to zero – Basic own funds – Excess of assets over liabilities | Amount of the adjustment to the excess of assets over liabilities due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.It shall be the difference between the excess of assets over liabilities calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the excess of assets over liabilities calculated with the technical provisions reported under C0060. |
| C0100/R0030 | Impact of all LTG measures and transitionals – Basic own funds – Excess of assets over liabilities | Amount of the adjustment to the excess of assets over liabilities due to the application of the LTG measures and transitionals. |
| C0010/R0040 | Amount with LTG measures and transitionals – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio | Total amount of restricted own funds due to ring–fencing calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures. |
| C0020/R0040 | Without transitional on technical provisions – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio | Total amount of restricted own funds due to ring–fencing calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional deduction to technical provisions is not applicable report the same amount as in C0010. |
| C0030/R0040 | Impact of transitional on technical provisions – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio | Amount of the adjustment to the restricted own funds due to ring–fencing due to the application of the transitional deduction to technical provisions.It shall be the difference between the restricted own funds due to ring–fencing calculated considering the technical provisions without transitional deduction to technical provisions and the restricted own funds due to ring–fencing calculated with the technical provisions with LTG and transitional measures. |
| C0040/R0040 | Without transitional on interest rate – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio | Total amount of restricted own funds due to ring–fencing calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020. |
| C0050/R0040 | Impact of transitional on interest rate – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio | Amount of the adjustment to the restricted own funds due to ring–fencing due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.It shall be the difference between the restricted own funds due to ring–fencing calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the restricted own funds due to ring–fencing calculated with the technical provisions reported under C0020. |
| C0060/R0040 | Without volatility adjustment and without other transitional measures – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio | Total amount of restricted own funds due to ring–fencing calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment.If volatility adjustment is not applicable report the same amount as in C0040. |
| C0070/R0040 | Impact of volatility adjustment set to zero – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio | Amount of the adjustment to the restricted own funds due to ring–fencing due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.It shall be the difference between the restricted own funds due to ring–fencing calculated considering the technical provisions without volatility adjustment and without other transitional measures and the restricted own funds due to ring–fencing calculated with the technical provisions reported under C0040. |
| C0080/R0040 | Without matching adjustment and without all the others – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio | Total amount of restricted own funds due to ring–fencing calculated considering technical provisions without any LTG measure.If matching adjustment is not applicable report the same amount as in C0060. |
| C0090/R0040 | Impact of matching adjustment set to zero – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio | Amount of the adjustment to the restricted own funds due to ring–fencing due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.It shall be the difference between the restricted own funds due to ring–fencing calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the restricted own funds due to ring–fencing calculated with the technical provisions reported under C0060. |
| C0100/R0040 | Impact of all LTG measures and transitionals – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio | Amount of the adjustment to the restricted own funds due to ring–fencing due to the application of the LTG measures and transitionals. |
| C0010/R0050 | Amount with LTG measures and transitionals – Eligible own funds to meet Solvency Capital Requirement | Total amount of eligible own funds to meet SCR calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures. |
| C0020/R0050 | Without transitional on technical provisions – Eligible own funds to meet Solvency Capital Requirement | Total amount of eligible own funds to meet SCR calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional deduction to technical provisions is not applicable report the same amount as in C0010. |
| C0030/R0050 | Impact of transitional on technical provisions – Eligible own funds to meet Solvency Capital Requirement | Amount of the adjustment to the eligible own funds to meet SCR due to the application of the transitional deduction to technical provisions.It shall be the difference between the eligible own funds to meet SCR calculated considering the technical provisions without transitional deduction to technical provisions and the eligible own funds to meet SCR calculated with the technical provisions with LTG and transitional measures. |
| C0040/R0050 | Without transitional on interest rate – Eligible own funds to meet Solvency Capital Requirement | Total amount of eligible own funds to meet SCR calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020. |
| C0050/R0050 | Impact of transitional on interest rate – Eligible own funds to meet Solvency Capital Requirement | Amount of the adjustment to the eligible own funds to meet SCR due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.It shall be the difference between the eligible own funds to meet SCR calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the eligible own funds to meet SCR calculated with the technical provisions reported under C0020. |
| C0060/R0050 | Without volatility adjustment and without other transitional measures – Eligible own funds to meet Solvency Capital Requirement | Total amount of eligible own funds to meet SCR calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment.If volatility adjustment is not applicable report the same amount as in C0040. |
| C0070/R0050 | Impact of volatility adjustment set to zero – Eligible own funds to meet Solvency Capital Requirement | Amount of the adjustment to the eligible own funds to meet SCR due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.It shall be the difference between the eligible own funds to meet SCR calculated considering the technical provisions without volatility adjustment and without other transitional measures and the eligible own funds to meet SCR calculated with the technical provisions reported under C0040. |
| C0080/R0050 | Without matching adjustment and without all the others – Eligible own funds to meet Solvency Capital Requirement | Total amount of eligible own funds to meet SCR calculated considering technical provisions without any LTG measure.If matching adjustment is not applicable report the same amount as in C0060. |
| C0090/R0050 | Impact of matching adjustment set to zero – Eligible own funds to meet Solvency Capital Requirement | Amount of the adjustment to the eligible own funds to meet SCR due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.It shall be the difference between the eligible own funds to meet SCR calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the eligible own funds to meet SCR calculated with the technical provisions reported under C0060. |
| C0100/R0050 | Impact of all LTG measures and transitionals – Eligible own funds to meet Solvency Capital Requirement | Amount of the adjustment to the eligible own funds to meet SCR due to the application of the LTG measures and transitionals. |
| C0010/R0060 | Amount with LTG measures and transitionals – Eligible own funds to meet Solvency Capital Requirement – Tier 1 | Total amount of eligible own funds to meet SCR–Tier 1 calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures. |
| C0020/R0060 | Without transitional on technical provisions – Eligible own funds to meet Solvency Capital Requirement – Tier 1 | Total amount of eligible own funds to meet SCR–Tier 1 calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional deduction to technical provisions is not applicable report the same amount as in C0010. |
| C0030/R0060 | Impact of transitional on technical provisions – Eligible own funds to meet Solvency Capital Requirement – Tier 1 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 1 due to the application of the transitional deduction to technical provisions.It shall be the difference between the eligible own funds to meet SCR–Tier 1 calculated considering the technical provisions without transitional deduction to technical provisions and the eligible own funds to meet SCR–Tier 1 calculated with the technical provisions with LTG and transitional measures. |
| C0040/R0060 | Without transitional on interest rate – Eligible own funds to meet Solvency Capital Requirement – Tier 1 | Total amount of eligible own funds to meet SCR–Tier 1 calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020. |
| C0050/R0060 | Impact of transitional on interest rate – Eligible own funds to meet Solvency Capital Requirement – Tier 1 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 1 due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.It shall be the difference between the eligible own funds to meet SCR–Tier 1 calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the eligible own funds to meet SCR–Tier 1 calculated with the technical provisions reported under C0020. |
| C0060/R0060 | Without volatility adjustment and without other transitional measures – Eligible own funds to meet Solvency Capital Requirement – Tier 1 | Total amount of eligible own funds to meet SCR–Tier 1 calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment.If volatility adjustment is not applicable report the same amount as in C0040. |
| C0070/R0060 | Impact of volatility adjustment set to zero – Eligible own funds to meet Solvency Capital Requirement – Tier 1 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 1 due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.It shall be the difference between the eligible own funds to meet SCR–Tier 1 calculated considering the technical provisions without volatility adjustment and without other transitional measures and the eligible own funds to meet SCR–Tier 1 calculated with the technical provisions reported under C0040. |
| C0080/R0060 | Without matching adjustment and without all the others – Eligible own funds to meet Solvency Capital Requirement – Tier 1 | Total amount of eligible own funds to meet SCR–Tier 1 calculated considering technical provisions without any LTG measure.If matching adjustment is not applicable report the same amount as in C0060. |
| C0090/R0060 | Impact of matching adjustment set to zero – Eligible own funds to meet Solvency Capital Requirement – Tier 1 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 1 due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.It shall be the difference between the eligible own funds to meet SCR–Tier 1 calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the eligible own funds to meet SCR–Tier 1 calculated with the technical provisions reported under C0060. |
| C0100/R0060 | Impact of all LTG measures and transitionals – Eligible own funds to meet Solvency Capital Requirement – Tier 1 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 1 due to the application of the LTG measures and transitionals. |
| C0010/R0070 | Amount with LTG measures and transitionals – Eligible own funds to meet Solvency Capital Requirement –Tier 2 | Total amount of eligible own funds to meet SCR–Tier 2 calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures. |
| C0020/R0070 | Without transitional on technical provisions – Eligible own funds to meet Solvency Capital Requirement –Tier 2 | Total amount of eligible own funds to meet SCR–Tier 2 calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional deduction to technical provisions is not applicable report the same amount as in C0010. |
| C0030/R0070 | Impact of transitional on technical provisions – Eligible own funds to meet Solvency Capital Requirement –Tier 2 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 2 due to the application of the transitional deduction to technical provisions.It shall be the difference between the eligible own funds to meet SCR–Tier 2 calculated considering the technical provisions without transitional deduction to technical provisions and the eligible own funds to meet SCR–Tier 2 calculated with the technical provisions with LTG and transitional measures. |
| C0040/R0070 | Without transitional on interest rate – Eligible own funds to meet Solvency Capital Requirement –Tier 2 | Total amount of eligible own funds to meet SCR–Tier 2 calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020. |
| C0050/R0070 | Impact of transitional on interest rate – Eligible own funds to meet Solvency Capital Requirement –Tier 2 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 2 due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.It shall be the difference between the eligible own funds to meet SCR–Tier 2 calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the eligible own funds to meet SCR–Tier 2 calculated with the technical provisions reported under C0020. |
| C0060/R0070 | Without volatility adjustment and without other transitional measures – Eligible own funds to meet Solvency Capital Requirement –Tier 2 | Total amount of eligible own funds to meet SCR–Tier 2 calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment.If volatility adjustment is not applicable report the same amount as in C0040. |
| C0070/R0070 | Impact of volatility adjustment set to zero – Eligible own funds to meet Solvency Capital Requirement –Tier 2 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 2 due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.It shall be the difference between the eligible own funds to meet SCR–Tier 2 calculated considering the technical provisions without volatility adjustment and without other transitional measures and the eligible own funds to meet SCR–Tier 2 calculated with the technical provisions reported under C0040. |
| C0080/R0070 | Without matching adjustment and without all the others – Eligible own funds to meet Solvency Capital Requirement –Tier 2 | Total amount of eligible own funds to meet SCR–Tier 2 calculated considering technical provisions without any LTG measure.If matching adjustment is not applicable report the same amount as in C0060. |
| C0090/R0070 | Impact of matching adjustment set to zero – Eligible own funds to meet Solvency Capital Requirement –Tier 2 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 2 due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.It shall be the difference between the eligible own funds to meet SCR–Tier 2 calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the eligible own funds to meet SCR–Tier 2 calculated with the technical provisions reported under C0060. |
| C0100/R0070 | Impact of all LTG measures and transitionals – Eligible own funds to meet Solvency Capital Requirement –Tier 2 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 2 due to the application of the LTG measures and transitionals. |
| C0010/R0080 | Amount with LTG measures and transitionals – Eligible own funds to meet Solvency Capital Requirement –Tier 3 | Total amount of eligible own funds to meet SCR–Tier 3 calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures. |
| C0020/R0080 | Without transitional on technical provisions – Eligible own funds to meet Solvency Capital Requirement –Tier 3 | Total amount of eligible own funds to meet SCR–Tier 3 calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional deduction to technical provisions is not applicable report the same amount as in C0010. |
| C0030/R0080 | Impact of transitional on technical provisions – Eligible own funds to meet Solvency Capital Requirement –Tier 3 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 3 due to the application of the transitional deduction to technical provisions.It shall be the difference between the eligible own funds to meet SCR–Tier 3 calculated considering the technical provisions without transitional deduction to technical provisions and the eligible own funds to meet SCR–Tier 3 calculated with the technical provisions with LTG and transitional measures. |
| C0040/R0080 | Without transitional on interest rate – Eligible own funds to meet Solvency Capital Requirement –Tier 3 | Total amount of eligible own funds to meet SCR–Tier 3 calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020. |
| C0050/R0080 | Impact of transitional on interest rate – Eligible own funds to meet Solvency Capital Requirement –Tier 3 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 3 due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.It shall be the difference between the eligible own funds to meet SCR–Tier 3 calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the eligible own funds to meet SCR–Tier 3 calculated with the technical provisions reported under C0020. |
| C0060/R0080 | Without volatility adjustment and without other transitional measures – Eligible own funds to meet Solvency Capital Requirement –Tier 3 | Total amount of eligible own funds to meet SCR–Tier 3 calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment.If volatility adjustment is not applicable report the same amount as in C0040. |
| C0070/R0080 | Impact of volatility adjustment set to zero – Eligible own funds to meet Solvency Capital Requirement –Tier 3 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 3 due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.It shall be the difference between the eligible own funds to meet SCR–Tier 3 calculated considering the technical provisions without volatility adjustment and without other transitional measures and the eligible own funds to meet SCR–Tier 3 calculated with the technical provisions reported under C0040. |
| C0080/R0080 | Without matching adjustment and without all the others – Eligible own funds to meet Solvency Capital Requirement –Tier 3 | Total amount of eligible own funds to meet SCR–Tier 3 calculated considering technical provisions without any LTG measure.If matching adjustment is not applicable report the same amount as in C0060. |
| C0090/R0080 | Impact of matching adjustment set to zero – Eligible own funds to meet Solvency Capital Requirement –Tier 3 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 3 due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.It shall be the difference between the eligible own funds to meet SCR–Tier 3 calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the eligible own funds to meet SCR–Tier 3 calculated with the technical provisions reported under C0060. |
| C0100/R0080 | Impact of all LTG measures and transitionals – Eligible own funds to meet Solvency Capital Requirement –Tier 3 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 3 due to the application of the LTG measures and transitionals. |
| C0010/R0090 | Amount with LTG measures and transitionals – Solvency Capital Requirement | Total amount of SCR calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures |
| C0020/R0090 | Without transitional on technical provisions –Solvency Capital Requirement | Total amount of SCR calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional deduction to technical provisions is not applicable report the same amount as in C0010. |
| C0030/R0090 | Impact of transitional on technical provisions – Solvency Capital Requirement | Amount of the adjustment to the SCR due to the application of the transitional deduction to technical provisions.It shall be the difference between the SCR calculated considering the technical provisions without transitional deduction to technical provisions and the SCR calculated with the technical provisions with LTG and transitional measures. |
| C0040/R0090 | Without transitional on interest rate – Solvency Capital Requirement | Total amount of SCR calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020. |
| C0050/R0090 | Impact of transitional on interest rate – Solvency Capital Requirement | Amount of the adjustment to the SCR due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.It shall be the difference between the SCR calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the SCR calculated with the technical provisions reported under C0020. |
| C0060/R0090 | Without volatility adjustment and without other transitional measures – Solvency Capital Requirement | Total amount of SCR calculated considering Technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment.If volatility adjustment is not applicable report the same amount as in C0040. |
| C0070/R0090 | Impact of volatility adjustment set to zero – Solvency Capital Requirement | Amount of the adjustment to the SCR due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.It shall be the difference between the SCR calculated considering the technical provisions without volatility adjustment and without other transitional measures and the SCR calculated with the technical provisions reported under C0040. |
| C0080/R0090 | Without matching adjustment and without all the others – Solvency Capital Requirement | Total amount of SCR calculated considering Technical provisions without any LTG measure.If matching adjustment is not applicable report the same amount as in C0060. |
| C0090/R0090 | Impact of matching adjustment set to zero – Solvency Capital Requirement | Amount of the adjustment to the SCR due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.It shall be the difference between the SCR calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the SCR calculated with the technical provisions reported under C0060. |
| C0100/R0090 | Impact of all LTG measures and transitionals – Solvency Capital Requirement | Amount of the adjustment to the SCR due to the application of the LTG measures and transitionals. |
| C0010/R0100 | Amount with LTG measures and transitionals – Eligible own funds to meet Minimum Capital Requirement | Total amount of eligible own funds to meet MCR calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures. |
| C0020/R0100 | Without transitional on technical provisions – Eligible own funds to meet Minimum Capital Requirement | Total amount of eligible own funds to meet MCR calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional deduction to technical provisions is not applicable report the same amount as in C0010. |
| C0030/R0100 | Impact of transitional on technical provisions – Eligible own funds to meet Minimum Capital Requirement | Amount of the adjustment to the eligible own funds to meet MCR due to the application of the transitional deduction to technical provisions.It shall be the difference between the eligible own funds to meet MCR calculated considering the technical provisions without transitional deduction to technical provisions and the eligible own funds to meet MCR calculated with the technical provisions with LTG and transitional measures. |
| C0040/R0100 | Without transitional on interest rate – Eligible own funds to meet Minimum Capital Requirement | Total amount of eligible own funds to meet MCR calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020. |
| C0050/R0100 | Impact of transitional on interest rate – Eligible own funds to meet Minimum Capital Requirement | Amount of the adjustment to the Eligible own funds to meet MCR due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.It shall be the difference between the eligible own funds to meet MCR calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the eligible own funds to meet MCR calculated with the technical provisions reported under C0020. |
| C0060/R0100 | Without volatility adjustment and without other transitional measures – Eligible own funds to meet Minimum Capital Requirement | Total amount of Eligible own funds to meet MCR calculated considering Technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment.If volatility adjustment is not applicable report the same amount as in C0040. |
| C0070/R0100 | Impact of volatility adjustment set to zero – Eligible own funds to meet Minimum Capital Requirement | Amount of the adjustment to the Eligible own funds to meet MCR due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.It shall be the difference between the eligible own funds to meet MCR calculated considering the technical provisions without volatility adjustment and without other transitional measures and the eligible own funds to meet MCR calculated with the technical provisions reported under C0040. |
| C0080/R0100 | Without matching adjustment and without all the others – Eligible own funds to meet Minimum Capital Requirement | Total amount of Eligible own funds to meet MCR calculated considering Technical provisions without any LTG measure.If matching adjustment is not applicable report the same amount as in C0060. |
| C0090/R0100 | Impact of matching adjustment set to zero – Eligible own funds to meet Minimum Capital Requirement | Amount of the adjustment to the Eligible own funds to meet MCR due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.It shall be the difference between the eligible own funds to meet MCR calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the eligible own funds to meet MCR calculated with the technical provisions reported under C0060. |
| C0100/R0100 | Impact of all LTG measures and transitionals – Eligible own funds to meet Minimum Capital Requirement | Amount of the adjustment to the Eligible own funds to meet MCR due to the application of the LTG measures and transitionals. |
| C0010/R0110 | Amount with LTG measures and transitionals – Minimum Capital Requirement | Total amount of MCR calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures. |
| C0020/R0110 | Without transitional on technical provisions – Minimum Capital Requirement | Total amount of MCR calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional deduction to technical provisions is not applicable report the same amount as in C0010. |
| C0030/R0110 | Impact of transitional on technical provisions – Minimum Capital Requirement | Amount of the adjustment to the MCR due to the application of the transitional deduction to technical provisions.It shall be the difference between the MCR calculated considering the technical provisions without transitional deduction to technical provisions and the MCR calculated with the technical provisions with LTG and transitional measures. |
| C0040/R0110 | Without transitional on interest rate – Minimum Capital Requirement | Total amount of MCR calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020. |
| C0050/R0110 | Impact of transitional on interest rate – Minimum Capital Requirement | Amount of the adjustment to the MCR due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.It shall be the difference between the MCR calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and MCR calculated with the technical provisions reported under C0020. |
| C0060/R0110 | Without volatility adjustment and without other transitional measures – Minimum Capital Requirement | Total amount of MCR calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment.If volatility adjustment is not applicable report the same amount as in C0040. |
| C0070/R0110 | Impact of volatility adjustment set to zero – Minimum Capital Requirement | Amount of the adjustment to the MCR due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.It shall be the difference between the MCR calculated considering the technical provisions without volatility adjustment and without other transitional measures and the MCR calculated with the technical provisions reported under C0040. |
| C0080/R0110 | Without matching adjustment and without all the others – MCR | Total amount of MCR calculated considering technical provisions without any LTG measure.If matching adjustment is not applicable report the same amount as in C0060. |
| C0090/R0110 | Impact of matching adjustment set to zero – Minimum Capital Requirement | Amount of the adjustment to the MCR due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.It shall be the difference between the MCR calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the MCR calculated with the technical provisions reported under C0060. |
| C0100/R0110 | Impact of all LTG measures and transitionals – Minimum Capital Requirement | Amount of the adjustment to the MCR due to the application of the LTG measures and transitionals. |
| C0010-C0100/R0120 | With LTG measures and transitionals – Solvency Capital Requirement Ratio | Solvency Capital Requirement ratio calculated considering technical provisions as reported in R0010 of each columnTotal amount of eligible own funds to meet SCR (R0050) divided by the total amount of SCR (R0090) of each column. |
| C0010-C0100/R0130 | Amount with LTG measures and transitionals – Minimum Capital Requirement Ratio | Minimum Capital Requirement ratio calculated considering technical provisions as reported in R0010 of each column.Total amount of eligible own funds to meet MCR (R0100) divided by the total amount of MCR (R0110) of each column. |
S.22.02 – Projection of future cash flows (Best Estimate – Matching portfolios)
General comments:
This section relates to annual submission of information for individual entities.
This template shall be reported by each matching portfolio approved by the supervisory authority.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Matching portfolio | Indicate the number which is attributed by the undertaking, corresponding to the unique number assigned to each matching portfolio.This number shall be consistent over time and shall be used to identify the matching portfolio number in other templates. |
| C0020/R0010 to R0450 | Projection of future cash–flows at the end of the reporting period – Longevity, mortality and revision obligations cash outflows | Future cash out–flows related to the longevity, mortality and revision benefits of insurance and reinsurance obligations for each matching portfolio and split by year of due payment of the cash flow, counting the periods of 12 months from the date of reference of the reporting. |
| C0030/R0010 to R0450 | Projection of future cash–flows at the end of the reporting period – Expenses cash outflows | Future cash out–flows related to the expenses of insurance and reinsurance obligations for each matching portfolio and split by year of due payment of the cash flow, counting the periods of 12 months from the date of reference of the reporting. |
| C0040/R0010 to R0450 | Projection of future cash–flows at the end of the reporting period – De–risked Assets cash–flows | Cash flows (out–flows and in–flows) of assets linked to each matching portfolio and split by year of due payment or receipt of the cash flow. These flows shall be appropriately corrected to take into account the probability of default or the portion of the long term average of the spread over the risk–free interest rate as set out in Article 53 of Delegated Regulation (EU) 2015/35. |
| C0050/R0010 to R0450 | Mismatch during reporting period – Positive undiscounted mismatch (inflows > outflows) | If the frequency is lower than yearly, then report the sum of the positive undiscounted mismatches (inflows > outflows) through the year of each row.Positive mismatches for some periods shall not be netted off of negative mismatches. |
| C0060/R0010 to R0450 | Mismatch during reporting period – Negative undiscounted mismatch (inflows < outflows) | If the frequency is lower than yearly, then report the sum of the deficit undiscounted mismatches (inflows < outflows) through the year of each row.Negative mismatches for some periods shall not be netted off of positive mismatches. |
S.22.03 –Information on the matching adjustment calculation
General comments:
This section relates to annual submission of information for individual entities.
This template shall be reported by each matching portfolio approved by the supervisory authority.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Matching portfolio | Indicate the number which is attributed by the undertaking, corresponding to the unique number assigned to each matching portfolio.This number has to be consistent over time and shall be used to identify the matching portfolio number in other templates. |
| Overall calculation of the matching adjustment | ||
| C0010/R0010 | Annual effective rate applied to the CF of the obligations | The annual effective rate, calculated as the single discount rate that, where applied to the cash flows (‘CF’) of the portfolio of insurance or reinsurance obligations, results in a value that is equal to the value in accordance with Article 75 of Directive 2009/138/EC of the portfolio of assigned assets. |
| C0010/R0020 | Annual effective rate of the best estimate | The annual effective rate, calculated as the single discount rate that, where applied to the cash flows of the portfolio of insurance or reinsurance obligations, results in a value that is equal to the value of the best estimate of the portfolio of insurance or reinsurance obligations where the time value of money is taken into account using the basic risk–free interest rate term structure. |
| C0010/R0030 | Probability of default used to de–risk assets cash flows | The probability of default corresponds to the amount expressed as a financial percentage (same format as for rows R0010 and R0020) used to adjust the assets cash flows of the assigned portfolio of assets pursuant to Article 53 of Delegated Regulation (EU) 2015/35.‘De–risked assets cash flows’ means ‘expected assets cash–flows’ as referred to in Article 53 of Delegated Regulation (EU) 2015/35.This amount shall not include the increase reported in row R0050. |
| C0010/R0040 | Portion of the fundamental spread not reflected when de–risking assets cash flows | Portion of the fundamental spread that has not been reflected in the adjustment to the cash–flows of the assigned portfolio of assets as set out in Article 53 of Delegated Regulation (EU) 2015/35.This amount shall be expressed as a financial percentage (same format as rows R0010 and R0020). This amount shall not include the increase reported in row R0050. |
| C0010/R0050 | Increase of fundamental spread for sub investment grade assets | Increase of the fundamental spread for sub–investment grade assets expressed as a financial percentage (same format as rows R0010, R0020 and R0120). The increase of the probability of default for sub investment grade assets shall be considered in the de–risking of cash flows. |
| C0010/R0060 | Matching adjustment to the risk free rate | Matching adjustment to the risk-free rate for the reported portfolio, reported in basis points using decimal notation, e.g. 100bp reported as 0.01. |
| Eligibility criteria using SCR mortality stress | ||
| C0010/R0070 | Mortality risk stress for the purpose of the matching adjustment | Increase of the gross best estimate calculated with the basic risk-free rate following a mortality risk stress compared to the gross best estimate calculated with the basic risk rate, as set out in Article 77b (1–f) of Directive 2009/138/EC and Article 52 of Delegated Regulation (EU) 2015/35. |
| Portfolio | ||
| C0010/R0080 | Market value of the assets of the portfolio | Solvency II value of the assets of the portfolio. |
| C0010/R0090 | Market value of assets linked to inflation | Solvency II value of the assets with return linked to inflation (Article 77b(1) of Directive 2009/138/EC). |
| C0010/R0100 | Best estimate linked to inflation | Amount of best estimate of cash flows of the insurance or reinsurance obligations that depend on inflation. |
| C0010/R0110 | Market value assets where third party can change the cash flows | Value of the assets where third party can change the cash flows (Article 77b(1) of Directive 2009/138/EC). |
| C0010/R0120 | Return on assets – portfolio assets | Identify the de–risked Internal Rate of Return (‘IRR’) of the assets linked to any matching adjustment portfolio measured as the discount rate at which the present value of the cash outflows of an asset equals the present value of its de–risked cash inflows. |
| C0010/R0130 | Market value of surrendered contracts | Value of the best estimate of the insurance and reinsurance obligations stemming from contracts underlying each matching adjustment portfolio which have been surrendered during the reporting period. |
| C0010/R0140 | Number of surrender options exercised | Number of surrender options exercised during the reporting period related to insurance and reinsurance obligations of each matching portfolio. |
| C0010/R0150 | Market value of assets covering surrendered contracts | Value of the assets, valued in accordance with Article 75 of the Directive 2009/138/EC, covering the insurance and reinsurance obligations surrendered at the time the surrender options were exercised. |
| C0010/R0160 | Amount paid to policyholders | Value of the amount paid to policyholders according to their surrender rights.This amount differs from row R0130 and R0150 where the surrender clause of the contract does not give the policyholder the right to receive the full amount in those rows. |
| Liabilities | ||
| C0010/R0170 | Duration | Measure equivalent to Macaulay duration for liabilities considering all cash flows of insurance or reinsurance obligations arising from portfolios where the matching adjustment has been used. |
S.22.04 – Information on the transitional on interest rates calculation
General comments:
This section relates to annual submission of information for individual entities.
This template shall be reported by currency for which the transitional adjustment to the relevant risk-free interest rate term structure is applied. When filling C0020 only the guaranteed Best Estimate of obligations stemming from products providing a guaranteed rate shall be considered. The Future Discretionary Benefits shall not be considered.
The assessment to distinguish between the Solvency I interest rate intervals might be done by Homogeneous Risk Groups (HRG).
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Overall calculation of the transitional adjustment | ||
| Z0010 | Currency | Identify the ISO 4217 alphabetic code of each of the currency for which the transitional adjustment to the relevant risk-free interest rate term structure is applied. |
| C0010/R0010 | Solvency I interest rate | The interest rate (as a decimal) as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive. |
| C0010/R0020 | Annual effective rate | The annual effective rate, calculated as the single discount rate that, where applied to the cash flows of the portfolio of admissible insurance and reinsurance obligations, results in a value that is equal to the value of the best estimate of the portfolio of admissible insurance and reinsurance obligations where the time value of money is taken into account using the relevant risk–free interest rate term structure referred to in Article 77(2) of Directive 2009/138/EC. |
| C0010/R0030 | Portion of the difference applied at the reporting date | Percentage (as a decimal) of the difference between the Solvency I interest rate (R0010) and the Annual effective rate (R0020) (e.g. 1,00 at the beginning of the transitional period and 0,00 at the end). |
| C0010/R0040 | Adjustment to risk free rate | Transitional adjustment to the risk-free rate expressed as a percentage (as a decimal). |
| Solvency I interest rate | ||
| C0020/R0100 | Best estimate – Up to 0,5 per cent | Value of the best estimate of the insurance and reinsurance obligations for which the interest rate as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive was up to 0,5 % (inclusive).Only the guaranteed Best Estimate of obligations stemming from products providing a guaranteed rate shall be considered. The Future Discretionary Benefits shall not be considered. |
| C0020/R0110 to R0200 | Best estimate – between 0,5 % and 8,0 % | Value of the best estimate of the insurance and reinsurance obligations for which the interest rate as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive was in the correspondent interval.The lower reference is exclusive and the higher reference is inclusive.Only the guaranteed Best Estimate of obligations stemming from products providing a guaranteed rate shall be considered. The Future Discretionary Benefits shall not be considered. |
| C0020/R0210 | Best estimate – Above 8,0 per cent | Value of the best estimate of the insurance and reinsurance obligations for which the interest rate as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive was above 8,0 % (exclusive).Only the guaranteed Best Estimate of obligations stemming from products providing a guaranteed rate shall be considered. The Future Discretionary Benefits shall not be considered. |
| C0030/R0100 | Average duration of insurance and reinsurance obligations – Up to 0,5 per cent | Residual Macaulay duration of the insurance and reinsurance obligations for which the interest rate as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive was up to 0,5 % (inclusive). |
| C0030/R0110 to R0200 | Average duration of insurance and reinsurance obligations – between 0,5 % and 8,0 % | Residual Macaulay duration of the insurance and reinsurance obligations for which the interest rate as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive was in the correspondent interval.The lower reference is exclusive and the higher reference is inclusive. |
| C0030/R0210 | Average duration of insurance and reinsurance obligations – Above 8,0 per cent | Residual Macaulay duration of the insurance and reinsurance obligations for which the interest rate as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive was above 8,0 % (exclusive). |
S.22.05 – Overall calculation of the transitional on technical provisions
General comments:
This section relates to annual submission of information for individual entities.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010/R0010 | Day 1 Solvency II technical provisions | Amount of technical provisions, subject to transitional deduction to technical provisions, after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, calculated in accordance with Article 76 of Directive 2009/138/EC at the first date of the application of the Directive 2009/138/EC. This calculation shall consider all insurance and reinsurance obligations existing at the first date of application of the Directive 2009/138/EC.If a re–calculation was requested on the basis of Article 308d(3) of the Directive 2009/138/EC this calculation shall consider only those insurance and reinsurance obligations subject to the transitional and that still exist at the recalculation reference date valued at the reporting date (Solvency II value reducing the contracts not existing anymore). |
| C0010/R0020 | Technical provisions subject to transitional measure on technical provisions – TP calculated as a whole | Amount of the technical provisions calculated as a whole, subject to transitional deduction to technical provisions, after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, calculated in accordance with Article 76 of Directive 2009/138/EC at the reporting date, before the application of the transitional. |
| C0010/R0030 | Technical provisions subject to transitional measure on technical provisions – Best estimate | Amount of the best estimate, subject to transitional deduction to technical provisions, after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, calculated in accordance with Article 76 of Directive 2009/138/EC at the reporting date, before the application of the transitional.If a re–calculation was requested on the basis of Article 308d(3) of Directive 2009/138/EC this calculation shall consider only those insurance and reinsurance obligations subject to the transitional and that still exist at the recalculation reference date valued at the reporting date (Solvency II value minus contracts not existing anymore). |
| C0010/R0040 | transitional measure on technical provisions – Risk margin | Amount of the Risk margin, subject to transitional deduction to technical provisions, after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, calculated in accordance with Article 76 of Directive 2009/138/EC at the reporting date, before the application of the transitional.If a re–calculation was requested on the basis of Article 308d(3) of Directive 2009/138/EC this calculation shall consider only those insurance and reinsurance obligations subject to the transitional and that still exist at the recalculation reference date valued at the reporting date (Solvency II value minus contracts not existing anymore). |
| C0010/R0050 | Technical provisions subject to transitional measure on technical provisions – Solvency I technical provisions | Amount of technical provisions, subject to transitional deduction to technical provisions, after deduction of the amounts recoverable from reinsurance contracts calculated in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 15 of Directive 73/239/EEC, Article 20 of Directive 2002/83/EC and Article 32 of Directive 2005/68/EC on the day before those Directives are repealed pursuant to Article 310 of Directive 2009/138/EC.If a re–calculation was requested on the basis of Article 308d(3) of Directive 2009/138/EC this calculation shall consider only those insurance and reinsurance obligations existing at the recalculation reference date. |
| C0010/R0060 | Technical provisions subject to transitional measure on technical provisions – Portion of the difference adjusted | Percentage (in decimals) of the portion of the difference adjusted.The maximum portion deductible shall decrease linearly at the end of each year from 1 during the year starting from 1 January 2016 to 0 on 1 January 2032. |
| C0010/R0070 | Adjustment to technical provisions after any limitation applied in accordance with Article 308d(4) | Amount of the adjustment to the technical provisions after any limitation applied in accordance with Article 308d(4) of Directive 2009/138/EC, if applicable.If no limitation the amount calculated as R0060*(R0010-R0050) shall be reported. |
| C0010/R0080 | Technical provision after transitional on technical provisions | Amount of technical provisions, subject to transitional deduction to technical provisions, after transitional deduction to technical provisions. |
S.22.06 – Best estimate subject to volatility adjustment by country and currency
General comments:
This section relates to annual submission of information for individual entities.
This template shall only be reported by insurance and reinsurance undertakings that apply volatility adjustment in accordance with Article 77d of Directive 2009/138/EC.
This template shall reflect the gross best estimate of insurance and reinsurance life obligations subject to volatility adjustment split by currency of the obligations and by country in which the contract was entered into. The best estimate reported shall take into account the volatility adjustment. The best estimate subject to any matching adjustment shall not be reported in this template.
Information shall be reported in relation to material obligations in countries and currencies for which a currency volatility adjustment, and a country increase if applicable, is applied until 90 % of the total best estimate subject to volatility adjustment is reported by currency and country.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Line of Business | Identify if the information is being reported in relation to life or non-life activity. The following closed list shall be used:1 – Life and health SLT2 – Non–life and health other than that pursued on a similar basis to that of life insurance |
| R0010 | Other than reporting currency | Report the ISO 4217 alphabetic code of each currency reported. |
| Best estimate subject to country and currency volatility adjustment – Total and home country by currency | ||
| C0030/R0020 | Total value of Best Estimate subject to volatility adjustment (for all currencies)/Total value of all countries | Total value, for all currencies and all countries, of the best estimate of the insurance and reinsurance obligations subject to volatility adjustment. |
| C0040/R0020 | Part of the Best Estimate subject to volatility adjustment written in the reporting currency/Total value of all countries | Total value for all countries, of the best estimate of the insurance and reinsurance obligations subject to volatility adjustment for the reporting currency. |
| C0050/R0020 | Part of the Best Estimate subject to volatility adjustment written in currencies/Total value of all countries | Total value for all countries of the best estimate of the insurance and reinsurance obligations subject to volatility adjustment split by currency. |
| C0030/R0030 | Total value of Best Estimate subject to volatility adjustment (for all currencies)/Home country | Total value, for all currencies for the home country, of the best estimate of the insurance and reinsurance obligations subject to volatility adjustment. |
| C0040/R0030 | Part of the Best Estimate subject to volatility adjustment written in the reporting currency/Home country | Total value for the home country, of the best estimate of the insurance and reinsurance obligations subject to volatility adjustment for the reporting currency. |
| C0050/R0030 | Part of the Best Estimate subject to volatility adjustment written in currencies/Home country | Value of the best estimate of the insurance and reinsurance obligations subject to volatility adjustment split by currency for the home country. |
| Best estimate subject to country and currency volatility adjustment – By country and currency | ||
| C0020/R0040 | Countries | Report the ISO 3166–1 alpha–2 code of each country reported. |
| C0030/R0040 | Total value of Best Estimate subject to volatility adjustment (for all currencies) – by country | Total value, for all currencies by country, of the best estimate of the insurance and reinsurance obligations subject to volatility adjustment. |
| C0040/R0040 | Part of the Best Estimate subject to volatility adjustment written in the reporting currency – by country | Value of the best estimate of the insurance and reinsurance obligations subject to volatility adjustment for the reporting currency split by country. |
| C0050/R0040 | Part of the Best Estimate subject to volatility adjustment written in currencies – by country | Value of the best estimate of the insurance and reinsurance obligations subject to volatility adjustment split by currency and by country. |
S.23.01 – Own Funds
General comments:
This section relates to quarterly and annual submission for individual entities.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Basic own funds before deduction for participations in other financial sector as foreseen in Article 68 of Delegated Regulation (EU) 2015/35 | ||
| R0010/C0010 | Ordinary share capital (gross of own shares) – total | This is the total ordinary share capital, both held directly and indirectly (before deduction of own shares). This is the total ordinary share capital of the undertaking that fully satisfies the criteria for Tier 1 or Tier 2 items. Any ordinary share capital that does not fully satisfy the criteria shall be treated as preference shares capital and classified accordingly notwithstanding their description or designation. |
| R0010/C0020 | Ordinary share capital (gross of own shares) – tier 1 unrestricted | This is the amount of paid up ordinary share capital that meets unrestricted Tier 1 criteria. |
| R0010/C0040 | Ordinary share capital (gross of own shares) – tier 2 | This is the amount of called up ordinary share capital that meets the criteria for Tier 2. |
| R0030/C0010 | Share premium account related to ordinary share capital – total | The total share premium account related to ordinary share capital of the undertaking that fully satisfies the criteria for Tier 1 or Tier 2 items. |
| R0030/C0020 | Share premium account related to ordinary share capital – tier 1 unrestricted | This is the amount of the share premium account related to ordinary shares that meets the criteria for Tier 1 unrestricted because it relates to ordinary share capital treated as unrestricted Tier 1. |
| R0030/C0040 | Share premium account related to ordinary share capital – tier 2 | This is the amount of the share premium account related to ordinary shares that meets the criteria for Tier 2 because it relates to ordinary share capital treated as Tier 2. |
| R0040/C0010 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings – total | The initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings that fully meets the criteria for Tier 1 or Tier 2 items. |
| R0040/C0020 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings – tier 1 unrestricted | This is the amount of the initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings that meets the criteria for Tier 1 unrestricted. |
| R0040/C0040 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings – tier 2 | This is the amount of the initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings that meets Tier 2 criteria. |
| R0050/C0010 | Subordinated mutual member accounts – total | This is the total amount of subordinated mutual member accounts that fully satisfy the criteria for Tier 1 restricted, Tier 2 or Tier 3 items. |
| R0050/C0030 | Subordinated mutual member accounts – tier 1 restricted | This is the amount of subordinated mutual member accounts that meet the criteria for Tier 1 restricted. |
| R0050/C0040 | Subordinated mutual member accounts – tier 2 | This is the amount of subordinated mutual member accounts that meet the criteria for Tier 2. |
| R0050/C0050 | Subordinated mutual member accounts – tier 3 | This is the amount of subordinated mutual member accounts that meet the criteria for Tier 3. |
| R0070/C0010 | Surplus funds – total | This is the total amount of surplus funds that fall under Article 91(2) of Directive 2009/138/EC. |
| R0070/C0020 | Surplus funds – tier 1 unrestricted | These are the surplus funds that fall under Article 91(2) of Directive 2009/138/EC and that meet the criteria for Tier 1, unrestricted items. |
| R0090/C0010 | Preference shares – total | This is the total amount of preference shares issued by the undertaking that fully satisfy the criteria for Tier 1 restricted, Tier 2 or Tier 3 items. |
| R0090/C0030 | Preference shares – tier 1 restricted | This is the amount of the preference shares issued by the undertaking that meet the criteria for Tier 1 restricted. |
| R0090/C0040 | Preference shares – tier 2 | This is the amount of the preference shares issued by the undertaking that meet the criteria for Tier 2. |
| R0090/C0050 | Preference shares – tier 3 | This is the amount of the preference shares issued by the undertaking that meet the criteria for Tier 3. |
| R0110/C0010 | Share premium account related to preference shares – total | The total share premium account related to preference shares capital of the undertaking that fully satisfies the criteria for Tier 1 restricted, Tier 2 or Tier 3 items. |
| R0110/C0030 | Share premium account related to preference shares – tier 1 restricted | This is the amount of the share premium account that relates to preference shares that meets the criteria for Tier 1 restricted items because it relates to preference shares treated as Tier 1 restricted items. |
| R0110/C0040 | Share premium account related to preference shares – tier 2 | This is the amount of the share premium account that relates to preference shares that meets the criteria for Tier 2 because it relates to preference shares treated as Tier 2. |
| R0110/C0050 | Share premium account related to preference shares – tier 3 | This is the amount of the share premium account that relates to preference shares that meets the criteria for Tier 3 because it relates to preference shares treated as Tier 3. |
| R0130/C0010 | Reconciliation reserve – total | The total reconciliation reserve represents reserves (e.g. retained earnings), net of adjustments (e.g. ring–fenced funds). It results mainly from differences between accounting valuation and valuation in accordance with Article 75 of Directive 2009/138/EC. |
| R0130/C0020 | Reconciliation reserve – tier 1 unrestricted | The reconciliation reserve represents reserves (e.g. retained earnings), net of adjustments (e.g. ring–fenced funds). It results mainly from differences between accounting valuation and valuation in accordance with Directive 2009/138/EC. |
| R0140/C0010 | Subordinated liabilities – total | This is the total amount of subordinated liabilities issued by the undertaking. |
| R0140/C0030 | Subordinated liabilities – tier 1 restricted | This is the amount of subordinated liabilities issued by the undertaking that meet the criteria for Tier 1 restricted items. |
| R0140/C0040 | Subordinated liabilities – tier 2 | This is the amount of subordinated liabilities issued by the undertaking that meet the criteria for Tier 2. |
| R0140/C0050 | Subordinated liabilities – tier 3 | This is the amount of subordinated liabilities issued by the undertaking that meet the criteria for Tier 3. |
| R0160/C0010 | An amount equal to the value of net deferred tax assets – total | This is the total amount of net deferred tax assets of the undertaking. |
| R0160/C0050 | An amount equal to the value of net deferred tax assets – tier 3 | This is the amount of net deferred tax assets of the undertaking that meet the tier 3 classification criteria. Net deferred taxes should appear, if there is an excess of deferred tax assets over the deferred tax liabilities. If the deferred tax liabilities are higher than the deferred tax assets, then the net deferred tax assets should be equal to 0. |
| R0180/C0010 | Other own fund items approved by the supervisory authority as basic own funds not specified above – total | This is the total of basic own fund items not identified above and that received supervisory approval. |
| R0180/C0020 | Other own fund items approved by the supervisory authority as basic own funds not specified above – tier 1 unrestricted | This is the amount of basic own fund items not identified above that meet Tier 1 unrestricted criteria and that received supervisory approval. |
| R0180/C0030 | Other own fund items approved by the supervisory authority as basic own funds not specified above – Tier 1 restricted | This is the amount of basic own fund items not identified above which meet the criteria for Tier 1, restricted items and that received supervisory approval. |
| R0180/C0040 | Other own fund items approved by the supervisory authority as basic own funds not specified above – tier 2 | This is the amount of basic own fund items not identified above that meet the criteria for Tier 2 and that received supervisory approval. |
| R0180/C0050 | Other own fund items approved by the supervisory authority as basic own funds not specified above – tier 3 | This is the amount of basic own fund items not identified above that meet the criteria for Tier 3 and that received supervisory approval. |
| Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds | ||
| R0220/C0010 | Own funds from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds – total | This is the total amount of own fund items from financial statements that are not represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds.These own fund items are either:i) items that appear in the lists of own fund items, but fail to meet the classification criteria or the transitional provisions; orii) items intended to perform the role of own funds that are not on the list of own fund items and have not been approved by the supervisory authority, and do not appear on the balance sheet as liabilities.Subordinated liabilities which do not count as basic own funds shall not be reported here, but on the balance sheet (template S.02.01) as subordinated liabilities that do not count as basic own funds. |
| Deductions | ||
| R0230/C0010 | Deduction for participations in financial and credit institutions – total | This is the total deduction for participations in financial and credit institutions in accordance with Article 68 of Delegated Regulation (EU) 2015/35. |
| R0230/C0020 | Deduction for participations in financial and credit institutions – tier 1 unrestricted | This is the amount of the deduction for participations in financial and credit institutions that are deducted from tier 1 unrestricted in accordance with Article 68 of Delegated Regulation (EU) 2015/35. |
| R0230/C0030 | Deduction for participations in financial and credit institutions – tier 1 restricted | This is the amount of the deduction for participations in financial and credit institutions that are deducted from tier 1 restricted in accordance with Article 68 of Delegated Regulation (EU) 2015/35. |
| R0230/C0040 | Deduction for participations in financial and credit institutions – tier 2 | This is the amount of the deduction for participations in financial and credit institutions that are deducted from tier 2 in accordance with Article 68 of Delegated Regulation (EU) 2015/35. |
| R0230/C0050 | Deduction for participations in financial and credit institutions – Tier 3 | This is the amount of the deduction for participations in financial and credit institutions that are deducted from Tier 3 in accordance with Article 68 of Delegated Regulation (EU) 2015/35. |
| Total basic own funds after deductions | ||
| R0290/C0010 | Total basic own funds after deductions – total | This is the total amount of basic own fund items after deductions. |
| R0290/C0020 | Total basic own funds after deductions – tier 1 unrestricted | This is the amount of basic own fund items after deductions that meet the criteria for Tier 1 unrestricted items. |
| R0290/C0030 | Total basic own funds after deductions – tier 1 restricted | This is the amount of basic own fund items after deductions that meet the criteria for Tier 1 restricted items. |
| R0290/C0040 | Total basic own funds after deductions – tier 2 | This is the amount of basic own fund items after deductions that meet the criteria for Tier 2. |
| R0290/C0050 | Total basic own funds after deductions – tier 3 | This is the amount of basic own fund items after deductions that meet the criteria for Tier 3. |
| Ancillary own funds | ||
| R0300/C0010 | Unpaid and uncalled ordinary share capital callable on demand – total | This is the total amount of issued ordinary share capital that has not been called up or paid up but that is callable on demand. |
| R0300/C0040 | Unpaid and uncalled ordinary share capital callable on demand – tier 2 | This is the amount of issued ordinary share capital that has not been called up or paid up but that is callable on demand that meet the criteria for Tier 2. |
| R0310/C0010 | Unpaid and uncalled initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual – type undertakings, callable on demand – total | This is the total amount of initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings that has not been called up or paid up but that is callable on demand. |
| R0310/C0040 | Unpaid and uncalled initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings, callable on demand – tier 2 | This is the amount of initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings that has not been called up or paid up but that is callable on demand that meet the criteria for Tier 2. |
| R0320/C0010 | Unpaid and uncalled preference shares callable on demand – total | This is the total amount of preference shares that have not been called up or paid up but that are callable on demand. |
| R0320/C0040 | Unpaid and uncalled preference shares callable on demand – tier 2 | This is the amount of preference shares that have not been called up or paid up but that are callable on demand that meet the criteria for Tier 2. |
| R0320/C0050 | Unpaid and uncalled preference shares callable on demand – tier 3 | This is the amount of preference shares that have not been called up or paid up but that are callable on demand that meet the criteria for Tier 3 |
| R0330/C0010 | A legally binding commitment to subscribe and pay for subordinated liabilities on demand – total | This is the total amount of legally binding commitments to subscribe and pay for subordinated liabilities on demand. |
| R0330/C0040 | A legally binding commitment to subscribe and pay for subordinated liabilities on demand – tier 2 | This is the amount of legally binding commitments to subscribe and pay for subordinated liabilities on demand that meet the criteria for Tier 2. |
| R0330/C0050 | A legally binding commitment to subscribe and pay for subordinated liabilities on demand – tier 3 | This is the amount of legally binding commitments to subscribe and pay for subordinated liabilities on demand that meet the criteria for Tier 3. |
| R0340/C0010 | Letters of credit and guarantees under Article 96(2) of the Directive 2009/138/EC – total | This is the total amount of letters of credit and guarantees that are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC. |
| R0340/C0040 | Letters of credit and guarantees under Article 96(2) of the Directive 2009/138/EC – tier 2 | This is the amount of letters of credit and guarantees that are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC that meet the criteria for Tier 2. |
| R0350/C0010 | Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC – total | This is the total amount of letters of credit and guarantees that satisfy criteria for Tier 2 or Tier 3, other than those that are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC. |
| R0350/C0040 | Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC – tier 2 | This is the amount of letters of credit and guarantees that meet the criteria for Tier 2, other than those which are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC. |
| R0350/C0050 | Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC– tier 3 | This is the amount of letters of credit and guarantees that meet the criteria for Tier 3, other than those which are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC. |
| R0360/C0010 | Supplementary members calls under first subparagraph of Article 96(3) of the Directive 2009/138/EC – total | This is the total amount of any future claims which mutual or mutual–type associations of ship owners with variable contributions solely insuring risks listed in classes 6, 12 and 17 in Part A of Annex I may have against their members by way of a call for supplementary contributions, within the following 12 months. |
| R0360/C0040 | Supplementary members calls under first subparagraph of Article 96(3) of the Directive 2009/138/EC – tier 2 | This is the amount of any future claims which mutual or mutual–type associations of ship owners with variable contributions solely insuring risks listed in classes 6, 12 and 17 in Part A of Annex I may have against their members by way of a call for supplementary contributions, within the following 12 months. |
| R0370/C0010 | Supplementary members calls – other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC – total | This is the total amount of any future claims which mutual or mutual–type associations with variable contributions may have against their members by way of a call for supplementary contributions, within the following 12 months, other than those described in the first subparagraph of Article 96(3) of the Directive 2009/138/EC. |
| R0370/C0040 | Supplementary members calls – other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC – tier 2 | This is the amount of any future claims which mutual or mutual–type associations of with variable contributions may have against their members by way of a call for supplementary contributions within the following 12 months, other than those described in the first subparagraph of Article 96(3) of the Directive 2009/138/EC that meet the criteria for Tier 2. |
| R0370/C0050 | Supplementary members calls – other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC – tier 3 | This is the amount of any future claims which mutual or mutual–type associations with variable contributions may have against their members by way of a call for supplementary contributions within the following 12 months, other than those described in the first subparagraph of Article 96(3) of the Framework Directive 2009/138/EC that meet the criteria for Tier 3. |
| R0390/C0010 | Other ancillary own funds – total | This is the total amount of other ancillary own funds. |
| R0390/C0040 | Other ancillary own funds – tier 2 | This is the amount of other ancillary own funds that meet criteria for Tier 2. |
| R0390/C0050 | Other ancillary own funds – tier 3 | This is the amount of other ancillary own funds that meet criteria for Tier 3. |
| R0400/C0010 | Total ancillary own funds | This is the total amount of ancillary own fund items. |
| R0400/C0040 | Total ancillary own funds tier 2 | This is the amount of ancillary own fund items that meet the criteria for Tier 2. |
| R0400/C0050 | Total ancillary own funds – tier 3 | This is the amount of ancillary own fund items that meet the criteria for Tier 3. |
| Available and eligible own funds | ||
| R0500/C0010 | Total available own funds to meet the SCR | This is the sum of all basic own fund items, after deductions, and ancillary own fund items that meet the Tier 1, Tier 2 and Tier 3 criteria and that are therefore available to meet the SCR. |
| R0500/C0020 | Total available own funds to meet the SCR – tier 1 unrestricted | This is the sum of all basic own fund items, after deductions, that meet the criteria to be included in Tier 1 unrestricted items and that are therefore available to meet the SCR. |
| R0500/C0030 | Total available own funds to meet the SCR – tier 1 restricted | This is the sum of all basic own fund items, after deductions, that meet the criteria to be included in Tier 1 restricted items and that are therefore available to meet the SCR. |
| R0500/C0040 | Total available own funds to meet the SCR – tier 2 | This is the sum of all basic own fund items, after deductions, and ancillary own fund items that meet the criteria to be included in Tier 2 and that are therefore available to meet the SCR. |
| R0500/C0050 | Total available own funds to meet the SCR – tier 3 | This is the sum of all basic own fund items, after deductions, and ancillary own fund items that meet the criteria to be included in Tier 3 and that are therefore available to meet the SCR. |
| R0510/C0010 | Total available own funds to meet the MCR | This is the sum of all basic own fund items, after deductions, that meet the Tier 1 and Tier 2 criteria and that are therefore available to meet the MCR. |
| R0510/C0020 | Total available own funds to meet the MCR – tier 1 unrestricted | This is the sum of all basic own fund items, after deductions, that meet the criteria to be included in Tier 1 unrestricted items and that are therefore available to meet the MCR. |
| R0510/C0030 | Total available own funds to meet the MCR – tier 1 restricted | This is the sum of all basic own fund items, after deductions, that meet the criteria to be included in Tier 1 restricted items and that are therefore available to meet the MCR. |
| R0510/C0040 | Total available own funds to meet the MCR – tier 2 | This is the sum of all basic own fund items, after deductions, that meet the criteria to be included in Tier 2 and that are therefore available to meet the MCR. |
| R0540/C0010 | Total eligible own funds to meet the SCR | This is the total amount of available own funds that are eligible to cover the SCR. |
| R0540/C0020 | Total eligible own funds to meet the SCR – tier 1 unrestricted | This is the amount of unrestricted Tier 1 own fund items that are eligible to meet the SCR. |
| R0540/C0030 | Total eligible own funds to meet the SCR – tier 1 restricted | This is the amount of restricted Tier 1 own fund items that are eligible to meet the SCR. |
| R0540/C0040 | Total eligible own funds to meet the SCR – tier 2 | This is the amount of Tier 2 own fund items that are eligible to meet the SCR. |
| R0540/C0050 | Total eligible own funds to meet the SCR – tier 3 | This is the amount of Tier 3 own fund items that are eligible to meet the SCR. |
| R0550/C0010 | Total eligible own funds to meet the MCR | This is the total amount of own fund items that are eligible to meet the MCR. |
| R0550/C0020 | Total eligible own funds to meet the MCR – tier 1 unrestricted | This is the amount of unrestricted Tier 1 own fund items that are eligible to meet the MCR. |
| R0550/C0030 | Total eligible own funds to meet the MCR – tier 1 restricted | This is the amount of restricted Tier 1 own fund items that are eligible to meet the MCR. |
| R0550/C0040 | Total eligible own funds to meet the MCR – tier 2 | This is the amount of Tier 2 basic own fund items that are eligible to meet the MCR. |
| R0580/C0010 | SCR | This is the total SCR of the undertaking as a whole and shall correspond to the SCR reported on the relevant SCR template.For quarterly reporting this is the latest SCR to be calculated and reported in accordance with Articles 103 to 127 of Directive 2009/138/EC, either the annual one or a more recent one in case the SCR has been recalculated due to for example a change in risk profile, a breach or a risk of breaching the SCR. The amount shall include any capital add on set by the National Supervisory Authority.In case no full recalculation has been performed for the purpose of the quarterly reporting but undertakings have updated the SCR via approximations, then this updated SCR can be reported in the quarterly submission. |
| R0600/C0010 | MCR | This is the MCR of the undertaking and shall correspond to the total MCR reported in the relevant MCR template. |
| R0620/C0010 | Ratio of eligible own funds to SCR | This is the solvency ratio calculated as the total eligible own funds to meet the SCR divided by the SCR amount. |
| R0640/C0010 | Ratio of eligible own funds to MCR | This is the MCR ratio calculated as the total of eligible own funds to meet the MCR divided by the MCR amount. |
| Reconciliation Reserve | ||
| R0700/C0060 | Excess of assets over liabilities | This is the excess of assets over liabilities as reported in the Solvency 2 balance sheet. |
| R0710/C0060 | Own shares (held directly and indirectly) | This is the amount of own shares held by the undertaking, both directly and indirectly. |
| R0720/C0060 | Foreseeable dividends, distributions and charges | These are the dividends, distributions and charges foreseeable by the undertaking. As soon as a dividend is foreseeable it is considered in full in the quarterly reporting. As soon as a dividend is foreseeable, the full amount of dividend must be included in the quarterly reporting at one time, which means that it shall not be added incrementally from quarter to quarter.A dividend is foreseeable when the payment becomes likely considering the dividend payment history of the company, the business development throughout the year, the reference date of the assessment and, where appropriate, other relevant circumstances.The dividend shall be reported as foreseeable until it has been approved at the annual general meeting (not until it has been paid). |
| R0730/C0060 | Other basic own fund items | These are the basic own fund items included in points (a)(i) to (v) of Article 69, Article 72(a) and Article 76(a), as well as those basic own fund items approved by the supervisory authority in accordance with Article 79 of the Delegated Regulation (EU) 2015/35. |
| R0740/C0060 | Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring-fenced funds | This is the total amount of the adjustment to the reconciliation reserve due to the existence of restricted own fund items in respect of ring–fenced funds and matching portfolios. |
| R0760/C0060 | Reconciliation reserve – total | This the reconciliation reserve of the undertaking, before deduction for participations in other financial sector as foreseen in Article 68 of Delegated Regulation (EU) 2015/35. |
| R0770/C0060 | Expected profits included in future premiums (EPIFP) – Life business | The reconciliation reserve includes an amount of the excess of assets over liabilities that corresponds to the expected profit in future premiums (‘EPIFP’). This cell represents that amount gross of reinsurance and taxes (i.e. without considering their impact) for the life business of the undertaking. |
| R0780/C0060 | Expected profits included in future premiums (EPIFP) – Non– life business | The reconciliation reserve includes an amount of the excess of assets over liabilities that corresponds to the expected profit in future premiums (EPIFP). This cell represents that amount gross of reinsurance and taxes (i.e. without considering their impact) for the non–life business of the undertaking. |
| R0790/C0060 | Total Expected profits included in future premiums (EPIFP) | This is the total amount calculated as expected profits included in future premiums. |
S.23.02 – Detailed information by tiers on own funds
General comments:
This section relates to annual submission for individual entities.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| R0010/C0010 | Ordinary share capital –Paid in – total | This is the total of paid in ordinary share capital, including own shares. |
| R0010/C0020 | Ordinary share capital – Paid in – tier 1 | This is the total of paid in ordinary share capital that meets the criteria for Tier 1, including own shares. |
| R0020/C0010 | Ordinary share capital – Called up but not yet paid in – total | This is the total amount of ordinary shares that have been called up but not yet paid in, including own shares. |
| R0020/C0040 | Ordinary share capital – Called up but not yet paid in – tier 2 | This is the amount of ordinary shares that have been called up but not yet paid in that meet the criteria for Tier 2, including own shares. |
| R0030/C0010 | Own shares held – total | This is the total amount of own shares held by the undertaking. |
| R0030/C0020 | Own shares held – tier 1 | This is the total amount of own shares held by the undertaking, that meet the criteria for Tier 1. |
| R0100/C0010 | Total ordinary share capital | This is the total of ordinary share capital. Note that own shares held will be included in either paid in or called up but not yet paid in. |
| R0100/C0020 | Total ordinary share capital – tier 1 | This is the total of ordinary share capital that meets the criteria for Tier 1. Note that own shares held will be included in either paid in or called up but not yet paid in. |
| R0100/C0040 | Total ordinary share capital – tier 2 | This is the total of ordinary share capital that meets the criteria for Tier 2. |
| R0110/C0010 | Initial funds, members’ contributions or the equivalent basic own–fund items for mutual and mutual–type undertaking –Paid in – total | This is the total of paid in initial funds, members’ contributions or the equivalent basic own–fund item for mutual and mutual–type undertaking. |
| R0110/C0020 | Initial funds, members’ contributions or the equivalent basic own–fund items for mutual and mutual–type undertaking –Paid in – tier 1 | This is the total of initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking that meet the criteria for Tier 1. |
| R0120/C0010 | Initial funds, members’ contributions or the equivalent basic own–fund items for mutual and mutual–type undertaking –Called up but not yet paid in – total | This is the total of called up but not yet paid in initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking |
| R0120/C0040 | Initial funds, members’ contributions or the equivalent basic own–fund items for mutual and mutual–type undertaking –Called up but not yet paid in – tier 2 | This is the total of initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking that meet the criteria for Tier 2. |
| R0200/C0010 | Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking | This is the total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking |
| R0200/C0020 | Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking – tier 1 | This is the total of the initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking that meet the criteria for Tier 1. |
| R0200/C0040 | Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking – tier 2 | This is the total of the initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking that meet the criteria for Tier 2. |
| R0210/C0010 | Subordinated mutual member accounts – Dated subordinated – total | This is the total amount of dated subordinated mutual member accounts |
| R0210/C0020 | Subordinated mutual member accounts – Dated subordinated – tier 1 | This is the total amount of dated subordinated mutual member accounts that meet the criteria for Tier 1. |
| R0210/C0030 | Subordinated mutual member accounts – Dated subordinated – tier 1 of which counted under transitionals | This is the total amount of dated subordinated mutual member accounts that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0210/C0040 | Subordinated mutual member accounts – Dated subordinated – tier 2 | This is the total amount of dated subordinated mutual member accounts that meet the criteria for Tier 2. |
| R0210/C0050 | Subordinated mutual member accounts – Dated subordinated – tier 2 of which counted under transitionals | This is the total amount of dated subordinated mutual member accounts that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0210/C0060 | Subordinated mutual member accounts – Dated subordinated – tier 3 | This is the total amount of dated subordinated mutual member accounts that meet the criteria for Tier 3. |
| R0220/C0010 | Subordinated mutual member accounts – Undated subordinated with a call option – total | This is the total of undated subordinated mutual member accounts with a call option. |
| R0220/C0020 | Subordinated mutual member accounts – Undated subordinated with a call option – tier 1 | This is the total of undated subordinated mutual member accounts with a call option that meet the criteria for Tier 1. |
| R0220/C0030 | Subordinated mutual member accounts – Undated subordinated with a call option – tier 1 of which counted under transitionals | This is the total of undated subordinated mutual member accounts with a call option that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0220/C0040 | Subordinated mutual member accounts – Undated subordinated with a call option – tier 2 | This is the total of undated subordinated mutual member accounts with a call option that meet the criteria for Tier 2. |
| R0220/C0050 | Subordinated mutual member accounts – Undated subordinated with a call option – tier 2 of which counted under transitionals | This is the total of undated subordinated mutual member accounts with a call option that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0220/C0060 | Subordinated mutual member accounts – Undated subordinated with a call option – tier 3 | This is the total of undated subordinated mutual member accounts with a call option that meet the criteria for Tier 3. |
| R0230/C0010 | Subordinated mutual member accounts – Undated subordinated with no contractual opportunity to redeem – total | This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem. |
| R0230/C0020 | Subordinated mutual member accounts – Undated subordinated with no contractual opportunity to redeem – tier 1 | This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem that meet the criteria for Tier 1. |
| R0230/C0030 | Subordinated mutual member accounts – Undated subordinated with no contractual opportunity to redeem – tier 1 of which counted under transitionals | This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0230/C0040 | Subordinated mutual member accounts – Undated subordinated with no contractual opportunity to redeem – tier 2 | This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem that meet the criteria for Tier 2. |
| R0230/C0050 | Subordinated mutual member accounts – Undated subordinated with no contractual opportunity to redeem – tier 2 of which counted under transitionals | This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0230/C0060 | Subordinated mutual member accounts – Undated subordinated with no contractual opportunity to redeem – tier 3 | This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem that meet the criteria for Tier 3. |
| R0300/C0010 | Total Subordinated mutual member accounts | This is the total subordinated mutual member accounts. |
| R0300/C0020 | Total Subordinated mutual member accounts – tier 1 | This is the total of the subordinated mutual member accounts that meet the criteria for Tier 1. |
| R0300/C0030 | Total Subordinated mutual member accounts – tier 1 of which counted under transitionals | This is the total of the subordinated mutual member accounts that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0300/C0040 | Total Subordinated mutual member accounts – tier 2 | This is the total of the subordinated mutual member accounts that meet the criteria for Tier 2. |
| R0300/C0050 | Total Subordinated mutual member accounts – tier 2 of which counted under transitionals | This is the total of the subordinated mutual member accounts that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0300/C0060 | Total Subordinated mutual member accounts – tier 3 | This is the total of the subordinated mutual member accounts that meet the criteria for Tier 3. |
| R0310/C0010 | Dated preference shares – total | This is the total dated preference shares. |
| R0310/C0020 | Dated preference shares – tier 1 | This is the total of dated preference shares that meet the criteria for Tier 1. |
| R0310/C0030 | Dated preference shares – tier 1 of which counted under transitionals | This is the total of dated preference shares that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0310/C0040 | Dated preference shares – tier 2 | This is the total of dated preference shares that meet the criteria for Tier 2. |
| R0310/C0050 | Dated preference shares – tier 2 of which counted under transitionals | This is the total of dated preference shares that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0310/C0060 | Dated preference shares – tier 3 | This is the total of dated preference shares that meet the criteria for Tier 3. |
| R0320/C0010 | Undated preference shares with a call option – total | This is the total undated preference shares with a call option. |
| R0320/C0020 | Undated preference shares with a call option – tier 1 | This is the total of undated preference shares with a call option that meet the criteria for Tier 1. |
| R0320/C0030 | Undated preference shares with a call option – tier 1 of which counted under transitionals | This is the total of undated preference shares with a call option that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0320/C0040 | Undated preference shares with a call option – tier 2 | This is the total of undated preference shares with a call option that meet the criteria for Tier 2. |
| R0320/C0050 | Undated preference shares with a call option – tier 2 of which counted under transitionals | This is the total of undated preference shares with a call option that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0320/C0060 | Undated preference shares with a call option – tier 3 | This is the total of undated preference shares with a call option that meet the criteria for Tier 3. |
| R0330/C0010 | Undated preference shares with no contractual opportunity to redeem – total | This is the total undated preference shares with no contractual opportunity to redeem. |
| R0330/C0020 | Undated preference shares with no contractual opportunity to redeem – tier 1 | This is the total of undated preference shares with no contractual opportunity to redeem that meet the criteria for Tier 1. |
| R0330/C0030 | Undated preference shares with no contractual opportunity to redeem – tier 1 of which counted under transitionals | This is the total of undated preference shares with no contractual opportunity to redeem that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0330/C0040 | Undated preference shares with no contractual opportunity to redeem – tier 2 | This is the total of undated preference shares with no contractual opportunity to redeem that meet the criteria for Tier 2. |
| R0330/C0050 | Undated preference shares with no contractual opportunity to redeem – tier 2 of which counted under transitionals | This is the total of undated preference shares with no contractual opportunity to redeem that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0330/C0060 | Undated preference shares with no contractual opportunity to redeem – tier 3 | This is the total of undated preference shares with no contractual opportunity to redeem that meet the criteria for Tier 3. |
| R0400/C0010 | Total preference shares | This is the total preference shares. |
| R0400/C0020 | Total preference shares – tier 1 | This is the total of preference shares that meet the criteria for Tier 1. |
| R0400/C0030 | Total preference shares – tier 1 of which counted under transitionals | This is the total of preference shares that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0400/C0040 | Total preference shares – tier 2 | This is the total of preference shares that meet the criteria for Tier 2. |
| R0400/C0050 | Total preference shares – tier 2 of which counted under transitionals | This is the total of preference shares that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0400/C0060 | Total preference shares – tier 3 | This is the total of preference shares that meet the criteria for Tier 3. |
| R0410/C0010 | Dated subordinated liabilities – total | This is the total of dated subordinated liabilities. |
| R0410/C0020 | Dated subordinated liabilities– tier 1 | This is the amount of dated subordinated liabilities that meet the criteria for Tier 1. |
| R0410/C0030 | Dated subordinated liabilities – tier 1 of which counted under transitionals | This is the amount of dated subordinated liabilities that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0410/C0040 | Dated subordinated liabilities– tier 2 | This is the amount of dated subordinated liabilities that meet the criteria for Tier 2. |
| R0410/C0050 | Dated subordinated liabilities– tier 2 of which counted under transitionals | This is the amount of dated subordinated liabilities that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0410/C0060 | Dated subordinated liabilities– tier 3 | This is the amount of dated subordinated liabilities that meet the criteria for Tier 3. |
| R0420/C0010 | Undated subordinated liabilities with a contractual opportunity to redeem – total | This is the total of undated subordinated liabilities that have a contractual opportunity to redeem. |
| R0420/C0020 | Undated subordinated liabilities with a contractual opportunity to redeem – tier 1 | This is the amount of undated subordinated liabilities with contractual opportunity to redeem that meet the criteria for Tier 1. |
| R0420/C0030 | Undated subordinated liabilities with a contractual opportunity to redeem – tier 1 of which counted under transitionals | This is the amount of undated subordinated liabilities with a contractual opportunity to redeem that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0420/C0040 | Undated subordinated liabilities with a contractual opportunity to redeem – tier 2 | This is the amount of undated subordinated liabilities with a contractual opportunity to redeem that meet the criteria for Tier 2. |
| R0420/C0050 | Undated subordinated liabilities with a contractual opportunity to redeem – tier 2 of which counted under transitionals | This is the amount of undated subordinated liabilities with contractual opportunity to redeem that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0420/C0060 | Undated subordinated liabilities with a contractual opportunity to redeem – tier 3 | This is the amount of undated subordinated liabilities with contractual opportunity to redeem that meet the criteria for Tier 3. |
| R0430/C0010 | Undated subordinated liabilities with no contractual opportunity to redeem – total | This is the total of undated subordinated liabilities with no contractual opportunity to redeem. |
| R0430/C0020 | Undated subordinated liabilities with no contractual opportunity to redeem – tier 1 | This is the amount of undated subordinated liabilities with no contractual opportunity to redeem that meet the criteria for Tier 1. |
| R0430/C0030 | Undated subordinated liabilities with no contractual opportunity to redeem – tier 1 of which counted under transitionals | This is the amount of undated subordinated liabilities with no contractual opportunity to redeem that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0430/C0040 | Undated subordinated liabilities with no contractual opportunity to redeem – tier 2 | This is the amount of undated subordinated liabilities with no contractual opportunity to redeem that meet the criteria for Tier 2. |
| R0430/C0050 | Undated subordinated liabilities with no contractual opportunity to redeem – tier 2 of which counted under transitionals | This is the amount of undated subordinated liabilities with no contractual opportunity to redeem that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0430/C0060 | Undated subordinated liabilities with no contractual opportunity to redeem – tier 3 | This is the amount of undated subordinated liabilities with no contractual opportunity to redeem that meet the criteria for Tier 3. |
| R0500/C0010 | Total subordinated liabilities – total | This is the total of subordinated liabilities. |
| R0500/C0020 | Total subordinated liabilities – tier 1 | This is the total of subordinated liabilities that meet the criteria for Tier 1. |
| R0500/C0030 | Total subordinated liabilities – tier 1 of which counted under transitionals | This is the total of subordinated liabilities that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0500/C0040 | Total subordinated liabilities – tier 2 | This is the amount of subordinated liabilities that meet the criteria for Tier 2. |
| R0500/C0050 | Total subordinated liabilities – tier 2 of which counted under transitionals | This is the amount of subordinated liabilities that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0500/C0060 | Total subordinated liabilities – tier 3 | This is the amount of subordinated liabilities that meet the criteria for Tier 3. |
| R0510/C0070 | Ancillary own fund items for which an amount was approved – tier 2 initial amounts approved | This the initial amount approved for ancillary own funds for which an amount was approved under Tier 2. |
| R0510/C0080 | Ancillary own fund items for which an amount was approved – tier 2 current amounts | This is the current amount for ancillary own funds for which an amount was approved under Tier 2. |
| R0510/C0090 | Ancillary own fund items for which an amount was approved – tier 3 initial amounts approved | This the initial amount approved for ancillary own funds for which an amount was approved under Tier 3. |
| R0510/C0100 | Ancillary own fund items for which an amount was approved – tier 3 current amounts | This is the current amount for ancillary own funds for which an amount was approved under Tier 3. |
| R0520/C0080 | Ancillary own fund items for which a method was approved – tier 2 current amounts | This is the current amount for ancillary own funds for which a method was approved under Tier 2. |
| R0520/C0100 | Ancillary own fund items for which a method was approved – tier 3 current amounts | This is the current amount for ancillary own funds for which a method was approved under Tier 3. |
S.23.03 – Annual movements on own funds
General comments:
This template shall be reported if the amount of the own funds for any tier change more than 5 % compared to the previous year calculated as below.
% change T; T-1:Available Own funds in tier i to cover SCR in TAvailable Own funds in tier to cover SCR in T-1
This section relates to annual submission for individual entities.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Ordinary share capital – movements in the reporting period | ||
| R0010/C0010 | Ordinary share capital –Paid in – balance brought forward | This is the balance of paid in ordinary share capital brought forward from the previous reporting period. |
| R0010/C0020 | Ordinary share capital –Paid in – increase | This is the increase in paid in ordinary share capital over the reporting period. |
| R0010/C0030 | Ordinary share capital –Paid in – reduction | This is the reduction in paid in ordinary share capital over the reporting period. |
| R0010/C0060 | Ordinary share capital –Paid in – balance carried forward | This is the balance of paid in ordinary share capital carried forward to the next reporting period. |
| R0020/C0010 | Ordinary share capital –Called up but not yet paid in – balance brought forward | This is the balance of called up but not yet paid in ordinary share capital brought forward from the previous reporting period. |
| R0020/C0020 | Ordinary share capital –Called up but not yet paid in – increase | This is the increase in called up but not yet paid in ordinary share capital over the reporting period. |
| R0020/C0030 | Ordinary share capital –Called up but not yet paid in – reduction | This is the reduction in called up but not yet paid in ordinary share capital over the reporting period. |
| R0020/C0060 | Ordinary share capital –Called up but not yet paid in – balance carried forward | This is the balance of called up but not yet paid in ordinary share capital carried forward to the next reporting period. |
| R0030/C0010 | Own shares held – balance brought forward | This is the balance of own shares held, brought forward from the previous reporting period. |
| R0030/C0020 | Own shares held – increase | This is the increase in own shares held, brought over the reporting period. |
| R0030/C0030 | Own shares held – reduction | This is the reduction in own shares held, brought over the reporting period. |
| R0030/C0060 | Own shares held – balance carried forward | This is the balance of own shares held carried forward to the next reporting period. |
| R0100/C0010 | Total ordinary share capital – balance brought forward | This is the balance of total ordinary share capital brought forward from the previous reporting period. R0100/C0010 includes own shares held. |
| R0100/C0020 | Total ordinary share capital – increase | This is the increase in total ordinary share capital over the reporting period. |
| R0100/C0030 | Total ordinary share capital – reduction | This is the reduction in total ordinary share capital over the reporting period. |
| R0100/C0060 | Total ordinary share capital – balance carried forward | This is the balance of total ordinary share capital carried forward to the next reporting period. |
| Share premium account related to ordinary share capital – movements in the reporting period | ||
| R0110/C0010 | Share premium account related to ordinary share capital – Tier 1 – balance brought forward | This is the balance of the share premium account related to ordinary share capital that is tier 1 brought forward from the previous reporting period. |
| R0110/C0020 | Share premium account related to ordinary share capital – Tier 1 – increase | This is the increase in the share premium account related to ordinary share capital that is tier 1 over the reporting period. |
| R0110/C0030 | Share premium account related to ordinary share capital – Tier 1 – reduction | This is the reduction in the share premium account related to ordinary share capital that is tier 1 over the reporting period. |
| R0110/C0060 | Share premium account related to ordinary share capital – Tier 1 – balance carried forward | This is the balance of the share premium account related to ordinary share capital that is tier 1 carried forward to the next reporting period. |
| R0120/C0010 | Share premium account related to ordinary share capital –Tier 2 – balance brought forward | This is the balance of the share premium account related to ordinary share capital that is tier 2 brought forward from the previous reporting period. |
| R0120/C0020 | Share premium account related to ordinary share capital –Tier 2 – increase | This is the increase in the share premium account related to ordinary share capital that is tier 2 over the reporting period. |
| R0120/C0030 | Share premium account related to ordinary share capital –Tier 2 – reduction | This is the reduction in the share premium account related to ordinary share capital that is tier 2 over the reporting period. |
| R0120/C0060 | Share premium account related to ordinary share capital –Tier 2 – balance carried forward | This is the balance of the share premium account related to ordinary share capital that is tier 2 carried forward to the next reporting period. |
| R0200/C0010 | Share premium account related to ordinary share capital –Total – balance brought forward | This is the total balance of the share premium account related to ordinary share capital brought forward from the previous reporting period. |
| R0200/C0020 | Share premium account related to ordinary share capital –Total – increase | This is the increase in the total share premium account related to ordinary share capital over the reporting period. |
| R0200/C0030 | Share premium account related to ordinary share capital –Total – reduction | This is the reduction in the total share premium account related to ordinary share capital over the reporting period. |
| R0200/C0060 | Share premium account related to ordinary share capital –Total – balance carried forward | This is the balance of the share premium account related to ordinary share capital carried forward to the next reporting period. |
| Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings – movements in the reporting period | ||
| R0210/C0010 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings —Paid in – balance brought forward | This is the balance of the paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings brought forward from the previous reporting period. |
| R0210/C0020 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Paid in – increase | This is the increase in the paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings over the reporting period. |
| R0210/C0030 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Paid in – reduction | This is the reduction in the paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings over the reporting period. |
| R0210/C0060 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Paid in – balance carried forward | This is the balance of the paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings carried forward to the next reporting period. |
| R0220/C0010 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Called up but not yet paid in – balance brought forward | This is the balance of the called up but not yet paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings brought forward from the previous reporting period. |
| R0220/C0020 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Called up but not yet paid in – increase | This is the increase in the called up but not yet paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings over the reporting period. |
| R0220/C0030 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Called up but not yet paid in – reduction | This is the reduction in the called up but not yet paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings over the reporting period. |
| R0220/C0060 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Called up but not yet paid in – balance carried forward | This is the balance of the called up but not yet paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings carried forward to the next reporting period. |
| R0300/C0010 | Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings – balance brought forward | This is the balance of the total initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings brought forward from the previous reporting period. |
| R0300/C0020 | Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings – increase | This is the increase in the total initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings over the reporting period. |
| R0300/C0030 | Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings – reduction | This is the decrease in the total initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings over the reporting period. |
| R0300/C0060 | Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings – balance carried forward | This is the balance of the total initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings carried forward to the next reporting period. |
| Subordinated mutual member accounts – movements in the reporting period | ||
| R0310/C0010 | Subordinated mutual member accounts – Tier 1 – balance brought forward | This is the balance of tier 1 subordinated mutual member accounts brought forward from the previous reporting period. |
| R0310/C0070 | Subordinated mutual member accounts – Tier 1 – issued | This is the amount of tier 1 subordinated mutual member accounts issued over the reporting period. |
| R0310/C0080 | Subordinated mutual member accounts – Tier 1 – redeemed | This is the amount of tier 1 subordinated mutual member accounts redeemed over the reporting period. |
| R0310/C0090 | Subordinated mutual member accounts – Tier 1 – movements in valuation | This is the amount reflecting movement in valuation tier 1 subordinated mutual member accounts over the reporting period. |
| R0310/C0100 | Subordinated mutual member accounts – Tier 1 – regulatory action | This is the amount reflecting an increase/decrease in tier 1 subordinated mutual member accounts due to regulatory action over the reporting period. |
| R0310/C0060 | Subordinated mutual member accounts – Tier 1 – balance carried forward | This is the balance of tier 1 subordinated mutual member accounts carried forward to the next reporting period. |
| R0320/C0010 | Subordinated mutual member accounts –Tier 2 – balance brought forward | This is the balance of tier 2 subordinated mutual member accounts brought forward from the previous reporting period. |
| R0320/C0070 | Subordinated mutual member accounts –Tier 2 – issued | This is the amount of tier 2 subordinated mutual member accounts issued over the reporting period. |
| R0320/C0080 | Subordinated mutual member accounts –Tier 2 – redeemed | This is the amount of tier 2 subordinated mutual member accounts redeemed over the reporting period. |
| R0320/C0090 | Subordinated mutual member accounts –Tier 2 – movements in valuation | This is the amount reflecting movement in valuation tier 2 subordinated mutual member accounts over the reporting period. |
| R0320/C0100 | Subordinated mutual member accounts –Tier 2 – regulatory action | This is the amount reflecting an increase/decrease in tier 2 subordinated mutual member accounts due to regulatory action over the reporting period. |
| R0320/C0060 | Subordinated mutual member accounts –Tier 2 – balance carried forward | This is the balance of tier 2 subordinated mutual member accounts carried forward to the next reporting period. |
| R0330/C0010 | Subordinated mutual member accounts –Tier 3 – balance brought forward | This is the balance of tier 3 subordinated mutual member accounts brought forward from the previous reporting period. |
| R0330/C0070 | Subordinated mutual member accounts –Tier 3 – issued | This is the amount of tier 3 subordinated mutual member accounts issued over the reporting period. |
| R0330/C0080 | Subordinated mutual member accounts –Tier 3 – redeemed | This is the amount of tier 3 subordinated mutual member accounts redeemed over the reporting period. |
| R0330/C0090 | Subordinated mutual member accounts –Tier 3 – movements in valuation | This is the amount reflecting movement in valuation tier 3 subordinated mutual member accounts over the reporting period. |
| R0330/C0100 | Subordinated mutual member accounts –Tier 3 – regulatory action | This is the amount reflecting an increase/decrease in tier 3 subordinated mutual member accounts due to regulatory action over the reporting period. |
| R0330/C0060 | Subordinated mutual member accounts –Tier 3 – balance carried forward | This is the balance of tier 3 subordinated mutual member accounts carried forward to the next reporting period. |
| R0400/C0010 | Total subordinated mutual member accounts — balance brought forward | This is the total balance of subordinated mutual member accounts brought forward from the previous reporting period. |
| R0400/C0070 | Total subordinated mutual member accounts – issued | This is the total amount of subordinated mutual member accounts issued over the reporting period. |
| R0400/C0080 | Total subordinated mutual member accounts – redeemed | This is the total amount of subordinated mutual member accounts redeemed over the reporting period. |
| R0400/C0090 | Total subordinated mutual member accounts– movements in valuation | This is the amount reflecting the total movement in valuation subordinated mutual member accounts over the reporting period. |
| R0400/C0100 | Total subordinated mutual member accounts – regulatory action | This is the amount reflecting the total increase/decrease in subordinated mutual member accounts due to regulatory action over the reporting period. |
| R0400/C0060 | Total subordinated mutual member accounts – balance carried forward | This is the total balance of subordinated mutual member accounts carried forward to the next reporting period. |
| Surplus funds | ||
| R0500/C0010 | Surplus funds –Balance brought forward | This is the balance of surplus funds brought forward from the previous reporting period. |
| R0500/C0060 | Surplus funds –Balance carried forward | This is the balance of surplus funds carried forward to the next reporting period. |
| Preference shares – movements in the reporting period | ||
| R0510/C0010 | Preference shares – Tier 1 – balance brought forward | This is the balance of Tier 1 preference shares brought forward from the previous reporting period. |
| R0510/C0020 | Preference shares – Tier 1 – increase | This is the increase in Tier 1 preference shares over the reporting period. |
| R0510/C0030 | Preference shares – Tier 1 – reduction | This is the reduction in Tier 1 preference shares over the reporting period. |
| R0510/C0060 | Preference shares – Tier 1 – balance carried forward | This is the balance of Tier 1 preference shares carried forward to the next reporting period. |
| R0520/C0010 | Preference shares –Tier 2 – balance brought forward | This is the balance of Tier 2 preference shares brought forward from the previous reporting period. |
| R0520/C0020 | Preference shares –Tier 2 – increase | This is the increase in Tier 2 preference shares over the reporting period. |
| R0520/C0030 | Preference shares –Tier 2 – reduction | This is the reduction in Tier 2 preference shares over the reporting period. |
| R0520/C0060 | Preference shares –Tier 2 – balance carried forward | This is the balance of Tier 2 preference shares carried forward to the next reporting period. |
| R0530/C0010 | Preference shares –Tier 3 – balance brought forward | This is the balance of Tier 3 preference shares brought forward from the previous reporting period. |
| R0530/C0020 | Preference shares –Tier 3 – increase | This is the increase in Tier 3 preference shares over the reporting period. |
| R0530/C0030 | Preference shares –Tier 3 – reduction | This is the reduction in Tier 3 preference shares over the reporting period. |
| R0530/C0060 | Preference shares –Tier 3 – balance carried forward | This is the balance of Tier 3 preference shares carried forward to the next reporting period. |
| R0600/C0010 | Total preference shares – balance brought forward | This is the balance of total preference shares brought forward from the previous reporting period. |
| R0600/C0020 | Total preference shares – increase | This is the increase in total preference shares over the reporting period. |
| R0600/C0030 | Total preference shares – reduction | This is the reduction in total preference shares over the reporting period. |
| R0600/C0060 | Total preference shares – balance carried forward | This is the balance of total preference shares carried forward to the next reporting period. |
| Share premium relating to preference shares | ||
| R0610/C0010 | Share premium relating to preference shares – Tier 1 – balance brought forward | This is the balance of the share premium account relating to preference shares that is tier 1 brought forward from the previous reporting period. |
| R0610/C0020 | Share premium relating to preference shares – Tier 1 – increase | This is the increase in the share premium account relating to preference shares that is tier 1 over the reporting period. |
| R0610/C0030 | Share premium relating to preference shares – Tier 1 – reduction | This is the reduction in the share premium account relating to preference shares that is tier 1 over the reporting period. |
| R0610/C0060 | Share premium relating to preference shares – Tier 1 – balance carried forward | This is the balance of the share premium account relating to preference shares that is tier 1 carried forward to the next reporting period. |
| R0620/C0010 | Share premium relating to preference shares –Tier 2 – balance brought forward | This is the balance of the share premium account relating to preference shares that is tier 2 brought forward from the previous reporting period. |
| R0620/C0020 | Share premium relating to preference shares –Tier 2– increase | This is the increase in the share premium account relating to preference shares that is tier 2 over the reporting period. |
| R0620/C0030 | Share premium relating to preference shares –Tier 2 – reduction | This is the reduction in the share premium account relating to preference shares that is tier 2 over the reporting period. |
| R0620/C0060 | Share premium relating to preference shares –Tier 2 – balance carried forward | This is the balance of the share premium account relating to preference shares that is tier 2 carried forward to the next reporting period. |
| R0630/C0010 | Share premium relating to preference shares –Tier 3 – balance brought forward | This is the balance of the share premium account relating to preference shares that is tier 3 brought forward from the previous reporting period. |
| R0630/C0020 | Share premium relating to preference shares –Tier 3 – increase | This is the increase in the share premium account relating to preference shares that is tier 3 over the reporting period. |
| R0630/C0030 | Share premium relating to preference shares –Tier 3 – reduction | This is the reduction in the share premium account relating to preference shares that is tier 3 over the reporting period. |
| R0630/C0060 | Share premium relating to preference shares –Tier 3 – balance carried forward | This is the balance of the share premium account relating to preference shares that is tier 3 carried forward to the next reporting period. |
| R0700/C0010 | Share premium relating to preference shares –Total – balance brought forward | This is the balance of the total share premium account relating to preference shares that is brought forward from the previous reporting period. |
| R0700/C0020 | Share premium relating to preference shares –Total – increase | This is the increase in the total share premium account relating to preference shares over the reporting period. |
| R0700/C0030 | Share premium relating to preference shares –Total – reduction | This is the reduction in the total share premium account relating to preference shares over the reporting period. |
| R0700/C0060 | Share premium relating to preference shares –Total – balance carried forward | This is the balance of the total share premium account relating to preference shares that is carried forward to the next reporting period. |
| Subordinated liabilities – movements in the reporting period | ||
| R0710/C0010 | Subordinated liabilities – Tier 1 – balance brought forward | This is the balance of Tier 1 subordinated liabilities brought forward from the previous reporting period. |
| R0710/C0070 | Subordinated liabilities – Tier 1 – issued | This is the amount of Tier 1 subordinated liabilities issued over the reporting period. |
| R0710/C0080 | Subordinated liabilities – Tier 1 – redeemed | This is the amount of Tier 1 subordinated liabilities redeemed over the reporting period. |
| R0710/C0090 | Subordinated liabilities – Tier 1 – movements in valuation | This is an amount reflecting the movements in valuation of Tier 1 subordinated liabilities over the reporting period. |
| R0710/C0100 | Subordinated liabilities – Tier 1 – regulatory action | This is an amount reflecting change to Tier 1 subordinated liabilities due to regulatory action. |
| R0710/C0060 | Subordinated liabilities – Tier 1 – balance carried forward | This is the balance of Tier 1 subordinated liabilities carried forward to the next reporting period. |
| R0720/C0010 | Subordinated liabilities –Tier 2 – balance brought forward | This is the balance of Tier 2 subordinated liabilities brought forward from the previous reporting period. |
| R0720/C0070 | Subordinated liabilities –Tier 2 – issued | This is the amount of Tier 2 subordinated liabilities issued over the reporting period. |
| R0720/C0080 | Subordinated liabilities –Tier 2 – redeemed | This is the amount of Tier 2 subordinated liabilities redeemed over the reporting period. |
| R0720/C0090 | Subordinated liabilities –Tier 2 – movements in valuation | This is an amount reflecting the movements in valuation of Tier 2 subordinated liabilities over the reporting period. |
| R0720/C0100 | Subordinated liabilities –Tier 2 – regulatory action | This is an amount reflecting change to Tier 2 subordinated liabilities due to regulatory action. |
| R0720/C0060 | Subordinated liabilities –Tier 2 – balance carried forward | This is the balance of Tier 2 subordinated liabilities carried forward to the next reporting period. |
| R0730/C0010 | Subordinated liabilities –Tier 3– balance brought forward | This is the balance of Tier 3 subordinated liabilities brought forward from the previous reporting period. |
| R0730/C0070 | Subordinated liabilities –Tier 3 – issued | This is the amount of Tier 3 subordinated liabilities issued over the reporting period. |
| R0730/C0080 | Subordinated liabilities –Tier 3 – redeemed | This is the amount of Tier 3 subordinated liabilities redeemed over the reporting period. |
| R0730/C0090 | Subordinated liabilities –Tier 3 – movements in valuation | This is an amount reflecting the movements in valuation of Tier 3 subordinated liabilities over the reporting period. |
| R0730/C0100 | Subordinated liabilities –Tier 3 – regulatory action | This is an amount reflecting change to Tier 3 subordinated liabilities due to regulatory action. |
| R0730/C0060 | Subordinated liabilities –Tier 3 – balance carried forward | This is the balance of Tier 3 subordinated liabilities carried forward to the next reporting period. |
| R0800/C0010 | Total subordinated liabilities – balance brought forward | This is the balance of total subordinated liabilities brought forward from the previous reporting period. |
| R0800/C0070 | Total subordinated liabilities – issued | This is the amount of total subordinated liabilities issued over the reporting period. |
| R0800/C0080 | Total subordinated liabilities – redeemed | This is the amount of total subordinated liabilities redeemed over the reporting period. |
| R0800/C0090 | Total subordinated liabilities – movements in valuation | This is an amount reflecting the movements in valuation of total subordinated liabilities over the reporting period. |
| R0800/C0100 | Total subordinated liabilities – regulatory action | This is an amount reflecting change to total subordinated liabilities due to regulatory action. |
| R0800/C0060 | Total subordinated liabilities – balance carried forward | This is the balance of total subordinated liabilities carried forward to the next reporting period. |
| An amount equal to the value of deferred tax assets | ||
| R0900/C0010 | An amount equal to the value of net deferred tax assets –Balance brought forward | This is the balance of an amount equal to the value of deferred tax assets brought forward from the previous reporting period. |
| R0900/C0060 | An amount equal to the value of net deferred tax assets –Balance carried forward | This is the balance of an amount equal to the value of deferred tax assets carried forward to the next reporting period. |
| Other items approved by supervisory authority as basic own funds not specified above – movements in the reporting period | ||
| R1000/C0010 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 unrestricted items – balance brought forward | This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as unrestricted items brought forward from the previous reporting period. |
| R1000/C0070 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as unrestricted items – issued | This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as unrestricted items issued over the reporting period. |
| R1000/C0080 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as unrestricted items – redeemed | This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as unrestricted items redeemed over the reporting period |
| R1000/C0090 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as unrestricted items – movements in valuation | This is an amount reflecting movements in valuation of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as unrestricted items. |
| R1000/C0060 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as unrestricted items – balance carried forward | This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as unrestricted items carried forward to the next reporting period. |
| R1010/C0010 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as restricted items — balance brought forward | This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as restricted items brought forward from the previous reporting period. |
| R1010/C0070 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as restricted items — issued | This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as restricted items issued over the reporting period. |
| R1010/C0080 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as restricted items — redeemed | This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as restricted items redeemed over the reporting period |
| R1010/C0090 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as restricted items — movements in valuation | This is an amount reflecting movements in valuation of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as restricted items. |
| R1010/C0060 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as restricted items — balance carried forward | This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as restricted items carried forward to the next reporting period. |
| R1020/C0010 | Other items approved by supervisory authority as basic own funds not specified above –Tier 2 – balance brought forward | This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 2 brought forward from the previous reporting period. |
| R1020/C0070 | Other items approved by supervisory authority as basic own funds not specified above –Tier 2 – issued | This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 2 issued over the reporting period. |
| R1020/C0080 | Other items approved by supervisory authority as basic own funds not specified above –Tier 2 – redeemed | This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 2 redeemed over the reporting period |
| R1020/C0090 | Other items approved by supervisory authority as basic own funds not specified above –Tier 2 – movements in valuation | This is an amount reflecting movements in valuation of other items approved by supervisory authority as basic own funds not specified above that are Tier 2. |
| R1020/C0060 | Other items approved by supervisory authority as basic own funds not specified above –Tier 2– balance carried forward | This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 2 carried forward to the next reporting period. |
| R1030/C0010 | Other items approved by supervisory authority as basic own funds not specified above –Tier 3 – balance brought forward | This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 3 brought forward from the previous reporting period. |
| R1030/C0070 | Other items approved by supervisory authority as basic own funds not specified above –Tier 3 – issued | This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 3 issued over the reporting period. |
| R1030/C0080 | Other items approved by supervisory authority as basic own funds not specified above –Tier 3 – redeemed | This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 3 redeemed over the reporting period. |
| R1030/C0090 | Other items approved by supervisory authority as basic own funds not specified above –Tier 3 – movements in valuation | This is an amount reflecting movements in valuation of other items approved by supervisory authority as basic own funds not specified above that are Tier 3. |
| R1030/C0060 | Other items approved by supervisory authority as basic own funds not specified above –Tier 3 – balance carried forward | This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 3 carried forward to the next reporting period. |
| R1100/C0010 | Total of other items approved by supervisory authority as basic own fund items not specified above – balance brought forward | This is the balance of total other items approved by supervisory authority as basic own funds not specified above brought forward from the previous reporting period. |
| R1100/C0070 | Total of other items approved by supervisory authority as basic own fund items not specified above – issued | This is the amount of total other items approved by supervisory authority as basic own funds not specified above issued over the reporting period. |
| R1100/C0080 | Total of other items approved by supervisory authority as basic own fund items not specified above – redeemed | This is the amount of total other items approved by supervisory authority as basic own funds not specified above that are redeemed over the reporting period. |
| R1100/C0090 | Total of other items approved by supervisory authority as basic own fund items not specified above – movements in valuation | This is an amount reflecting movements in valuation of total other items approved by supervisory authority as basic own funds not specified above. |
| R1100/C0060 | Total of other items approved by supervisory authority as basic own fund items not specified above – balance carried forward | This is the balance of total other items approved by supervisory authority as basic own funds not specified above carried forward to the next reporting period. |
| Ancillary own funds – movements in the reporting period | ||
| R1110/C0010 | Ancillary own funds –Tier 2 – balance brought forward | This is the balance of Tier 2 ancillary own funds brought forward from the previous reporting period. |
| R1110/C0110 | Ancillary own funds –Tier 2 – new amount made available | This is the new amount of Tier 2 ancillary own funds to be made available over the reporting period. |
| R1110/C0120 | Ancillary own funds –Tier 2 – reduction to amount available | This is the reduction to the amount available Tier 2 ancillary own funds over the reporting period. |
| R1110/C0130 | Ancillary own funds –Tier 2 – called up to basic own fund | This is the amount of Tier 2 ancillary own funds that are called up to a basic own fund item over the reporting period. |
| R1110/C0060 | Ancillary own funds –Tier 2 – balance carried forward | This is the balance of Tier 2 ancillary own funds carried forward to the next reporting period. |
| R1120/C0010 | Ancillary own funds –Tier 3 – balance brought forward | This is the balance of Tier 3 ancillary own funds brought forward from the previous reporting period. |
| R1120/C0110 | Ancillary own funds –Tier 3– new amount made available | This is the new amount of Tier 3 ancillary own funds to be made available over the reporting period. |
| R1120/C0120 | Ancillary own funds –Tier 3 – reduction to amount available | This is the reduction to the amount available Tier 3 ancillary own funds over the reporting period. |
| R1120/C0130 | Ancillary own funds –Tier 3 – called up to basic own fund | This is the amount of Tier 3 ancillary own funds that are called up to a basic own fund item over the reporting period. |
| R1120/C0060 | Ancillary own funds –Tier 3– balance carried forward | This is the balance of Tier 3 ancillary own funds carried forward to the next reporting period. |
| R1200/C0010 | Total ancillary own funds – balance brought forward | This is the balance of total ancillary own funds brought forward from the previous reporting period. |
| R1200/C0110 | Total ancillary own funds – new amount made available | This is the new amount of total ancillary own funds to be made available over the reporting period. |
| R1200/C0120 | Total ancillary own funds – reduction to amount available | This is the reduction to the amount available total ancillary own funds over the reporting period. |
| R1200/C0130 | Total ancillary own funds – called up to basic own fund | This is the amount of total ancillary own funds that are called up to a basic own fund item over the reporting period. |
| R1200/C0060 | Total ancillary own funds – balance carried forward | This is the balance of total ancillary own funds carried forward to the next reporting period. |
S.23.04 – List of items on own funds
General comments:
This section relates to annual submission for individual entities.
This template shall be reported if the amount of the own funds for any tier change more than 5 % compared to the previous year calculated as below.
% change T; T-1:Available Own funds in tier i to cover SCR in TAvailable Own funds in tier to cover SCR in T-1
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Description of subordinated mutual member accounts | This shall list subordinated mutual member accounts for an individual undertaking. |
| C0020 | Subordinated mutual member accounts – Amount (in reporting currency) | This is the amount of individual subordinated mutual member accounts. |
| C0030 | Subordinated mutual member accounts – Tier | This shall indicate the tier of the subordinated mutual member accounts.One of the options in the following closed list shall be used:1 – Tier 12 – Tier 1 – unrestricted3 – Tier 1 – restricted4 – Tier 25 – Tier 3 |
| C0040 | Subordinated mutual member accounts –Currency Code | Identify the ISO 4217 alphabetic code of the currency. This is the original currency. |
| C0070 | Subordinated mutual member accounts – Counted under transitionals? | This shall indicate whether the subordinated mutual member accounts are counted under the transitional provisions.One of the options in the following closed list shall be used:1 – Counted under transitionals2 – Not counted under transitionals |
| C0080 | Subordinated mutual member accounts – Counterparty (if specific) | This shall list the counterparty of the subordinated mutual member accounts |
| C0090 | Subordinated mutual member accounts – Issue date | This is the issue date of the subordinated mutual member accounts. This shall be in ISO 8601 format (yyyy–mm–dd). |
| C0100 | Subordinated mutual member accounts – Maturity date | This is the maturity date of the subordinated mutual member accounts. This shall be in ISO 8601 format (yyyy–mm–dd). |
| C0110 | Subordinated mutual member accounts – First call date | This is the first call date of the subordinated mutual member accounts. This shall be in ISO 8601 format (yyyy–mm–dd). |
| C0120 | Subordinated mutual member accounts – Details of further call dates | These are the further call dates of the subordinated mutual member accounts. |
| C0130 | Subordinated mutual member accounts – Details of incentives to redeem | These are the incentives to redeem the subordinated mutual member accounts. |
| C0140 | Subordinated mutual member accounts – Notice period | This is the notice of the subordinated mutual member accounts. The date shall be entered here, using ISO 8601 format (yyyy–mm–dd). |
| C0160 | Subordinated mutual member account – Buy back during the year | Explanation if the item has been bought back during the year. |
| C0190 | Description of preference shares | This shall list individual preference shares |
| C0200 | Preference shares – Amount | This is the amount of the preference shares. |
| C0210 | Preference shares – Counted under transitionals? | This shall indicate whether the preference shares are counted under the transitional provisions.One of the options in the following closed list shall be used:1 – Counted under transitionals2 – Not counted under transitionals |
| C0220 | Preference shares – Counterparty (if specific) | This shall list the holder of the preference shares if limited to a single party. If the shares are broadly issued, no data is required. |
| C0230 | Preference shares – Issue date | This is the issue date of the preference share. This shall be in ISO 8601 format (yyyy–mm–dd). |
| C0240 | Preference shares – First call date | This is the first call date of the preference share. This shall be in ISO 8601 format (yyyy–mm–dd). |
| C0250 | Preference shares – Details of further call dates | These are the further call dates of the preference shares. |
| C0260 | Preference shares – Details of incentives to redeem | These are the incentives to redeem the preference share. |
| C0270 | Description of subordinated liabilities | This shall list the individual subordinated liabilities for an individual undertaking. |
| C0280 | Subordinated liabilities –Amount | This is the amount of individual subordinated liabilities. |
| C0290 | Subordinated liabilities –Tier | This shall indicate the tier of the subordinated liabilities. |
| C0300 | Subordinated liabilities Currency Code | Identify the ISO 4217 alphabetic code of the currency. |
| C0320 | Subordinated liabilities – Lender (if specific) | This shall list the lender of the subordinated liabilities if specific. If not specific this item shall not be reported. |
| C0330 | Subordinated liabilities – Counted under transitionals? | This shall indicate whether the subordinated liability is counted under the transitional provisions.One of the options in the following closed list shall be used:1 – Counted under transitionals2 – Not counted under transitionals |
| C0350 | Subordinated liabilities – Issue date | This is the issue date of the subordinated liabilities. This shall be in ISO 8601 format (yyyy–mm–dd). |
| C0360 | Subordinated liabilities – Maturity date | This is the maturity date of the subordinated liabilities. This shall be in ISO 8601 format (yyyy–mm–dd). |
| C0370 | Subordinated liabilities – First call date | This is the first future call date of the subordinated liabilities. This shall be in ISO 8601 format (yyyy–mm–dd). |
| C0380 | Subordinated liabilities – Further call dates | These are the further call dates of the subordinated liabilities. |
| C0390 | Subordinated liabilities – Details of incentives to redeem | These are the details about the incentives to redeem the subordinated liabilities. |
| C0400 | Subordinated liabilities – Notice period | This is the notice of the subordinated liabilities. The date shall be entered here, using ISO 8601 format (yyyy–mm–dd). |
| C0450 | Other items approved by supervisory authority as basic own funds not specified above | This shall list the other individual items approved by the supervisory authority for an individual undertaking. |
| C0460 | Other items approved by supervisory authority as basic own funds not specified above –Amount | This is the amount of other individual items approved by the supervisory authority. |
| C0470 | Other items approved by supervisory authority as basic own funds not specified above –Currency code | Identify the ISO 4217 alphabetic code of the currency. |
| C0480 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 | This is the amount of other individual items approved by the supervisory authority that meet the criteria for Tier 1. |
| C0490 | Other items approved by supervisory authority as basic own funds not specified above –Tier 2 | This is the amount of other individual items approved by the supervisory authority that meet the criteria for Tier 2. |
| C0500 | Other items approved by supervisory authority as basic own funds not specified above –Tier 3 | This is the amount of other individual items approved by the supervisory authority that meet the criteria for Tier 3. |
| C0510 | Other items approved by supervisory authority as basic own funds not specified above –Date of authorisation | This is the date of authorisation of other individual items approved by the supervisory authority. It shall be in ISO 8601 format (yyyy–mm–dd). |
| C0570 | Own funds– from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds – Description | This cell shall contain a description of the own fund item from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds. |
| C0580 | Own funds from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds – Total amount | This is the total amount of the own fun item from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds. |
| C0590 | Ancillary own funds –Description | This is details of each ancillary own fund for an individual undertaking. |
| C0600 | Ancillary own funds – Amount | This is the amount for each ancillary own fund. |
| C0610 | Ancillary own funds – Counterpart | This is the counterpart of each ancillary own fund. |
| C0620 | Ancillary own funds – Issue date | This is the issue date of each ancillary own fund. This shall be in ISO 8601 format (yyyy–mm–dd). |
| C0630 | Ancillary own fund – Date of authorisation | This is the date of authorisation of each ancillary own fund. This shall be in 1SO 8601 format (yyyy–mm–dd). |
| Adjustment for ring-fenced funds and matching adjustment portfolios | ||
| C0660 | Ring–fenced fund/matching adjustment portfolio – Number | Identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates. |
| C0670 | Ring–fenced fund/matching adjustment portfolio – Notional SCR | This is the notional SCR of each ring–fenced fund/each matching adjustment portfolio. |
| C0680 | Ring–fenced fund/matching adjustment portfolio – Notional SCR (negative results set to zero) | This is the notional SCR. When the value is negative zero shall be reported. |
| C0690 | Ring–fenced fund/matching adjustment portfolio – Excess of assets over liabilities | This is the amount of excess of assets over liabilities of each ring–fenced fund/matching adjustment portfolio. This value shall reflect any deduction of future transfers attributable to shareholders. |
| C0700 | Ring–fenced fund/matching adjustment portfolio – Future transfers attributable to shareholders | Value of future transfers attributable to shareholders’ of each ring–fenced fund/matching adjustment portfolio in accordance with Article 80(2) of Delegated Regulation (EU) 2015/35. |
| C0710 | Ring-fenced funds/matching adjustment portfolio – Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring-fenced funds | This is the deduction for each ring–fenced fund/matching adjustment portfolio in accordance with Article 81 of Delegated Regulation (EU) 2015/35. |
| RFF/matching adjustment portfolios deduction | ||
| C0970/R0010 | Ring-fenced funds/matching adjustment portfolio – Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring-fenced funds | This is the total deduction for ring–fenced funds and matching adjustment portfolios reported in C0710. |
S.24.01 – Participations held
General Comments:
This section relates to annual submission of information for individual entities.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Table 1 – Participations in related undertakings that are financial and credit institutions which individually exceed 10 % of items included in (a) (i), (ii), (iv) and (vi) of Article 69, not including consolidated strategic participations for the purpose of deductions under Article 68(1) of the Delegated Regulation (EU) 2015/35 | ||
| C0010 | Name of related undertaking | This is the name of the related undertaking in which the participation is held. These are participations in financial and credit institutions which individually exceed 10 % of items included in (a) (i), (ii), iv) and (vi), of Article 69 of Delegated Regulation (EU) 2015/35. This does not include consolidated strategic participations. |
| C0020 | Asset ID Code | Asset ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time.When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code + EUR’ |
| C0030 | Asset ID Code type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO 6166 for ISIN code2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertakingWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0020 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘99/1’. |
| C0040 | Total | This is the full total value for all tiers held in each participation in financial and credit institutions which individually exceed 10 % of items included in (a) (i), (ii), iv) and (vi) of Article 69. This does not include consolidated strategic participations. |
| C0050 | Common Equity Tier 1 | This is the full value of Common Equity Tier 1 held in each participation in financial and credit institutions which individually exceed 10 % of items included in (a) (i), (ii), iv) and (vi), of Article 69). This does not include consolidated strategic participations. Common Equity Tier 1 has the meaning as defined in the relevant sector rules. |
| C0060 | Additional Tier 1 | This is the full value of Additional Tier 1 held in each participation in financial and credit institutions which individually exceed 10 % of items included in (a) (i), (ii), iv) and (vi), of Article 69). This does not include consolidated strategic participations. Additional Tier 1 has the meaning as defined in the relevant sector rules. |
| C0070 | Tier 2 | This is the full value of Tier 2 held in each participation in financial and credit institutions which individually exceed 10 % of items included in (a) (i), (ii), iv) and (vi), of Article 69). This does not include consolidated strategic participations. Tier 2 has the meaning as defined in the relevant sector rules. |
| Table 2 – Participations in related undertakings that are financial and credit institutions which when aggregated exceed 10 % of items included in (a) (i), (ii), (v) and (vi) of Article 69, not including consolidated strategic participations for the purpose of deductions under Article 68(2) of the Delegated Regulation (EU) 2015/35 | ||
| C0080 | Name of related undertaking | This is the name of the related undertaking in which the participation is held.These are participations in financial and credit institutions which when aggregated exceed 10 % of items included in (a) (i), (ii), (iv) and (vi) of Article 69 of Delegated Regulation (EU) 2015/35, not including consolidated strategic participations. |
| C0090 | Asset ID Code | Asset ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time.When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code + EUR’ |
| C0100 | Asset ID Code type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO 6166 for ISIN code2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertakingWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0090 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘99/1’. |
| C0110 | Total | This is the total value held in the participation (not yet the amount to be deducted).These are participations in financial and credit institutions which when aggregated exceed 10 % of items included in (a) (i),(ii),(iv) and (vi) of Article 69 of Delegated Regulation (EU) 2015/35, not including consolidated strategic participations. |
| C0120 | Common Equity Tier 1 | This is the value of Common Equity Tier 1 held in the participation (not only the part to be deducted).Common Equity Tier 1 has the meaning as defined in the relevant sector rules.These are participations in financial and credit institutions which when aggregated exceed 10 % of items included in (a) (i), (ii), (iv) and (vi) of Article 69 of Delegated Regulation (EU) 2015/35, not including consolidated strategic participations. |
| C0130 | Additional Tier 1 | This is the value of Additional Tier 1 held in the participation (not only the part to be deducted).Additional Tier 1 has the meaning as defined in the relevant sector rules.These are participations in financial and credit institutions which when aggregated exceed 10 % of items included in (a) (i), (ii), (iv) and (vi) of Article 69 of Delegated Regulation (EU) 2015/35, not including consolidated strategic participations. |
| C0140 | Tier 2 | This is the value of Tier 2 held in the participation.Tier 2 has the meaning as defined in relevant sector rules (not only the part to be deducted).These are participations in financial and credit institutions which when aggregated exceed 10 % of items included in (a) (i), (ii), (iv) and (vi) of Article 69 of Delegated Regulation (EU) 2015/35, not including consolidated strategic participations |
| Total participations in related undertakings that are financial and credit institutions (for which there is an OF deduction) | ||
| R0001/C0150 | Total participations in financial and credit institutions – Total | This is the total value of participations in financial and credit institutions. (for which there is an OF deduction) |
| R0001/C0160 | Total participations in financial and credit institutions – Common Equity Tier 1 | This is the total value of Common Equity Tier 1 held in financial and credit institutions. (for which there is an OF deduction) |
| R0001/C0170 | Total participations in financial and credit institutions – Additional Tier 1 | This is the total value of Additional Tier 1 held in financial and credit institutions. (for which there is an OF deduction) |
| R0001/C0180 | Total participations in financial and credit institutions– Tier 2 | This is the total value of Tier 2 held in financial and credit institutions. (for which there is an OF deduction) |
| Own funds deductions | ||
| R0010/C0190 | Article 68(1) deduction – total | This is the total value of the Article 68(1) deduction, specified in Delegated Regulation (EU) 2015/35. |
| R0010/C0200 | Article 68(1) deduction – tier 1 unrestricted | This is the value of the Article 68(1) deduction which is deducted from tier 1 unrestricted items in accordance with Article 68(5) of Delegated Regulation (EU) 2015/35. |
| R0010/C0210 | Article 68(1) deduction – tier 1 restricted | This is the value of the Article 68(1) deduction which is deducted from tier 1 restricted items in accordance with Article 68(5) of Delegated Regulation (EU) 2015/35. |
| R0010/C0220 | Article 68(1) deduction – Tier 2 | This is the value of the Article 68(1) deduction which is deducted from tier 2 items in accordance with Article 68(5) of Delegated Regulation (EU) 2015/35. |
| R0020/C0190 | Article 68(2) deduction – total | This is the total value of the Article 68(2) deduction of Delegated Regulation (EU) 2015/35. |
| R0020/C0200 | Article 68(2) deduction – tier 1 unrestricted | This is the value of the Article 68(2) deduction which is deducted from tier 1 unrestricted items in accordance with Article 68(5) of Delegated Regulation (EU) 2015/35. |
| R0020/C0210 | Article 68(2) deduction – tier 1 restricted | This is the value of the Article 68(2) deduction which is deducted from tier 1 restricted items in accordance with Article 68(5) of Delegated Regulation (EU) 2015/35. |
| R0020/C0220 | Article 68(2) deduction – tier 2 | This is the value of the Article 68(2) deduction which is deducted from tier 2 items in accordance with Article 68(5) of Delegated Regulation (EU) 2015/35. |
| R0030/C0190 | Total deductions | The overall total of all deductions of participations under Article 68(1) and Article 68(2) of Delegated Regulation (EU) 2015/35. |
| R0030/C0200 | Total deductions – tier 1 unrestricted | The overall total of all deductions of participations for tier 1 unrestricted under Article 68(1) and Article 68(2) of Delegated Regulation (EU) 2015/35. |
| R0030/C0210 | Total deductions – tier 1 restricted | The overall total of all deductions of participations for tier 1 restricted under Article 68(1) and Article 68(2) of Delegated Regulation (EU) 2015/35. |
| R0030/C0220 | Total deductions – tier 2 | The overall total of all deductions of participations for tier 2 under Article 68(1) and Article 68(2) of Delegated Regulation (EU) 2015/35. |
| Table 3 – Participations in related undertakings that are financial and credit institutions which are considered strategic as defined in Article 171 of the Delegated Regulation (EU) 2015/35 and which are included in the calculation of the group solvency on the basis of method 1 (no OF deduction according to Article 68(3)). | ||
| C0230 | Name of related undertaking | This is the name of the related undertaking in which the participation is held. These are participations in financial and credit institutions which are considered strategic as defined in Article 171 of the Delegated Regulation (EU) 2015/35) and which are included in the calculation of the group solvency on the basis of method 1. |
| C0240 | Asset ID Code | Asset ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time.When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code + EUR’ |
| C0250 | Asset ID Code type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO 6166 for ISIN code2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertakingWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0240 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘99/1’. |
| C0260 | Total | This is the total value for all tiers held in each participation in financial and credit institutions which are considered strategic as defined in Article 171 of the Delegated Regulation (EU) 2015/35) and which are included in the calculation of the group solvency on the basis of method 1. |
| C0270 | Type 1 Equity | This is the value of type 1 equity held in each participation in financial and credit institutions which are considered strategic as defined in Article 171 of the Delegated Regulation (EU) 2015/35) and which are included in the calculation of the group solvency on the basis of method 1.Type 1 equity has the meaning as defined in Article 168(2) of the Delegated Regulation (EU) 2015/35). |
| C0280 | Type 2 Equity | This is the value of type 2 equity held in each participation. in financial and credit institutions which are considered strategic as defined in Article 171 of the Delegated Regulation (EU) 2015/35) and which are included in the calculation of the group solvency on the basis of method 1.Type 2 equity has the meaning as defined in Article 168(3) of the Delegated Regulation (EU) 2015/35). |
| C0290 | Subordinated liabilities | This is the value of subordinated liabilities held in each participations in financial and credit institutions which are considered strategic as defined in Article 171 of the Delegated Regulation (EU) 2015/35) and which are included in the calculation of the group solvency on the basis of method 1. |
| Table 4 – Participations in related undertakings that are financial and credit institutions which are strategic (as defined in Article 171 of the Delegated Regulation (EU) 2015/35), not included in the calculation of the group solvency on the basis of method 1 and which are not deducted according to art 68(1) and 68 (2) (It shall include the remaining part (the part of participation which was not deducted) following the partial deduction according to Article 68(2) of the Delegated Regulation (EU) 2015/35) | ||
| C0300 | Name of related undertaking | This is the name of the related undertaking that is financial or credit institution in which the participation is held. The participations in these related undertakings is strategic (as defined in Article 171 of the Delegated Regulation (EU) 2015/35)), not included in the calculation of the group solvency on the basis of method 1 and not deducted in accordance with Article 68(1) and Article 68(2). |
| C0310 | Asset ID Code | Asset ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time.When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code + EUR’ |
| C0320 | Asset ID Code type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO 6166 for ISIN code2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertakingWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0310 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘99/1’. |
| C0330 | Total | This is the total value for all tiers of each participation in related undertakings that are financial and credit institutions which are strategic, not included in the calculation of the group solvency on the basis of method 1 and which are not deducted in accordance with Article 68(1) and Article 68(2) of Delegated Regulation (EU) 2015/35, meaning the sum of:1) the value of strategic participations in financial and credit institutions which are not deducted in accordance with both Article 68(1) and 68(2) of Delegated Regulation (EU) 2015/35, because the sum of participations in financial and credit institutions is less than 10 %,2) the remainder of the strategic participations which are deducted following the Article 68(2) of Delegated Regulation (EU) 2015/35. |
| C0340 | Type 1 Equity | This is the value of each participation in related undertakings that are financial and credit institutions which are strategic, not included in the calculation of the group solvency on the basis of method 1, not deducted in accordance with Article 68(1) and Article 68(2) of Delegated Regulation (EU) 2015/35and held in Type 1 equities, meaning the sum of:1) the value of strategic participations in financial and credit institutions which are not deducted according to both Article 68(1) and 68(2) of Delegated Regulation (EU) 2015/35, because the sum of participations in financial and credit institutions is less than 10 %,2) the remainder of the strategic participations which are deducted following the Article 68(2) of Delegated Regulation (EU) 2015/35.Type 1 equity has the meaning as defined in Article 168(2) of the Delegated Regulation (EU) 2015/35. |
| C0350 | Type 2 Equity | This is the value of each participation in related undertakings that are financial and credit institutions which are strategic, not included in the calculation of the group solvency on the basis of method 1, not deducted in accordance with Article 68(1) and Article 68(2) of Delegated Regulation (EU) 2015/35 and held in Type 2 equities, meaning the sum of:1) the value of strategic participations in financial and credit institutions which are not deducted in accordance with both Article 68(1) and 68(2) of Delegated Regulation (EU) 2015/35, because the sum of participations in financial and credit institutions is less than 10 %,2) the remainder of the strategic participations which are deducted following the Article 68(2) of Delegated Regulation (EU) 2015/35.Type 2 equity has the meaning as defined in Article 168(3) of the Delegated Regulation (EU) 2015/35. |
| C0360 | Subordinated liabilities | This is the value of each participation in related undertakings that are financial and credit institutions which are strategic, not included in the calculation of the group solvency on the basis of method 1, not deducted in accordance with Article 68(1) and Article 68(2) of Delegated Regulation (EU) 2015/35 and held in subordinated liabilities, meaning the sum of:1) the value of strategic participations in financial and credit institutions which are not deducted in accordance with both Article 68(1) and 68(2) of Delegated Regulation (EU) 2015/35, because the sum of participations in financial and credit institutions is less than 10 %,2) the remainder of the strategic participations which are deducted following the Article 68(2) of Delegated Regulation (EU) 2015/35. |
| Table 5 – Participations in related undertakings that are financial and credit institutions which are not strategic and which are not deducted according to art 68(1) and 68(2) of Delegated Regulation (EU) 2015/35(It shall include the remaining part following the partial deduction according to Article 68(2) of the Delegated Regulation (EU) 2015/35) | ||
| C0370 | Name of related undertaking | This is the name of the related undertaking that are financial and credit institutions in which the participation is held. These are participations in related undertakings which are not strategic and not deducted in accordance with Article 68(1) and 68 (2) of Delegated Regulation (EU) 2015/35. |
| C0380 | Asset ID Code | Asset ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time.When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code + EUR’ |
| C0390 | Asset ID Code type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO 6166 for ISIN code2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertakingWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0380 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘99/1’. |
| C0400 | Total | This is the total value for all tiers of each participation in related undertakings that are financial and credit institutions, which are not strategic and which are not deducted in accordance with Article 68(1) and 68 (2) of Delegated Regulation (EU) 2015/35 meaning the sum of:1) the value of non–strategic participations in financial and credit institutions which are not deducted in accordance with o both Articles 68(1) and 68(2) of Delegated Regulation (EU) 2015/35, because the sum of participations in financial and credit institutions is less than 10 %,2) the remainder of the non–strategic participations which are deducted following the Article 68(2) of Delegated Regulation (EU) 2015/35. |
| C0410 | Type 1 Equity | This is the value of each participation in related undertakings that are financial and credit institutions which are not strategic, not deducted in accordance with Article 68(1) and Article 68(2) of Delegated Regulation (EU) 2015/35 and held in Type 1 equities, meaning the sum of:.1) the value of non–strategic participations in financial and credit institutions which are not deducted in accordance with both Articles 68(1) and 68(2) of Delegated Regulation (EU) 2015/35, because the sum of participations in financial and credit institutions is less than 10 %,2) the remainder of the non–strategic participations which are deducted following the Article 68(2) of Delegated Regulation (EU) 2015/35.Type 1 equity has the meaning as defined in Article 168(2) of the Delegated Regulation (EU) 2015/35. |
| C0420 | Type 2 Equity | This is the value of each participation in related undertakings that are financial and credit institutions, which are not strategic, not deducted in accordance with Article 68(1) and Article 68(2) of Delegated Regulation (EU) 2015/35 and held in Type 2 equities, meaning the sum of:.1) the value of non–strategic participations in financial and credit institutions which are not deducted in accordance with both Article 68(1) and 68(2) of Delegated Regulation (EU) 2015/35, because the sum of participations in financial and credit institutions is less than 10 %,2) the remainder of the non–strategic participations which are deducted following the Article 68(2) of Delegated Regulation (EU) 2015/35.Type 2 equity has the meaning as defined in Article 168(3) of the Delegated Regulation (EU) 2015/35. |
| C0430 | Subordinated liabilities | This is the value of each participation in related undertakings that are financial and credit institutions, which are not strategic, not deducted in accordance with Article 68(1) and Article 68(2) of Delegated Regulation (EU) 2015/35 and held in subordinated liabilities, meaning the sum of:1) the value of non–strategic participations in financial and credit institutions which are not deducted in accordance with both Article 68(1) and 68(2) of Delegated Regulation (EU) 2015/35, because the sum of participations in financial and credit institutions is less than 10 %,2) the remainder of the non–strategic participations which are deducted following the Article 68(2) of Delegated Regulation (EU) 2015/35. |
| Table 6 – Other strategic participations not in financial and credit institution | ||
| C0440 | Name of related undertaking | This is the name of the related undertaking in which the participation is held.These are participations which are not in financial and credit institutions and which are considered strategic. |
| C0450 | Asset ID Code | Asset ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time.When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code + EUR’ |
| C0460 | Asset ID Code type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO 6166 for ISIN code2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertakingWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0450 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘99/1’. |
| C0470 | Total | This is the total value held for all tiers in each participation that are not financial and credit institutions and that are considered strategic. |
| C0480 | Type 1 Equity | This is the value of type 1 equity held in each participation that are not financial and credit institutions and that are considered strategic.Type 1 equity has the meaning as defined in Article 168(2) of the Delegated Regulation (EU) 2015/35). |
| C0490 | Type 2 Equity | This is the value of type 2 equity held in each participation that are not financial and credit institutions and that are considered strategic.Type 2 equity has the meaning as defined in Article 168(3) of Delegated Regulation (EU) 2015/35. |
| C0500 | Subordinated liabilities | This is the value of subordinated liabilities held in each participation that are not financial and credit institutions and that are considered strategic. |
| Table 7 – Other non–strategic participations not in financial and credit institution | ||
| C0510 | Name of related undertaking | This is the name of the related undertaking in which the participation is held.These are participations which are not in financial and credit institutions and which are not considered strategic. |
| C0520 | Asset ID Code | Asset ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time.When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code + EUR’ |
| C0530 | Asset ID Code type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO 6166 for ISIN code2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertakingWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0520 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘99/1’. |
| C0540 | Total | This is the total value held for all tiers in each participation that are not financial and credit institutions and that are not considered strategic. |
| C0550 | Type 1 Equity | This is the value of type 1 equity held in each participation that are not financial and credit institutions and that are not considered strategic.Type 1 equity has the meaning as defined in Article 168(2) of the Delegated Regulation (EU) 2015/35. |
| C0560 | Type 2 Equity | This is the value of type 2 equity held in each participation that are not financial and credit institutions and that are not considered strategic.Type 2 equity has the meaning as defined in Article 168(3) of Delegated Regulation (EU) 2015/35. |
| C0570 | Subordinated liabilities | This is the value of subordinated liabilities held in each participations that are not financial and credit institutions and that are not considered strategic. |
| Total for SCR calculation | ||
| R0040/C0580 | Total participations in related undertakings that are financial and credit institutions –Total | This is the total value of participations in undertakings which are financial and credit institutions. |
| R0040/C0590 | Total participations in related undertakings that are financial and credit institutions – Type 1 Equity | This is the total value of Type 1 Equity of participations in undertakings which are financial and credit institutions.Type 1 equity has the meaning as defined in Article 168(2) of the Delegated Regulation (EU) 2015/35. |
| R0040/C0600 | Total participations in related undertakings that are financial and credit institutions – Type 2 Equity | This is the total value of Type 2 Equity of participations in undertakings which are financial and credit institutions.Type 2 equity has the meaning as defined in Article 168(3) of Delegated Regulation (EU) 2015/35. |
| R0040/C0610 | Total participations in related undertakings that are financial and credit institutions – Subordinated liabilities | This is the total value of Subordinated liabilities of participations in undertakings which are financial and credit institutions. |
| R0050/C0580 | Total participations in related undertakings that are financial and credit institutions, of which strategic (method 1 or less than 10 % not method 1 –Total | This is the total value of strategic participations in undertakings (method 1 or less than 10 % not method 1) which are financial and credit institutions. |
| R0050/C0590 | Total participations in related undertakings that are financial and credit institutions, of which strategic (method 1 or less than 10 % not method 1) – Type 1 Equity | This is the total value of Type 1 Equity of strategic participations in undertakings (method 1 or less than 10 % not method 1) which are financial and credit institutions.Type 1 equity has the meaning as defined in Article 168(2) of the Delegated Regulation (EU) 2015/35. |
| R0050/C0600 | Total participations in related undertakings that are financial and credit institutions, of which strategic (method 1 or less than 10 % not method 1) – Type 2 Equity | This is the total value of Type 2 Equity of strategic participations in undertakings (method 1 or less than 10 % not method 1) which are financial and credit institutions.Type 2 equity has the meaning as defined in Article 168(3) of Delegated Regulation (EU) 2015/35. |
| R0050/C0610 | Total participations in related undertakings that are financial and credit institutions, of which strategic (method 1 or less than 10 % not method 1) – Subordinated liabilities | This is the total value of Subordinated liabilities of strategic participations in undertakings (method 1 or less than 10 % not method 1) which are financial and credit institutions. |
| R0060/C0580 | Total participations in related undertakings that are financial and credit institutions of which non–strategic (less than 10 %) –Total | This is the total value of not strategic participations in undertakings (less than 10 %) which are financial and credit institutions. |
| R0060/C0590 | Total participations in related undertakings that are financial and credit institutions of which non–strategic (less than 10 %) – Type 1 Equity | This is the total value of Type 1 Equity of not strategic participations in undertakings (less than 10 % – C0500) which are financial and credit institutions.Type 1 equity has the meaning as defined in Article 168(2) of the Delegated Regulation (EU) 2015/35. |
| R0060/C0600 | Total participations in related undertakings that are financial and credit institutions of which non–strategic (less than 10 %) – Type 2 Equity | This is the total value of Type 2 Equity of not strategic participations in undertakings (less than 10 %) which are financial and credit institutions.Type 2 equity has the meaning as defined in Article 168(3) of Delegated Regulation (EU) 2015/35. |
| R0060/C0610 | Total participations in related undertakings that are financial and credit institutions of which non–strategic (less than 10 %) – Subordinated liabilities | This is the total value of Subordinated liabilities of not strategic participations in undertakings (less than 10 %) which are financial and credit institutions. |
| R0070/C0580 | Total participations in related undertakings that are not financial and credit institutions –Total | This is the total value of participations in undertakings which are not financial and credit institutions. This is the sum of C0470 and C0540. |
| R0070/C0590 | Total participations in related undertakings that are not financial and credit institutions – Type 1 Equity | This is the total value of Type 1 Equities held in participations in undertakings which are not financial and credit institutions.Type 1 equity has the meaning as defined in Article 168(2) of Delegated Regulation (EU) 2015/35. This is the sum of C0480 and C550. |
| R0070/C0600 | Total participations in related undertakings that are not financial and credit institutions – Type 2 Equity | This is the total value of Type 2 Equities held in participations in undertakings which are not financial and credit institutions.Type 2 equity has the meaning as defined in Article 168(3) of Delegated Regulation (EU) 2015/35. This is the sum of C0490 and C0560) |
| R0070/C0610 | Total participations in related undertakings that are not financial and credit institutions – Subordinated liabilities | This is the total value of subordinated liabilities held in participations in undertakings which are not financial and credit institutions. This is the sum of C0500 and C0570. |
| R0080/C0580 | Total participations in related undertakings that are not financial and credit institutions – Total– of which strategic | This is the total value of strategic participations in undertakings which are not financial and credit institutions. This is the sum of C0470. |
| R0080/C0590 | Total participations in related undertakings that are not financial and credit institutions – Type 1 Equity – of which strategic | This is the total value of Type 1 Equities held in strategic participations in undertakings which are not financial and credit institutions.Type 1 equity has the meaning as defined in Article 168(2) of Delegated Regulation (EU) 2015/35. This is the sum of C0480. |
| R0080/C0600 | Total participations in related undertakings that are not financial and credit institutions – Type 2 Equity – of which strategic | This is the total value of Type 2 Equities held in strategic participations in undertakings which are not financial and credit institutions. This is the sum of C0490). |
| R0080/C0610 | Total participations in related undertakings that are not financial and credit institutions – Subordinated liabilities – of which strategic | This is the total value of subordinated liabilities held in strategic participations in undertakings which are not financial and credit institutions. This is the sum of C0500. |
| R0090/C0580 | Total participations in related undertakings that are not financial and credit institutions – total – of which non–strategic | This is the total value of non–strategic participations in undertakings which are not financial and credit institutions. This is the sum of C0540. |
| R0090/C0590 | Total participations in related undertakings that are not financial and credit institutions – Type 1 Equity – of which non–strategic | This is the total value of Type 1 Equities held in non–strategic participations in undertakings which are not financial and credit institutions. Type 1 equity has the meaning as defined in Article 168(2) of Delegated Regulation (EU) 2015/35. This is the sum of C0550. |
| R0090/C0600 | Total participations in related undertakings that are not financial and credit institutions – Type 2 Equity – of which non–strategic | This is the total value of Type 2 Equities held in non–strategic participations in undertakings which are not financial and credit institutions. This is the sum of C0560. |
| R0090/C0610 | Total participations in related undertakings that are not financial and credit institutions – Subordinated liabilities – of which non–strategic | This is the total value of subordinated liabilities held in non–strategic participations in undertakings which are not financial and credit institutions. This is the sum of C0570. |
| Total | ||
| C0620 | Total of all participations | This is the total value of all participations. |
S.25.01 – Solvency Capital Requirement – for undertakings on Standard Formula
General comments:
—Where the undertaking applies the full adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level the nSCR is calculated as if no loss of diversification exists and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part;
—Calculation of q factor adjustmentBSCR′ nSCRint, where—adjustmentAdjustment calculated according to one of the three methods referred above—BSCR′Basic solvency capital requirement calculated according to the information reported in this template (C0040/R0100)—nSCRintnSCR for intangible assets risk according to the information reported in this template (C0040/R0070)
—Where the undertaking applies the Simplification at risk sub–module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR is calculated considering a direct summation at sub–module level method and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part,
—Multiplication of this ‘q factor’ by the nSCR of each relevant risk module (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non–life underwriting risk)
—Where the undertaking applies the simplification at risk module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR is calculated considering a direct summation at module level method and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part.
This section relates to annual submission of information for individual entities, ring-fenced funds, matching adjustment portfolios and remaining part.
Template SR.25.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where a RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of template S.01.03.
Where the entity has MAP or RFF (except those under the scope of Article 304 of Directive 2009/138/EC) when reporting at the level of the whole undertaking, the notional Solvency Capital Requirement (‘nSCR’) at risk module level and the loss–absorbing capacity (LAC) of technical provisions and deferred taxes to be reported shall be calculated as follows:
The adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level shall be allocated (C0050) to the relevant risk modules (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non–life underwriting risk). The amount to be allocated to each relevant risk module shall be calculated as follows:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Article 112 | Identifies whether the reported figures have been requested under Article 112(7) of Directive 2009/138/EC, to provide an estimate of the SCR using standard formula.One of the options in the following closed list shall be used:1 – Article 112(7) reporting2 – Regular reporting |
| Z0020 | Ring–fenced fund, matching adjustment portfolio or remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates. |
| R0010–R0050/C0030 | Net solvency capital requirement | Amount of the net capital charge for each risk module, as calculated using the standard formula.The difference between the net and the gross SCR is the consideration of the future discretionary benefits in accordance with Article 205 of Delegated Regulation (EU) 2015/35.This amount shall fully consider diversification effects in accordance with Article 304 of Directive 2009/138/EC where applicable.These cells do not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level. These figures represent the SCR as if there was no loss of diversification. |
| R0010–R0050/C0040 | Gross solvency capital requirement | Amount of the gross capital charge for each risk module, as calculated using the standard formula.The difference between the net and the gross SCR is the consideration of the future discretionary benefits as laid down in Article 206 of Delegated Regulation (EU) 2015/35.This amount shall fully consider diversification effects as laid down in Article 304 of Directive 2009/138/EC where applicable.These cells do not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level. These figures represent the SCR as if there was no loss of diversification. |
| R0010–R0050/C0050 | Allocation of RFF adjustment due to RFF and Matching adjustments portfolios | Part of the adjustment allocated to each risk module according to the procedure described in the general comments. This amount shall be positive. |
| R0060/C0030 | Net solvency capital requirement – Diversification | Amount of the diversification effects between Basic SCR of net risk modules, including diversification within each risk module, due to the application of the correlation matrix defined in Annex IV of Directive 2009/138/EC.This amount shall be reported as a negative value. |
| R0060/C0040 | Gross solvency capital requirement – Diversification | Amount of the diversification effects between Basic SCR of gross risk modules, including diversification within each risk module, due to the application of the correlation matrix defined in Annex IV of Directive 2009/138/EC.This amount shall be reported as a negative value. |
| R0070/C0030 | Net solvency capital requirement – Intangible asset risk | Amount of the capital charge, after the adjustment for the loss–absorbing capacity of technical provisions, for intangible assets risk, as calculated using the standard formula. |
| R0070/C0040 | Gross solvency capital requirement – Intangible assets risk | The future discretionary benefits in accordance with Article 205 of the Delegated Regulation (EU) 2015/35 for intangible assets risk is zero under standard formula, hence R0070/C0040 equals R0070/C0030. |
| R0100/C0030 | Net solvency capital requirement – Basic Solvency Capital Requirement | Amount of the basic capital requirements, after the consideration of future discretionary benefits as laid down in Article 206 of Delegated Regulation (EU) 2015/35, as calculated using the standard formula.This amount shall fully consider the diversification effects referred to in Article 304 of Directive 2009/138/EC where applicable.This cell does not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level. These figures represent the SCR as if there was no loss of diversification.This amount shall be calculated as a sum of the net capital charges for each risk module within the standard formula, including adjustment for diversification effect within standard formula. |
| R0100/C0040 | Gross solvency capital requirement – Basic Solvency Capital Requirement | Amount of the basic capital requirements, before the consideration of future discretionary benefits referred to in Article 205 of Delegated Regulation (EU) 2015/35, as calculated using the standard formula.This amount shall fully consider diversification effects as laid down in Article 304 of Directive 2009/138/EC where applicable.This cell does not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level. These figures represent the SCR as if there was no loss of diversification.This amount shall be calculated as a sum of the gross capital charges for each risk module within the standard formula, including adjustment for diversification effect within standard formula |
| Calculation of Solvency Capital Requirement | ||
| R0120/C0100 | Adjustment due to RFF/MAP nSCR aggregation | Adjustment to correct the bias on SCR calculation due to aggregation of RFF/MAP nSCR at risk module level. This amount shall be positive. |
| R0130/C0100 | Operational risk | Amount of the capital requirements for operational risk module as calculated using the standard formula. |
| R0140/C0100 | Loss–absorbing capacity of technical provisions | Amount of the adjustment for loss–absorbing capacity of technical provisions calculated in accordance with the standard formula.This amount shall be reported as a negative value.At RFF/MAP level and at entity level where there are no RFF (other than those under Article 304 of Directive 2009/138/EC) nor MAP it is the maximum between zero and the amount corresponding to the minimum between the amount of technical provisions without risk margin in relation to future discretionary benefits net of reinsurance and the difference between gross and net basic solvency capital requirement.Where there are RFF (other than those under Article 304 of Directive 2009/138/EC) or MAP, this amount shall be calculated as the sum of the loss–absorbing capacity of technical provisions of each RFF/MAP and remaining part, taking into account the net future discretionary benefits as a top limit. |
| R0150/C0100 | Loss–absorbing capacity of deferred taxes | Amount of the adjustment for loss–absorbing capacity of deferred taxes calculated according to the standard formula.This amount shall be negative. |
| R0160/C0100 | Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC | Amount of the capital requirement, calculated in accordance with the rules stated in Article 17 of Directive 2003/41/EC, for ring–fenced funds relating to pension business operated under article 4 of Directive 2003/41/EC to which transitional measures are applied. This item is to be reported only during the transitional period. |
| R0200/C0100 | Solvency capital requirement excluding capital add–on | Amount of the total diversified SCR before any capital add–on. |
| R0210/C0100 | Capital add–ons already set | Amount of capital add–on set by the NSA by the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority. |
| R0211/C0100 | of which, capital add–ons already set – Article 37(1) Type a | Amount of capital add–on set by the NSA in accordance with Article 37(1) paragraph (a), by the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority. |
| R0212/C0100 | of which, capital add–ons already set – Article 37(1) Type b | Amount of capital add–on set by the NSA in accordance with Article 37(1) paragraph (b), by the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority. |
| R0213/C0100 | of which, capital add–ons already set – Article 37(1) Type c | Amount of capital add–on set by the NSA in accordance with Article 37(1) paragraph (c), by the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority. |
| R0214/C0100 | of which, capital add–ons already set – Article 37(1) Type d | Amount of capital add–on that set by the NSA in accordance with Article 37(1) paragraph (d), by the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority. |
| R0220/C0100 | Solvency capital requirement | Amount of the Solvency Capital Requirement. |
| Other information on SCR | ||
| R0400/C0100 | Capital requirement for duration–based equity risk sub–module | Amount of the capital requirement for duration–based equity risk sub–module. |
| R0410/C0100 | Total amount of notional Solvency Capital Requirements for remaining part | Amount of the notional SCRs of remaining part when undertaking has RFF. |
| R0420/C0100 | Total amount of notional Solvency Capital Requirements for ring–fenced funds | Amount of the sum of notional SCRs of all ring–fenced funds when undertaking has RFF (other than those related to business operated in accordance with Article 4 of Directive 2003/41/EC (transitional)). |
| R0430/C0100 | Total amount of Notional Solvency Capital Requirements for matching adjustment portfolios | Amount of the sum of notional SCRs of all matching adjustment portfolios. |
| R0440/C0100 | Diversification effects due to RFF nSCR aggregation for Article 304 | Amount of the adjustment for a diversification effect between ring–fenced funds under Article 304 of Directive 2009/138/EC and the remaining part where applicable. |
| R0450/C0100 | Method used to calculate the adjustment due to RFF/MAP nSCR aggregation | Method used to calculate the adjustment due to RFF nSCR aggregation. One of the options in the following closed list shall be used:1 – Full recalculation2 – Simplification at risk sub–module level3 – Simplification at risk module level4 – No adjustmentWhen the undertaking has no RFF (or have only RFF under Article 304 of Directive 2009/138/EC) it shall select option 4. |
| R0460/C0100 | Net future discretionary benefits | Amount of technical provisions without risk margin in relation to future discretionary benefits net of reinsurance. |
| Approach to tax rate | ||
| R0590/C0109 | Approach based on average tax rate | One of the options in the following closed list shall be used:1 – Yes2 – No3 – Not applicable as the adjustment for the loss-absorbing capacity of deferred taxes (LAC DT) is not used (in this case R0600 to R0690 are not applicable)See EIOPA Guidelines on loss-absorbing capacity of technical provisions and deferred taxes (EIOPA-BoS-14/177) |
| Calculation of the adjustment for loss-absorbing capacity of deferred taxes | ||
| R0600/C0110 | DTA Before the shock | Total amount of the deferred tax assets (DTA) in the balance-sheet using Solvency II valuation before the instantaneous loss described in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. The DTA amount of this cell shall be consistent with the value in the cell R0040/C0010 in S.02.01 |
| R0600/C0120 | DTA After the shock | Total amount of the deferred tax assets (DTA) if a balance-sheet using Solvency II valuation was set up after the instantaneous loss, as provided for in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. This cell shall be left blank where R0590/C0109 is filled with ‘1-Yes’. |
| R0610/C0110 | DTA carry forward – Before the shock | Amount of deferred tax assets (DTA) in the balance-sheet using Solvency II valuation due to carry forward of previous losses or tax deductions before the instantaneous loss described in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. |
| R0610/C0120 | DTA carry forward – After the shock | Amount of deferred tax assets (DTA) due to carry forward of previous losses or tax deductions if a balance-sheet using Solvency II valuation was set up after the instantaneous loss, as provided for in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. This cell shall be left blank where R0590/C0109 is filled with ‘1-Yes’. |
| R0620/C0110 | DTA due to deductible temporary differences – Before the shock | Amount of deferred tax assets (DTA) in the balance-sheet using Solvency II valuation due to differences between the Solvency II valuation of an asset or liability and its tax base before the instantaneous loss described in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35 |
| R0620/C0120 | DTA due to deductible temporary differences – After the shock | Amount of deferred tax assets (DTA) due to differences between the Solvency II valuation of an asset or liability and its tax base if a balance-sheet using Solvency II valuation was set up after the instantaneous loss, as provided for in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. This cell shall be left blank if R0590/C0109 is filled with ‘1-Yes’. |
| R0630/C0110 | DTL – Before the shock | Amount of Deferred Tax Liabilities (DTL) in the balance-sheet using Solvency II valuation before the instantaneous loss described in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. The DTL amount of this cell shall be consistent with the value in the cell R0780/C0010 in S.02.01. |
| R0630/C0120 | DTL – After the shock | Amount of Deferred Tax Liabilities (DTL) if a balance-sheet using Solvency II valuation was set up after the instantaneous loss, as provided for in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35.This cell shall be left blank in case of an average tax rate approach and where R0590/C0109 is filled with ‘1-Yes’. |
| R0640/C0130 | LAC DT | Amount of loss-absorbing capacity of deferred taxes, calculated in accordance with Article 207 of Delegated Regulation (EU) 2015/35. The LAC amount of this cell shall be the same as the value in the cell R0150/C0100 in S.25.01.01. |
| R0650/C0130 | LAC DT justified by reversion of deferred tax liabilities | Amount of loss-absorbing capacity of deferred taxes, calculated in accordance with Article 207 of Delegated Regulation (EU) 2015/35, justified by reversion of deferred tax liabilities |
| R0660/C0130 | LAC DT justified by reference to probable future taxable economic profit | Amount of loss-absorbing capacity of deferred taxes, calculated in accordance with Article 207 of Delegated Regulation (EU) 2015/35, justified by reference to probable future taxable economic profit |
| R0670/C0130 | LAC DT justified by carry back, current year | Amount of loss-absorbing capacity of deferred taxes, calculated in accordance with Article 207 of Delegated Regulation (EU) 2015/35, justified by profits from past years. Amount of the losses allocated to the next year. |
| R0680/C0130 | LAC DT justified by carry back, future years | Amount of loss-absorbing capacity of deferred taxes, calculated in accordance with Article 207 of Delegated Regulation (EU) 2015/35, justified by profits from past years. Amount of losses allocated to the years after next year. |
| R0690/C0130 | Maximum LAC DT | Maximal amount of loss-absorbing capacity of deferred taxes, that could be available, before the assessment whether the increase in net deferred tax assets can be used for the purposes of the adjustment, as provided for in Article 207(2) of Delegated Regulation (EU) 2015/35. |
S.25.05 – Solvency Capital Requirement – for undertakings using an internal model (partial or full)
General comments:
This section relates to annual submission of information for individual entities, ring-fenced funds, matching adjustment portfolios and remaining part when an internal model is used for the calculation of the Solvency Capital Requirement.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and insurance and reinsurance undertakings.
The purpose of this template is to collect data on an aggregate level and show diversification benefits between separate risk modules. All values should be reported before any tax effects unless otherwise stated.
Partial internal models:
—Where the undertaking applies the full adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level: the nSCR is calculated as if no RFF and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part,
—Calculation of ‘q factor’ adjustmentBSCR′ nSCRint, where—adjustmentAdjustment calculated according to one of the three methods referred above—BSCR′Basic solvency capital requirement calculated according to the information reported in this template—nSCRintnSCR for intangible assets risk according to the information reported in this template
—Where the undertaking applies the Simplification at risk sub-module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR and LAC are calculated considering a direct summation at sub-module level method,
—Multiplication of this ‘q factor’ by the nSCR of each relevant risk module (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non-life underwriting risk)
—Where the undertaking applies the Simplification at risk module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR and LAC are calculated considering a direct summation at module level method.
All rows for C0010 refer to the amount of the capital charge for each component regardless of the method of calculation (either standard formula or partial internal model), after the adjustments for loss-absorbing capacity of technical provision and/or deferred taxes when they are embedded in the component calculation.
For the components Loss absorbing capacity of technical provisions and/or deferred taxes when reported as a separate component it should be the amount of the loss-absorbing capacity (these amounts should be reported as negative values).
For components calculated using the standard formula this cell represents the gross nSCR. For components calculated using the partial internal model, this represents the value considering the future management actions with are embedded in the calculation, but not whose which are modelled as a separate component.
These amounts shall fully consider diversification effects according to Article 304 of Directive 2009/138/EC where applicable.
When applicable, these cells do not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level.
Template SR.25.05 shall be reported by ring-fenced fund, matching adjustment portfolio and the remaining part for every undertaking under an internal model. For partial internal models, this includes undertakings where a partial internal model is applied to a full ring-fenced fund and/or matching adjustment portfolio while the other ring-fenced funds and/or matching adjustment portfolios are under the standard formula. This template should be reported for all sub-funds of a material RFF/MAP as identified in the second table of S.01.03.
For those undertakings under a partial internal model to which the adjustment due to the aggregation of the nSCR of RFF/MAP is applicable, where the entity has MAP or RFF (except those under the scope of Article 304 of Directive 2009/138/EC) when reporting at the level of the whole undertaking, the nSCR at risk module level and the loss-absorbing capacity (LAC) of technical provisions and deferred taxes to be reported shall be calculated as follows:
The adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level shall be allocated (C0050) to the relevant risk modules (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non-life underwriting risk) when calculated according to the standard formula. The amount to be allocated to each relevant risk module shall be calculated as follows:
Full internal models:
Template SR.25.05 has to be filled in for each ring-fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part for every undertaking under a full internal model. However, where a RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template should be reported for all sub-funds of a material RFF/MAP as identified in the second table of S.01.03.
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| Aggregation | ||
| Z0020 | Ring-fenced fund, matching adjustment portfolio or Remaining Part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates.When item Z0020 = 2, then report ‘0’ |
| C0010/R0020 | Total diversification | Amount of the diversification effects between risk modules.This amount should be reported as a negative value. |
| C0010/R0030 | Total diversified risk before tax | Amount of diversified capital charges before tax.Same as S.26.08.01 C0010/R0030. |
| C0010/R0040 | Total diversified risk after tax | Amount of diversified capital charges after tax.Same as S.26.08.01 C0010/R0040. |
| C0010/R0070 | Total market & credit risk | Sum of the respective following values from C0020 of S.26.09.01:Interest rate risk diversified (R0050)Inflation risk (R0080)Equity risk diversified (R0100)Property risk (R0130)Currency risk (R0140)Credit risk sum (R0150)Same as S.26.08.01 C0010/R0070. |
| C0010/R0080 | Market & Credit risk – diversified | Same as S.26.08.01 C0010/R0080. |
| C0010/R0190 | Credit event risk not covered in market & credit risk | Same as S.26.08.01 C0010/R0190. |
| C0010/R0200 | Credit event risk not covered in market & credit risk – diversified | Same as S.26.08.01 C0010/R0200. |
| C0010/R0270 | Total Business risk | Same as S.26.08.01 C0010/R0270. |
| C0010/R0280 | Total Business risk – diversified | Same as S.26.08.01 C0010/R0280. |
| C0010/R0310 | Total Net Non-life underwriting risk | Same as S.26.08.01 C0010/R0310. |
| C0010/R0320 | Total Net Non-life underwriting risk – diversified | Same as S.26.08.01 C0010/R0320. |
| C0010/R0400 | Total Life & Health underwriting risk | Same as S.26.08.01 C0010/R0400. |
| C0010/R0410 | Total Life & Health underwriting risk – diversified | Same as S.26.08.01 C0010/R0410. |
| C0010/R0480 | Total Operational risk | Same as S.26.08.01 C0010/R0480. |
| C0010/R0490 | Total Operational risk – diversified | Same as S.26.08.01 C0010/R0490. |
| C0010/R0500 | Other risk | Same as S.26.08.01 C0010/R0500. |
| C0050/R0020-R0530 | Allocation from adjustments due to RFF and Matching adjustment portfolios | Where applicable, part of the adjustment allocated to each risk module according to the procedure described in the general comments. This amount shall be positive. |
| C0060/R0020-R0530 | Consideration of the future management actions regarding technical provisions and/or deferred taxes | To identify if the future management actions relating to the loss absorbing capacity of technical provisions and/or deferred taxes are embedded in the calculation, the following closed list of options shall be used:1 – Future management actions regarding the loss–absorbing capacity of technical provisions embedded within the component2 – Future management actions regarding the loss–absorbing capacity of deferred taxes embedded within the component3 – Future management actions regarding the loss–absorbing capacity of technical provisions and deferred taxes embedded within the component4 – No embedded consideration of future management actions. |
| C0070/R0020-R0530 | Amount modelled | For each component this cell represents the amount calculated according to the partial internal model. |
| R0110/C0100 | Total undiversified components | Sum of all components. |
| R0060/C0100 | Diversification | The total amount of the diversification among components reported in C0030.This amount does not include diversification effects inside each component, which shall be embedded in the values reported in C0030.This amount should be reported as negative value. |
| R0120/C0100 | Adjustment due to RFF/MAP nSCR aggregation | When applicable, adjustment to correct the bias on SCR calculation due to aggregation of RFF/MAP nSCR at risk module level.Applicable only for partial internal models. |
| R0160/C0100 | Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC | Amount of the capital requirement, calculated according to the rules stated in Art. 17 of Directive 2003/41/EC, for ring-fenced funds relating to pension business operated under Art. 4 of Directive 2003/41/EC to which transitional measures are applied. This item is to be reported only during the transitional period. |
| R0200/C0100 | Solvency capital requirement, excluding capital add-ons | Amount of the total diversified SCR before any capital add-on. |
| R0210/C0100 | Capital add–ons already set | Amount of capital add–on set by the NSA by the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority. |
| R0211/C0100 | of which, capital add–ons already set – Article 37(1) Type a | Amount of capital add–on set by the NSA by the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority. |
| R0212/C0100 | of which, capital add–ons already set – Article 37(1) Type b | Amount of capital add–on set by the NSA by the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority. |
| R0213/C0100 | of which, capital add–ons already set – Article 37(1) Type c | Amount of capital add–on set by the NSA by the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority. |
| R0214/C0100 | of which, capital add–ons already set – Article 37(1) Type d | Amount of capital add–on that set by the NSA by the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority. |
| R0220/C0100 | Solvency Capital Requirement | Overall capital requirement including capital add-ons. |
| Other information on SCR | ||
| R0300/C0100 | Amount/estimate of the overall loss-absorbing capacity of technical provisions | Amount/Estimate of the overall adjustment for loss-absorbing capacity of technical provisions, including the part embedded in the components and the part reported as a single component. This amount shall be reported as a negative amount. |
| R0310/C0100 | Amount/estimate of the loss absorbing capacity for deferred taxes | Amount/Estimate of the overall adjustment for deferred taxes, including the part embedded in the components and the part reported as a single component. This amount shall be reported as a negative amount. |
| R0400/C0100 | Capital requirement for duration-based equity risk sub-module | Amount of the capital requirement for duration-based equity risk sub-module.Applicable only for partial internal models. |
| R0410/C0100 | Total amount of notional Solvency Capital Requirements for remaining part | Amount of the notional SCRs of remaining part when undertaking has RFF. |
| R0420/C0100 | Total amount of Notional Solvency Capital Requirements for ring-fenced funds | Amount of the sum of notional SCRs of all ring-fenced funds when undertaking has RFF (other than those related to business operated in accordance with Article 4 of Directive 2003/41/EC (transitional)). |
| R0430/C0100 | Total amount of Notional Solvency Capital Requirements for matching adjustment portfolios | Amount of the sum of notional SCRs of all matching adjustment portfoliosThis item does not have to be reported when reporting SCR calculation at RFF or matching adjustment portfolio level. |
| R0440/C0100 | Diversification effects due to RFF nSCR aggregation for Article 304 | Amount of the adjustment for a diversification effect between ring-fenced funds under Article 304 of Directive 2009/138/EC and the remaining part where applicable.It shall be equal to the difference between the sum of the nSCR for each RFF/MAP/RP and the SCR reported in R0200/C0100. |
| R0450/C0100 | Method used to calculate the adjustment due to RFF nSCR aggregation | Method used to calculate the adjustment due to RFF nSCR aggregation. One of the following options shall be used:1 – Full recalculation2 – Simplification at risk sub-module level3 – Simplification at risk module level4 – No adjustmentWhen the undertaking has no RFF (or have only RFF under Article 304 of Directive 2009/138/EC) it shall select option 4.Applicable only for partial internal models. |
| R0460/C0100 | Net future discretionary benefits | Amount of technical provisions without risk margin in relation to future discretionary benefits net of reinsurance. |
| Approach to tax rate if calculated under the standard formula | ||
| R0590/C0109 | Approach based on average tax rate | One of the options in the following closed list shall be used:1 – Yes2 – No3 – Not applicable as the adjustment for the loss-absorbing capacity of deferred taxes (LAC DT) is not used (in this case R0600 to R0690 are not applicable)See EIOPA Guidelines on loss-absorbing capacity of technical provisions and deferred taxes. |
| Calculation of adjustment for loss-absorbing capacity of deferred taxes if calculated under the standard formula | ||
| R0600/C0110 | DTA Before the shock | Total amount of the Deferred Tax Assets (DTA) in the balance-sheet using Solvency II valuation before the instantaneous loss described in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. The DTA amount of this cell shall be consistent with the value in the cell R0040/C0010 in S.02.01. |
| R0600/C0120 | DTA After the shock | Total amount/estimate of the Deferred Tax Assets (DTA) if a balance-sheet using Solvency II valuation was set up after the instantaneous loss, as provided for in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. This cell shall be left blank where R0590/C0109 is filled with ‘1-Yes’. |
| R0610/C0110 | DTA carry forward – Before the shock | Amount of deferred tax assets (DTA) in the balance-sheet using Solvency II valuation due to carry forward of previous loses or tax deductions before the instantaneous loss described in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. |
| R0610/C0120 | DTA carry forward – After the shock | Amount/estimate of deferred tax assets (DTA) due to carry forward of previous loses or tax deductions if a balance-sheet using Solvency II valuation was set up after the instantaneous loss, as provided for in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. This cell shall be left blank where R0590/C0109 is filled with ‘1-Yes’. |
| R0620/C0110 | DTA due to deductible temporary differences – Before the shock | Amount of deferred tax assets (DTA) in the balance-sheet using Solvency II valuation due to differences between the Solvency II valuation of an asset or liability and its tax base before the instantaneous loss described in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. |
| R0620/C0120 | DTA due to deductible temporary differences – After the shock | Amount/estimate of deferred tax assets (DTA) due to differences between the Solvency II valuation of an asset or liability and its tax base if a balance-sheet using Solvency II valuation was set up after the instantaneous loss, as provided for in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. This cell shall be left blank where R0590/C0109 is filled with ‘1-Yes’. |
| R0630/C0110 | DTL – Before the shock | Amount of Deferred Tax Liabilities (DTL) in balance-sheet using Solvency II valuation before the instantaneous loss described in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. The DTL amount of this cell shall be consistent with the value in the cell R0780/C0010 in S.02.01. |
| R0630/C0120 | DTL – After the shock | Amount/estimate of Deferred Tax Liabilities (DTL) if a balance-sheet using Solvency II valuation was set up after the instantaneous loss, as provided for in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35.This cell shall be left blank in case of an average tax rate approach and where R0590/C0109 is filled with ‘1-Yes’. |
| R0640/C0130 | Amount/estimate of LAC DT | Amount/estimate of loss-absorbing capacity of deferred taxes, calculated in accordance with Article 207 of Delegated Regulation (EU) 2015/35. The LAC amount of this cell shall be the same as the value in the cell R0310/C0100 in S.25.05.01. |
| R0650/C0130 | Amount/estimate of LAC DT justified by reversion of deferred tax liabilities | Amount/estimate of loss-absorbing capacity of deferred taxes, calculated in accordance with Article 207 of Delegated Regulation (EU) 2015/35, justified by reversion of deferred tax liabilities. |
| R0660/C0130 | Amount/estimate of LAC DT justified by reference to probable future taxable economic profit | Amount/estimate of loss-absorbing capacity of deferred taxes, calculated in accordance with Article 207 of Delegated Regulation (EU) 2015/35, justified by reference to probable future taxable economic profit. |
| R0670/C0130 | Amount/estimate of LAC DT justified by carry back, current year | Amount/estimate of loss-absorbing capacity of deferred taxes, calculated in accordance with Article 207 of Delegated Regulation (EU) 2015/35, justified by profits from past years. Amount of the losses allocated to the next year. |
| R0680/C0130 | Amount/estimate of LAC DT justified by carry back, future years | Amount/estimate of loss-absorbing capacity of deferred taxes, calculated in accordance with Article 207 of Delegated Regulation (EU) 2015/35, justified by profits from past years Amount of losses allocated to the years after next year. |
| R0690/C0130 | Amount/estimate of Maximum LAC DT | Maximum amount of loss-absorbing capacity of deferred taxes that could be available, before the assessment whether the increase in net deferred tax assets can be used for the purposes of the adjustment, as provided for in Article 207(2) of Delegated Regulation (EU) 2015/35. |
S.26.01 – Solvency Capital Requirement – Market risk
General comments:
This section relates to annual submission of information for individual entities, ring-fenced funds, matching adjustment portfolios and remaining part.
The template SR.26.01.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where a RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
Amounts before and after shock shall be filled in with the amount of assets and liabilities sensitive to that shock. For the liabilities the assessment shall be done at the most granular level available between contract and homogeneous risk group. This means that if a contract/HRG is sensitive to a shock the amount of liabilities associated to that contract/HRG shall be reported as amount sensitive to that shock.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Article 112 | Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:1 – Article 112(7) reporting2 – Regular reporting |
| Z0020 | Ring–fenced fund, matching adjustment portfolio or remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates. |
| R0012/C0010 | Simplifications spread risk – bonds and loans | The options in the following closed list shall be used:1 – Simplification for the purposes of Article 1042 – Simplifications for the purposes of Article 105a9 – Simplifications not usedOptions 1 and 2 may be used simultaneously.If R0012/C0010 = 1, only C0060 and C0080 shall be filled in for R0410 |
| R0014/C0010 | Simplifications market risk concentration– simplifications used | One of the options in the following closed list shall be used:1 – Simplifications for the purposes of Article 105a9 – Simplifications not used |
| R0020/C0010 | Captives simplifications – interest rate risk | Identify whether a captive undertaking used simplifications for the calculation of interest rate risk. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0020/C0010 = 1, only C0060 and C0080 shall be filled in for R0100–R0120 |
| R0030/C0010 | Captives simplifications – spread risk on bonds and loans | Identify whether a captive undertaking used simplifications for the calculation of spread risk with regard to bonds and loans. The following options shall be used:1 – Simplifications used2 – Simplifications not used |
| R0040/C0010 | Captives simplifications – market risk concentration | Identify whether a captive undertaking used simplifications for the calculation of market risk concentration. The following options shall be used:1 – Simplifications used2 – Simplifications not used |
| Interest rate risk | ||
| R0100/C0060 | Absolute value after shock – Net solvency capital requirement – interest rate risk | This is the net capital charge for interest rate risk, i.e. after adjustment for the loss absorbing capacity of technical provisions.If R0020/C0010 = 1, this item represents the net capital charge for interest rate risk calculated using simplified calculations for captive undertakings. |
| R0100/C0080 | Absolute value after shock – Gross solvency capital requirement– interest rate risk | This is the gross capital charge for interest rate risk, i.e. before the loss absorbing capacity of technical provisions.If R0020/C0010 = 1, this item represents the gross capital charge for interest rate risk calculated using simplified calculations for captive undertakings. |
| R0110–R0120/C0020 | Initial absolute values before shock – Assets – Interest rate risk – interest rate down/up shock | This is the total value of the assets sensitive to interest rate down/up risk, before shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0110–R0120/C0030 | Initial absolute values before shock – Liabilities – Interest rate risk – interest rate down/up shock | This is the total value of the liabilities sensitive to interest rate down/up risk, before shock.The amount of Technical Provisions (TP) shall be net of reinsurance and SPV recoverables. |
| R0110–R0120/C0040 | Absolute values after shock – Assets – Interest rate risk – interest rate down/up shock | This is the absolute value of assets sensitive to interest rate down/up risks after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0110–R0120/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Interest rate risk– interest rate down/up shock | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to interest rate down/up risks after the shock.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0110–R0120/C0060 | Absolute value after shock – Net solvency capital requirement– interest rate risk– interest rate down/up shock | This is the net capital charge for interest rate down/up risk, after adjustment for the loss absorbing capacity of technical provisions.If R0020/C0010 = 1, this item represents the net capital charge for interest rate down/up risk calculated using simplifications. |
| R0110–R0120/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Interest rate risk – Interest rate down/up shock | This is the absolute value of liabilities (before the loss absorbing capacity of technical provisions) sensitive to interest rate down/up risks after the shock.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0110–R0120/C0080 | Absolute value after shock – Gross solvency capital requirement – interest rate risk – interest rate down/up shock | This is the gross capital charge for the interest rate down/up risk, i.e. before the loss absorbing capacity of Technical provisionsIf R0020/C0010 = 1, this item represents the gross capital charge for interest rate down/up risk calculated using simplifications. |
| Equity risk | ||
| R0200/C0060 | Absolute value after shock – Net solvency capital requirement – equity risk | This is the net capital charge for equity risk, i.e. after adjustment for the loss absorbing capacity of technical provisions. |
| R0200/C0080 | Absolute value after shock – Gross solvency capital requirement – equity risk | This is the gross capital charge for equity risk, i.e. before the loss absorbing capacity of technical provisions. |
| R0210/C0020 | Initial absolute values before shock – Assets – equity risk – type 1 equities | This is the initial absolute value of the assets sensitive to the equity risk charge related to type 1 equitiesRecoverables from reinsurance and SPVs shall not be included in this cell. |
| R0210/C0030 | Initial absolute values before shock – Liabilities – equity risk – type 1 equities | This is the initial absolute value of the liabilities sensitive to equity risk related to type 1 equities.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0210/C0040 | Absolute values after shock – Assets – Equity risk – type 1 equities | This is the absolute value of the assets sensitive to the equity risk charge related to type 1 equities category, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0210/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Equity risk –type 1 equities | This is the absolute value of the liabilities sensitive to equity risk charge related to type 1 equities, after the shock and after the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0210/C0060 | Absolute value after shock – Net solvency capital requirement – equity risk –type 1 equities | This is the net capital charge for equity risk (for type 1 equities), after adjustment for the loss absorbing capacity of technical provisions. |
| R0210/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – equity risk –type 1 equities | This is the absolute value of the liabilities sensitive to equity risk charge related to type 1 equities, after the shock but before the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0210/C0080 | Absolute value after shock – Gross solvency capital requirement – Equity risk –type 1 equities | This is the gross capital charge for equity risk for type 1 equities, i.e. before the loss absorbing capacity of technical provisions. |
| R0221, R0230, R0231, R0240/C0020 | Initial absolute values before shock – Assets – equity risk –type 1 equities | This is the initial absolute value of the assets sensitive to the equity risk (for each kind of type 1 equity).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0221, R0230, R0231, R0240/C0040 | Absolute values after shock – Assets – equity risk –type 1 equities | This is the absolute value of the assets sensitive the equity risk charge, (for each kind of type 1 equity), after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0250/C0020 | Initial absolute values before shock – Assets – equity risk –type 2 equities | This is the initial absolute value of the assets sensitive to the equity risk for type 2 equitiesRecoverables from reinsurance and SPVs shall not be included in this cell. |
| R0250/C0030 | Initial absolute values before shock – Liabilities – equity risk –type 2 equities | This is the initial absolute value of liabilities sensitive to the equity risk for type 2 equities.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0250/C0040 | Absolute values after shock – Assets – Equity risk – type 2 equities | This is the absolute value of the assets sensitive to equity risk charge for type 2 equities, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0250/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Equity risk –type 2 equities | This is the absolute value of liabilities sensitive to equity risk (for type 2 equities), after the shock and after the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0250/C0060 | Absolute value after shock – Net solvency capital requirement – equity risk –type 2 equities | This is the net capital charge for equity risk (for type 2 equities) after adjustment for the loss absorbing capacity of technical provisions. |
| R0250/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) equity risk –type 2 equities | This is the absolute value of the liabilities sensitive to equity risk (for type 2 equities), after the shock but before the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0250/C0080 | Absolute value after shock – Gross solvency capital requirement – Equity risk – type 2 equities | This is the gross capital charge for equity risk for type 2 equities, i.e. before the loss absorbing capacity of technical provisions. |
| R0261, R0270, R0271, R0280/C0020 | Initial absolute values before shock – Assets – equity risk –type 2 equities | This is the value of the assets sensitive to the equity risk (for each kind of type 2 equities)Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0261, R0270, R0271,R0280/C0040 | Absolute values after shock – Assets – equity risk –type 2 equities | This is the absolute value of the assets sensitive to equity risk (for each kind of type 2 equities), after the equity shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0291/C0020, R0293-R0295/C0020 | Initial absolute values before shock – Assets – Equity risk –qualifying infrastructure corporate equities | This is the initial absolute value of the assets sensitive to the equity risk for each kind of qualifying infrastructure corporate equities.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0291/C0030 | Initial absolute values before shock – Liabilities – Equity risk – qualifying infrastructure corporate equities | This is the initial absolute value of liabilities sensitive to the equity risk for each kind of qualifying infrastructure corporate equities.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0291/C0040, R0293-R0295/C0040 | Absolute values after shock – Assets – Equity risk – qualifying infrastructure corporate equities | This is the absolute value of the assets sensitive to equity risk for each kind of qualifying infrastructure corporate equities, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0291/C0050 | Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – Equity risk – qualifying infrastructure corporate equities | This is the absolute value of liabilities sensitive to equity risk (for each kind of qualifying infrastructure corporate equities), after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0291/C0060 | Absolute value after shock – Net solvency capital requirement – Equity risk –qualifying infrastructure corporate equities | This is the net capital charge for equity risk (for each kind of qualifying infrastructure corporate equities) after the application of the adjustment for the loss-absorbing capacity of technical provisions. |
| R0291/C0070 | Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions) – Equity risk – qualifying infrastructure corporate equities | This is the absolute value of the liabilities sensitive to equity risk (for each kind of qualifying infrastructure corporate equities), after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0291/C0080 | Absolute value after shock – Gross solvency capital requirement – Equity risk – qualifying infrastructure corporate equities | This is the gross capital charge for equity risk for each kind of qualifying infrastructure corporate equities, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions. |
| R0292/C0020, R0296-R0298/C0020 | Initial absolute values before shock – Assets – Equity risk – qualifying infrastructure equities other than corporate equities | This is the initial absolute value of the assets sensitive to the equity risk for each kind of qualifying infrastructure equities, other than corporate equities.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0292/C0030 | Initial absolute values before shock – Liabilities – Equity risk – qualifying infrastructure equities other than corporate equities | This is the initial absolute value of liabilities sensitive to the equity risk for each kind of qualifying infrastructure equities, other than corporate equities.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0292/C0040, R0296-R0298/C0040 | Absolute values after shock – Assets – Equity risk – qualifying infrastructure equities other than corporate equities | This is the absolute value of the assets sensitive to equity risk for each kind of qualifying infrastructure equities, other than corporate equities, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0292/C0050 | Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – Equity risk – qualifying infrastructure equities other than corporate equities | This is the absolute value of liabilities sensitive to equity risk (for each kind of qualifying infrastructure equities, other than corporate equities), after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0292/C0060 | Absolute value after shock – Net solvency capital requirement – Equity risk –qualifying infrastructure equities other than corporate equities | This is the net capital charge for equity risk (for each kind of qualifying infrastructure equities, other than corporate equities) after the application of the adjustment for the loss-absorbing capacity of technical provisions. |
| R0292/C0070 | Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions) – Equity risk – qualifying infrastructure equities other than corporate equities | This is the absolute value of the liabilities sensitive to equity risk (for each kind of qualifying infrastructure equities, other than corporate equities), after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0292/C0080 | Absolute value after shock – Gross solvency capital requirement – Equity risk – qualifying infrastructure equities other than corporate equities | This is the gross capital charge for equity risk for each kind of qualifying infrastructure equities, other than corporate equities, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions. |
| Property risk | ||
| R0300/C0020 | Initial absolute values before shock – Assets – Property risk | This is the absolute value of the assets sensitive to the property risk.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0300/C0030 | Initial absolute values before shock – Liabilities – Property risk | This is the value of the liabilities sensitive to the property risk.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0300/C0040 | Absolute values after shock – Assets – Property risk | This is the absolute value of the assets sensitive to property risk charge, after the property shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0300/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Property risk | This is the absolute value of the liabilities underlying property risk charge, after the property shock and after the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0300/C0060 | Absolute value after shock – Net solvency capital requirement – property risk | This is the net capital charge for property risk, after adjustment for the loss absorbing capacity of technical provisions. |
| R0300/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – property risk | This is the absolute value of the liabilities underlying property risk charge, after the property shock but before the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0300/C0080 | Absolute value after shock – Gross solvency capital requirement – Property risk | This is the gross capital charge for property risk, i.e. before the loss absorbing capacity of technical provisions. |
| Spread risk | ||
| R0400/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk | This is the net capital charge for spread risk, after adjustment for the loss absorbing capacity of technical provisions. |
| R0400/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk | This is the gross capital charge for spread risk, before the loss absorbing capacity of technical provisions. |
| R0410/C0020 | Initial absolute values before shock – Assets – spread risk – bonds and loans | This is the absolute value of the assets sensitive to the spread risk on bonds and loans.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0410/C0030 | Initial absolute values before shock – Liabilities – spread risk – bonds and loans | This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0410/C0040 | Absolute values after shock – Assets – spread risk – bonds and loans | This is the absolute value of the assets sensitive to the spread risk on bonds and loans, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0410/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – spread risk – bonds and loans | This is the absolute value of the liabilities underlying the spread risk charge for bonds and loans, after the shock and after the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0410/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – bonds and loans | This is the net capital charge for spread risk on bonds and loans, after adjustment for the loss absorbing capacity of technical provisions.If R0012/C0010 = 1 and/or 2, this item represents the net solvency capital requirement for spread risk – bonds and loans, calculated using simplifications |
| R0410/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions)– spread risk – bonds and loans | This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans, after the shock but before the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0410/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – bonds and loans | This is the gross capital charge for spread risk on bonds and loans, i.e. before the loss absorbing capacity of technical provisions.If R0012/C0010 = 1 and/or 2, this item represents gross solvency capital requirement for spread risk – bonds and loans calculated using simplifications. |
| R0412/C0020 | Initial absolute values before shock – Assets – Spread risk – bonds and loans (other than qualifying infrastructure investment) | This is the initial absolute value of the assets sensitive to the spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0412/C0030 | Initial absolute values before shock – Liabilities – Spread risk – bonds and loans (other than qualifying infrastructure investment) | This is the initial absolute value of the liabilities sensitive to the spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0412/C0040 | Absolute values after shock – Assets – Spread risk – bonds and loans (other than qualifying infrastructure investment) | This is the absolute value of the assets sensitive to the spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0412/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (other than qualifying infrastructure investment) | This is the absolute value of the liabilities underlying the spread risk charge for bonds and loans other than qualifying infrastructure investment and infrastructure corporate, after the shock and after the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0412/C0060 | Absolute value after shock – Net solvency capital requirement – Spread risk – bonds and loans (other than qualifying infrastructure investment) | This is the net capital charge for spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate, after adjustment for the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.If R0012/C0010 = 1, this item shall not be reported. |
| R0412/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (other than qualifying infrastructure investment) | This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate, after the shock but before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0412/C0080 | Absolute value after shock – Gross solvency capital requirement – Spread risk – bonds and loans (other than qualifying infrastructure investment) | This is the gross capital charge for spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate, i.e. before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.If R0012/C0010 = 1, this item shall not be reported. |
| R0413/C0020 | Initial absolute values before shock – Assets – Spread risk – bonds and loans (qualifying infrastructure investment) | This is the initial absolute value of the assets sensitive to the spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0413/C0030 | Initial absolute values before shock – Liabilities – Spread risk – bonds and loans (qualifying infrastructure investment) | This is the initial absolute value of the liabilities sensitive to the spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. If splitting is not possible, only R0410 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0413/C0040 | Absolute values after shock – Assets – Spread risk – bonds and loans (qualifying infrastructure investment) | This is the absolute value of the assets sensitive to the spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0413/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (qualifying infrastructure investment) | This is the absolute value of the liabilities underlying the spread risk charge for bonds and loans that are qualifying infrastructure investment other than infrastructure corporate, after the shock and after the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0413/C0060 | Absolute value after shock – Net solvency capital requirement – Spread risk – bonds and loans (qualifying infrastructure investment) | This is the net capital charge for spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate, after adjustment for the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.If R0012/C0010 = 1, this item shall not be reported. |
| R0413/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (qualifying infrastructure investment) | This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate, after the shock but before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0413/C0080 | Absolute value after shock – Gross solvency capital requirement – Spread risk – bonds and loans (qualifying infrastructure investment) | This is the gross capital charge for spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate, i.e. before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.If R0012/C0010 = 1, this item shall not be reported. |
| R0414/C0020 | Initial absolute values before shock – Assets – Spread risk – bonds and loans (qualifying infrastructure corporate investment) | This is the initial absolute value of the assets sensitive to the spread risk on bonds and loans that are qualifying infrastructure corporate investment.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0414/C0030 | Initial absolute values before shock – Liabilities – Spread risk – bonds and loans (qualifying infrastructure corporate investment) | This is the initial absolute value of the liabilities sensitive to the spread risk on bonds and loans that are qualifying infrastructure corporate investment. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0414/C0040 | Absolute values after shock – Assets – Spread risk – bonds and loans (qualifying infrastructure corporate investment) | This is the absolute value of the assets sensitive to the spread risk on bonds and loans that are qualifying infrastructure corporate investment, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0414/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (qualifying infrastructure corporate investment) | This is the absolute value of the liabilities underlying the spread risk charge for bonds and loans that are qualifying infrastructure corporate investment, after the shock and after the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0414/C0060 | Absolute value after shock – Net solvency capital requirement – Spread risk – bonds and loans (qualifying infrastructure corporate investment) | This is the net capital charge for spread risk on bonds and loans that are qualifying infrastructure corporate investment, after adjustment for the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.If R0012/C0010 = 1, this item shall not be reported. |
| R0414/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (qualifying infrastructure corporate investment) | This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans that are qualifying infrastructure corporate investment, after the shock but before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0414/C0080 | Absolute value after shock – Gross solvency capital requirement – Spread risk – bonds and loans (qualifying infrastructure corporate investment) | This is the gross capital charge for spread risk on bonds and loans that are qualifying infrastructure corporate investment, i.e. before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.If R0012/C0010 = 1, this item shall not be reported. |
| R0420/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – credit derivatives | This is the net capital charge for spread risk on credit derivatives, after adjustment for the loss absorbing capacity of technical provisions. |
| R0420/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – credit derivatives | This is the gross capital charge for spread risk on credit derivatives, i.e. before the loss absorbing capacity of technical provisions. |
| R0430–R0440/C0020 | Initial absolute values before shock – Assets – spread risk – credit derivatives – downward/upward shock on credit derivatives | This is the absolute value of assets sensitive to the downward/upward shock in respect to the spread risk on credit derivatives.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0430–R0440/C0030 | Initial absolute values before shock – Liabilities – spread risk – credit derivatives – downward/upward shock on credit derivatives | This is the absolute value of the liabilities sensitive to the downward/upward shock in respect to spread risk on credit derivatives.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0430–R0440/C0040 | Absolute values after shock – Assets – spread risk – credit derivatives – downward/upward shock on credit derivatives | This is the absolute value of the assets sensitive the downward/upward shock for spread risk on credit derivatives, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0430–R0440/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – spread risk –credit derivatives – downward/upward shock on credit derivatives | This is the absolute value of the liabilities sensitive to the downward/upward shock for spread risk on credit derivatives, after the shock and after the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0430–R0440/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – credit derivatives – downward/upward shock on credit derivatives | This is the net capital charge for the downward/upward shock for spread risk on credit derivatives, after adjustment for the loss absorbing capacity of technical provisions. |
| R0430–R0440/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions)– spread risk –credit derivatives – downward/upward shock on credit derivatives | This is the absolute value of the liabilities sensitive to the downward/upward shock for spread risk on credit derivatives, after the shock but before the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0430–R0440/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – credit derivatives – downward/upward shock on credit derivatives | This is the gross capital charge for the downward/upward shock for spread risk on credit derivatives, i.e. before the loss absorbing capacity of technical provisions. |
| R0450/C0020 | Initial absolute values before shock – Assets – spread risk – securitisation positions | This is the absolute value of the assets sensitive to the spread risk on securitisation positions.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0450/C0030 | Initial absolute values before shock – Liabilities – spread risk – securitisation positions | This is the absolute value of the liabilities sensitive to the spread risk on securitisation positions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0450/C0040 | Absolute values after shock – Assets – spread risk – securitisation positions | This is the absolute value of the assets sensitive to the spread risk on securitisation positions, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0450/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – spread risk – securitisation positions) | This is the absolute value of the liabilities sensitive to the spread risk on securitisation positions, after the shock and after the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0450/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions | This is the net capital charge for spread risk on securitisation positions, after adjustment for the loss absorbing capacity of technical provisions. |
| R0450/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions)– spread risk – securitisation positions | This is the absolute value of the liabilities sensitive to the spread risk on securitisation positions, after the shock but before the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0450/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions | This is the gross capital charge for spread risk on securitisation positions, i.e. before the loss absorbing capacity of technical provisions. |
| R0461/C0020 | Initial absolute values before shock – Assets – spread risk – securitisation positions – senior STS securitisation | This is the absolute value of the assets sensitive to the spread risk on senior STS securitisation positions.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0461/C0030 | Initial absolute values before shock – Liabilities – spread risk – securitisation positions – senior STS securitisation | This is the absolute value of the liabilities sensitive to the spread risk on senior STS securitisation positions.This value shall only be reported where the split between R0461 to R0483 could be derived from the method used for the calculation. Where the split is not possible only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0461/C0040 | Absolute values after shock – Assets – spread risk – securitisation positions – senior STS securitisation | This is the absolute value of the assets sensitive to the spread risk on senior STS securitisation positions, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0461/C0050 | Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – spread risk – securitisation positions – senior STS securitisation) | This is the absolute value of the liabilities sensitive to the spread risk on senior STS securitisation positions, after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0461/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – senior STS securitisation | This is the net capital charge for spread risk on senior STS securitisation positions, after the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. |
| R0461/C0070 | Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions)– spread risk – securitisation positions – senior STS securitisation | This is the absolute value of the liabilities sensitive to the spread risk on senior STS securitisation positions, after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0461/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – senior STS securitisation | This is the gross capital charge for spread risk on senior STS securitisation positions, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible only R0450 shall be filled in. |
| R0462/C0020 | Initial absolute values before shock – Assets – spread risk – securitisation positions – non-senior STS securitisation | This is the absolute value of the assets sensitive to the spread risk on non-senior STS securitisation positions.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0462/C0030 | Initial absolute values before shock – Liabilities – spread risk – securitisation positions – non-senior STS securitisation | This is the absolute value of the liabilities sensitive to the spread risk on non-senior STS securitisation positions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0462/C0040 | Absolute values after shock – Assets – spread risk – securitisation positions – non-senior STS securitisation | This is the absolute value of the assets sensitive to the spread risk on non-senior STS securitisation positions, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0462/C0050 | Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – spread risk – securitisation positions – non-senior STS securitisation) | This is the absolute value of the liabilities sensitive to the spread risk on non-senior STS securitisation positions, after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0462/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – non-senior STS securitisation | This is the net capital charge for spread risk on non-senior STS securitisation positions, after the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. |
| R0462/C0070 | Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions)– spread risk – securitisation positions – non-senior STS securitisation | This is the absolute value of the liabilities sensitive to the spread risk on non-senior STS securitisation positions, after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0462/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – non-senior STS securitisation | This is the gross capital charge for spread risk on non-senior STS securitisation positions, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. |
| R0480/C0020 | Initial absolute values before shock – Assets – spread risk – securitisation positions – resecuritisation | This is the absolute value of the assets sensitive to the spread risk on resecuritisation positions.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0480/C0030 | Initial absolute values before shock – Liabilities – spread risk – securitisation positions – resecuritisation | This is the absolute value of the liabilities sensitive to the spread risk on resecuritisation positions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0480/C0040 | Absolute values after shock – Assets – spread risk – securitisation positions – resecuritisation | This is the absolute value of the assets sensitive to the spread risk on resecuritisation positions, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0480/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – spread risk – securitisation positions – resecuritisation | This is the absolute value of the liabilities sensitive to the spread risk on resecuritisation positions, after the shock and after the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0480/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – resecuritisation | This is the net capital charge for spread risk on resecuritisation positions, after adjustment for the loss absorbing capacity of technical provisions. |
| R0480/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions)– spread risk – securitisation positions – resecuritisation | This is the absolute value of the liabilities sensitive to the spread risk on resecuritisation positions, after the shock but before the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0480/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – resecuritisation | This is the gross capital charge for spread risk on resecuritisation positions, i.e. before the loss absorbing capacity of technical provisions. |
| R0481/C0020 | Initial absolute values before shock – Assets – spread risk – securitisation positions – other securitisation | This is the absolute value of the assets sensitive to the spread risk on other securitisation positions.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0481/C0030 | Initial absolute values before shock – Liabilities – spread risk – securitisation positions – other securitisation | This is the absolute value of the liabilities sensitive to the spread risk on other securitisation positions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0481/C0040 | Absolute values after shock – Assets – spread risk – securitisation positions – other securitisation | This is the absolute value of the assets sensitive to the spread risk on other securitisation positions, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0481/C0050 | Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – spread risk – securitisation positions – other securitisation) | This is the absolute value of the liabilities sensitive to the spread risk on other securitisation positions, after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0481/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – other securitisation | This is the net capital charge for spread risk on other securitisation positions, after the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. |
| R0481/C0070 | Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions)– spread risk – securitisation positions – other securitisation | This is the absolute value of the liabilities sensitive to the spread risk on other securitisation positions, after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0481/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – other securitisation | This is the gross capital charge for spread risk on other securitisation positions, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. |
| R0482/C0020 | Initial absolute values before shock – Assets – spread risk – securitisation positions – transitional type 1 securitisation | This is the absolute value of the assets sensitive to the spread risk on transitional type 1 securitisation positions.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0482/C0030 | Initial absolute values before shock – Liabilities – spread risk – securitisation positions – transitional type 1 securitisation | This is the absolute value of the liabilities sensitive to the spread risk on transitional type 1 securitisation positions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0482/C0040 | Absolute values after shock – Assets – spread risk – securitisation positions – transitional type 1 securitisation | This is the absolute value of the assets sensitive to the spread risk on transitional type 1 securitisation positions, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0482/C0050 | Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – spread risk – securitisation positions – transitional type 1 securitisation) | This is the absolute value of the liabilities sensitive to the spread risk on transitional type 1 securitisation positions, after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0482/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – transitional type 1 securitisation | This is the net capital charge for spread risk on transitional type 1 securitisation positions, after the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. |
| R0482/C0070 | Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions)– spread risk – securitisation positions – transitional type 1 securitisation | This is the absolute value of the liabilities sensitive to the spread risk on transitional type 1 securitisation positions, after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0482/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – transitional type 1 securitisation | This is the gross capital charge for spread risk on transitional type 1 securitisation positions, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. |
| R0483/C0020 | Initial absolute values before shock – Assets – spread risk – securitisation positions – guaranteed STS securitisation | This is the absolute value of the assets sensitive to the spread risk on guaranteed STS securitisation positions.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0483/C0030 | Initial absolute values before shock – Liabilities – spread risk – securitisation positions – guaranteed STS securitisation | This is the absolute value of the liabilities sensitive to the spread risk on guaranteed STS securitisation positions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0483/C0040 | Absolute values after shock – Assets – spread risk – securitisation positions – guaranteed STS securitisation | This is the absolute value of the assets sensitive to the spread risk on guaranteed STS securitisation positions, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0483/C0050 | Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – spread risk – securitisation positions – guaranteed STS securitisation | This is the absolute value of the liabilities sensitive to the spread risk on guaranteed STS securitisation positions, after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0483/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – guaranteed STS securitisation | This is the net capital charge for spread risk on guaranteed STS securitisation positions, after the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. |
| R0483/C0070 | Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions)– spread risk – securitisation positions – guaranteed STS securitisation | This is the absolute value of the liabilities sensitive to the spread risk on guaranteed STS securitisation positions, after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0483/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – guaranteed STS securitisation | This is the gross capital charge for spread risk on guaranteed STS securitisation positions, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. |
| Concentration risk | ||
| R0500/C0020 | Initial absolute values before shock – Assets – market risk concentrations | This is the absolute value of the asset sensitive to the market risk concentrationsFor captive undertakings, if R0040/C0010 = 1, this item represents the absolute value of the assets sensitive to the market risk concentration, after taking into account simplifications allowed for captives.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0500/C0060 | Absolute value after shock – Net solvency capital requirement – market risk concentrations | This is the net capital charge for market risk concentrations, after adjustment for the loss absorbing capacity of technical provisions, aggregated for each single name exposure.For captive undertakings, if cell R0040/C0010 = 1, this item represents net capital charge for market risk concentration, calculated using simplified calculation. |
| R0500/C0080 | Absolute value after shock – Gross solvency capital requirement – market risk concentrations | This is the gross capital charge for market risk concentrations, aggregated for each single name exposure, i.e. before the loss absorbing capacity of technical provisions. |
| Currency risk | ||
| R0600/C0060 | Absolute value after shock – Net solvency capital requirement (after the loss absorbing capacity of technical provisions) – currency risk | This is the sum for the different currencies of:the capital requirement (including after the loss absorbing capacity of technical provisions) for an increase in value of the foreign currency against the local currency;the capital requirement (including after the loss absorbing capacity of technical provisions) for a decrease in value of the foreign currency against the local currency. |
| R0600/C0080 | Absolute value after shock – Gross solvency capital requirement – currency risk | This is the sum for the different currencies of:the capital requirement (before the loss absorbing capacity of technical provisions) for an increase in value of the foreign currency against the local currency;the capital requirement (before the loss absorbing capacity of technical provisions) for a decrease in value of the foreign currency against the local currency. |
| R0610–R0620/C0020 | Initial absolute values before shock – Assets – Currency risk – increase/decrease in the value of the foreign currency | This is the total value of the assets sensitive to currency increase/decrease risk, before shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0610–R0620/C0030 | Initial absolute values before shock – Liabilities – Currency risk – increase/decrease in the value of the foreign currency | This is the total value of the liabilities sensitive to currency increase/decrease risk, before shock.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0610–R0620/C0040 | Absolute values after shock – Assets – Currency risk – increase/decrease in the value of the foreign currency | This is the absolute value of assets sensitive to currency increase/decrease risk after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0610–R0620/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Currency risk – increase/decrease in the value of the foreign currency | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to currency increase/decrease risk after the shock.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0610–R0620/C0060 | Absolute value after shock – Net solvency capital requirement (after the loss absorbing capacity of technical provisions) – Currency risk – increase/decrease in the value of the foreign currency | This is the net capital charge for currency increase/decrease risk, after adjustment for the loss absorbing capacity of technical provisions. In R0610 only the currencies where the increase shock is the largest shall be reported and in R0620 only the currencies where the decrease shock is the largest shall be reported. |
| R0610–R0620/C0070 | Absolute values after shock (before the loss–absorbing capacity of technical provisions) – Currency risk – increase/decrease in the value of the foreign currency | This is the absolute value of liabilities (before the loss absorbing capacity of technical provisions) sensitive to currency increase/decrease risk after the shock.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0610–R0620/C0080 | Absolute value after shock – Gross solvency capital requirement (excluding the loss–absorbing capacity of technical provisions) – Currency risk – increase/decrease in the value of the foreign currency | This is the gross capital charge for the currency increase/decrease risk, i.e. excluding the loss absorbing capacity of Technical provisions. In R0610 only the currencies where the increase shock is the largest shall be reported and in R0620 only the currencies where the decrease shock is the largest shall be reported. |
| Diversification within market risk module | ||
| R0700/C0060 | Diversification within market risk module –net solvency capital requirement | This is the diversification effect within the market risk module as a result of the aggregation of the net capital requirements (after loss absorbing capacity of technical provisions) of the single risk sub–modules.Diversification shall be reported as a negative value when it reduces the capital requirement. |
| R0700/C0080 | Diversification within market risk module – gross solvency capital requirement | This is the diversification effect within the market risk module as a result of the aggregation of the gross capital requirements (before loss absorbing capacity of technical provisions) of the single risk sub–modules.Diversification shall be reported as a negative value when it reduces the capital requirement. |
| Total solvency capital requirement for market risk | ||
| R0800/C0060 | Total market risk – Net solvency capital requirement | This is the total net capital charge for all market risks, after loss absorbing capacity of technical provisions, calculated using the standard formula. |
| R0800/C0080 | Total market risk – Gross solvency capital requirement | This is the total gross capital charge for all market risks, excluding loss absorbing capacity of technical provisions, calculated using the standard formula |
S.26.02 – Solvency Capital Requirement – Counterparty default risk
General comments
This section relates to annual submission of information for individual entities, ring-fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.02.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Article 112 | Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:1 – Article 112(7) reporting2 – Regular reporting |
| Z0020 | Ring Fenced Fund/Matching adjustment portfolios/Remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates. |
| R0010/C0010 | Simplifications | Identify whether an undertaking used simplifications for the calculation of counter party default risk. The options in the following closed list shall be used:3 – Simplification pooling arrangements, for the purposes of Article 1094 – Simplification grouping single name exposures, for the purposes of Article 1105 – Simplification of the LGD for reinsurance arrangements, Article 112a6 – Simplification for type 1 exposures, Article 112b7 – Simplification for the risk-mitigating effect of reinsurance arrangements, Article 1119 – Simplifications not usedOptions 3 to 7 may be used simultaneously.If R0010/C0010 = 4 or 6, for Type 1 exposures, only R0100/C0080 shall be filed in for R0100. |
| R0100/C0080 | Type 1 exposures – Gross solvency capital requirement | This is the gross capital charge (before the loss–absorbency capacity of technical provisions) for counterparty default risk arising from all Type 1 exposures.If R0010/C0010 = 4 or 6, this item represents the Gross solvency capital requirement using simplifications. |
| R0110–R0200/C0020 | Name of single name exposure | Describe the name of the 10 largest single exposures. |
| R0110–R0200/C0030 | Code of single name exposure | Identification code using the Legal Entity Identifier (LEI) if available.If not available this item shall not be reported |
| R0110–R0200/C0040 | Type of code of the single name exposure | Identification of the code used in item ‘Code of single name exposure’. One of the options in the following closed list shall be used:1 – LEI9 – None |
| R0110–R0200/C0050 | Type 1 exposures – Single name exposure X – Loss Given Default | The value of the Loss Given Default for each of the 10 largest single name exposures. |
| R0110–R0200/C0060 | Type 1 exposures – Single name exposure X – Probability of Default | The Probability of Default for each of the 10 largest single name exposures. |
| R0300/C0080 | Type 2 exposures – Gross solvency capital requirement | This is the gross capital charge (before the loss–absorbency capacity of technical provisions) for counterparty default risk arising from all Type 2 exposures, as defined for Solvency II purposes |
| R0310/C0050 | Type 2 exposures – Receivables from Intermediaries due for more than 3 months – Loss Given Default | This is the value of Loss Given Default for Type 2 counterparty risk arising from intermediaries due for more than 3 months. |
| R0320/C0050 | Type 2 exposures – All type 2 exposures other than receivables from Intermediaries due for more than 3 months – Loss Given Default | This is the value of Loss Given Default for Type 2 counterparty risk arising from all type 2 exposures other than receivables from Intermediaries due for more than 3 months. |
| R0330/C0080 | Diversification within counterparty default risk module – gross solvency capital requirement | This is the amount of gross diversification effects allowed in aggregation of capital requirements for counterparty default risk for Type 1 and Type 2 exposures. |
| R0400/C0070 | Total net solvency capital requirement for counterparty default risk | This is the total amount of the net capital charge (after the loss–absorbency capacity of technical provisions) for counterparty default risk. |
| R0400/C0080 | Total gross solvency capital requirement for counterparty default risk | This is the total amount of the gross capital charge (before the loss–absorbency capacity of technical provisions) for counterparty default risk. |
| Further details on mortgages | ||
| R0500/C0090 | Losses stemming from type 2 mortgage loans | Amount of the overall losses stemming from mortgage loans that has been classified as type 2 exposures according to Article 191(13) of Delegated Regulation (EU) 2015/35. |
| R0510/C0090 | Overall losses stemming from mortgage loans | Amount of the overall losses stemming from mortgage loans according to Article 191(13) of Delegated Regulation (EU) 2015/35. |
S.26.03 – Solvency Capital Requirements – Life underwriting risk
General comments:
This section relates to annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.03.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
All values shall be reported net of reinsurance and other risk mitigating techniques.
Amounts before and after shock shall be filled in with the amount of assets and liabilities sensitive to that shock. For the liabilities the assessment shall be done at the most granular level available between contract and homogeneous risk group. This means that if a contract/HRG is sensitive to a shock the amount of liabilities associated to that contract/HRG shall be reported as amount sensitive to that shock.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Article 112 | Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:1 – Article 112(7) reporting2 – Regular reporting |
| Z0020 | Ring–fenced fund, matching adjustment portfolio or remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates. |
| R0010/C0010 | Simplifications used: mortality risk | Identify whether an undertaking used simplifications for a calculation of mortality risk. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0010/C0010 = 1, only C0060 and C0080 shall be filled in for R0100. |
| R0020/C0010 | Simplifications used – longevity | Identify whether an undertaking used simplifications for the calculation of longevity risk. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0020/C0010 = 1, only C0060 and C0080 shall be filled in for R0200. |
| R0030/C0010 | Simplifications used: disability– morbidity risk — | Identify whether an undertaking used simplifications for the calculation of disability – morbidity risk. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0030/C0010 = 1, only C0060 and C0080 shall be filled in for R0300. |
| R0040/C0010 | Simplifications used: lapse risk | Identify whether an undertaking used simplifications for the calculation of lapse risk. The following options shall be used:1 – Simplification for the purposes of Article 952 – Simplification for the purposes of Article 95a9 – Simplifications not usedOptions 1 and 2 may be used simultaneously.If R0040/C0010 = 1, only C0060 and C0080 shall be filled in for R0400 to R0420. |
| R0050/C0010 | Simplifications used: life expense risk — | Identify whether an undertaking used simplifications for the calculation of life expense risk. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0050/C0010 = 1, only C0060 and C0080 shall be filled in for R0500. |
| R0060/C0010 | Simplifications used: life catastrophe risk | Identify whether an undertaking used simplifications for the calculation of life catastrophe risk. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0060/C0010 = 1, only C0060 and C0080 shall be filled in for R0700. |
| Life underwriting risk | ||
| R0100/C0020 | Initial absolute values before shock – Assets – Mortality risk | This is the absolute value of the assets sensitive to mortality risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0100/C0030 | Initial absolute values before shock – Liabilities – Mortality risk | This is the absolute value of liabilities sensitive to mortality risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0100/C0040 | Absolute values after shock – Assets – Mortality risk | This is the absolute value of the assets sensitive to mortality risk after the shock (i.e. permanent increase in mortality rates).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0100/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Mortality risk | This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to risk, after the shock (i.e. permanent increase in mortality rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0100/C0060 | Absolute value after shock – Net solvency capital requirement – Mortality risk | This is the net capital charge for mortality risk after the shock (after adjustment for the loss absorbing capacity of technical provisions).If R0010/C0010 = 1, this item represents net capital charge for mortality risk calculated using simplifications. |
| R0100/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Mortality risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to mortality risk, after the shock (permanent increase in mortality rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0100/C0080 | Absolute value after shock – Gross solvency capital requirement – Mortality risk | This is the gross capital charge for mortality risk. (before the loss absorbing capacity of technical provisions)If R0010/C0010 = 1, this item represents gross capital charge for mortality risk calculated using simplifications. |
| R0200/C0020 | Initial absolute values before shock – Assets – Longevity risk | This is the absolute value of the assets sensitive to longevity risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0200/C0030 | Initial absolute values before shock – Liabilities – Longevity risk | This is the absolute value of liabilities sensitive to longevity risk charge, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0200/C0040 | Absolute values after shock – Assets – Longevity risk | This is the absolute value of the assets sensitive to longevity risk, after the shock (i.e. permanent decrease in mortality rates).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0200/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Longevity risk | This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions sensitive to longevity risk, after the shock (i.e. permanent decrease in mortality rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0200/C0060 | Absolute value after shock – Net solvency capital requirement – Longevity risk | This is the net capital charge for longevity risk after the shock (after adjustment for the loss absorbing capacity of technical provisions).If R0020/C0010 = 1, this item represents net capital charge for longevity risk calculated using simplifications |
| R0200/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions)– Longevity risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to longevity risk charge, after the shock (permanent decrease in mortality rates.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0200/C0080 | Absolute value after shock – Gross solvency capital requirement – Longevity risk | This is the gross capital charge for longevity risk (before the loss absorbing capacity of technical provisions).If R0020/C0010 = 1, this item represents gross capital charge for longevity risk calculated using simplifications. |
| R0300/C0020 | Initial absolute values before shock – Assets – Disability – morbidity risk | This is the absolute value of the assets sensitive to disability – morbidity risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0300/C0030 | Initial absolute values before shock – Liabilities – Disability– morbidity risk | This is the absolute value of liabilities sensitive to disability – morbidity risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0300/C0040 | Absolute values after shock – Assets – Disability – morbidity risk | This is the absolute value of the assets sensitive to disability – morbidity risk, after the shock (i.e. as prescribed by standard formula: an increase in disability and morbidity rates which are used in calculation of technical provisions to reflect the disability and morbidity experience in the next following 12 months, and for all months after the following 12 months and a decrease in the disability and morbidity rates recovery rates used in the calculation of technical provisions in respect of next 12 months and for all year thereafter.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0300/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Disability – morbidity risk | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to disability – morbidity risk, after the shock (i.e. as prescribed by standard formula, see description provided in definition to cell R0300/C0040).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0300/C0060 | Absolute value after shock – Net solvency capital requirement – Disability – morbidity risk | This is the net capital charge for disability – morbidity risk, after adjustment for the loss absorbing capacity of technical provisions.If R0030/C0010 = 1, this item represents net capital charge for disability and morbidity risk calculated using simplifications. |
| R0300/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Disability – morbidity risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to disability – morbidity risk, after the shock (i.e. as prescribed by standard formula, see description provided in definition to cell R0300/C0040).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0300/C0080 | Absolute value after shock – Gross solvency capital requirement – Disability – morbidity risk | This is the gross capital charge for disability – morbidity risk (before the loss absorbing capacity of technical provisions).If R0030/C0010 = 1, this item represents gross capital charge for disability and morbidity risk calculated using simplifications. |
| R0400/C0060 | Absolute value after shock – Net solvency capital requirement – Lapse risk | This is the overall net capital charge for lapse risk, after adjustment for the loss absorbing capacity of technical provisions.If R0040/C0010 = 1, this item represents net capital charge for lapse risk calculated using simplifications. |
| R0400/C0080 | Absolute value after shock – Gross solvency capital requirement – Lapse risk | This is the overall gross capital charge (before the loss–absorbing capacity of technical provisions) for lapse risk.If R0040/C0010 = 1, this item represents gross capital charge for lapse risk calculated using simplifications. |
| R0410/C0020 | Initial absolute values before shock – Assets – Lapse risk– risk of increase in lapse rates | This is the absolute value of the assets sensitive to the risk of an increase in lapse rates, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0410/C0030 | Initial absolute values before shock – Liabilities – Lapse risk – risk of increase in lapse rates | This is the absolute value of liabilities sensitive to the risk of an increase in lapse rates, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0410/C0040 | Absolute values after shock – Assets – Lapse risk –risk of increase in lapse rates | This is the absolute value of the assets sensitive to the risk of an increase in lapse rates, after the shock (i.e. permanent increase in the lapse rates).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0410/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Lapse risk – risk of increase in lapse rates | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to the risk of an increase in lapse rates, after the shock (i.e. permanent increase in the lapse rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0410/C0060 | Absolute value after shock – Net solvency capital requirement – Lapse risk – risk of increase in lapse rates | This is the net capital charge for the risk of a permanent increase in lapse rates, after adjustment for the loss absorbing capacity of technical provisions.If R0040/C0010 = 1, this item represents net capital charge for a permanent increase in lapse rates, calculated using simplified calculation for lapse rate. |
| R0410/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions – Lapse risk – risk of increase in lapse rates) | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to the risk of a permanent increase in lapse rates, after the shock (permanent increase in lapse rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0410/C0080 | Absolute value after shock – Gross solvency capital requirement – Lapse risk – risk of increase lapse rates | This is the gross capital charge (before the loss–absorbing capacity of technical provisions) for the risk of a permanent increase in lapse rates.If R0040/C0010 = 1, this item represents gross capital charge for a permanent increase in lapse rates, calculated using simplified calculation for lapse rate. |
| R0420/C0020 | Initial absolute values before shock – Assets – Lapse risk – risk of decrease in lapse rates | This is the absolute value of the assets sensitive to the risk of a permanent decrease in lapse rates, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0420/C0030 | Initial absolute values before shock – Liabilities – Lapse risk – risk of decrease in lapse rates | This is the absolute value of liabilities sensitive to the risk of a permanent decrease in lapse rates, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0420/C0040 | Absolute values after shock – Assets – Lapse risk – risk of decrease in lapse rates | This is the absolute value of the assets sensitive to the risk of a permanent decrease in lapse rates, after the shock (i.e. permanent decrease in the rates of lapse rates).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0420/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Lapse risk – risk of decrease in lapse rates | This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to the risk of a permanent decrease in lapse rates, after the shock (i.e. permanent decrease of the rates of lapse rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0420/C0060 | Absolute value after shock – Net solvency capital requirement – Lapse risk – risk of decrease in lapse rates | This is the net capital charge for the risk of a permanent decrease in lapse rates, after adjustment for the loss absorbing capacity of technical provisions.If R0040/C0010 = 1, this item represents net capital charge for a permanent decrease in lapse rates, calculated using simplified calculation for lapse rate. |
| R0420/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions)– Lapse risk – risk of decrease in lapse rates | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to the risk of a permanent decrease in lapse rates, after the shock (permanent decrease in lapse rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0420/C0080 | Absolute value after shock – Gross solvency capital requirement – Lapse risk – risk of decrease in lapse rates | This is the gross capital charge for the risk of a decrease in lapse rates as used to compute the risk (before the loss absorbing capacity of technical provisions).If R0040/C0010 = 1, this item represents gross capital charge for a permanent decrease in lapse rates, calculated using simplified calculation for lapse rate |
| R0430/C0020 | Initial absolute values before shock – Assets – Lapse risk– mass lapse risk | This is the absolute value of the assets sensitive to mass lapse risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0430/C0030 | Initial absolute values before shock – Liabilities – Lapse risk –mass lapse risk | This is the absolute value of liabilities sensitive to mass lapse risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0430/C0040 | Absolute values after shock – Assets – Lapse risk – mass lapse risk | This is the absolute value of the assets sensitive to mass lapse risk charge, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0430/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Lapse risk – mass lapse risk | This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to mass lapse risk charge, after the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0430/C0060 | Absolute value after shock – Net solvency capital requirement – Lapse risk – mass lapse risk | This is the net capital charge for mass lapse risk, after adjustment for the loss absorbing capacity of technical provisions. |
| R0430/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions)– Lapse risk – mass lapse risk | This is the absolute value of the liabilities sensitive to mass lapse risk charge, after the shock (before the loss absorbing capacity of technical provisions).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0430/C0080 | Absolute value after shock – Gross solvency capital requirement – Lapse risk – mass lapse risk | This is the gross capital charge for mass lapse risk, after the shock (before the loss absorbing capacity of technical provisions). |
| R0500/C0020 | Initial absolute values before shock – Assets – Life – expense risk | This is the absolute value of the assets sensitive to life – expense risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0500/C0030 | Initial absolute values before shock – Liabilities – Life – expense risk | This is the absolute value of liabilities sensitive to life –expense risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0500/C0040 | Absolute values after shock – Assets – Life – expense risk | This is the absolute value of the assets sensitive to life expense risk, after the shock (i.e. shock as prescribed by standard formula: a 10 % increase the amount of expenses taken into account in the calculation of technical provisions and increase in 1 percentage point to the expense inflation rate (expressed as a percentage) used for the calculation of technical provision).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0500/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Life – expense risk | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to expense risk, after the shock (i.e. a shock. as prescribed by standard formula, refer to description provided within definition to cell R0500/C0040).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0500/C0060 | Absolute value after shock – Net solvency capital requirement – Life expense risk | This is the net capital charge for expense risk, including adjustment for the loss absorbing capacity of technical provisions.If R0050 = 1, this cell represents net capital charge for life expense risk calculated using simplified calculation. |
| R0500/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Life – expense risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to expense risk, after the shock (i.e. shock as prescribed by standard formula, refer to description provided within definition to cell R0500/C0040).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0500/C0080 | Absolute value after shock – Gross solvency capital requirement – Life –expense risk | This is the gross capital charge for expense risk (before the loss absorbing capacity of technical provisions).If R0050/C0010 = 1, this cell represents gross capital charge for life expense risk calculated using simplified calculations. |
| R0600/C0020 | Initial absolute values before shock – Assets – Revision risk | This is the absolute value of the assets sensitive to revision risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0600/C0030 | Initial absolute values before shock – Liabilities – Revision risk | This is the absolute value of liabilities sensitive to revision risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0600/C0040 | Absolute values after shock – Assets – Revision risk | This is the absolute value of the assets sensitive to revision risk, after the shock (i.e. shock as prescribed by standard formula: a % increase in the amount of annuity benefits taken into account in the calculation of technical provisions.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0600/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Revision risk | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to revision risk charge, after the shock (i.e. as prescribed by standard formula, refer to a definition in item R0600/C0040).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0600/C0060 | Absolute value after shock – Net solvency capital requirement – Revision risk | This is the net capital charge for revision risk after adjustment for the loss absorbing capacity of technical provisions. |
| R0600/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Revision risk | This is the absolute value of the liabilities (excluding the loss–absorbing capacity of technical provisions) underlying revision risk charge, after the shock ((i.e. shock as prescribed by standard formula, refer to a definition provided in item R0600/C0040), as used to compute the risk.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0600/C0080 | Absolute value after shock – Gross solvency capital requirement – Revision risk | This is the gross capital charge (before the loss–absorbing capacity of technical provisions) for revision risk. |
| R0700/C0020 | Initial absolute values before shock – Assets – Life Catastrophe risk | This is the absolute value of the assets sensitive to life catastrophe risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0700/C0030 | Initial absolute values before shock – Liabilities – Life Catastrophe risk | This is the absolute value of liabilities sensitive to life catastrophe risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0700/C0040 | Absolute values after shock – Assets – Life Catastrophe risk | This is the absolute value of the assets sensitive to life catastrophe risk, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0700/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Life catastrophe risk | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to life catastrophe risk charge, after the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0700/C0060 | Absolute value after shock – Net solvency capital requirement – life catastrophe risk | This is the net capital charge for life catastrophe risk after adjustment for the loss absorbing capacity of technical provisions.If R0060/C0010 = 1, this item represents net capital charge for life catastrophe risk calculated using simplified calculations. |
| R0700/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – life catastrophe risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to life catastrophe risk, after the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0700/C0080 | Absolute value after shock – Gross solvency capital requirement – life catastrophe risk | This is the gross capital charge for life catastrophe risk (before the loss absorbing capacity of technical provisions).If R0060/C0010 = 1, this item represents gross capital charge for life catastrophe risk calculated using simplified calculations. |
| R0800/C0060 | Diversification within life underwriting risk module – Net | This is the diversification effect within the life underwriting risk module as a result of the aggregation of the net capital requirements (after adjustment for the loss absorbing capacity of technical provisions) of the single risk sub–modules.Diversification shall be reported as a negative value if they reduce the capital requirement. |
| R0800/C0080 | Diversification within life underwriting risk module – Gross | This is the diversification effect within the life underwriting risk module as a result of the aggregation of the gross capital requirements (before the loss absorbing capacity of technical provisions) of the single risk sub–modules.Diversification shall be reported as a negative value if they reduce the capital requirement. |
| R0900/C0060 | Total net solvency capital requirement for life underwriting risk | This is the total net capital charge for life underwriting risk, after adjustment for the loss absorbing capacity of technical provisions. |
| R0900/C0080 | Total gross solvency capital requirement for life underwriting risk | This is the total gross capital charge for life underwriting risk, before the loss absorbing capacity of technical provisions. |
| Further details on revision risk | ||
| R1000/C0090 | USP – Factors applied for the revision risk shock | Revision shock – undertaking specific parameter (‘USP’) as calculated by the undertaking and approved by the supervisory authority.This item is not reported where no undertaking specific parameter is used. |
S.26.04 – Solvency Capital Requirement – Health underwriting risk
General Comments:
This section relates to annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.04.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
All values shall be reported net of reinsurance and other risk mitigating techniques.
Amounts before and after shock shall be filled in with the amount of assets and liabilities sensitive to that shock. For the liabilities the assessment shall be done at the most granular level available between contract and homogeneous risk group. This means that if a contract/HRG is sensitive to a shock the amount of liabilities associated to that contract/HRG shall be reported as amount sensitive to that shock.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Article 112 | Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:1 – Article 112(7) reporting2 – Regular reporting |
| Z0020 | Ring–fenced fund, matching adjustment portfolio or remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates. |
| R0010/C0010 | Simplifications used – health mortality risk | Identify whether an undertaking used simplifications for the calculation of health mortality risk. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0010/C0010 = 1, only C0060 and C0080 shall be filled in for R0100. |
| R0020/C0010 | Simplifications used – health longevity risk | Identify whether an undertaking used simplifications for the calculation of health longevity risk. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0020/C0010 = 1, only C0060 and C0080 shall be filled in for R0200. |
| R0030/C0010 | Simplifications used: health disability– morbidity risk – Medical expense | Identify whether an undertaking used simplifications for the calculation of health disability morbidity risk – Medical expense. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0030/C0010 = 1, only C0060/R0310 and C0080/R0310 shall be filled in. R0320 and R0330 shall not be filled in. |
| R0040/C0010 | Simplifications used: health disability– morbidity risk – Income protection | Identify whether an undertaking used simplifications for the calculation of health disability morbidity risk – Income protection. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0040/C0010 = 1, only C0060 and C0080 shall be filled in for R0340. |
| R0050/C0010 | Simplifications used: SLT lapse risk | Identify whether an undertaking used simplifications for the calculation of lapse risk. The following options shall be used:1 – Simplification for the purposes of Article 1022 – Simplification for the purposes of Article 102a9 – Simplifications not usedOptions 1 and 2 may be used simultaneously.If R0050/C0010 = 1, only C0060 and C0080 shall be filled in for R0400 to R0420. |
| R0051/C0010 | Simplifications – NSLT lapse risk | Identify whether an undertaking used simplifications for the calculation of lapse risk. The following options shall be used:1 – Simplification for the purposes of Article 96a9 – Simplifications not used |
| R0060/C0010 | Simplifications used: health expense risk | Identify whether an undertaking used simplifications for the calculation of health expense risk. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0060/C0010 = 1, only C0060 and C0080 shall be filled in for R0500. |
| SLT health underwriting risk | ||
| R0100/C0020 | Initial absolute values before shock – Assets – Health mortality risk | This is the absolute value of the assets sensitive to health mortality risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0100/C0030 | Initial absolute values before shock – Liabilities – Health mortality risk | This is the absolute value of liabilities sensitive to health mortality risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0100/C0040 | Absolute values after shock – Assets – Health mortality risk | This is the absolute value of the assets sensitive to health mortality risk charge, after the shock (i.e. permanent increase in mortality rates).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0100/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Health mortality risk | This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to health mortality risk charge, after the shock (i.e. permanent increase in mortality rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0100/C0060 | Absolute value after shock – Net solvency capital requirement – Health mortality risk | This is the net capital charge for health mortality risk, after adjustment for the loss absorbing capacity of technical provisions.If R0010/C0010 = 1, this item represents net capital charge for health mortality risk calculated using simplifications. |
| R0100/C0070 | Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health mortality risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to health mortality risk charge, after the shock (permanent increase in mortality rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0100/C0080 | Absolute value after shock – Gross solvency capital requirement – Health mortality risk | This is the gross capital charge (before the loss absorbing capacity of technical provisions) for health mortality risk.If R0010/C0010 = 1, this item represents gross capital charge for health mortality risk calculated using simplifications. |
| R0200/C0020 | Initial absolute values before shock – Assets – Health longevity risk | This is the absolute value of the assets sensitive to health longevity risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0200/C0030 | Initial absolute values before shock – Liabilities – Health longevity risk | This is the absolute value of liabilities sensitive to health longevity risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0200/C0040 | Absolute values after shock – Assets – Health longevity risk | This is the absolute value of the assets sensitive to health longevity risk after the shock (i.e. permanent decrease in mortality rates).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0200/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Health longevity risk | This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to health longevity risk, after the shock (i.e. permanent decrease in mortality rates.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0200/C0060 | Absolute value after shock – Net solvency capital requirement – Health longevity risk | This is the net capital charge for health longevity risk, after adjustment for the loss absorbing capacity of technical provisions.If R0020/C0010 = 1, this item represents net capital charge for health longevity risk calculated using simplifications. |
| R0200/C0070 | Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health longevity risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to health longevity risk, after the shock (permanent decrease in mortality rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0200/C0080 | Absolute value after shock – Gross solvency capital requirement – Health longevity risk | This is the gross capital charge (before the loss absorbing capacity of technical provisions) for health longevity risk.If R0020/C0010 = 1, this item represents gross capital charge for health longevity risk calculated using simplifications. |
| R0300/C0060 | Absolute value after shock – Net solvency capital requirement –Health disability – morbidity risk | This is the net capital charge for health disability – morbidity risk, after adjustment for the loss absorbing capacity of technical provisions. |
| R0300/C0080 | Absolute value after shock – Gross solvency capital requirement – Health disability – morbidity risk | This is the gross capital charge (before the loss absorbing capacity of technical provisions) for health disability – morbidity risk. |
| R0310/C0060 | Absolute value after shock – Net solvency capital requirement –Health disability – morbidity risk – Medical expense | This is the net capital charge for health disability – morbidity risk – Medical expense, after adjustment for the loss absorbing capacity of technical provisions.If R0030/C0010 = 1, this item represents net capital charge for health disability – morbidity risk – Medical expense calculated using simplifications. |
| R0310/C0080 | Absolute value after shock – Gross solvency capital requirement – Health disability – morbidity risk – Medical expense | This is the gross capital charge (before the loss absorbing capacity of technical provisions) for health disability – morbidity risk – Medical expense.If R0030/C0010 = 1, this item represents gross capital charge for health disability – morbidity risk – Medical expense calculated using simplifications. |
| R0320/C0020 | Initial absolute values before shock – Assets – Health disability – morbidity risk – Medical expense – increase of medical payments | This is the absolute value of the assets sensitive to health disability – morbidity risk – Medical expense charge due to an increase of medical payments, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell.If R0030/C0010 = 1, this row shall not be filled in. |
| R0320/C0030 | Initial absolute values before shock – Liabilities – Health disability – morbidity risk – Medical expense – increase of medical payments | This is the absolute value of liabilities sensitive to health disability – morbidity risk – Medical expense charge due to an increase of medical payments, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.If R0030/C0010 = 1, this row shall not be filled in. |
| R0320/C0040 | Absolute values after shock – Assets – Health disability – morbidity risk – Medical expense – increase of medical payments | This is the absolute value of the assets sensitive to health disability – morbidity risk – Medical expense charge due to an increase of medical payments, after the shock (i.e. as prescribed by standard formula).Recoverables from reinsurance and SPVs shall not be included in this cell.If R0030/C0010 = 1, this row shall not be filled in. |
| R0320/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Health disability – morbidity risk – Medical expense – increase of medical payments | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to health disability – morbidity risk – Medical expense charge due to an increase of medical payments, after the shock (i.e. as prescribed by standard formula).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.If R0030/C0010 = 1, this row shall not be filled in. |
| R0320/C0060 | Absolute value after shock – Net solvency capital requirement –Health disability – morbidity risk – Medical expense – increase of medical payments | This is the net capital charge for health disability – morbidity risk – Medical expense – increase of medical payments, after adjustment for the loss absorbing capacity of technical provisions.If R0030/C0010 = 1, this row shall not be filled in. |
| R0320/C0070 | Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health disability – morbidity risk – Medical expense – increase of medical payments | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) underlying health disability – morbidity risk – Medical expense charge expenses – increase of medical payments, after the shock (i.e. as prescribed by standard formula) as used to compute the risk.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.If R0030/C0010 = 1, this row shall not be filled in. |
| R0320/C0080 | Absolute value after shock – Gross solvency capital requirement – Health disability – morbidity risk – Medical expense – increase of medical payments | This is the gross capital charge (before the loss absorbing capacity of technical provisions) for health disability – morbidity risk – Medical expense – increase of medical payments.If R0030/C0010 = 1, this row shall not be filled in. |
| R0330/C0020 | Initial absolute values before shock – Assets – Health disability – morbidity risk – Medical expense – decrease of medical payments | This is the absolute value of the assets sensitive to health disability – morbidity risk – Medical expense charge due to a decrease of medical payments, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell.If R0030/C0010 = 1, this row shall not be filled in. |
| R0330/C0030 | Initial absolute values before shock – Liabilities – Health disability – morbidity risk – Medical expense – decrease of medical payments | This is the absolute value of liabilities sensitive to health disability – morbidity risk – Medical expense charge due to a decrease of medical payments, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.If R0030/C0010 = 1, this row shall not be filled in. |
| R0330/C0040 | Absolute values after shock – Assets – Health disability – morbidity risk – Medical expense – decrease of medical payments | This is the absolute value of the assets sensitive to health disability – morbidity risk – Medical expense charge due to a decrease of medical payments, after the shock (i.e. as prescribed by standard formula).Recoverables from reinsurance and SPVs shall not be included in this cell.If R0030/C0010 = 1, this row shall not be filled in. |
| R0330/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Health disability – morbidity risk – Medical expense – decrease of medical payments | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to health disability – morbidity risk – Medical expense charge due to a decrease of medical payments, after the shock (i.e. as prescribed by standard formula).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.If R0030/C0010 = 1, this row shall not be filled in. |
| R0330/C0060 | Absolute value after shock – Net solvency capital requirement –Health disability – morbidity risk – Medical expense – decrease of medical payments | This is the net capital charge for health disability – morbidity risk – Medical expense – decrease of medical payments, after adjustment for the loss absorbing capacity of technical provisions.If R0030/C0010 = 1, this row shall not be filled in. |
| R0330/C0070 | Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health disability – morbidity risk – Medical expense – decrease of medical payments | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) underlying health disability – morbidity risk – Medical expense charge – decrease of medical payments, after the shock (i.e. as prescribed by standard formula) as used to compute the risk.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.If R0030/C0010 = 1, this row shall not be filled in. |
| R0330/C0080 | Absolute value after shock – Gross solvency capital requirement – Health disability – morbidity risk – Medical expense – increase of medical payments | This is the gross capital charge (before the loss absorbing capacity of technical provisions) for health disability – morbidity risk – Medical expense – decrease of medical payments.If R0030/C0010 = 1, this row shall not be filled in. |
| R0340/C0020 | Initial absolute values before shock – Assets – Health disability – morbidity risk – Income protection | This is the absolute value of the assets sensitive to health disability – morbidity risk – Income protection, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0340/C0030 | Initial absolute values before shock – Liabilities – Health disability – morbidity risk – Income protection | This is the absolute value of liabilities sensitive to health disability – morbidity risk – Income protection charge, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0340/C0040 | Absolute values after shock – Assets – Health disability – morbidity risk – Income protection | This is the absolute value of the assets sensitive to health disability – morbidity risk – Income protection charge, after the shock (i.e. as prescribed by standard formula).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0340/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Health disability – morbidity risk – Income protection | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to health disability – morbidity risk – Income protection, after the shock (i.e. as prescribed by standard formula).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0340/C0060 | Absolute value after shock – Net solvency capital requirement –Health disability – morbidity risk – Income protection | This is the net capital charge for health disability – morbidity risk – Income protection, after adjustment for the loss absorbing capacity of technical provisions.If R0040/C0010 = 1, this item represents net capital charge for health disability – morbidity risk – Income protection calculated using simplifications. |
| R0340/C0070 | Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health disability – morbidity risk – Income protection | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) underlying health disability – morbidity risk – Income protection charge, after the shock (i.e. as prescribed by standard formula) as used to compute the risk.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0340/C0080 | Absolute value after shock – Gross solvency capital requirement – Health disability – morbidity risk – Income protection | This is the gross capital charge (before the loss absorbing capacity of technical provisions) for health disability – morbidity risk – Income protection.If R0040/C0010 = 1, this item represents gross capital charge for health disability – morbidity risk – Income protection calculated using simplifications. |
| R0400/C0060 | Absolute value after shock – Net solvency capital requirement – SLT Health lapse risk | This is the overall net capital charge for SLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, after adjustment for the loss absorbing capacity of technical provisions |
| R0400/C0080 | Absolute value after shock – Gross solvency capital requirement – SLT Health lapse risk | This is the overall gross capital charge (before the loss absorbing capacity for technical provisions) for SLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35. |
| R0410/C0020 | Initial absolute values before shock – Assets – SLT health lapse risk– risk of increase in lapse | This is the absolute value of the assets sensitive to the risk of an increase in lapse rates, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0410/C0030 | Initial absolute values before shock – Liabilities – SLT health lapse risk – risk of increase in lapse | This is the absolute value of liabilities sensitive to the risk of an increase in lapse rates, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0410/C0040 | Absolute values after shock – Assets – SLT health lapse risk –risk of increase in lapse | This is the absolute value of the assets sensitive to the risk of an increase in lapse rates after the shock (i.e. permanent increase in the rates of lapse).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0410/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – SLT health lapse risk –risk of increase in lapse | This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to the risk of an increase in lapse rates, after the shock (i.e. permanent increase of the rates of lapse).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0410/C0060 | Absolute value after shock – Net solvency capital requirement – SLT health lapse risk –risk of increase in lapse | This is the net capital charge for the risk of a permanent increase in lapse rates, after adjustment for the loss absorbing capacity of technical provisions.If R0050/C0010 = 1, this item represents net capital charge for a permanent increase in SLT health lapse rates referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, calculated using simplified calculation for SLT health lapse rate. |
| R0410/C0070 | Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – SLT health lapse risk – risk of increase in lapse | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) underlying the risk of a permanent increase in lapse rates, after the shock (permanent increase in lapse rates) as used to compute the risk.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0410/C0080 | Absolute value after shock – Gross solvency capital requirement – SLT health lapse risk –risk of increase in lapse | This is the gross capital charge (excluding the loss absorbing capacity for technical provisions) for the risk of a permanent increase in lapse rates.If R0050/C0010 = 1, this item represents gross capital charge for a permanent increase in lapse rates, calculated using simplified calculation for SLT health lapse rate referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35. |
| R0420/C0020 | Initial absolute values before shock – Assets – SLT health lapse risk– risk of decrease in lapse | This is the absolute value of the assets sensitive to the risk of a permanent decrease in lapse rates, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0420/C0030 | Initial absolute values before shock – Liabilities – SLT health lapse risk – risk of decrease in lapse | This is the absolute value of liabilities sensitive to the risk of a permanent decrease in lapse rates, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0420/C0040 | Absolute values after shock – Assets – SLT health lapse risk –risk of decrease in lapse | This is the absolute value of the assets sensitive to the risk of a permanent decrease in lapse rates, after the shock (i.e. permanent decrease in the rates of lapse).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0420/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – SLT health lapse risk –risk of decrease in lapse | This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to the risk of a permanent decrease in lapse rates, after the shock (i.e. permanent decrease of the rates of lapse).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0420/C0060 | Absolute value after shock – Net solvency capital requirement– SLT health lapse risk –risk of decrease in lapse | This is the net capital charge for the risk of a permanent decrease in lapse rates, after adjustment for the loss absorbing capacity of technical provisions.If R0050/C0010 = 1, this item represents net capital charge for a permanent decrease in SLT health rates referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, calculated using simplified calculation for SLT health lapse rate. |
| R0420/C0070 | Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – SLT health lapse risk –risk of decrease in lapse | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to the risk of a permanent decrease in lapse rates, after the shock (permanent decrease in lapse rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0420/C0080 | Absolute value after shock – Gross solvency capital requirement – SLT health lapse risk – risk of decrease in lapse | This is the gross capital charge (before the loss absorbing capacity for technical provisions) for the risk of a permanent decrease in lapse rates.If R0050/C0010 = 1, this item represents gross capital charge for a permanent decrease in SLT health rates referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, calculated using simplified calculation for SLT health lapse rate. |
| R0430/C0020 | Initial absolute values before shock – Assets – SLT health lapse risk– mass lapse risk | This is the absolute value of the assets sensitive to mass lapse risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0430/C0030 | Initial absolute values before shock – Liabilities – SLT health lapse risk –mass lapse risk | This is the absolute value of liabilities sensitive to mass lapse risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0430/C0040 | Absolute values after shock – Assets – SLT health lapse risk – mass lapse risk | This is the absolute value of the assets sensitive to mass lapse risk, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0430/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – SLT health lapse risk – mass lapse risk | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to mass lapse risk, after the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0430/C0060 | Absolute value after shock – Net solvency capital requirement – SLT health lapse risk – mass lapse risk | This is the net capital charge for SLT health lapse risk – mass lapse risk, after adjustment for the loss absorbing capacity of technical provisions. |
| R0430/C0070 | Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health lapse risk – mass lapse risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to mass lapse risk, after the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0430/C0080 | Absolute value after shock – Gross solvency capital requirement – SLT health lapse risk – mass lapse risk | This is the gross capital charge (excluding the loss absorbing capacity for technical provisions) for SLT health lapse risk – mass lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35. |
| R0500/C0020 | Initial absolute values before shock – Assets – Health expense risk | This is the absolute value of the assets sensitive to expense risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0500/C0030 | Initial absolute values before shock – Liabilities – Health expense risk | This is the absolute value of liabilities sensitive to expense risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0500/C0040 | Absolute values after shock – Assets – Health expense risk | This is the absolute value of the assets sensitive to health expense risk, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0500/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Health expense risk | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to health expense risk, after the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0500/C0060 | Absolute value after shock – Net solvency capital requirement – Health expense risk | This is the net capital charge for health expense risk, after adjustment for the loss absorbing capacity of technical provisions.If R0060/C0010 = 1, this item represents net capital charge for health expense risk calculated using simplified calculations. |
| R0500/C0070 | Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health expense risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to expense risk charge, after the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0500/C0080 | Absolute value after shock – Gross solvency capital requirement – Health expense risk | This is the gross capital charge (excluding the loss absorbing capacity of technical provisions) for health expense risk.If R0060/C0010 = 1, this item represents gross capital charge for health expense risk calculated using simplified calculations. |
| R0600/C0020 | Initial absolute values before shock – Assets – Health revision risk | This is the absolute value of the assets sensitive to health revision risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0600/C0030 | Initial absolute values before shock – Liabilities –Health revision risk | This is the absolute value of liabilities sensitive to health revision risk charge, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0600/C0040 | Absolute values after shock – Assets – Health revision risk | This is the absolute value of the assets sensitive to health revision risk, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0600/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Health revision risk | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to health revision risk, after the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0600/C0060 | Absolute value after shock – Net solvency capital requirement – Health revision risk | This is the net capital charge for health revision risk, after adjustment for the loss absorbing capacity of technical provisions. |
| R0600/C0070 | Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health revision risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to health revision risk charge, after the shock (i.e. as prescribed by standard formula, a % increase in the annual amount payable for annuities exposed to revision risk).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0600/C0080 | Absolute value after shock – Gross solvency capital requirement – Health revision risk | This is the gross capital charge (before the loss absorbing capacity of technical provisions) for health revision risk. |
| R0700/C0060 | Diversification within SLT health underwriting risk module – Net | This is the diversification effect within the SLT health underwriting risk module referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, as a result of the aggregation of the net capital requirements (after adjustment for the loss absorbing capacity of technical provisions) of the single risk sub–modules.Diversification shall be reported as a negative value if they reduce the capital requirement. |
| R0700/C0080 | Diversification within SLT health underwriting risk module – Gross | This is the diversification effect within the SLT health underwriting risk module referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, as a result of the aggregation of the gross capital requirements (before the loss absorbing capacity of technical provisions) of the single risk sub–modules.Diversification shall be reported as a negative value if they reduce the capital requirement. |
| R0800/C0060 | Net solvency capital requirement – SLT health underwriting risk | This is the total net capital charge for SLT health underwriting risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, after adjustment of the loss absorbing capacity of technical provisions. |
| R0800/C0080 | Gross solvency capital – SLT health underwriting risk | This is the total gross capital charge for SLT health underwriting risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, before adjustment of the loss absorbing capacity of technical provisions. |
| Further details on revision risk | ||
| R0900/C0090 | Revision shock USP | Revision shock – undertaking specific parameter as calculated by the undertaking and approved by the supervisory authority.This item is not reported where no undertaking specific parameter is used. |
| NSLT Health premium and reserve risk | ||
| R1000–R1030/C0100 | Standard deviation for premium risk – USP | This is the undertaking specific standard deviation for premium risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance as calculated by the undertaking and approved or prescribed by the supervisory authority.This item is not reported where no undertaking specific parameter is used. |
| R1000–R1030/C0110 | USP Standard Deviation gross/net | Identify if the USP standard Deviation was applied gross or net. One of the options in the following closed list shall be used:1 – USP gross2 – USP net |
| R1000–R1030/C0120 | Standard deviation for premium risk – USP – Adjustment factor for non – proportional reinsurance | This is the undertaking specific adjustment factor for non–proportional reinsurance of each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, which allows undertakings to take into account the risk–mitigating effect of particular per risk excess of loss (‘XL’) reinsurance – as calculated by the undertaking and approved or prescribed by the supervisory authority.Where no undertaking specific parameter is used, this cell shall be left blank. |
| R1000–R1030/C0130 | Standard deviation for reserve risk – USP | This is the undertaking specific standard deviation for reserve risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance as calculated by the undertaking and approved or prescribed by the supervisory authority.This item is not reported where no undertaking specific parameter is used. |
| R1000–R1030/C0140 | Volume measure for premium and reserve risk – volume measure for premium risk: Vprem | The volume measure for premium risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance. |
| R1000–R1030/C0150 | Volume measure for premium and reserve risk –Volume measure reserve risk: Vres | The volume measure for reserve risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance. |
| R1000–R1030/C0160 | Volume measure for premium and reserve risk – Geographical Diversification | This represents the geographical diversification to be used for the volume measure for premium and reserve risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance.If the factor for geographical diversification is not calculated, then this item is set to the default value of 1. |
| R1000–R1030/C0170 | Volume measure for premium and reserve risk – V | The volume measure for NSLT health premium and reserve risk referred to in Title I Chapter V Sections 4 and 12 of Delegated Regulation (EU) 2015/35, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance. |
| R1040/C0170 | Total Volume measure for premium and reserve risk | The total volume measure for premium and reserve risk, equal to the sum of the volume measures for premium and reserve risk for all lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| R1050/C0100 | Combined standard deviation | This is the combined standard deviation for premium and reserve risk for all segments. |
| R1100/C0180 | Solvency capital requirement – NSLT health premium and reserve risk | This is the total capital charge for the NSLT health premium and reserve risk sub module referred to in Title I Chapter V Sections 4 and 12 of Delegated Regulation (EU) 2015/35. |
| R1200/C0190 | Initial absolute values before shock – Assets – Lapse risk | This is the absolute value of the assets sensitive to the NSLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R1200/C0200 | Initial absolute values before shock – Liabilities – Lapse risk | This is the absolute value of liabilities sensitive to the NSLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, before the shock.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R1200/C0210 | Absolute values after shock – Assets – Lapse risk | This is the absolute value of the assets sensitive to the NSLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R1200/C0220 | Absolute values after shock Liabilities – Lapse risk | This is the absolute value of the liabilities sensitive to lapse risk, after the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R1200/C0230 | Absolute value after shock– Solvency capital requirement – Lapse risk | This is the capital charge for NSLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35. |
| R1300/C0240 | Diversification within NSLT health underwriting risk – gross | This is the diversification effect within the NSLT health underwriting risk sub–module referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, as a result of the aggregation of the capital requirements for NSLT health premium and reserve risk and NSLT health lapse risk.Diversification shall be reported as a negative value if they reduce the capital requirement. |
| R1400/C0240 | Total solvency capital requirement for NSLT health underwriting | This is the total capital charge for the NSLT health underwriting risk sub module referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35. |
| Health catastrophe risk | ||
| R1500/C0250 | Net solvency capital requirement for health catastrophe risks – Mass accident risk sub module | The net solvency capital requirement for the mass risk sub–module calculated after loss absorbing capacity of technical provisions |
| R1500/C0260 | Gross solvency capital requirement for health catastrophe risks – Mass accident risk sub module | The gross solvency capital requirement for the mass risk sub–module, calculated before loss absorbing capacity of technical provisions. |
| R1510/C0250 | Net solvency capital requirement for health catastrophe risks – Accident concentration risk | The net solvency capital requirement for the accident concentration risk sub–module, calculated after loss absorbing capacity of technical provisions. |
| R1510/C0260 | Gross solvency capital requirement for health catastrophe risks– Accident concentration risk | The gross solvency capital requirement for the accident concentration risk sub–module calculated before loss absorbing capacity of technical provisions. |
| R1520/C0250 | Net solvency capital requirement for health catastrophe risks – Pandemic risk | The net solvency capital requirement for the pandemic risk sub–module, calculated after loss absorbing capacity of technical provisions. |
| R1520/C0260 | Gross solvency capital requirement for health catastrophe risks – Pandemic risk | The gross solvency capital requirement for the pandemic risk sub–module is calculated before loss absorbing capacity of technical provisions. |
| R1530/C0250 | Diversification within health catastrophe risk – Net | This is the diversification effect within the health catastrophe risk sub–module as a result of the aggregation of the capital requirements for the risks of a mass accident, accident concentration and pandemic risk, calculated after loss absorbing capacity of technical provisions. |
| R1530/C0260 | Diversification within health catastrophe risk – Gross | This is the diversification effect within the health catastrophe risk sub–module as a result of the aggregation of the capital requirements for the risks of a mass accident, accident concentration and pandemic risk, calculated after loss absorbing capacity of technical provisions. |
| R1540/C0250 | Total net solvency capital requirement for health catastrophe risk | This is the total net capital charge (after loss absorbing capacity of technical provisions) for the health catastrophe risk sub–module. |
| R1540/C0260 | Total gross solvency capital requirement for health catastrophe risk | This is the total gross capital charge for the health catastrophe risk sub – module (before loss absorbing capacity of technical provisions). |
| Total health underwriting risk | ||
| R1600/C0270 | Diversification within health underwriting risk module – Net | This is the diversification effect within the health underwriting risk sub–module as a result of the aggregation of the capital requirements SLT health underwriting risk sub–module, NSLT health underwriting risk sub–module and health catastrophe risk sub–module, referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, calculated after loss absorbing capacity of technical provision. |
| R1600/C0280 | Diversification within health underwriting risk module – Gross | This is the diversification effect within the health underwriting risk sub–module as a result of the aggregation of the capital requirements SLT health underwriting risk sub–module, NSLT health underwriting risk sub–module and health catastrophe risk sub–module, referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, calculated before loss absorbing capacity of technical provisions. |
| R1700/C0270 | Total net solvency capital requirement for health underwriting risk | This is the total net solvency capital requirement for the health underwriting risk module. |
| R1700/C0280 | Total gross solvency capital requirement for health underwriting risk | This is the total gross solvency capital requirement for the health underwriting risk module. |
S.26.05 – Solvency Capital Requirement – Non–Life underwriting risk
General comments:
This section relates to annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.05.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
All values shall be reported net of reinsurance and other risk mitigating techniques.
Amounts before and after shock shall be filled in with the amount of assets and liabilities sensitive to that shock. For the liabilities the assessment shall be done at the most granular level available between contract and homogeneous risk group. This means that if a contract/HRG is sensitive to a shock the amount of liabilities associated to that contract/HRG shall be reported as amount sensitive to that shock.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Article 112 | Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:1 – Article 112(7) reporting2 – Regular reporting |
| Z0020 | Ring–fenced fund, matching adjustment portfolio or remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates. |
| R0010/C0010 | Captives simplifications – non life premium and reserve risk | Identify whether a captive undertaking used simplifications for the calculation of non–life premium and reserve risk. One of the options in the following closed list shall be used:1 – Simplifications used2 – Simplifications not usedIf R0010/C0010 = 1, only C0060, C0070 and C0090 shall be filled in for R0100 – R0230. |
| R0011/C0010 | Simplifications used – non-life lapse risk | Identify whether an undertaking used simplifications for the calculation of non-life underwriting risk. The following options shall be used:1 – Simplification for the purposes of Article 90a9 – Simplification not used |
| Non–life premium and Reserve Risk | ||
| R0100–R0210/C0020 | Standard deviation for premium risk – USP Standard Deviation | This is the undertaking specific standard deviation for premium risk for each segment as calculated by the undertaking and approved or prescribed by the supervisory authority.This item is not reported where no undertaking specific parameter is used. |
| R0100–R0210/C0030 | USP Standard Deviation gross/net | Identify if the USP standard Deviation was applied gross or net. One of the options in the following closed list shall be used:1 – USP gross2 – USP net |
| R0100–R0210/C0040 | Standard deviation for premium risk – USP – Adjustment factor for non – proportional reinsurance | This is the undertaking specific adjustment factor for non – proportional reinsurance of each segment allows undertakings to take into account the risk – mitigating effect of particular per risk excess of loss reinsurance – as calculated by the undertaking and approved or prescribed by the supervisory authority.This item is not reported where no undertaking specific parameter is used. |
| R0100–R0210/C0050 | Standard deviation for reserve risk – USP | This is the undertaking specific standard deviation for reserve risk each segment as calculated by the undertaking and approved or prescribed by the supervisory authority.This item is not reported where no undertaking specific parameter is used. |
| R0100–R0210/C0060 | Volume measure for premium and reserve risk – volume measure for premium risk: Vprem | The volume measure for premium risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| R0100–R0210/C0070 | Volume measure for premium and reserve risk –Volume measure reserve risk: Vres | The volume measure for reserve risk for each segment, equal to the best estimate for the provisions for claims outstanding for the segment, after deduction of the amount recoverable from reinsurance contracts and special purpose vehicles. |
| R0100–R0210/C0080 | Volume measure for premium and reserve risk – Geographical Diversification — | Geographical diversification used for the volume measure for each segment.If the factor for geographical diversification is not calculated, then this item is set to the default value of 1. |
| R0100–R0210/C0090 | Volume measure for premium and reserve risk – V | The volume measure for non – life premium and reserve risk for each segmentIf R0010/C0010 = 1, this item shall represent the capital requirement for non – life premium and reserve risk of particular segment calculated using simplifications. |
| R0220/C0090 | Total Volume measure for premium and reserve risk | The total volume measure for premium and reserve risk, equal to the sum of the volume measures for premium and reserve risk for all segments. |
| R0230/C0020 | Combined standard deviation | This is the combined standard deviation for premium and reserve risk for all segments. |
| R0300/C0100 | Total solvency capital requirement for non – life premium and reserve risk | This is the total solvency capital charge for the non–life premium and reserve risk sub module. |
| Non–life lapse risk | ||
| R0400/C0110 | Initial absolute values before shock – Assets – Non–life underwriting risk – Lapse risk | This is the absolute value of the assets sensitive to the non–life lapse risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0400/C0120 | Initial absolute values before shock – Liabilities – Non–life underwriting risk – Lapse risk | This is the absolute value of liabilities sensitive to the non–life lapse risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0400/C0130 | Absolute values after shock – Assets – Non–life underwriting risk – Lapse risk | This is the absolute value of the assets sensitive to non–life lapse risk, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0400/C0140 | Absolute values after shock – Liabilities – Non–life underwriting risk – Lapse risk | This is the absolute value of the liabilities sensitive to non–life lapse risk, after the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0400/C0150 | Solvency capital requirement – Non–life underwriting risk – Lapse risk | This is the capital charge for non–life underwriting lapse risk. |
| Non–life catastrophe risk | ||
| R0500/C0160 | Solvency capital requirement for non–life catastrophe risk | This is the total non–life catastrophe risk capital requirement. |
| Total non–life underwriting risk | ||
| R0600/C0160 | Diversification within non–life underwriting risk module | This is the diversification effect within the non–life underwriting risk sub–module as a result of the aggregation of the capital requirements premium and reserve risk, catastrophe risk and lapse risk.Diversification shall be reported as a negative value if they reduce the capital requirement. |
| R0700/C0160 | Total capital requirement for non–life underwriting risk | This is the solvency capital requirement for non–life underwriting risk sub module. |
S.26.06 – Solvency Capital Requirements – Operational risk
General comments:
This section relates to annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.06.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Article 112 | Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:1 – Article 112(7) reporting2 – Regular reporting |
| Z0020 | Ring–fenced fund, matching adjustment portfolio or remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates. |
| R0100/C0020 | Life gross technical provisions (excluding risk margin) (other than unit-linked or index-linked) | This is technical provisions for life insurance obligations, excluding unit-linked. For these purposes, technical provisions shall not include the risk margin, and shall be without deduction of recoverables from reinsurance contracts and special purpose vehicles. |
| R0110/C0020 | Life gross technical provisions unit–linked (excluding risk margin) | This is technical provisions for life insurance obligations where the investment risk is borne by the policyholders. For these purposes, technical provisions shall not include the risk margin, and shall be without deduction of recoverables from reinsurance contracts and special purpose vehicles. |
| R0120/C0020 | Non–life gross technical provisions (excluding risk margin) | This is technical provisions for non–life insurance obligations. For these purposes, technical provisions shall not include the risk margin, and shall be without deduction of recoverables from reinsurance contracts and special purpose vehicles. |
| R0130/C0020 | Capital requirement for operational risk based on technical provisions | This is the capital requirement for operational risk based on technical provisions. |
| R0200/C0020 | Earned life gross premiums (previous 12 months) (other than unit-linked or index-linked) | Premium earned during the previous 12 months for life insurance obligations, excluding unit-linked without deducting premium ceded to reinsurance. |
| R0210/C0020 | Earned life gross premiums unit–linked (previous 12 months) | Premium earned during the previous 12 months for life insurance obligations where the investment risk is borne by the policyholders without deducting premium ceded to reinsurance. |
| R0220/C0020 | Earned non–life gross premiums (previous 12 months) | Premium earned during the previous 12 months for non–life insurance obligations, without deducting premiums ceded to reinsurance. |
| R0230/C0020 | Earned life gross premiums (12 months prior to the previous 12 months) (other than unit-linked or index-linked) | Premium earned during the 12 months prior to the previous 12 months for life insurance obligations, excluding unit-linked without deducting premium ceded to reinsurance. |
| R0240/C0020 | Earned life gross premiums unit–linked (12 months prior to the previous 12 months) | Premium earned during the 12 months prior to the previous 12 months for life insurance obligations where the investment risk is borne by the policy holders without deducting premium ceded to reinsurance. |
| R0250/C0020 | Earned non–life gross premiums (12 months prior to the previous 12 months) | Premium earned during the 12 months prior to the previous 12 months for non–life insurance obligations, without deducting premiums ceded to reinsurance. |
| R0260/C0020 | Capital requirement for operational risk based on earned premiums | This is the capital requirement for operational risks based on earned premiums. |
| R0300/C0020 | Capital requirement for operational risk before capping | This is the capital requirement for operational risk before capping adjustment. |
| R0310/C0020 | Cap based on Basic Solvency Capital Requirement | This is the result of the cap percentage applied to the Basic SCR. |
| R0320/C0020 | Capital requirement for operational risk after capping | This is the capital requirement for operational risk after capping adjustment. |
| R0330/C0020 | Expenses incurred in respect of unit linked business (previous 12 months) | This is the amount of expenses incurred in the previous 12 months in respect of life insurance where the investment risk is borne by the policyholders. |
| R0340/C0020 | Total capital requirement for operational risk | This is the capital charge for operational risk. |
S.26.07 – Solvency Capital Requirement – Simplifications
General comments:
This section relates to annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.07.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Article 112 | Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:1 – Article 112(7) reporting2 – Regular reporting |
| Z0020 | Ring–fenced fund, matching adjustment portfolio or remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates. |
| Z0040 | Currency for interest rate risk (captives) | Identify the ISO 4217 alphabetic code of the currency of issue. Each currency shall be reported in a different line. |
| Market risk (including captives) | ||
| R0010/C0010–C0070 | Spread risk (bonds and loans) – Market value – by credit quality step | Market value of the assets subject to a capital requirement for spread risk on bonds and loans for each credit quality step where a credit assessment by a nominated ECAI is available. |
| R0010/C0080 | Spread risk (bonds and loans) – Market value – No rating available | Market value of the assets subject to a capital requirement for spread risk on bonds and loans where no credit assessment by a nominated ECAI is available. |
| R0020/C0010–C0070 | Spread risk (bonds and loans) – Modified duration – by credit quality step | Modified duration in years of the assets subject to a capital requirement for spread risk on bonds and loans for each credit quality step where a credit assessment by a nominated ECAI is available. |
| R0020/C0080 | Spread risk (bonds and loans) – Modified duration – No rating available | Modified duration in years of the assets subject to a capital requirement for spread risk on bonds and loans where no credit assessment by a nominated ECAI is available. |
| R0030/C0090 | Spread risk (bonds and loans) – Increase in unit–linked and index–linked technical provisions | Increase in the technical provisions less risk margin for policies where the policyholders bear the investment risk with embedded options and guarantees that would result from an instantaneous decrease in the value of the assets subject to the capital requirement for spread risk on bonds according to the simplified calculation. |
| Interest rate risk (captives) | ||
| R0040/C0100 | Interest rate risk (captives) – Capital requirement – Interest rate up – by currency | Capital requirement for the risk of an increase in the term structure of interest rates according to the captive simplified calculation for each currency reported. |
| R0040/C0110 | Interest rate risk (Captives) – Capital requirement – Interest rate down – by currency | Capital requirement for the risk of a decrease in the term structure of interest rates according to the captive simplified calculation for each currency reported. |
| Life underwriting risk | ||
| R0100/C0120 | Mortality risk – Capital at risk | Sum of positive capitals at risk as defined in Article 91 of Delegated Regulation (EU) 2015/35 for all obligations subject to mortality risk. |
| R0100/C0160 | Mortality risk – Average rate t + 1 | Average mortality rate during the following 12 (t + 1) months weighted by sum insured for policies with a positive capital at risk. |
| R0100/C0180 | Mortality risk – Modified duration | Modified duration in years of all payments payable on death included in the best estimate for policies with a positive capital at risk. |
| R0110/C0150 | Longevity risk – Best estimate | Best estimate of obligations subject to longevity risk. |
| R0110/C0160 | Longevity risk – Average rate t + 1 | Average mortality rate during the following 12 (t + 1) months weighted by sum insured for policies where a decrease in the mortality rate leads to an increase in technical provisions. |
| R0110/C0180 | Longevity risk – Modified duration | Modified duration in years of all payments to beneficiaries included in the best estimate for policies where a decrease in the mortality rate leads to an increase in technical provisions. |
| R0120/C0120 | Disability–morbidity risk – Capital at risk | Sum of positive capitals at risk as defined in Article 93 of Delegated Regulation (EU) 2015/35 for all obligations subject to disability–morbidity risk. |
| R0120/C0130 | Disability–morbidity risk – Capital at risk t + 1 | Capital at risk as defined in R0120/C0120 after 12 (t + 1) months. |
| R0120/C0150 | Disability–morbidity risk – Best estimate | Best estimate of obligations subject to disability–morbidity risk. |
| R0120/C0160 | Disability–morbidity risk – Average rate t + 1 | Average disability–morbidity rate during the following 12 months (t + 1) weighted by sum insured for policies with a positive capital at risk. |
| R0120/C0170 | Disability–morbidity risk – Average rate t + 2 | Average disability–morbidity rate during the 12 months after the following 12 months (t + 2) weighted by sum insured for policies with a positive capital at risk. |
| R0120/C0180 | Disability–morbidity risk – Modified duration | Modified duration in years of all payments on disability–morbidity included in the best estimate for policies with a positive capital at risk. |
| R0120/C0200 | Disability–morbidity risk – Termination rates | Expected termination rates during the following 12 months for policies with a positive capital at risk. |
| R0130/C0140 | Lapse risk (up) – Surrender strain | Sum of all positive surrender strains as defined in Article 95 of Delegated Regulation (EU) 2015/35. |
| R0130/C0160 | Lapse risk (up) – Average rate t + 1 | Average lapse rate for policies with positive surrender strains. |
| R0130/C0190 | Lapse risk (up) – Average run off period | Average period in years over which the policies with a positive surrender strain run off. |
| R0140/C0140 | Lapse risk (down) – Surrender strain | Sum of all negative surrender strains as defined in Article 95 of Delegated Regulation (EU) 2015/35. |
| R0140/C0160 | Lapse risk (down) – Average rate t + 1 | Average lapse rate for policies with negative surrender strains. |
| R0140/C0190 | Lapse risk (down) – Average run off period | Average period in years over which the policies with a negative surrender strain run off. |
| R0150/C0180 | Life expense risk – Modified duration | Modified duration in years of the cash flows included in the best estimate of life insurance and reinsurance obligations. |
| R0150/C0210 | Life expense risk – Payments | Expenses paid related to life insurance and reinsurance during the last 12 months. |
| R0150/C0220 | Life expense risk – Average inflation rate | Weighted average inflation rate included in the calculation of the best estimate of those obligations, where the weights are based on the present value of expenses included in the calculation of the best estimate for servicing existing life obligations. |
| R0160/C0120 | Life catastrophe risk – Capital at risk | Sum of positive capitals at risk as defined in Article 96 of Delegated Regulation (EU) 2015/35. |
| Health underwriting risk | ||
| R0200/C0120 | Health mortality risk – Capital at risk | Sum of positive capitals at risk as defined in Article 97 of Delegated Regulation (EU) 2015/35 for all obligations subject to health mortality risk. |
| R0200/C0160 | Health mortality risk – Average rate t + 1 | Average mortality rate during the following 12 months (t + 1) weighted by sum insured for policies with a positive capital at risk. |
| R0200/C0180 | Health mortality risk – Modified duration | Modified duration in years of all payments payable on death included in the best estimate for policies with a positive capital at risk. |
| R0210/C0150 | Health longevity risk – Best estimate | Best estimate of obligations subject to health longevity risk. |
| R0210/C0160 | Health longevity risk – Average rate t + 1 | Average mortality rate during the following 12 months (t + 1) weighted by sum insured for policies where a decrease in the mortality rate leads to an increase in technical provisions. |
| R0210/C0180 | Health longevity risk – Modified duration | Modified duration in years of all payments to beneficiaries included in the best estimate for policies where a decrease in the mortality rate leads to an increase in technical provisions. |
| R0220/C0180 | Health disability–morbidity risk (medical expense) – Modified duration | Modified duration in years of the cash flows included in the best estimate of medical expense insurance and reinsurance obligations. |
| R0220/C0210 | Health disability–morbidity risk (medical expense) – Payments | Expenses paid related to medical expense insurance and reinsurance during the last 12 months. |
| R0220/C0220 | Health disability–morbidity risk (medical expense) – Average inflation rate | Weighted average rate of inflation on medical payments included in the calculation of the best estimate of those obligations, where the weights are based on the present value of medical payments included in the calculation of the best estimate of those obligations. |
| R0230/C0120 | Health disability–morbidity risk (income protection) – Capital at risk | Sum of positive capitals at risk as defined in Article 100 of Delegated Regulation (EU) 2015/35 for all obligations subject to disability–morbidity risk (income protection). |
| R0230/C0130 | Health disability–morbidity risk (income protection) – Capital at risk t + 1 | Capital at risk as defined in R0230/C0120 after 12 months. |
| R0230/C0150 | Health disability–morbidity risk (income protection) – Best estimate | Best estimate of obligations subject to disability–morbidity risk. |
| R0230/C0160 | Health disability–morbidity risk (income protection) – Average rate t + 1 | Average disability–morbidity rate during the following 12 (t + 1) months weighted by sum insured for policies with a positive capital at risk. |
| R0230/C0170 | Health disability–morbidity risk (income protection) – Average rate t + 2 | Average disability–morbidity rate during the 12 months after the following 12 months (t + 2) weighted by sum insured for policies with a positive capital at risk. |
| R0230/C0180 | Health disability–morbidity risk (income protection) – Modified duration | Modified duration in years of all payments on disability–morbidity included in the best estimate for policies with a positive capital at risk. |
| R0230/C0200 | Health disability–morbidity risk (income protection) – Termination rates | Expected termination rates during the following 12 months for policies with a positive capital at risk. |
| R0240/C0140 | Health SLT lapse risk (up) – Surrender strain | Sum of all positive surrender strains as defined in Article 102 of Delegated Regulation (EU) 2015/35. |
| R0240/C0160 | Health SLT lapse risk (up) – Average rate t + 1 | Average lapse rate for policies with positive surrender strains. |
| R0240/C0190 | Health SLT lapse risk (up) – Average run off period | Average period in years over which the policies with a positive surrender strain run off. |
| R0250/C0140 | Health SLT lapse risk (down) – Surrender strain | Sum of all negative surrender strains as defined in Article 102 of Delegated Regulation (EU) 2015/35. |
| R0250/C0160 | Health SLT lapse risk (down) – Average rate t + 1 | Average lapse rate for policies with negative surrender strains. |
| R0250/C0190 | Health SLT lapse risk (down) – Average run off period | Average period in years over which the policies with a negative surrender strain run off. |
| R0260/C0180 | Health expense risk – Modified duration | Modified duration in years of the cash flows included in the best estimate of health insurance and reinsurance obligations. |
| R0260/C0210 | Health expense risk – Payments | Expenses paid related to health insurance and reinsurance during the last 12 months. |
| R0260/C0220 | Health expense risk – Average inflation rate | Weighted average inflation rate included in the calculation of the best estimate of these obligations, weighted by the present value of expenses included in the calculation of the best estimate for servicing existing health obligations. |
| Market risk – Market risk concentrations | ||
| R0300/C0300 | Debt portfolio share | The share of the debt portfolio for which a simplified SCR calculation was performed.This item shall only be reported in case of the reporting exemption of S.06.02. |
| NAT CAT simplifications | ||
| R0400/C0330 | Windstorm – sum of exposures subject to the NAT CAT simplifications | Include sum of exposures subject to windstorm simplifications. |
| R0410/C0330 | Hail – sum of exposures subject to the NAT CAT simplifications | Include sum of exposures subject to hail simplifications. |
| R0420/C0330 | Earthquake – sum of exposures subject to the NAT CAT simplifications | Include sum of exposures subject to earthquake simplifications. |
| R0430/C0330 | Flood – sum of exposures subject to the NAT CAT simplifications | Include sum of exposures subject to flood simplifications. |
| R0440/C0330 | Subsidence – sum of exposures subject to the NAT CAT simplifications | Include sum of exposures subject to subsidence simplifications. |
S.26.08 – Solvency Capital Requirement – for undertakings using an internal model (partial or full)
General comments:
This section relates to annual submission of information for individual entities, ring fenced-funds, matching adjustment portfolios and remaining part.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and insurance and reinsurance undertakings.
The purpose of this template is to collect data on an aggregate level and show diversification benefits between separate risk modules. Some entries are taken from other templates but are indicated below. From a technical perspective these are not duplicated as they are essentially the same datapoints. Therefore, by filling data in one template it automatically appears in the other one.
Partial internal models:
—Where the undertaking applies the full adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level: the nSCR is calculated as if no RFF and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part,
—Calculation of ‘q factor’ adjustmentBSCR′ nSCRint, where—adjustmentAdjustment calculated according to one of the three methods referred above—BSCR′Basic solvency capital requirement calculated according to the information reported in this template—nSCRintnSCR for intangible assets risk according to the information reported in this template
—Where the undertaking applies the Simplification at risk sub-module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR and LAC are calculated considering a direct summation at sub-module level method,
—Multiplication of this ‘q factor’ by the nSCR of each relevant risk module (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non-life underwriting risk)
—Where the undertaking applies the Simplification at risk module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR and LAC are calculated considering a direct summation at module level method.
All rows for C0010 refer to the amount of the capital charge for each component regardless of the method of calculation (either standard formula or partial internal model), after the adjustments for loss-absorbing capacity of technical provision and/or deferred taxes when they are embedded in the component calculation.
For the components Loss absorbing capacity of technical provisions and/or deferred taxes when reported as a separate component it should be the amount of the loss-absorbing capacity (these amounts should be reported as negative values)
For components calculated using the standard formula this cell represents the gross nSCR. For components calculated using the partial internal model, this represents the value considering the future management actions with are embedded in the calculation, but not whose which are modelled as a separate component.
These amounts shall fully consider diversification effects according to Article 304 of Directive 2009/138/EC where applicable.
When applicable, these cells do not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level.
Template SR.26.08 shall be reported by ring-fenced fund, matching adjustment portfolio and the remaining part for every undertaking under an internal model. For partial internal models, this includes undertakings where a partial internal model is applied to a full ring-fenced fund and/or matching adjustment portfolio while the other ring-fenced funds and/or matching adjustment portfolios are under the standard formula. This template should be reported for all sub-funds of a material RFF/MAP as identified in the second table of S.01.03.
For those undertakings under a partial internal model to which the adjustment due to the aggregation of the nSCR of RFF/MAP is applicable, where the entity has MAP or RFF (except those under the scope of Article 304 of Directive 2009/138/EC) when reporting at the level of the whole undertaking, the nSCR at risk module level and the loss-absorbing capacity (LAC) of technical provisions and deferred taxes to be reported shall be calculated as follows:
The adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level shall be allocated (C0060) to the relevant risk modules (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non-life underwriting risk) when calculated according to the standard formula. The amount to be allocated to each relevant risk module shall be calculated as follows:
Full internal models:
Template SR.26.08 has to be filled in for each ring-fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part for every undertaking under a full internal model. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template should be reported for all sub-funds of a material RFF/MAP as identified in the second table of S.01.03.
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| Aggregation | ||
| Z0020 | Ring-fenced fund, matching adjustment portfolio or Remaining Part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates.When item Z0020 = 2, then report ‘0’ |
| C0010/R0010 | Total stand-alone risk | Sum of diversified capital charges for each risk module. Diversification between risk modules is not included.S.26.09.01 C0020/R0020 + S.26.11.01 C0110/R0210 + S.26.12.01 C0070/R0220 + S.26.13.01 C0450/R2120 + S.26.13.01 C0150/R1210 + S.26.14.01 C0320/R0630 + S.26.15.01 C0220/R0070 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0020 | Total diversification | Amount of the diversification effects between risk modules.This amount should be reported as a negative value. |
| C0010/R0030 | Total diversified risk before tax | Amount of diversified capital charges before tax. |
| C0010/R0040 | Total diversified risk after tax | Amount of diversified capital charges after tax. |
| C0010/R0050 | Loss absorbing capacity of deferred taxes | Amount of the adjustment for loss-absorbing capacity of deferred taxes.This amount should be reported as a negative value. |
| C0010/R0060 | Loss absorbing capacity of technical provisions | Amount of the adjustment for loss-absorbing capacity of technical provisions.This amount should be reported as a negative value. |
| C0010/R0070 | Total market & credit risk | Same as S.26.09.01 C0020/R0010 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0080 | Market & Credit risk – diversified | S.26.08.01 C0010/R0070 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus part of total diversification allocated to Market and Credit risk by the undertaking’s algorithm. |
| C0010/R0090 | Interest rate risk | Same as S.26.09.01 C0020/R0060 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0100 | Interest rate volatility risk | Same as S.26.09.01 C0020/R0070 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0110 | Inflation risk | Same as S.26.09.01 C0020/R0080 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0120 | Equity risk | Same as S.26.09.01 C0020/R0110 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0130 | Equity volatility risk | Same as S.26.09.01 C0020/R0120 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0140 | Property risk | Same as S.26.09.01 C0020/R0130 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0150 | Currency risk | Same as S.26.09.01 C0020/R0140 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0160 | Credit spread risk | Same as S.26.09.01 C0020/R0180 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0170 | Credit event risk (migration and default) | Same as S.26.09.01 C0020/R0170 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0180 | Credit risk sum (spread, migration and default) | Same as S.26.09.01 C0020/R0150 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0190 | Credit event risk not covered in market and credit risk | SCR allocated to credit event risk that is not covered by the market & credit risk module. |
| C0010/R0200 | Credit event risk not covered in market and credit risk – diversified | S.26.08.01 C0010/R0190 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus diversification allocated to credit event risk that is not covered by the market & credit risk module. |
| C0010/R0210 | Basis risk financial instruments | Capital charge allocated to basis risk for financial instruments (risk of imperfect hedges. Sum of price differences between asset and hedging instrument).To be reported only if undertaking models this explicitly in its own module and has indicated so in C0140/R0760. |
| C0010/R0220 | Derivatives risk | Capital charge allocated to derivatives risk (all derivatives not used for hedging purposes).To be reported only if undertaking models this explicitly in its own module and has indicated so in C0140/R0770. |
| C0010/R0230 | Participations | Capital charge allocated to participations.To be reported only if undertaking models this explicitly in its own module and has indicated so in C0140/R0720. |
| C0010/R0240 | Liquidity risk | Capital charge allocated to liquidity risk.To be reported only if undertaking models this explicitly in its own module and has indicated so in C0140/R0730. |
| C0010/R0250 | Pension risk | Capital charge allocated to pension risk.To be reported only if undertaking models this explicitly in its own module and has indicated so in C0140/R0740. |
| C0010/R0260 | Concentration risk | Capital charge allocated to concentration risk.For undertakings using a full internal model this shall be reported only if the undertaking models this explicitly in its own module and has indicated so in C0140/R0750. |
| C0010/R0270 | Total Business risk | Capital charge allocated to business risk.To be reported only if undertaking models this explicitly in its own module. |
| C0010/R0280 | Total Business risk – diversified | S.26.08.01 C0010/R0240 minus part of total diversification allocated to Business risk by the undertaking’s algorithm. |
| C0010/R0290 | Total underwriting risk | S.26.08.01 C0010/R0310 + S.26.08.01 C0010/R0400 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0300 | Total underwriting risk – diversified | S.26.08.01 C0010/R0290 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus part of total diversification allocated to underwriting risk by the undertaking’s algorithm. |
| C0010/R0310 | Total Net Non-life underwriting risk | Sum of S.26.08.01 C0010/R0360, R0370, R0380 + R0390 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0320 | Total Net Non-life underwriting risk – diversified | S.26.08.01 C0010/R0310 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus part of total diversification allocated to Non-Life underwriting risk by the undertaking’s algorithm. |
| C0010/R0330 | Net Nat-cat risk | S.26.13.01 C0430/R1690 + S.26.13.01 C0430/R1700 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0340 | Net Man-made risk | S.26.13.01 C0430/R1710 + S.26.13.01 C0430/R1720 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0350 | Gross reserve risk | Same as S.26.13.01 C0050/R0090 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0360 | Gross premium risk | Same as S.26.13.01 C0080/R0540 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0370 | Total Life & Health underwriting risk | Sum of S.26.08.01 C0010/R0420-R0480 + the part calculated using the Standard formula for undertakings using a partial internal model where relevantor sum of S.26.08.01 C0010/R0480-R0500 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0380 | Total Life & Health underwriting risk – diversified | S.26.08.01 C0010/R0400 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus part of total diversification allocated to Life & Health risk by the undertaking’s algorithm. |
| C0010/R0390 | Mortality risk | S.26.14.01 C0070/R0010 + S.26.14.01 C0070/R0310 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0400 | Longevity risk | S.26.14.01 C0070/R0050 + S.26.14.01 C0070/R0360 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0410 | Disability-Morbidity risk | S.26.14.01 C0070/R0110 + S.26.14.01 C0070/R0410 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0420 | Lapse | S.26.14.01 C0070/R0160 + S.26.14.01 C0070/R0470 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0430 | Expense risk | S.26.14.01 C0070/R0240 + S.26.14.01 C0070/R0550 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0440 | Revision risk | S.26.14.01 C0070/R0260 + S.26.14.01 C0070/R0570 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0450 | Catastrophe risk | Same as S.26.14.01 C0070/R0250 + S.26.14.01 C0070/R0560 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant or S.26.14.01 C0070/R0300 + S.26.14.01 C0070/R0600 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant depending on the model structure. |
| C0010/R0460 | Trend risk | Same as S.26.14.01 C0070/R0280 + S.26.14.01 C0070/R0580. |
| C0010/R0470 | Level risk | Same as S.26.14.01 C0070/R0290 + S.26.14.01 C0070/R0590. |
| C0010/R0480 | Total Operational risk | Same as S.26.15.01 C0220/R0070 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0490 | Total Operational risk – diversified | S.26.08.01 C0010/R0510 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus part of total diversification allocated to Operational risk by the undertaking’s algorithm. |
| C0010/R0500 | Other risk | Capital charge not allocated to the categories listed here + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0050/R0010-R0500 | Allocation from adjustments due to RFF and Matching adjustment portfolios | Where applicable, part of the adjustment allocated to each risk module according to the procedure described in the general comments. This amount shall be positive. |
| C0060/R0010-R0500 | Consideration of the future management actions regarding technical provisions and/or deferred taxes | To identify if the future management actions relating to the loss absorbing capacity of technical provisions and/or deferred taxes are embedded in the calculation, the following closed list of options shall be used:1 – Future management actions regarding the loss–absorbing capacity of technical provisions embedded within the component2 – Future management actions regarding the loss–absorbing capacity of deferred taxes embedded within the component3 – Future management actions regarding the loss–absorbing capacity of technical provisions and deferred taxes embedded within the component4 – No embedded consideration of future management actions. |
| C0070/R0010-R0500 | Amount modelled | For each component this cell represents the amount calculated according to the partial internal model. |
| C0080/R0510 | Memorandum item: Other risk description | Description of what is included in the capital charge of C0010/R0530 |
| Modelled Specific Risks – Multiple ‘Modelled’ are allowed for columns in each row if C0140 is ‘Not modelled’. | ||
| R0700-R0820/C0140 | Modelled explicitly in its own module | One of the options in the following closed list shall be used:1 – Modelled2 – Not modelledIf answer is ‘Modelled’ then refer to table at the beginning of the LOG file to see what shall be completed. If the answer is ‘Not modelled’ then C0150 to C0190 must be completed for each row depending on where this risk is covered. If it is not covered then all codes in the same row should be ‘Not modelled’. |
| R0700-R0770/C0150 | Market and Credit | One of the options in the following closed list shall be used:1 – Modelled2 – Not modelledIf the answer in C0140 is ‘Modelled’ then this must be set to ‘Not modelled’. Otherwise it should be set to ‘Modelled’ if the specified risk in each row is covered in the Market & Credit risk module. |
| R0700-R0770/C0160 | Non-life | One of the options in the following closed list shall be used:1 – Modelled2 – Not modelledIf the answer in C0140 is ‘Modelled’ then this must be set to ‘Not modelled’. Otherwise it should be set to ‘Modelled’ if the specified risk in each row is covered in the Non-Life risk module. |
| R0700-R0770/C0170 | Life and Health | One of the options in the following closed list shall be used:1 – Modelled2 – Not modelledIf the answer in C0140 is ‘Modelled’ then this must be set to ‘Not modelled’. Otherwise it should be set to ‘Modelled’ if the specified risk in each row is covered in the Life & Health risk module. |
| R0700-R0770/C0180 | Operational | One of the options in the following closed list shall be used:1 – Modelled2 – Not modelledIf the answer in C0140 is ‘Modelled’ then this must be set to ‘Not modelled’. Otherwise it should be set to ‘Modelled’ if the specified risk in each row is covered in the Operational risk module. |
| R0700-R0770/C0190 | Other | One of the options in the following closed list shall be used:1 – Modelled2 – Not modelledIf the answer in C0140 is ‘Modelled’ then this must be set to ‘Not modelled’. Otherwise it should be set to ‘Modelled’ if the specified risk in each row is covered in another risk module not mentioned here. |
S.26.09 – Internal model: Market and Credit risk – for financial instruments
General comments:
1.‘General information’ on few key aspects of the modelling approach
2.‘Stand-alone capital requirements for market and credit risk and supplementing distribution data’
3.‘Sensitivities and exposure data’
I.‘SCR’ like figures taking into account ‘long-term guarantee measures’ similar to the template S.22.01:These figures should be associated with the 99,5 % VaR under the risk measure used for the calculation of the Solvency Capital Requirement (SCR). Broadly speaking, you are expected to apply your modelled ‘SCR definition’ to the basic own funds without eligibility restrictions and without the loss absorbing capacity of deferred taxes. Hence requested figure might differ from the 0,5 % sample quantile on the simulated impacts (with negative sign), owing to the statistical estimator for the 0,5 percentile (e.g. including any interpolation or smoothing scheme).For the purpose of these reporting requirements this value is called the ‘modelled VaR’ (mVaR) for the 99,50 % of basic own funds.This ‘mVaR 99,50 %’ is requested for the following variations of the ‘long-term guarantee measures’ (LTGM):
—mVaR 99,50 % including all LTGM you regularly apply
—mVaR 99,50 % without transitional on technical provisions
—mVaR 99,50 % without transitional on interest rates
—mVaR 99,50 % without volatility adjustment (VA) and without transitionals
—mVaR 99,50 % without matching adjustment (MA) and without all the other LTGMs
II.Basic statistical data from the ‘marginal distribution’From the distribution for the marginal risk under consideration provide the impacts associated with the following data. These values should be directly taken from the distribution, i.e. in case the mVaR would be different from the 99,50 % quantile, please provide the figures without allowing for features from your statistical estimator:
—Mean
—Standard deviation
—Impacts corresponding to the mVaR for the identified quantiles
—Assets
—Liabilities
—Assets minus Liabilities
—Assets excl. Unit-linked
—Liabilities excl. Unit-linked
—Assets excl. Unit-linked minus Liabilities excl. Unit-linked
This section relates to annual submission of information for individual entities.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and insurance and reinsurance undertakings.
If not indicated differently, ‘Solvency II values’ shall be used, i.e. applying the valuation principles set out in the Directive2009/138/EC, Delegated Regulation (EU) 2015/35, Technical Standards issued under Directive 2009/138/EC and EIOPA Guidelines.
This template covers the market and credit risk arising from the level or volatility of market prices of financial instruments, which have an impact upon the value of assets and liabilities of the undertaking or the group. Credit risk covers the usual three facets ‘spread’, ‘migration’ and ‘default’.
The figures shall include the impact on assets and liabilities including any impacts on the options and guarantees and on future discretionary benefits for policyholders (‘loss absorbing capacity of technical provisions’).
The figures shall not include the loss absorbing capacity of deferred taxes.
The template consists of three main building blocks:
S.26.09.01.01: General information
Regarding market and credit risk models three facts on the modelling approach and scope are requested here, as these are important for the analysis of data, namely: Whether the model includes a ‘dynamic volatility adjustment’ (DVA) and whether the model includes ‘ageing effects’ and if non-financial instruments are covered in credit risk. For further details see below.
S.26.09.01.02: Stand-alone capital requirements for market and credit risk and supplementing distribution data
Based on the requirements of Article 228 of the Delegated Regulation (EU) 2015/35, the probability distribution forecast underlying the internal model shall assign probabilities to changes in either the amount of basic own funds of the insurance or reinsurance undertaking or to other monetary amounts, such as profit and loss, provided that those monetary amounts can be used to determine the changes in basic own funds. The exhaustive set of mutually exclusive future events, referred to in Article 13(38) of Directive 2009/138/EC, shall contain a sufficient number of events to reflect the risk profile of the undertaking.
In template S.26.09.01.02, internal model users are requested to provide certain basic statistical values from the distribution of own funds impacts associated with the ‘probability distribution forecast’ when restricting the events to those associated with a certain type of risk only (‘stand-alone risk’ or ‘marginal risk’). For example, the ‘marginal risk’ for interest rates would especially cover changes in the level of the interest rate, but, inter alia, the value of equity would typically not be changed in the simulations.
S.26.09.01.02 covers the typical sub-risks of market and credit risk and requires figures in two subsets:
S.26.09.01.03: Sensitivities and exposure data
In template S.26.09.01.03, data is requested which should support the analysis of results and risk profile, namely ‘sensitivities’ of the own funds and ‘exposure’ information with respect to market and credit risk for financial instruments.
S.26.09.01.03 for each of the sub-risks covered by S.26.09.01.02 asks for exposure data in the base case and under certain stressed scenarios. Exposure data is the Solvency II value of the following items but only for those entries under these items, which are subject to the respective risk:
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| General information | ||
| C0010/R0010 | Type of VA used | Identifies whether the undertaking applies a Volatility Adjustment (VA) in the calculation of the SCR, and in case of ‘yes’, identifies whether changes of the VA over the 1-year-time-horizon of Solvency II are anticipated (‘dynamic VA’) or not (‘constant VA’). One of the options in the following closed list shall be used:1 – No VA2 – Constant VA3 – Dynamic VA |
| C0010/R0020 | Type of shock model for market risk | For market and credit risk, internal models regarding the 1-year-time-horizon of Solvency II roughly follow two approaches. Instantaneous shock models or a projection over 1 year, at the end of which e.g. a bond with two years maturity at the beginning of the projection would have a maturity of one year. The undertaking is asked to answer the question for ‘market risk’.One of the options in the following closed list shall be used:1 – Instantaneous shock model2 – Projection model |
| C0010/R0030 | Type of shock model for credit risk | For market & credit risk, internal models regarding the 1-year-time-horizon of Solvency II roughly follow two approaches. Instantaneous shock models or a projection over 1 year, at the end of which e.g. a bond with two years maturity at the beginning of the projection would have a maturity of one year. The answer should be given for ‘credit risk’.One of the options in the following closed list shall be used:1 – Instantaneous shock model2 – Projection model |
| C0010/R0040 | Coverage of non-financial instruments | Identifies whether credit risk for non-financial instruments is covered in the tables 2 and 3 and to which extent. One of the options in the following closed list shall be used:1 – No2 – Fully3 – PartialThe choice relates mainly to the approach of modelling ‘credit event’ risk, i.e. ‘migration’ and ‘default’. Especially so called ‘credit portfolio models’ cover not only investments but for example also reinsurance, receivables and also off-balance sheet items.The corresponding information is relevant for the interpretation of credit risk related line R12 to R17 in table 2 (‘marginal risks’, S.26.09 R0150 to R0200) and for table 3 (‘combined risks’, to S.26.09 R0010 to R0030). |
| STAND ALONE MARKET AND CREDIT RISK: ‘SCR’ AND DISTRIBUTION DATA | ||
| C0020-C0060/R0040 | Interest rate risk sum | Sum of the respective values of C0020-C0060/R0060 and C0020-C0060/R0070. |
| C0020-C0300/R0050 | Interest rate risk sum of which: Interest rate risk diversified | Within the market & credit risk, the interest rate risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the term structure of interest rates, or in the volatility of interest rates. It does not comprise the sensitivity to any of the facets of credit risk.In this line, only diversification between changes in the term structure of interest rates and changes in the volatility of interest rates should be taken into account. |
| C0020-C0300/R0060 | Interest rate risk sum of which: Interest rate risk | This risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the term structure of interest rates, but neither changes in the volatility of interest rates nor any facets of credit risk. |
| C0020-C0300/R0070 | Interest rate risk sum of which: Interest rate volatility risk | This risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the volatility of interest rates but no facets of credit risk. |
| C0020-C0300/R0080 | Inflation risk | Within the market and credit risk, this risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the inflation.As inflation in certain internal models is also allowed for e.g. in the underwriting risk, please ensure, that there is no double-counting. |
| C0020-C0060/R0090 | Equity risk sum | Sum of the respective values of C0020-C0060/R0110 and C0020-C0060/R0120. |
| C0020-C0300/R0100 | Equity risk sum of which: Equity risk diversified | Within the market and credit risk, the equity risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the level, or in the volatility of market prices of equities.In this line, diversification between changes in the level and changes in the volatility of market prices should be taken into account. |
| C0020-C0300/R0110 | Equity risk sum of which: Equity risk | Equity risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the level of market prices of equities. |
| C0020-C0300/R0120 | Equity risk sum of which: Equity volatility risk | Equity volatility risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the volatility of market prices of equities. |
| C0020-C0300/R0130 | Property risk | Within the market & credit risk, the property risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the level, or in the volatility of market prices of real estate.Differently from e.g. equity risk no split in ‘level’ and ‘volatility’ is requested. |
| C0020-C0300/R0140 | Currency risk | Within the market and credit risk, the currency risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the level, or in the volatility of currency exchange rates.Differently from e.g. equity risk no split in ‘level’ and ‘volatility’ is requested. |
| C0020-C0060/R0150 | Credit risk sum | Sum of the respective following values:Credit Event Risk (migration and default) (R0170)Credit Spread risk Government and central banks (R0190)Credit Spread risk other (R0200)If the split in ‘Government and central banks’ (R0190) and ‘other’ (R0200) is not available in the model, please use ‘Credit Spread Risk’ (R0180) instead in the sum. |
| C0020-C0300/R0160 | Credit risk sum of which: Credit risk diversified | Within the market and credit risk, the credit risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the value of assets due to changes in credit spreads or credit migration or by credit default.In this line, diversification between changes in credit spreads or credit migration or credit default should be taken into account.Credit risk shall be given according to the scope as defined in the internal model and could cover only financial instruments or could cover any assets and also off-balance sheet items. |
| C0020-C0300/R0170 | Credit risk sum of which: Credit event risk (‘migration and default’) | Credit event risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the value of assets due to changes in credit migration or by credit default.Diversification between credit migration and credit default should be taken into account.Credit risk shall be given according to the scope as defined in the internal model and could cover only financial instruments or could cover any assets and also off-balance sheet items. |
| C0020-C0300/R0180 | Credit risk sum of which: Credit Spread risk | Credit spread risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the value of financial instruments due to changes in spreads over the risk-free term structure which are not owed to migration or (partial) default. |
| C0020-C0300/R0190 | Credit Spread risk – Spread risk ‘Government and central banks’ | Credit spread risk ‘Government and central banks’ comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the value of financial instruments issued by governments and central banks due to changes in spreads over the risk-free term structure which are not owed to migration or (partial) default.The following list enumerates the CIC codes of the asset classes that are attributed to government or central banks: 13, 14, 15, 16, 17, 19. The CIC codes 13 and 14 were used to identify bonds issued by Regional government and local authorities (RGLA). RGLA should be allocated to government portfolio if they are listed in the Commission Implementing Regulation (EU) 2015/2011 and otherwise to non-financial corporate portfolio according to their credit quality step. |
| C0020-C0300/R0200 | Credit Spread risk other | Credit spread risk ‘other’ comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the value of financial instruments not issued by governments and central banks due to changes in spreads over the risk-free term structure which are not owed to migration or (partial) default. |
| STAND ALONE MARKET AND CREDIT RISK: Combined market and credit risk | ||
| C0020-C0060/R0020 | Market and credit risk diversified | In this line, please provide data for the combined market and credit risk, i.e. the risk arising from the level or volatility of market prices of assets, which have an impact upon the value of assets and liabilities of the undertaking or the group. Credit risk covers the usual three facets ‘spread’, ‘migration’ and ‘default’.Credit risk shall be given according to the scope as defined in the internal model and could cover only financial instruments or could cover any assets and also off-balance sheet items. |
| C0020-C0060/R0010 | Market and credit risk sum (level 2 components) | Sum of the respective following values:Interest rate risk diversified (R0050)Inflation risk (R0080)Equity risk diversified (R0100)Property risk (R0130)Currency risk (R0140)Credit risk sum (R0150) |
| C0020-C0060/R0030 | Market and credit risk diversification | Amount corresponding to the difference between C0020-C0060/R0020 and C0020-C0060/R0010.This amount should be reported as a negative value. |
| STAND ALONE MARKET AND CREDIT RISK: Sensitivities & exposure data | ||
| C0310-C0360/R0210 | Exposure sensitive to interest rates – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to interest rate risk. |
| C0310-C0360/R0220 | Interest Rates (parallel shift all maturities) by –100 bps | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a parallel –100 bps shift on interest rates for all maturities. This shift impacts all maturities not only those before the ‘last liquid point’ (LLP). |
| C0310-C0360/R0230 | Interest Rates (parallel shift all maturities) by + 100bps | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a parallel + 100 bps shift on interest rates for all maturities. Please note that this shift impacts all maturities not only those before the ‘last liquid point’ (LLP). |
| C0310-C0360/R0240 | Interest Rates (parallel shift all maturities) by –50bps | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a parallel –50 bps shift on interest rates for all maturities. Please note that this shift impacts all maturities not only those before the ‘last liquid point’ (LLP). |
| C0310-C0360/R0250 | Interest Rates (parallel shift all maturities) by + 50bps | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a parallel + 50 bps shift on interest rates for all maturities. Please note that this shift impacts all maturities not only those before the ‘last liquid point’ (LLP). |
| C0310-C0360/R0260 | Exposure sensitive to inflation rates – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to inflation risk. |
| C0310-C0360/R0270 | Inflation rates -100bps | Solvency II value of the exposure subject to inflation risk as specified above but under the scenario of a decrease of -100 bps on inflation rates.This sensitivity should be applied in line with the internal models definition and allocation of inflation risk. |
| C0310-C0360/R0280 | Inflation rates + 100bps | Solvency II value of the exposure subject to inflation risk as specified above but under the scenario of an increase of + 100 bps on inflation rates.This sensitivity should be applied in line with the internal models definition and allocation of inflation risk. |
| C0310-C0360/R0290 | Exposure sensitive to credit spreads – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to credit spread risk. |
| C0310-C0360/R0300 | Spread (uniform shift all maturities and assets) -100 bps | Solvency II value of the exposure subject to credit spread risk as specified above but under the scenario of uniform shift in credit spreads for all maturities and assets by -100 bps. |
| C0310-C0360/R0310 | Spread (uniform shift all maturities and assets) + 100 bps | Solvency II value of the exposure subject to credit spread risk as specified above but under the scenario of uniform shift in credit spreads for all maturities and assets by + 100 bps. |
| C0310-C0360/R0320 | Exposure sensitive to equity level risk – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to equity level risk. |
| C0310-C0360/R0330 | Equity (uniform shift in values) – 30 % | Solvency II value of the exposure subject to equity level risk as specified above but under the scenario of uniform decrease in values by – 30 %. |
| C0310-C0360/R0340 | Equity (uniform shift in values) + 30 % | Solvency II value of the exposure subject to equity level risk as specified above but under the scenario of uniform increase in values by + 30 %. |
| C0310-C0360/R0350 | Exposure sensitive to Property risk – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to property risk. |
| C0310-C0360/R0360 | Property (uniform shift in values) – 30 % | Solvency II value of the exposure subject to property risk as specified above but under the scenario of uniform decrease in values by – 30 %. |
| C0310-C0360/R0370 | Property (uniform shift in values) + 30 % | Solvency II value of the exposure subject to property risk as specified above but under the scenario of uniform increase in values by + 30 %. |
| C0310-C0360/R0380 | Exposure sensitive to Currency risk – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to currency risk. |
| C0310-C0360/R0390 | Currency (uniform shift in exchange rates) – 10 % | Solvency II value of the exposure subject to currency risk as specified above but under the scenario of uniform decrease in exchange rates by – 10 %. |
| C0310-C0360/R0400 | Currency (uniform shift in exchange rates) + 10 % | Solvency II value of the exposure subject to currency risk as specified above but under the scenario of uniform increase in exchange rates by + 10 %. |
| C0310-C0360/R0410 | Exposure sensitive to interest rate volatility – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to interest rate volatility risk. |
| C0310-C0360/R0420 | Interest rate volatility down – 25 % | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a decrease of interest rate volatility by – 25 %.This shift is a parallel shift of the whole volatility surface for log-normal and normal vols.Only one of the rows R0420 or R0430 may be reported. |
| C0310-C0360/R0430 | Interest rate volatility down –20 bp for normal vols | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a decrease of interest rate volatility by –20 bp for normal vols.This shift is a parallel shift of the whole volatility surface for log-normal and normal vols.Only one of the rows R0420 or R0430 may be reported. |
| C0310-C0360/R0440 | Interest rate volatility up + 25 % | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of an increase of interest rate volatility by + 25 %.This shift is a parallel shift of the whole volatility surface for log-normal and normal vols.Only one of the rows R0440 or R0450 may be reported. |
| C0310-C0360/R0450 | Interest rate volatility up + 20 bp for normal vols | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of an increase of interest rate volatility by + 20 bp for normal vols.This shift is a parallel shift of the whole volatility surface for log-normal and normal vols.Only one of the rows R0440 or R0450 may be reported. |
| C0310-C0360/R0460 | Exposure sensitive to equity volatility – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to equity volatility risk. |
| C0310-C0360/R0470 | Equity volatility down –25 % | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a decrease of equity volatility by –25 %. |
| C0310-C0360/R0480 | Equity volatility up + 25 % | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of an increase of equity volatility by + 25 %. |
S.26.10 – Internal model: Credit event risk – portfolio view details
General comments:
—Top 10 exposures in terms of impact on SCR
—‘group’, i.e. exposure ranking among groups of connected counterparties
—Top 10 exposures in terms of market value
—‘single’, i.e. counterparties stand alone
—Split by asset classes
—Split by credit quality steps (CQS)
This section relates to annual submission of information for individual entities.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and insurance and reinsurance undertakings.
The following data requirements ask for six kinds of views on the asset portfolio which is subject to credit migration and credit default risk from a portfolio perspective. All kinds of exposures are covered, especially investments and reinsurance.
The four main views are:
Regarding the top 10 exposures, each are required in two metrics:
Example: An undertaking A has the following contractual relations with undertakings of an insurance group G. And A is not part of group G: (1) A has a reinsurance contract with undertaking R in group G, (2) A holds shares of the paid in capital for R and (3) A holds a loan issued by a life insurer L in group G in its asset portfolio. The blocks ‘group’ would show the three exposures combined. The blocks ‘single’ would show those separately: (1) and (2) combined for counterparty R and (3) for counterparty L.
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| Top 10 exposures in terms of impact on SCR (group) | ||
| C0010/R0030-R0120 | Name Group Exposure | Names of the top 10 exposures of groups of counterparties in terms of impact on the SCR.The impact on SCR is in the column ‘Credit Risk Contribution’, which should be the contribution to the credit SCR, i.e. incl. diversification and the sum of entries in the column gives the credit risk SCR. |
| C0020/R0010-R0130 | Market value | Market value in reporting currency according to the valuation used for solvency purposes ofin R0030 to R0120 for the top 10 exposuresin R0020 for the sum of these top 10 exposuresin R0130 for the remaining exposuresin R0010 for the sum of all exposures |
| C0030/R0010-R0130 | Exposure at default | Amount of the Exposure at default:in R0030 to R0120 for the top 10 exposuresin R0020 for the sum of these top 10 exposuresin R0130 for the remaining exposuresin R0010 for the sum of all exposures |
| C0040/R0010-R0130 | Credit Risk Contribution | Contribution to the credit SCR including diversification, i.e. the sum of entries in this column gives the credit risk SCR:in R0030 to R0120 for the top 10 exposuresin R0020 for the sum of these top 10 exposuresin R0130 for the remaining exposuresin R0010 for the sum of all exposures |
| C0050/R0020-R0120 | Average Probability of Default (in %) | Average 1Y probability of default in %in R0030 to R0120 for the top 10 exposuresin R0020 for the sum of these top 10 exposures |
| C0060/R0020-R0120 | Average Loss Given Default (in %) | Average loss given default in %in R0030 to R0120 for the top 10 exposuresin R0020 for the sum of these top 10 exposures |
| C0070/R0010-R0130 | Market value (% of total sum) | Share of the market value (in %) relative to the total sum of market values of exposures to credit event riskin R0030 to R0120 for the top 10 exposuresin R0020 for the sum of these top 10 exposuresin R0130 for the remaining exposuresin R0010 for the sum of all exposures (which should be 100 %) |
| C0080/R0010-R0130 | Credit Risk Contribution (% of total sum) | Share of the credit risk contribution (in %) relative to the total credit risk SCRin R0030 to R0120 for the top 10 exposuresin R0020 for the sum of these top 10 exposuresin R0130 for the remaining exposuresin R0010 for the sum of all exposures (which should be 100 %) |
| Top 10 exposures in terms of impact on SCR (single) | ||
| C0090/R0160-R0250 | Name of Exposure | Names of the top 10 exposures of single exposures in terms of impact on the SCR.The impact on SCR is in the column ‘Credit Risk Contribution’, which should be the contribution to the credit SCR, i.e. including diversification and the sum of entries in the column gives the credit risk SCR. |
| C0020/R0140-R0260 | Market value | Market value according to the valuation used for solvency purposes:in R0160 to R0250 for the top 10 exposuresin R0150 for the sum of these top 10 exposuresin R0260 for the remaining exposuresin R0140 for the sum of all exposures |
| C0030/R0140-R0260 | Exposure at default | Amount of Exposure at default:in R0160 to R0250 for the top 10 exposuresin R0150 for the sum of these top 10 exposuresin R0260 for the remaining exposuresin R0140 for the sum of all exposures |
| C0040/R0140-R0260 | Credit Risk Contribution | Contribution to the credit SCR incl. diversification, i.e. the sum of entries in this column gives the credit risk SCR:in R0160 to R0250 for the top 10 exposuresin R0150 for the sum of these top 10 exposuresin R0260 for the remaining exposuresin R0140 for the sum of all exposures |
| C0050/R0150-R0250 | Average Probability of Default (in %) | Average 1Y probability of default in %in R0160 to R0250 for the top 10 exposuresin R0150 for the sum of these top 10 exposures |
| C0060/R0150-R0250 | Average Loss Given Default (in %) | Average loss given default in %in R0160 to R0250 for the top 10 exposuresin R0150 for the sum of these top 10 exposures |
| C0070/R0140-R0260 | Market value (% of total sum) | Share of the market value (in %) relative to the total sum of market values of exposures to credit event risk:in R0160 to R0250 for the top 10 exposuresin R0150 for the sum of these top 10 exposuresin R0260 for the remaining exposuresin R0140 for the sum of all exposures (which should be 100 %) |
| C0080/R0140-R0260 | Credit Risk Contribution (% of total sum) | Share of the credit risk contribution (in %) relative to the total credit risk SCR:in R0160 to R0250 for the top 10 exposuresin R0150 for the sum of these top 10 exposuresin R0260 for the remaining exposuresin R0140 for the sum of all exposures (which should be 100 %) |
| Top 10 exposures in terms of market value (group) | ||
| C0010/R0290-R0380 | Name Group Exposure | Names of the top 10 exposures of groups of counterparties in terms of market value. |
| C0020/R0270-R0390 | Market value | Market value according to the valuation used for solvency purposes:in R0290 to R0380 for the top 10 exposuresin R0280 for the sum of these top 10 exposuresin R0390 for the remaining exposuresin R0270 for the sum of all exposures |
| C0030/R0270-R0390 | Exposure at default | Amount of Exposure at default:in R0290 to R0380 for the top 10 exposuresin R0280 for the sum of these top 10 exposuresin R0390 for the remaining exposuresin R0270 for the sum of all exposures |
| C0040/R0270-R0390 | Credit Risk Contribution | Contribution to the credit SCR including diversification, i.e. the sum of entries in this column gives the credit risk SCR:in R0290 to R0380 for the top 10 exposuresin R0280 for the sum of these top 10 exposuresin R0390 for the remaining exposuresin R0270 for the sum of all exposures |
| C0050/R0280-R0380 | Average Probability of Default (in %) | Average 1Y probability of default in %in R0290 to R0380 for the top 10 exposuresin R0280 for the sum of these top 10 exposures |
| C0060/R0280-R0380 | Average Loss Given Default (in %) | Average loss given default in %in R0290 to R0380 for the top 10 exposuresin R0280 for the sum of these top 10 exposures |
| C0070/R0270-R0390 | Market value (% of total sum) | Share of the market value (in %) relative to the total sum of market values of exposures to credit event riskin R0290 to R0380 for the top 10 exposuresin R0280 for the sum of these top 10 exposuresin R0390 for the remaining exposuresin R0270 for the sum of all exposures (which should be 100 %) |
| C0080/R0270-R0390 | Credit Risk Contribution (% of total sum) | Share of the credit risk contribution (in %) relative to the total credit risk SCRin R0290 to R0380 for the top 10 exposuresin R0280 for the sum of these top 10 exposuresin R0390 for the remaining exposuresin R0270 for the sum of all exposures (which should be 100 %) |
| Top 10 exposures in terms of market value (single) | ||
| C0090/R0420-R0510 | Name of Exposure | Names of the top 10 exposures of single exposures in terms of impact on the SCR.The impact on SCR is in the column ‘Credit Risk Contribution’, which should be the contribution to the credit SCR, i.e. incl. diversification and the sum of entries in the column gives the credit risk SCR. |
| C0020/R0400-R0520 | Market value | Market value in reporting currency according to the valuation used for solvency purposes ofin R0420 to R0510 for the top 10 exposuresin R0410 for the sum of these top 10 exposuresin R0520 for the remaining exposuresin R0400 for the sum of all exposures |
| C0030/R0400-R0520 | Exposure at default | Exposure at default in reporting currency ofin R0420 to R0510 for the top 10 exposuresin R0410 for the sum of these top 10 exposuresin R0520 for the remaining exposuresin R0400 for the sum of all exposures |
| C0040/R0400-R0520 | Credit Risk Contribution | Contribution to the credit SCR including diversification, i.e. the sum of entries in this column gives the credit risk SCR:in R0420 to R0510 for the top 10 exposuresin R0410 for the sum of these top 10 exposuresin R0520 for the remaining exposuresin R0400 for the sum of all exposures |
| C0050/R0410-R0510 | Average Probability of Default (in %) | Average 1Y probability of default in %in R0420 to R0510 for the top 10 exposuresin R0410 for the sum of these top 10 exposures |
| C0060/R0410-R0510 | Average Loss Given Default (in %) | Average loss given default in %in R0420 to R0510 for the top 10 exposuresin R0410 for the sum of these top 10 exposures |
| C0070/R0400-R0520 | Market value (% of total sum) | Share of the market value (in %) relative to the total sum of market values of exposures to credit event riskin R0420 to R0510 for the top 10 exposuresin R0410 for the sum of these top 10 exposuresin R0520 for the remaining exposuresin R0400 for the sum of all exposures (which should be 100 %) |
| C0080/R0400-R0520 | Credit Risk Contribution (% of total sum) | Share of the credit risk contribution (in %) relative to the total credit risk SCRin R0420 to R0510 for the top 10 exposuresin R0410 for the sum of these top 10 exposuresin R0520 for the remaining exposuresin R0400 for the sum of all exposures (which should be 100 %) |
| Split by asset classes | ||
| C0020/R0530-R0640 | Market value | Total market value according to the valuation used for solvency purposes and split by asset classes. |
| C0030/R0530-R0640 | Exposure at default | Total exposure at default and split by asset classes. |
| C0040/R0530-R0640 | Credit Risk Contribution | Total contribution to the credit SCR (in reporting currency) including diversification and split by asset classes, i.e. the sum of entries in this column gives the credit risk SCR. |
| C0050/R0530-R0630 | Average Probability of Default (in %) | Average 1Y probability of default in % for the assets as sorted by asset classes. |
| C0060/R0530-R0630 | Average Loss Given Default (in %) | Average loss given default in % for the assets as sorted by asset classes. |
| C0070/R0530-R0640 | Market value (% of total sum) | Total share of the market value (in %) relative to the total sum of market values of exposures to credit event risk and split by asset classes. Off BS and other. |
| C0080/R0530-R0640 | Credit Risk Contribution (% of total sum) | Total share of the credit risk contribution (in %) relative to the total credit risk SCR and split by asset classes. |
| Split by credit quality step (CQS) | ||
| C0020/R0650-R0730 | Market value | Total market value in reporting currency according to the valuation used for solvency purposes and split by credit quality step. |
| C0030/R0650-R0730 | Exposure at default | Total exposure at default in reporting currency and split by credit quality step. |
| C0040/R0650-R0730 | Credit Risk Contribution | Total contribution to the credit SCR (in reporting currency) including diversification and split by credit quality step, i.e. the sum of entries in this column gives the credit risk SCR. |
| C0050/R0650-R0720 | Average Probability of Default (in %) | Average 1Y probability of default in % for the assets as sorted by credit quality steps. |
| C0060/R0650-R0720 | Average Loss Given Default (in %) | Average loss given default in % for the assets as sorted by credit quality steps. |
| C0070/R0650-R0730 | Market value (% of total sum) | Total share of the market value (in %) relative to the total sum of market values of exposures to credit event risk and split by credit quality step. |
| C0080/R0650-R0730 | Credit Risk Contribution (% of total sum) | Total share of the credit risk contribution (in %) relative to the total credit risk SCR and split by credit quality step. |
| C0100/R0740 | Credit event risk (‘migration and default’) – 99,5 % | This is the total amount of the capital charge for credit event risk (‘migration and default’) for 99,5 % quantile. |
| C0100/R0750 | Expected loss – mean | This is the total amount of mean of the probability distribution of expected loss for credit event risk (‘migration and default’). |
S.26.11 – Internal model: Credit risk – details for financial instruments
General comments
This section relates to annual submission of information for individual entities.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and insurance and reinsurance undertakings.
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| Exposure at Default | ||
| C0010-C0090/R0010 | Overall Exposure at Default | Exposure at Default for different Credit Quality Steps. |
| C0010-C0090/R0020-R0080 | Exposure at Default breakdown | Amount of Exposure at Default for different asset classes and different Credit Quality Steps. |
| Probability of Default – weighted average where the weight is Exposure at Default | ||
| R0100 | Overall Probability of Default | Probability of Default for different Credit Quality Steps. |
| C0010-C0090/R0110-R0170 | Probability of Default breakdown | Probability of Default for different asset classes and different Credit Quality Steps. |
| C0100/R0180 | Other description | Summary of content of Other category referred in rows R0080 and R0170, so materiality can be judged. |
| Solvency Capital Requirements | ||
| C0110/R0190 | Total undiversified credit risk | This is the total amount of the capital charge for credit risk before any diversification effects. |
| C0110/R0200 | Diversification:credit risk | This is the amount of gross diversification effects allowed in aggregation of capital requirements for credit risk.This amount should be reported as a negative value. |
| C0110/R0210 | Diversified risk:credit risk | This is the total amount of the capital charge for credit risk. |
S.26.12 – Internal model: Credit risk – for non-financial instruments
General comments:
This section relates to annual submission of information for individual entities.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and insurance and reinsurance undertakings.
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| Type 1 exposures in terms of impact on SCR | ||
| C0010/R0020-R0110 | Name of single name exposure | Describe the name of the 10 largest single exposures. |
| C0020/R0020-R0110 | Code of single name exposure | Identification code using the Legal Entity Identifier (LEI) if available.If not available this item should not be reported |
| C0030/R0010 | Sum of all Losses Given Default | The sum of the Loss Given Default for all Type 1 exposures. |
| C0030/R0020-R0110 | Type 1 exposures – Single name exposure X – Loss Given Default | The value of the Loss Given Default for each of the 10 largest single name exposures. |
| C0030/R0120 | Type 1 aggregate Loss Given Default excluding 10 largest single name exposures | Loss Given Default for all Type 1 exposures excluding 10 largest single name exposures. |
| C0040/R0010 | Sum of all Exposures at Default | The sum of the Exposure at Default for all Type 1 exposures. |
| C0040/R0020-R0110 | Type 1 exposures – Single name exposure X – Exposure at Default | The value of the Exposure at Default for each of the 10 largest single name exposures. |
| C0040/R0120 | Type 1 aggregate Exposure at Default excluding 10 largest single name exposures | The value of the Exposure at Default for all Type 1 exposures excluding 10 largest single name exposures. |
| C0050/R0010 | Weighted average Probability of Default for Type 1 exposures | Weighted average of Probability of Default for Type 1 exposures where the weight is Exposure at Default. |
| C0050/R0020-R0110 | Type 1 exposures – Single name exposure X – Probability of Default | The Probability of Default for each of the 10 largest single name exposures. |
| Type 2 exposures in terms of impact on SCR | ||
| C0030/R0130 | Sum of all Losses Given Default | The sum of the Loss Given Default for all Type 2 exposures. |
| C0030/R0140-R0180 | Type 2 exposures – Loss Given Default | Loss Given Default for the different exposures.For R0160 include the other highest main exposure excluding R0140–R0150.For R0170 include the other highest main exposure excluding R0140–R0160.For R0180 include the other highest main exposure excluding R0140–R0170. |
| C0030/R0190 | Type 2 aggregate Loss Given Default excluding R0140–R0180 | Loss Given Default for all Type 2 exposures excluding R0140–R0180. |
| C0040/R0130 | Sum of all Exposures at Default | The sum of the Exposure at Default for all Type 2 exposures. |
| C0040/R0140-R0180 | Type 2 exposures – Exposure at Default | Exposure at Default for the different exposures:For R0160 include the other highest main exposure excluding R0140–R0150.For R0170 include the other highest main exposure excluding R0140–R0160.For R0180 include the other highest main exposure excluding R0140–R0170. |
| C0040/R0190 | Type 2 aggregate Exposure at Default excluding R0140–R0180 | Exposure at Default for all Type 2 exposures excluding R0140–R0180. |
| C0050/R0130 | Weighted average Probability of Default for Type 2 exposures | Weighted average of Probability of Default for Type 2 exposures where the weight is Exposure at Default. |
| C0050/R0140-R0180 | Type 2 exposures – Probability of Default | The Probability of Default for each of R0140–R0180. For R0140 and R0150 it shall be the weighted average of the Probabilities of Default where the weight is Exposure at Default. |
| C0060/R0140-R0180 | Description of exposure | Short description of the Type 2 exposure.For R0160 include the other highest main exposure excluding R0140–R0150.For R0170 include the other highest main exposure excluding R0140–R0160.For R0180 include the other highest main exposure excluding R0140–R0170. |
| Solvency Capital Requirements | ||
| C0070/R0200 | Total undiversified counterparty default risk | This is the total amount of the capital charge for counterparty default risk before any diversification effects. |
| C0070/R0210 | Diversification:counterparty default risk | This is the amount of gross diversification effects allowed in aggregation of capital requirements for counterparty default risk for Type 1 and Type 2 exposures.This amount should be reported as a negative value. |
| C0070/R0220 | Diversified risk:counterparty default risk | This is the total amount of the capital charge for counterparty default risk. |
S.26.13 – Internal model: Non-Life & Health NSLT Underwriting risk
General comments:
—Premium and Reserve Risk: Premium and Reserve Risk data including Cat.
—Monetary amounts of this template are discounted.
—Catastrophe Risk (Cat): Catastrophe Risk data.
—High percentiles represent adverse results for the undertaking since the underlying distribution is a loss distribution (i.e. 99.5 is used for the SCR calculation).
—Premium & Reserve Risk (Excluding explicit Cat): Premium and Reserve Risk data excluding explicit Cat.
—In general, it is expected that the requested figures are available at both granularities (internal or Solvency 2 LoBs) and consistently reported for each of these 2 granularities to the extent possible (means add up, etc.).
—Premium Risk: The premium risk distribution should be such that its mean reflects an expected profit or loss including the movement of Premium Provisions over the year. Results should exclude Cat.
—The word diversified is in this template used to differentiate between different levels of granularity (e.g. diversified reserve risk is the overall aggregated reserve risk in comparison to the sum of undiversified S2LoBs).
—Reserve Risk: The Reserve Risk distribution should be such that its mean is approximately zero, as there is no expected profit in a Best Estimate. Results should exclude Cat.
—Within Premium and Reserve Risk the following two segmentations are requested:
—Solvency 2 Lines of Business (S2LoB): As defined in Annex II of the Delegated Regulation, based on lines of business (LoBs) defined in Annex I.
—Internal Model Lines of Business (IntLoB): Is understood as the most granular level from the internal model direct outputs at which the probability distribution function of the losses and SCR are available. IntLoBs are expected to be used for internal reporting as well as the management of the capital positions by the undertaking. IntLoBs typically are close to the parameterisation level. They should enable an understanding of the internal model specific behaviour.
This section relates to annual submission of information for individual entities.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and insurance and reinsurance undertakings.
This template collects information on Non-Life and Health NSLT underwriting risk in the following different risk granularities gross and net of reinsurancenote:
In case of co-Insurance on direct business, for leading insurance undertakings the full proportion of business is understood to be reported as gross direct business, whereby the proportion shared with non-leading insurers is considered to be treated as outward reinsurance.
Overall the following applies:
Because there are different ways of modelling these risks, undertakings are not requested to change their internal model to be able to follow the structure of the codes. So, if undertakings model the catastrophe risk together with the risk of premiums and/or reserves, then they should not fill in section ‘Distribution of losses from catastrophe perils’. In addition, if undertakings obtain a specific distribution of premium and reserve risks for Health NSLT underwriting risk and a separate one for non-life underwriting risk without aggregating the two together, the information will be included in ‘Overall Health NSLT gross of reinsirance’ – ‘Overall Health NSLT net of reinsurance’ sections and ‘Overall Non-Life gross of reinsurance’ – ‘Overall Non-Life net of reinsurance’ sections respectively. Otherwise, ‘Overall Non-Life gross of reinsurance’ – ‘Overall Non-Life net of reinsurance’ sections should not be reported.
The Occurrence Exceedance Probability (OEP) is the probability that the associated loss level will be exceeded by any event in any given year. It is used when the insurance program is written on an occurrence basis, or when the loss associated with one event is important.
The Aggregate Exceedance Probability (AEP) is the probability that the associated loss level will be exceeded by the aggregated losses in any given year and is used when the insurance program is written on an aggregate basis.
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| Risk model data | ||
| C0010/R0010 | Is SCR risk measure for Premium risk centred? | One of the options in the following closed list shall be used:Yes – SCR is measured as deviation from the expected result (Centred risk). Please describe in code C0010/R0020. No – SCR is measured as deviation from zero (Non-centred risk). Please describe in code C0010/R0020.Other – Please describe in code C0010/R0020. |
| C0010/R0020 | Short description of SCR risk measure used for Premium risk | Describe the way in which the Internal Model SCR risk measure for Premium risk is derived (e.g. from the ‘economic’ Profit and Loss distribution).Use as reference point the metric defined for the SCR in Article 101 of the Solvency II Directive and go through all aspects where your approach may differ (e.g. deviations from the VaR 1/200, the 1-year time horizon of risk, risk as deviation from the expected result, etc.).If the approved Internal Model risk measure complies with the risk measure as defined by Article 101 of the Solvency II Directive, please confirm by inserting ‘Internal Model risk measure as defined in Article 101 of the Solvency II directive’. |
| C0010/R0030 | Is SCR risk measure for Reserve risk centred? | One of the options in the following closed list shall be used:Yes – Risk Capital includes a deviation from the expected result (centred risk). Please describe in code C0010/R0040.No – Risk Capital includes a deviation from zero (Non-centred risk). Please describe in code C0010/R0040.Other – Please describe in code C0010/R0040. |
| C0010/R0040 | Short description of SCR risk measure used for Reserve risk | Describe the way the in which Internal Model the SCR risk measure for Reserve risk is derived (e.g. from the economic Profit and Loss distribution).Use as reference point the standard metric used for the SCR under Solvency II Directive Section 4 Subsection 1 & 2 (Focus in particular on Article 101, 104, 105, 108) under Solvency II and go through all aspects where your approach may differ (e.g. deviations from the VaR 1/200, the 1-year time horizon of risk, risk as deviation from the expected result, going concern, etc.).If the approved Internal Model risk measure complies with all assumptions of Section 4 Subsection 2 please confirm by inserting ‘Internal Model risk measure in line with Standard Formula risk measure definition’ |
| C0010/R0050 | Is SCR risk measure for Catastrophe risk centred? | One of the options in the following closed list shall be used:Yes – Risk Capital includes a deviation from the expected result (centred risk). Please describe in code C0010/R0060.No – Risk Capital includes a deviation from zero (Non-centred risk). Please describe in code C0010/R0060.Other – Please describe in code C0010/R0060. |
| C0010/R0060 | Short description of SCR risk measure used for Catastrophe risk | Describe the way the in which the Internal Model SCR risk measure for Catastrophe risk is derived. (e.g. from the economic Profit and Loss distribution).Use as reference point the standard metric used for the SCR under Solvency II Directive Section 4 Subsection 1 & 2 (Focus in particular on Article 101, 104, 105, 108) under Solvency II and go through all aspects where your approach may differ (e.g. deviations from the VaR 1/200, the 1-year time horizon of risk, risk as deviation from the expected result, going concern, etc.).If the approved Internal Model risk measure complies with all assumptions of Section 4 Subsection 2 please confirm by inserting ‘Internal Model risk measure in line with Standard Formula risk measure definition’. |
| Internal LoB mapping | ||
| C0020 | Internal line of business | Name of internal line of business used in the internal model. It shall be consistent across the template. |
| C0030 | Solvency II line of business | Identification of the Non-Life line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:1 – Medical expense insurance2 – Income protection insurance3 – Workers’ compensation insurance4 – Motor vehicle liability insurance5 – Other motor insurance6 – Marine, aviation and transport insurance7 – Fire and other damage to property insurance8 – General liability insurance9 – Credit and suretyship insurance10 – Legal expenses insurance11 – Assistance12 – Miscellaneous financial loss13 – Proportional medical expense reinsurance14 – Proportional income protection reinsurance15 – Proportional workers’ compensation reinsurance16 – Proportional motor vehicle liability reinsurance17 – Proportional other motor reinsurance18 – Proportional marine, aviation and transport reinsurance19 – Proportional fire and other damage to property reinsurance20 – Proportional general liability reinsurance21 – Proportional credit and suretyship reinsurance22 – Proportional legal expenses reinsurance23 – Proportional assistance reinsurance24 – Proportional miscellaneous financial loss reinsurance25 – Non–proportional health reinsurance26 – Non–proportional casualty reinsurance27 – Non–proportional marine, aviation and transport reinsurance28 – Non–proportional property reinsuranceIt is expected the insurance and reinsurance undertakings indicate in which Solvency II LoB each internal LoB is included.If one Internal LoB maps to two or more Solvency II LoBs then C0040 reports the corresponding proportion (as a value between 0 and 1) of the internal LoB for each mapped Solvency II LoB. These values shall add up to 1 for each internal LoB that maps to two or more Solvency II LoBs. If there is a one-to-one mapping, then C0040 shall be 1. |
| C0040 | Premium risk indicator | The following closed list shall be used:Assigned to premium riskNot assigned to premium risk |
| C0050 | Reserve risk indicator | The following closed list shall be used:Assigned to reserve riskNot assigned to reserve risk |
| C0060 | Proportion of Internal Line of Business allocated to SII Line of Business | Proportion of internal line of business allocated to SII line of business as a decimal number e.g. if it’s 10 % then use 0.1. |
| Gross Reserve risk model data | ||
| Z0010 | SII Line of Business | Identification of the Non-Life line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:1 – Medical expense insurance2 – Income protection insurance3 – Workers’ compensation insurance4 – Motor vehicle liability insurance5 – Other motor insurance6 – Marine, aviation and transport insurance7 – Fire and other damage to property insurance8 – General liability insurance9 – Credit and suretyship insurance10 – Legal expenses insurance11 – Assistance12 – Miscellaneous financial loss13 – Proportional medical expense reinsurance14 – Proportional income protection reinsurance15 – Proportional workers’ compensation reinsurance16 – Proportional motor vehicle liability reinsurance17 – Proportional other motor reinsurance18 – Proportional marine, aviation and transport reinsurance19 – Proportional fire and other damage to property reinsurance20 – Proportional general liability reinsurance21 – Proportional credit and suretyship reinsurance22 – Proportional legal expenses reinsurance23 – Proportional assistance reinsurance24 – Proportional miscellaneous financial loss reinsurance25 – Non–proportional health reinsurance26 – Non–proportional casualty reinsurance27 – Non–proportional marine, aviation and transport reinsurance28 – Non–proportional property reinsurance |
| Z0020 | Risk type | One of the options in the following closed list shall be used:1 – Non-life and NSLT health reserve risk aggregated jointly with implicit catastrophe risk2 – Non-life and NSLT health reserve risk aggregated jointly3 – Non-life underwriting reserve risk with implicit catastrophe risk4 – Non-life underwriting reserve risk |
| C0070 | Diversified reserve risk excluding explicit Catastrophe Risk | Aggregate reserve risk gross/net of reinsurance after applying diversification effects among different risks.It will include catastrophe risk if it is modelled jointly with the reserve risk, otherwise catastrophe risk will be reported using separate fields described in the ‘Distribution of losses from catastrophe perils’ section of this LOG file. |
| C0080 | SII Line of Business | Reserve risk gross/net of reinsurance for each Solvency II LoB.It will include catastrophe risk if it is modelled jointly with the reserve risk, otherwise catastrophe risk will be reported using separate fields described in the ‘Distribution of losses from catastrophe perils’ section of this LOG file. |
| C0090 | Internal Line of Business | Reserve risk gross/net of reinsurance for each internal LoB.It will include catastrophe risk if it is modelled jointly with the reserve risk, otherwise catastrophe risk will be reported using separate fields described in the ‘Distribution of losses from catastrophe perils’ section of this LOG file. |
| R0070 | Provision for claims outstanding – discounted | The best estimate of claims (gross of reinsurance) that have not been settled. It includes all claims not yet settled, reported and not reported. Based on Article 77 solvency II Directive, the best estimate corresponds to the probability-weighted average of future cash-flows, taking account of the time value of money (expected present value of future cash-flows), using the relevant risk-free interest rate term structure. |
| R0080 | Premium Provision – discounted (only if premium provision allocated to reserve risk) | The discounted sum of future cash flows that comprise the premium provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance regarding direct and accepted business. This cell should be filled in if the premium provision at the reporting reference date is allocated to reserve risk. |
| R0090 | Solvency Capital Requirement | This is the amount of funds that insurance and reinsurance undertakings need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoB and aggregate level based on gross of reinsurance data.This cell represents the stand-alone risk of the respective granularity with the approved risk measure of the Internal Model. |
| R0100 | Simulated (output) mean | This is the mean of the profit and loss distribution forecast according to the approved model setup, i.e. as relevant for the calculation of the official SCR. It is the output obtained based on the simulation process (gross of reinsurance and on an undiscounted basis) |
| R0110 | Simulated (output) standard deviation | This is the standard deviation of the probability distribution of the future cash out-flows (Combined ratio styled) relating to claims events on a one-year time horizon basis as at the reporting reference date. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| R0120-R0330 | Percentiles from 0.001 to 0.999 | The undertaking is expected to indicate the amounts of the percentiles required in the table related to the probability distribution of the future cash out-flows relating to claims events on a one-year time horizon basis as at the reporting reference date obtained based on the simulation process (gross of reinsurance and on a discounted basis).If the risk measure definition is in line with the risk measure definition of Article 101 of the Solvency II Directive, the 99.5 percentile will differ by the Simulated (output) mean from the SCR. |
| Net Reserve risk model data | ||
| R0340 | Provision for claims outstanding – discounted | The best estimate of claims (net of reinsurance recoverables) that have not been settled. It includes all claims not yet settled, reported and not reported. Based on Article 77 of Solvency II Directive, the best estimate corresponds to the probability-weighted average of future cash-flows, taking account of the time value of money (expected present value of future cash-flows), using the relevant risk-free interest rate term structure. |
| R0350 | Premium Provision – discounted (only if premium provision allocated to reserve risk) | The discounted sum of future cash flows that comprise the premium provisions net of reinsurance recoverables. This cell should be filled in if the premium provision at the reporting reference date is allocated to reserve risk. |
| R0360 | Solvency Capital Requirement | This is the amount of funds that insurance and reinsurance undertakings need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoB and aggregate level based on net of reinsurance data. |
| R0370 | Simulated (output) mean | This is the mean of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on discounted basis). |
| R0380 | Simulated (output) standard deviation | This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on discounted basis). |
| R0390-R0600 | Percentiles from 0.001 to 0.999 | The undertaking is expected to indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on discounted basis). |
| Gross Premium risk model data | ||
| Z0020 | Risk type | One of the options in the following closed list shall be used:1 – Non-life and NSLT health premium risk aggregated jointly with implicit catastrophe risk2 – Non-life and NSLT health premium risk aggregated jointly3 – Non-life underwriting premium risk with implicit catastrophe risk4 – Non-life underwriting premium risk |
| C0100 | Diversified premium risk excluding explicit Catastrophe Risk | Aggregate premium risk gross/net of reinsurance after applying diversification effects among different risks.It will include catastrophe risk if it is modelled jointly with the premium risk, otherwise catastrophe risk will be reported using separate codes described in the ‘DISTRIBUTION OF LOSSES FROM CATASTROPHE PERILS’ section of this LOG file. |
| C0110 | SII Line of Business | Premium risk gross/net of reinsurance for each Solvency II LoB.It will include catastrophe risk if it is modelled jointly with the premium risk, otherwise catastrophe risk will be reported using separate codes described in the ‘DISTRIBUTION OF LOSSES FROM CATASTROPHE PERILS’ section of this LOG file. |
| C0120 | Internal Line of Business | Premium risk gross/net of reinsurance for each internal LoB.It will include catastrophe risk if it is modelled jointly with the premium risk, otherwise catastrophe risk will be reported using separate codes described in the ‘DISTRIBUTION OF LOSSES FROM CATASTROPHE PERILS’ section of this LOG file. |
| R0610 | Gross Written Premium | Gross premiums written shall comprise all amounts due during the financial year in respect of insurance contracts, arising from direct business, regardless of the fact that such amounts may relate in whole or in part to a later financial year. |
| R0620 | Gross Earned Premium | It is the sum of gross premiums written minus the change in the gross provision for unearned premiums related to insurance direct business. |
| R0630 | Gross written premium planned in the 12 months post the reporting Reference Date | Gross premium planned to be written within the 12 months following the reporting reference date via binder agreements either signed before or after the reference date. |
| R0640 | Gross written unearned premium at the Reference Date (only if premium provision allocated to premium risk) | Written unearned premium gross of reinsurance. This cell should be filled in if the premium provision at the reporting reference date is allocated to premium risk. |
| R0650 | Premium Provision – discounted (only if premium provision allocated to premium risk) | The discounted sum of future cash flows that comprise the premium provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance regarding direct and accepted business. This cell should be filled in if the premium provision at the reporting reference date is allocated to premium risk. |
| R0660 | Solvency Capital Requirement | This is the amount of funds that insurance and reinsurance undertakings need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoBs and aggregate level based on gross of reinsurance data. |
| R0670 | Simulated (output) mean | This is the mean loss ratio of the probability distribution. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| R0680 | Simulated (output) standard deviation | This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| R0690-R0900 | Percentiles from 0,001 to 0,999 | The undertaking is expected to indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| Net Premium risk model data | ||
| R0910 | Net Written Premium | Net premiums written shall comprise all amounts due during the financial year in respect of insurance contracts, arising from direct business, regardless of the fact that such amounts may relate in whole or in part to a later financial year. |
| R0920 | Net Earned Premium | It is the sum of net premiums written minus the change in the net provision for unearned premiums related to insurance direct business. |
| R0930 | Net written premium planned in the 12 months post the Reference Date | Net premium planned to be written within the 12 months following the reporting reference date via binder agreements either signed before or after the reference date. |
| R0940 | Net written unearned premium at the Reference Date (only if premium provision allocated to premium risk) | Written unearned premium net of reinsurance. This cell should be filled in if the premium provision at the reporting reference date is allocated to premium risk. |
| R0950 | Premium Provision – discounted (only if premium provision allocated to premium risk) | The discounted sum of future cash flows that comprise the premium provisions net of reinsurance recoverables. This cell should be filled in if the premium provision at the reporting reference date is allocated to premium risk. |
| R0960 | Solvency Capital Requirement | This is the amount of funds that insurance and reinsurance undertakings need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoBs and aggregate level based on net of reinsurance data. |
| R0970 | Simulated (output) mean | This is the mean of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| R0980 | Simulated standard deviation | This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| R0990-R1200 | Percentiles from 0.001 to 0.999 | The undertaking is expected to indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| Overall Non-Life and Health NSLT gross of reinsurance | ||
| Z0020 | Risk type | One of the options in the following closed list shall be used:1 – Non-life and NSLT health premium risk and reserve risk aggregated jointly with implicit catastrophe risk2 – Non-life and NSLT health premium risk and reserve risk aggregated jointly3 – Non-life underwriting premium risk and reserve risk with implicit catastrophe risk4 – Non-life underwriting premium risk and reserve risk5 – NSLT health underwriting premium risk and reserve risk aggregated separately with implicit catastrophe risk6 – NSLT health underwriting premium risk and reserve risk aggregated separately |
| C0130 | Total undiversified | The total amount of non-life and health NSLT underwriting risk before applying diversification effects among different non-life risks. This amount will include catastrophe risk if it is modelled jointly with the premium and reserve risk, otherwise catastrophe risk will be reported using separate codes described in the ‘DISTRIBUTION OF LOSSES FROM CATASTROPHE PERILS’ section of this LOG file. |
| C0140 | Diversification | The difference between total undiversified standalone non-life and health NSLT underwriting risk and total non-life underwriting risk diversified. This amount is the diversification effect and shall be reported as a negative value. |
| C0150 | Diversified | The total amount of non-life and health NSLT risk underwriting after applying diversification effects among different risks. This amount will include catastrophe risk if it is modelled jointly with the premium and reserve risk, otherwise catastrophe risk will be reported using separate codes described in the ‘DISTRIBUTION OF LOSSES FROM CATASTROPHE PERILS’ section of this LOG file. |
| R1210 | Solvency Capital Requirement | This is the amount of funds that insurance and reinsurance undertakings need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoBs and aggregate level based on gross of reinsurance data. |
| R1220 | Simulated (output) mean | This is the mean of the probability distribution. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| R1230 | Simulated (output) standard deviation | This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| R1240-R1450 | Percentiles from 0.001 to 0.999 | The undertaking is expected to indicate the amounts of the percentiles required in the chart related to the probability distribution obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| Overall Non-Life and Health NSLT net of reinsurance | ||
| R1460 | Solvency Capital Requirement | This is the amount of funds that insurance and reinsurance undertakings need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoBs and aggregate level based on net of reinsurance data. |
| R1470 | Simulated (output) mean | This is the mean of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| R1480 | Simulated (output) standard deviation | This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| R1490-R1700 | Percentiles from 0.001 to 0.999 | The undertaking is expected to indicate the amounts of the percentiles required in the chart related to the probability distribution obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| Distribution of losses from Catastrophe Perils | ||
| C0020 | Classes impacted by the catastrophe event | List of all classes impacted by the catastrophe event for the relevant peril. |
| C0160 | Catastrophe | Name of natural catastrophe or man-made peril per modelled region. Please include name of region and peril. Do not include generic names like region1 or peril1. It is recommended that the names of the perils and the regions are in English. |
| C0170 | Commercially available vendor model used (if applicable) | One of the options in the following closed list shall be used:YesNo |
| C0180 | Commercially available vendor model name and version used (if applicable) | If a commercially available vendor model is used in the internal model for the peril this field should contain the name of the model and the version of the model that the simulations are based on. |
| C0190 | Explanatory information (if AEP loss is not available) | Provide short concise information on model and reasons, if the field ‘AEP loss’ is not available. If agreed with the responsible supervisor this field could also be used to provide information on modelling approaches in other cases. |
| C0200 | Total Sum insured | The insurance or reinsurance undertaking is expected to report their total sum insured for direct business by peril and region. |
| C0210 | Exposure amount | The exposure amount used by the undertaking that has been agreed upon with the respective supervisor. The metric used can be different among perils and regions. |
| C0220 | Exposure metric | Short description of exposure metric used in previous column (C6). |
| Distribution of losses from Catastrophe Perils – Total (property and non-property) business | ||
| Z0010 | Internal line of business | Name of the internal line of business used by the undertaking. |
| C0230-C0400/R1710 | Simulated mean from model for Total (property and non-property) business | This is the mean of the probability distribution corresponding to each peril and aggregation of perils. It is the output obtained based on the simulation process. The mean should be reported with the following splits:Mean of OEP for all business gross of reinsuranceMean of AEP for all business gross of reinsuranceMean of Annual loss for all business gross of reinsuranceMean of OEP for all business net of reinsuranceMean of AEP for all business net of reinsuranceMean of Annual loss for all business net of reinsurance‘Annual loss’ is explicitly not ‘Average Annual Loss’ (AAL), but the loss determined according to the statistical measure, i.e. mean, standard deviation or percentile. AAL corresponds to the mean annual loss.” |
| C0230-C0400/R1720 | Simulated standard deviation for Total (property and non-property) business | This is the standard deviation of the probability distribution corresponding to each peril and aggregation of perils. It is the output obtained based on the simulation process. The standard deviation should be reported with the same split as the Simulated mean. |
| C0230-C0400/R1730-R1810 | Simulated percentiles for Total (property and non-property) business | Probability distribution percentiles obtained based on the simulation process for each peril and aggregation of perils. Reported percentiles are 0.75, 0.9, 0.96, 0.98, 0.99, 0.995, 0.996, 0.998 and 0.999. The information for each separate percentile shall be reported with the same split as the Simulated mean. |
| Premium and sums insured data | ||
| C0410/R1820-R1950 | Gross Annual Premium – Direct insurance | Split of gross annual premium written for direct business by geographical region. Geographical regions to be used are Europe, Africa, North East US, South East US, Mid-West US, Western US, Northern America (excluding US), Caribbean & Central America, South America, Australia, Japan, Asia (excluding Japan) and Rest of World. Any unallocated premium should be put in the Unallocated bucket.The definition of these geographical areas can be found in Annex III of the COMMISSION DELEGATED REGULATION (EU) 2015/35. When one of the above geographical regions is a superset of the defined regions in the delegated regulation then all countries in the subsets should be considered for this region. The only exception here is Japan which is singled out from the rest of Asia. |
| C0420/R1820-R1950 | Total Sum Insured – Direct insurance | Split of total sum insured for direct business by geographical region. Geographical regions to be used are Europe, Africa, North East US, South East US, Mid-West US, Western US, Northern America (excluding US), Caribbean & Central America, South America, Australia, Japan, Asia (excluding Japan) and Rest of World. Any unallocated premium should be put in the Unallocated bucket.The definition of these geographical areas can be found in Annex III of the COMMISSION DELEGATED REGULATION (EU) 2015/35. When one of the above geographical regions is a superset of the defined regions in the delegated regulation then all countries in the subsets should be considered for this region. The only exception here is Japan which is singled out from the rest of Asia. |
| C0410/R1960-R1990 | Gross Annual Premium – Reinsurance | The insurance or reinsurance undertaking is expected to split their gross annual written premium for reinsurance by geographical region. Geographical regions to be used are Europe, North America and Rest of World. Any unallocated premium should be put in the Unallocated bucket. |
| C0420/R1960-R1990 | Total Sum Insured – Reinsurance | The insurance or reinsurance undertaking is expected to split their total sum insured for reinsurance by geographical region. Geographical regions to be used are Europe, North America and Rest of World. Any unallocated premium should be put in the Unallocated bucket. |
| SPLIT OF PREMIUM INCOME | ||
| C0430/R2000 | Direct insurance | Premium income (gross allocated written premium forecasted for the next 12 months as used in the model) for the insurance or reinsurance undertaking direct business. |
| C0430/R2010 | Reinsurance | Premium income (gross allocated written premium forecasted for the next 12 months as used in the model) for the insurance or reinsurance undertaking reinsurance business. |
| C0430/R2020 | Retrocession | Premium income (gross allocated written premium forecasted for the next 12 months as used in the model) for the insurance or reinsurance undertaking retrocession. |
| SIGNIFICANT OTHER PERILS | ||
| C0440/R2030 | Significant other perils | The insurance or reinsurance undertaking should here indicate if their business contains other significant perils not included in the NatCat or Man-made perils above with a Yes, otherwise this cell should contain a No. |
| C0440/R2040 | Description of other perils | If the above cell is Yes, the insurance or reinsurance undertaking should provide here a text description of those other significant peril(s). |
| CATASTROPHE SCR AGGREGATION – Reported net of reinsurance | ||
| C0450/R2050 | Total undiversified NatCat risk | Sum of separate SCR for all NatCat risk perils. |
| C0450/R2060 | Diversification between NatCat perils | Diversification effect on SCR between NatCat perils. Calculated as SCR for NatCat risk perils – Sum of separate SCR for all NatCat risk perils. |
| C0450/R2070 | Total undiversified man-made risk | Sum of SCR for all Man-made risk perils. |
| C0450/R2080 | Diversification between man-made perils | Diversification effect on SCR between Man-made perils. Calculated as SCR for Man-made risk perils – Sum of separate SCR for all Man-made risk perils. |
| C0450/R2090 | Other non-life catastrophe risk | SCR for other non-life Catastrophe risk. |
| C0450/R2100 | Diversification between other non-life catastrophe perils | Diversification effect on SCR between Other perils. Calculated as SCR for Other risk perils – Sum of separate SCR for all Other risk perils. |
| C0450/R2110 | Non-life catastrophe risk – total diversification | Diversification effect on SCR between NatCat, Man-made and Other perils. Calculated as SCR for Catastrophe risk – SCR for NatCat risk perils – SCR for all Man-made risk perils -SCR for all Other risk perils. |
| C0450/R2120 | Total Non-life catastrophe risk – diversified | SCR for Catastrophe risk. |
S.26.14 – Internal model: Life and Health underwriting risk
General comments:
This section relates to annual submission of information for individual entities.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and insurance and reinsurance undertakings.
In this template, the results of internal models for Life and Health SLT underwriting risk are reported. If insurers also integrate Health NSLT underwriting risk in the Life + Health SLT underwriting risk model structure, the results of the Health NSLT model should also be reported in this template.
Depending on the structure of Life and Health SLT underwriting risk modelling, one of the two approaches for longevity and mortality risk should be used. If the internal model structure is such that Mortality and Longevity risks are modelled together, then for these risks only R0270 where these risks are combined, shall be reported.
In general, if cells cannot be sensibly reported an alternative should be selected. For example, if an undertaking cannot separate trend, level or volatility modelling within a submodule, then information should be provided at the corresponding aggregate level.
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| OPTION 1 – LIFE RISK | ||
| C0010/R0010, R0060, R0250, R0270C0030-C0040/R0110 | Net Best Estimate liability + Technical provisions calculated as a whole | Best estimate shall be reported net of reinsurance and refers to the products of the life insurance portfolio that are sensitive to the relevant risk category. TPs calculated as a whole should be taken in as well.The split for disability-morbidity risk aggregate refers to annuities paid out (‘APO’) or not (‘ANPO’).If R0270 is reported then R0010 (Mortality) and R0060 (Longevity) shall not be reported. |
| C0050/R0010, R0060, R0110, R0250, R0270 | Net Written Premiums | The total of the written premiums net of reinsurance shall be reported for the products of the life insurance portfolio that are sensitive to the relevant risk category.If R0270 is reported then R0010 (Mortality) and R0060 (Longevity) shall not be reported. |
| C0060/R0010, R0060, R0110, R0250, R0270 | Sum insured | The total sum insured shall be reported for the products of the life insurance portfolio that are sensitive to the relevant risk category.If R0270 is reported then R0010 (Mortality) and R0060 (Longevity) shall not be reported. |
| C0070/R0010-R0270 | Solvency Capital Requirements | The SCR for the relevant risk category, net of reinsurance.The following explanations apply for C0070 – C0260:For the aggregate risks, the SCR after aggregation over the underlying sub-risks should be reported.For lapse risk the following applies:Lapse covers exercising contractual options in a general sense.Risk of increase in lapse rates (R0170) and decrease of lapse rates (R0180) are lapse risks other than mass lapse risk, where R0170 (R0180) covers the part of the business leading to a loss if lapse rates increase (decrease) as defined in the internal model.Risk of mass lapse (R0190) is risk of accumulation or catastrophe risk for lapse as defined in the internal model.Lapse type split (other than mass lapse) covers non-mass lapse risk if a split in increase/decrease is not available and offers a split in three rough categories: full surrender, i.e. termination of the contract, partial surrender and other exercising of contractual options or Policyholder behaviour.If R0270 is reported then R0010 to R0100 shall not be reported. |
| C0080/R0010-R0270 | Mean | The mean of the probability distribution of the net SCRIf R0270 is reported then R0010 to R0100 shall not be reported. |
| C0090/R0010-R0270 | Standard deviation | The Standard deviation of the probability distribution of the net SCRIf R0270 is reported then R0010 to R0100 shall not be reported. |
| C0100-C0310/R0010-R0270 | Percentiles from 0.001 to 0.999 | It is expected that the insurance and reinsurance undertakings indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on discounted basis).If R0270 is reported then R0010 to R0100 shall not be reported. |
| OPTION 2 – LIFE RISKTo be completed if the internal model only has a split between Trend and Level risk. In that case the following template (S.26.14.01.02) replaces the template above (S.26.14.01.01). | ||
| C0010/R0300 | Net Best Estimate liability + Technical provisions calculated as a whole | Catastrophe risk best estimate shall be reported net of reinsurance and refers to the products of the life insurance portfolio that are sensitive to the relevant risk category. TPs calculated as a whole should be taken in as well. |
| C0050/R0300 | Net Written Premiums | The total of the net written premiums for catastrophe risk shall be reported for the products of the life insurance portfolio that are sensitive to the relevant risk category. |
| C0060/R0300 | Sum insured | The total sum insured for catastrophe risk shall be reported for the products of the life insurance portfolio that are sensitive to the relevant risk category. |
| C0070/R0280-R0300 | Solvency Capital Requirements | The SCR for the relevant risk category, net of reinsurance.For the aggregate risks, the net SCR after aggregation over the underlying submodules should be reported. |
| C0080/R0280-R0300 | Mean | The mean of the probability distribution of the SCR |
| C0090/R0280-R0300 | Standard deviation | The Standard deviation of the probability distribution of the net SCR |
| C0100-C0310/R0280-R0300 | Percentiles from 0.001 to 0.999 | It is expected that the insurance and reinsurance undertakings indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on discounted basis). |
| OPTION 1 – HEALTH RISK | ||
| Z0010 | Type of Health risk modelled in Life & Health? | In the closed list there are 3 options:SLT, NSLT and SLT + NSLT |
| C0010/R0310, R0360, R0560C0030-C0040/R0410-R0460 | Net Best Estimate liability + Technical provisions calculated as a whole | Best estimate shall be reported net of reinsurance and refers to the products of the health insurance portfolio that are sensitive to the relevant risk category. TPs calculated as a whole should be taken in as well.The split for disability-morbidity risk aggregate refers to annuities paid out (‘APO’) or not (‘ANPO’). |
| C0050/R0310, R0360, R0410-R0460, R0560 | Net Written Premiums | The total of the net written premiums shall be reported for the products of the health insurance portfolio that are sensitive to the relevant risk category. |
| C0060/R0310, R0360, R0410-R0460, R0560 | Sum insured | The total sum insured shall be reported for the products of the health insurance portfolio that are sensitive to the relevant risk category. |
| C0070/R0310-R0570 | Solvency Capital Requirements | The SCR for the relevant risk category, net of reinsurance.The following explanations apply for C0070 – C0260:For the aggregate risks, the SCR after aggregation over the underlying submodules should be reported.For lapse risk the following applies:Lapse covers exercising contractual options in a general sense.Risk of increase in lapse rates (R0480) and decrease of lapse rates (R0490) are lapse risks other than mass lapse risk, where R0480 (R0490) covers the part of the business leading to a loss if lapse rates increase (decrease) as defined in the internal model.Risk of mass lapse (R0500) is risk of accumulation or catastrophe risk for lapse as defined in the internal model.‘Lapse type split (other than mass lapse)’ covers non-mass lapse risk if a split in increase/decrease is not available and offers a split in three rough categories: ‘full surrender’, i.e. termination of the contract, ‘partial surrender’ and ‘other’ exercising of contractual options or ‘Policyholder behaviour’. |
| C0080/R0310-R0570 | Mean | The mean of the probability distribution of the net SCR |
| C0090/R0310-R0570 | Standard deviation | The Standard deviation of the probability distribution of the net SCR |
| C0100-C0310/R0310-R0570 | Percentiles from 0.001 to 0.999 | It is expected that the insurance and reinsurance undertakings indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on discounted basis). |
| OPTION 2 – HEALTH RISKTo be completed if the internal model only has a split between Trend and Level risk. In that case the following template (S.26.14.01.05) replaces the template above (S.26.14.01.03). | ||
| C0010/R0600 | Net Best Estimate liability + Technical provisions calculated as a whole | Best estimate shall be reported net of reinsurance and refers to the products of the health insurance portfolio that are sensitive to the relevant risk category. TPs calculated as a whole should be taken in as well.The split for disability-morbidity risk aggregate refers to annuities paid out (‘APO’) or not (‘ANPO’). |
| C0050/R0600 | Net Written Premiums | The total of the net written premiums shall be reported for the products of the health insurance portfolio that are sensitive to the relevant risk category. |
| C0060/R0600 | Sum insured | The total sum insured shall be reported for the products of the health insurance portfolio that are sensitive to the relevant risk category. |
| C0070/R0580-R0600 | Solvency Capital Requirements | The SCR for the relevant risk category, net of reinsurance.For the aggregate risks, the net SCR after aggregation over the underlying submodules should be reported. |
| C0080/R0580-R0600 | Mean | The mean of the probability distribution of the net SCR |
| C0090/R0580-R0600 | Standard deviation | The Standard deviation of the probability distribution of the net SCR |
| C0100-C0310/R0580-R0600 | Percentiles from 0.001 to 0.999 | It is expected that the insurance and reinsurance undertakings indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on discounted basis). |
| SOLVENCY CAPITAL REQUIREMENTS | ||
| C0320/R0610 | Total undiversified risk: Life underwriting,Health underwriting, Life and Health underwriting | The sum of all (sub-) SCRs.For lapse, please choose the sum as appropriate to the splits presented on the most granular level.Examples: (1) If lapse increase and lapse decrease and mass lapse are available, please sum up these. Irrespectively if the lapse split is additionally available. (2) If mass lapse and lapse split are available and also lapse split sublevels, please take the sum of mass lapse and lapse split. If only sublevels of lapse split are available, please chose those. |
| C0320/R0620 | Diversification:Life underwriting,Health underwriting, Life and Health underwriting | The diversification between the sub risks.This amount should be reported as a negative value. |
| C0320/R0630 | Diversified risk:Life underwriting,Health underwriting, Life and Health underwriting | The aggregated SCR Life and Health risk after aggregating all sub risks. |
S.26.15 – Internal model: Operational risk
General comments:
This section relates to annual submission of information for individual entities.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and insurance and reinsurance undertakings.
Each undertaking can use their own operational risks classification.
The columns C0020-C0060 contain information on the scenarios defined by the undertaking. In case of multi-tier classifications, data on at least the two highest levels of operational risk should be provided (define L1 as the highest level and L2 the immediately lower one, if present). All the information to be filled in is related to the one year forecasted loss probability distributions.
For an event type category defined as Level 1 (L1) occurrence, all numerical information (SCR, quantiles) should refer to the aggregation of the risk made at that level. Of course, each category identified in the Level 2 (L2) occurrence could come from an aggregation of lower levels loss distributions.
| Internal scenario classification[free text] | Unique ID[number] | Unique ID of parent level.[number] | |
|---|---|---|---|
| L2 A | 201 | 101 | Note that the ID of the containing level is not valued for L1 levels, as the ultimate parent level is the operational risk itself. |
| L2 B | 202 | 101 | |
| L2 C | 203 | 101 | |
| L2 D | 204 | 102 | |
| L2 E | 205 | 102 | |
| L1 A | 101 | ||
| L1 B | 102 |
Operational Risk
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010/R0010 | Is Basel L1 classification used? | Identify if the seven high-level categories (L1) specified in Basel II are used.One of the options in the following closed list shall be used:YesNo |
| C0010/R0020 | Is Basel L1 and L2 classification used? | Identify if the Basel Level 1 and 2 categories and their hierarchy (which L2 are included in each L1) specified in Basel II [Annex 7].One of the options in the following closed list shall be used:YesNo |
| C0020 | Scenario name | This table should be completed by all undertakings, also in the cases where the undertaking answers ‘No’ to ‘C0010/R0010’ and/or ‘C0010/R0020’, with the names of the internal scenarios used for Operational risk calculations by the internal model. |
| C0030 | Unique ID | This is a unique ID of the internal scenario. This should be consistent across different reporting periods. This is a numeric field. |
| C0040 | Unique ID of parent level. | This is a unique ID of the immediate parent internal scenario. This should be consistent across different reporting periods. This is a numeric field. |
| C0050 | Basel L1 classification mapping | For completion by undertakings which answer ‘Yes’ in C0010/R0010 or the mapping to Basel L1 exists. Field should be empty if the scenario is higher than level 2 in the classification.One of the options in the following closed list shall be used:1. Internal fraud2. External fraud3. Employment practices and workspace safety4. Damage to physical assets5. Business disruption and system failures6. Clients, products and business practices7. Execution, delivery and process management |
| C0060 | Basel L2 classification mapping | For completion by undertakings which answer ‘Yes’ in C0010/R0020 or the mapping to Basel L2 exists. Field should be empty if the scenario is higher than level 2 in the classification.The occurrence ‘Other’ can be used in case the risk could be classified in a Level 1 Basel category but there is not a Level 2 one.One of the options in the following closed list shall be used:1. Internal fraud – Unauthorized activity2. Internal fraud – Theft and fraud3. Internal fraud – Other4. External fraud – Theft and fraud5. External fraud – Systems security6. External fraud – Other7. Employment practices and workspace safety – Employee relations8. Employment practices and workspace safety – Safe environment9. Employment practices and workspace safety – Diversity and discrimination10. Employment practices and workspace safety – Other11. Damage to physical assets – Disasters and other events12. Damage to physical assets – Other13. Business disruption and system failures – Systems14. Business disruption and system failures – Other15. Clients, products and business practices – Suitability, disclosure and fiduciary16. Clients, products and business practices – Improper business or market practices17. Clients, products and business practices – Product flaws18. Clients, products and business practices – Selection, sponsorship and exposure19. Clients, products and business practices – Advisory activities20. Clients, products and business practices – Other21. Execution, delivery and process management – Transaction capture, execution and maintenance22. Execution, delivery and process management – Monitoring and reporting23. Execution, delivery and process management – Customer intake and documentation24. Execution, delivery and process management – Customer/client account management25. Execution, delivery and process management – Trade counterparties26. Execution, delivery and process management – Vendors and suppliers27. Execution, delivery and process management – Other |
| C0070 | Probability Distribution | Identify the probability distribution. One of the options in the following closed list shall be used:1. Poisson-lognormal2. Lognormal3. Poisson-Pareto4. Empirical5. Pareto6. Other, please specify7. Obtained by aggregation of lower levelsItem 1 to 6 to be used in case the probability distribution is quantified; item 7 in case the probability distribution is obtained by aggregation of lower level distributions. |
| C0080 | Solvency Capital Requirement | Solvency capital requirement net of risk mitigating contracts per scenario. |
| C0090-C0210 | Percentiles | Percentiles of the loss distribution (losses corresponds to the right tail) net of risk mitigating contracts per scenario. |
| C0220/R0030 | Total undiversified Level 2 | Sum of stand-alone capital requirements contributions for Level 2 operational risks classification.Any lower aggregation level should be already considered. |
| C0220/R0040 | Sum of diversification inside Level 2 items | Difference between the sum of undiversified leaf risks SCR and C0220/R0030.This amount should be reported as a negative value.For example, if the lower level is L3 (the ones quantified with probability distributions), enter the difference between the sum of Level 3 and the sum of Level 2 (standalone). |
| C0220/R0050 | Total undiversified Level 1 | Sum of stand-alone capital requirements contributions for Level 1 operational risks classification (if applicable, net of risk mitigating contracts).Any lower aggregation level should be already considered. |
| C0220/R0060 | Operational risk – diversification between Level 1 items | Difference of C0220/R0050 and C0220/R0070.This amount should be reported as a negative value. |
| C0220/R0070 | Operational risk – diversified | Diversified operational risk capital requirement net of risk mitigating contracts. |
S.26.16 – Internal model – Model Changes
General comments:
—remove the impact of these minor changes in the major change if the minor changes were implemented in a previous reporting period; or
—include them in the ‘total minor changes’ and remove their effect from the major change due to accumulation of minor change impact.
This section relates to annual submission of information for individual entities.
The purpose of this template is to collect information on the characteristics of the changes to the model according to the approved model change policy and on how the SCR has moved in an annual reporting period due to these changes, that were implemented in that period. This period may be different from the one determined by the model change policy on the accumulation of minor changes, for instance.
Minor changes to the model should not be double counted within or across reporting periods. Therefore, if a major change includes minor changes or is the accumulation of minor changes, then either:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Type of Change | ||
| C0010 | Major | The information in this row should refer to a major change (in a given reporting period). While several major changes may be batched together for a single approval, they should be separated where there are distinct major changes. Naming convention: Major change 1_Component 1. |
| Change ID | ||
| C0020 | Change ID | This change ID should be consistent between the solo and the group submission. It is used to match the solo changes that correspond to the group change for the reporting period. |
| Description of Change | ||
| C0030 | Date of approval | Identify the ISO 8601 (yyyy–mm–dd) code of the date when approval is granted, according to the decision of the NCA’s concerned. |
| C0040 | Date of submission | Identify the ISO 8601 (yyyy–mm–dd) code of the date when the written application for approval to the NCA’s concerned (for approved changes) was made. |
| C0050 | Description of change to the policy | Briefly describe the nature of the change and what aspects of the model have been changed. |
| C0060 | Change resulting from | One of the options in the following closed list shall be used:1 – Change in risk profile2 – Change in input data and assumptions3 – Change in methodology4 – Other |
| C0070 | Other categorization and explanation | Describe the categorisation if different from column C0060. If filled-in, then use Other option in column C0060. |
| C0080 | Market risk impact | If the market risk charge is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used:YesNo |
| C0090 | CREDIT FinInstr risk impact | If the credit risk charge on financial instruments is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used:YesNo |
| C0100 | CREDIT NonFinInstr impact | If the credit risk charge on non-financial instruments is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used:YesNo |
| C0110 | Non-Life & Health NSLT risk impact | If the non-life & health NSLT risk charge is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used:YesNo |
| C0120 | Life & Health risk impact | If the life & health risk charge is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used:YesNo |
| C0130 | Operational risk impact | If the operational risk charge is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used:YesNo |
| C0140 | Pension risk impact | If the pension risk charge is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used:YesNo |
| C0150 | Dependency structure and correlation impact | If the diversification benefit due to changes to the dependency structure and/or the correlations is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used:YesNo |
| C0160 | Other (free text) | Describe how other modelled contributions (if any) to the SCR were impacted by the model change. |
| C0170 | Change qualification | One of the options in the following closed list shall be used:1 – Qualitative2 – Quantitative3 – Combination of quantitative/qualitative |
| Change Impact | ||
| C0180 | Total SCR value before change (amount) | Amount of Total SCR (full model run including the standard formula part for partial internal models and diversification benefit) value before the model change in units of the reporting currency. Report only for major changes. The value expected is as in S.23.01.01.01 R0580/C0010 for solos and S.23.01.04.01 R0680/C0010 for groups. |
| C0190 | Reference date of SCR impact | Identify the ISO 8601 (yyyy–mm–dd) code of the reference date of the SCR impact caused by the model change (major changes only). Specified date given by the NCAs in the approval letter of the major change application from which the approved model can be used to calculate the SCR. |
| C0200 | Total SCR value after change (amount) | Amount of Total SCR (full model run, if necessary, including the standard formula part for partial internal models and diversification benefit) value after the model change as specified in the model change application in units of the reporting currency. Report only for major changes. The value expected is as in S.23.01.01.01 R0580/C0010 for solos and S.23.01.04.01 R0680/C0010 for groups. |
| C0210 | Total SCR change % | The relative change of total SCR in percentage relative to major changes only. |
| C0220 | Own Funds w/o change (amount) | Total Eligible Own Funds without the model change in units of the reporting currency. Report only for major changes. The value expected is as in S.23.01.01.01 R0540/C0010 for solos and S.23.01.04.01 R0660/C0010 for groups. |
| C0230 | Own Funds with change (amount) | Total Eligible Own Funds with the model change in units of the reporting currency. Report only for major changes. The value expected is as in S.23.01.01.01 R0540/C0010 for solos and S.23.01.04.01 R0660/C0010 for groups. |
| C0260 | Other trigger | If the level of change in SCR is not the trigger for the major change classification, then describe what criteria is classifying the change as major (only the relevant trigger that triggered the change). |
| C0270 | Other trigger impact (amount) | Impact amount in relation to the trigger in C0260 (other than SCR) |
| C0280 | Other trigger impact % | Percentage impact in relation to the trigger in C0260 (other than SCR) |
| Minor Changes | ||
| C0220 | Own Funds w/o change (amount) | Total Eligible Own Funds without the minor model changes. |
| C0230 | Own Funds with change (amount) | Total Eligible Own Funds without the minor model changes plus the sum of impacts of the minor model changes on the total Eligible Own Funds for this reporting period. |
| C0240 | SCR sum for minor changes increasing SCR | Sum of impacts of only the minor model changes to the total SCR which increased the SCR for this reporting period. The reference SCR value used should be as in S.23.01.01.01 R0580/C0010 for solos and S.23.01.04.01 R0680/C0010 for groups. |
| C0250 | SCR sum for minor changes decreasing SCR | Sum of impacts of only the minor model changes to the total SCR which decreased the SCR, in units of the reporting currency, for this reporting period. The reference SCR value used should be as in S.23.01.01.01 R0580/C0010 for solos and S.23.01.04.01 R0680/C0010 for groups. |
| C0290 | Number of minor changes implemented during the reporting period | Number of minor changes implemented during the reporting period. |
| C0300 | Threshold for accumulation | Threshold for accumulation as specified in the model change policy. |
| C0310 | Reset | State whether one reset of the accumulation of minor changes has occurred in the reporting period:Internal model minor changes reset occurred in the reporting periodInternal model minor changes reset did not occur in the reporting period. |
| C0320 | Reason for reset | Briefly, state the justification why a reset of the accumulation of minor changes has occurred in the reporting period. |
S.27.01 – Solvency Capital Requirement – Non–life and health catastrophe risk
General comments:
This section relates to annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
Captive insurance and reinsurance undertakings complying with the conditions specified in Article 4(4) and (5) shall only report tables corresponding to R0001 and R002/C0001 and R0010/C0010 to R0340/C0030.
Template SR.27.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
This template is designed to allow an understanding of how the catastrophe risk module of the SCR has been calculated and what are the main drivers.
For every type of catastrophe risk the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles must be determined. This calculation is prospective and must be based on the reinsurance program of the next reporting year as described in the reinsurance templates for Facultative covers (S.30.01 and S.30.02) and Outgoing reinsurance program in the next reporting year (S.30.03 and S.30.04).
Undertakings need to estimate their recoveries from risk mitigation in line with the Directive 2009/138/EC, Delegated Regulation (EU) 2015/35 and any relevant technical standard. Undertakings shall complete the catastrophe reporting template only to the granularity required to perform this calculation.
Under the non–life and health underwriting risk modules, catastrophe risk is defined as the risk of loss, or of adverse change in the value of insurance liabilities, resulting from significant uncertainty of pricing and provisioning assumptions related to extreme or exceptional events as set out in Article 105(2)(b) and (4)(c) of the Directive 2009/138/EC.
The reported capital requirements reflects the capital requirements before and after risk mitigation which is the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles. The reported capital requirement after risk mitigation is before the loss absorbing capacity of technical provisions. The default value of the risk mitigation shall be reported as a positive value in order to be deducted.
In case the diversification effect reduces the capital requirement the default value of the diversification shall be reported as a negative value.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0020 | Ring–fenced fund, matching adjustment portfolio or remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates. |
| R0001/C0001 | Simplifications used – fire risk | Identify whether an undertaking used simplifications for the calculation of fire risk. The following options shall be used:1 – Simplifications for the purposes of Article 90c9 – Simplifications not usedIf R0001/C0001 = 1, only C0880 shall be filled in for R2600. |
| R0002/C0001 | Simplifications used – natural catastrophe risk | Identify whether an undertaking used simplifications for the calculation of natural catastrophe risk. The following options shall be used:1 – Simplification for the purposes of Article 90b windstorm2 – Simplification for the purposes of Article 90b earthquake3 – Simplification for the purposes of Article 90b flood4 – Simplification for the purposes of Article 90b hail5 – Simplification for the purposes of Article 90b subsidence9 – Simplifications not usedOptions 1 to 5 may be used simultaneously. |
| Non–life catastrophe risk – Summary | ||
| C0010/R0010 | SCR before risk mitigation – Natural catastrophe risk | This is the total catastrophe risk before risk mitigation arising from all natural catastrophe perils and taking into consideration the diversification effect between the perils given in C0010/R0070. |
| C0010/R0020–R0060 | SCR before risk mitigation – Natural catastrophe risk perils | This is the total capital requirement before risk mitigation per natural catastrophe peril, taking into consideration the diversification effect between zones and regions.Per natural peril this amount is equal to the Catastrophe Risk Charge before risk mitigation. |
| C0010/R0070 | SCR before risk mitigation – Diversification between perils | Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different natural catastrophe perils. |
| C0020/R0010 | Total risk mitigation – Natural catastrophe risk | This is the total risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles arising from all natural catastrophe perils and taking into consideration the diversification effect between the perils given in C0020/R0070. |
| C0020/R0020–R0060 | Total risk mitigation – Natural catastrophe risk perils | This is the total risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles per natural catastrophe peril. |
| C0020/R0070 | Total risk mitigation – Diversification between perils | Diversification effect arising from the aggregation of the risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to different natural catastrophe perils. |
| C0030/R0010 | SCR after risk mitigation – Natural catastrophe risk | This is the total catastrophe risk after risk mitigation arising from all natural catastrophe perils and taking into consideration the diversification effect between the perils given in C0030/R0070. |
| C0030/R0020–R0060 | SCR after risk mitigation – Natural catastrophe risk perils | This is the total capital requirement after risk mitigation per natural catastrophe peril, taking into consideration the diversification effect between zones and regions.Per natural peril this amount is equal to the Catastrophe Risk Charge after risk mitigation. |
| C0030/R0070 | SCR after risk mitigation – Diversification between perils | Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different natural catastrophe perils. |
| C0010/R0080 | SCR before risk mitigation – Catastrophe risk non–proportional property reinsurance | This is the total catastrophe risk before risk mitigation arising from non–proportional property reinsurance. |
| C0020/R0080 | Total risk mitigation – Catastrophe risk non–proportional property reinsurance | This is the total risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles for non–proportional property reinsurance. |
| C0030/R0080 | SCR after risk mitigation – Catastrophe risk non–proportional property reinsurance | This is the total catastrophe risk after risk mitigation arising from non–proportional property reinsurance. |
| C0010/R0090 | SCR before risk mitigation – Man–made catastrophe risk | This is the total catastrophe risk before risk mitigation arising from all man–made perils and taking into consideration the diversification effect between the perils given in C0010/R0160. |
| C0010/R0100–R0150 | SCR before risk mitigation – Man–made catastrophe risk perils | This is the total capital requirement before risk mitigation per man–made peril, taking into consideration the diversification effect between sub–perils.Per man–made peril this amount is equal to the Catastrophe Risk Charge before risk mitigation. |
| C0010/R0160 | SCR before risk mitigation – Diversification between perils | Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different man–made perils. |
| C0020/R0090 | Total risk mitigation – Man–made catastrophe risk | This is the total risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles arising from all man–made perils and taking into consideration the diversification effect between the perils given in C0020/R0160. |
| C0020/R0100–R0150 | Total risk mitigation – Man–made catastrophe risk perils | This is the total risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles per man–made catastrophe peril. |
| C0020/R0160 | Total risk mitigation – Diversification between perils | Diversification effect arising from the aggregation of the risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to different man–made perils. |
| C0030/R0090 | SCR after risk mitigation – Man–made catastrophe risk | This is the total catastrophe risk after risk mitigation arising from all man–made catastrophe perils and taking into consideration the diversification effect between the perils given in C0030/R0160. |
| C0030/R0100–R0150 | SCR after risk mitigation – Man–made catastrophe risk perils | This is the total capital requirement after risk mitigation per man–made catastrophe peril, taking into consideration the diversification effect between sub–perils.Per man–made peril this amount is equal to the Catastrophe Risk Charge after risk mitigation. |
| C0030/R0160 | SCR after risk mitigation – Diversification between perils | Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different man–made catastrophe perils. |
| C0010/R0170 | SCR before risk mitigation – Other non–life catastrophe risk | This is the total catastrophe risk before risk mitigation arising from all ‘other non–life’ perils and taking into consideration the diversification effect between the perils given in C0010/R0180. |
| C0010/R0180 | SCR before risk mitigation – Diversification between perils | Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different ‘other non–life’ perils. |
| C0020/R0170 | Total risk mitigation – Other non–life catastrophe risk | This is the total risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles arising from all ‘other non–life’ perils and taking into consideration the diversification effect between the perils given in C0020/R0180. |
| C0020/R0180 | Total risk mitigation – Diversification between perils | Diversification effect arising from the aggregation of the risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to different ‘other non–life’ perils. |
| C0030/R0170 | SCR after risk mitigation – Other non–life catastrophe risk | This is the total catastrophe risk after risk mitigation arising from all ‘other non–life’ catastrophe perils and taking into consideration the diversification effect between the perils given in C0030/R0180. |
| C0030/R0180 | SCR after risk mitigation – Diversification between perils | Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different ‘other non–life’ catastrophe perils. |
| C0010/R0190 | SCR before risk mitigation – Total Non–life catastrophe risk before diversification | This is the total catastrophe risk before risk mitigation arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks) before the diversification effect between the sub–modules. |
| C0010/R0200 | SCR before risk mitigation – Diversification between sub–modules | Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks). |
| C0010/R0210 | SCR before risk mitigation – Total Non–life catastrophe risk after diversification | This is the total catastrophe risk before risk mitigation arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), taking into consideration the diversification effect between the sub–modules given in C0010/R0200. |
| C0020/R0190 | Total risk mitigation – Total Non–life catastrophe risk before diversification | This is the total risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), before the diversification effect between the sub–modules. |
| C0020/R0200 | Total risk mitigation – Diversification between sub–modules | Diversification effect arising from the aggregation of the risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to different sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks). |
| C0020/R0210 | Total risk mitigation – Total Non–life catastrophe risk after diversification | This is the total risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), taking into consideration the diversification effect between the sub–modules given in C0020/R0200. |
| C0030/R0190 | SCR after risk mitigation – Total Non–life catastrophe risk before diversification | This is the total catastrophe risk after risk mitigation arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), before the diversification effect between the sub–modules. |
| C0030/R0200 | SCR after risk mitigation – Diversification between sub–modules | Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks). |
| C0030/R0210 | SCR after risk mitigation – Total Non–life catastrophe risk after diversification | This is the total catastrophe risk after risk mitigation arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), taking into consideration the diversification effect between the sub–modules given in item C0030/R0200. |
| Health catastrophe risk – Summary | ||
| C0010/R0300 | SCR before risk mitigation – Health catastrophe risk | This is the total catastrophe risk before risk mitigation arising from all Health catastrophe risk sub–modules and taking into consideration the diversification effect between the sub–modules given in C0010/R0340. |
| C0010/R0310–R0330 | SCR before risk mitigation – Health catastrophe risk sub–modules | This is the total capital requirement before risk mitigation per Health catastrophe risk sub–modules, taking into consideration the diversification effect between the countries.Per Health catastrophe risk sub–module this amount is equal to the Catastrophe Risk Charge before risk mitigation. |
| C0010/R0340 | SCR before risk mitigation – Diversification between sub–modules | Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different Health catastrophe risk sub–modules. |
| C0020/R0300 | Total risk mitigation – Health catastrophe risk | This is the total risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles arising from all Health catastrophe risk sub–modules and taking into consideration the diversification effect between the sub–modules given in C0020/R0340. |
| C0020/R0310–R0330 | Total risk mitigation – Health catastrophe risk sub–modules | This is the total risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles per Health catastrophe risk sub–module. |
| C0020/R0340 | Total risk mitigation – Diversification between sub–modules | Diversification effect arising from the aggregation of the risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to different Health catastrophe risk sub–modules. |
| C0030/R0300 | SCR after risk mitigation – Health catastrophe risk | This is the total catastrophe risk after risk mitigation arising from all Health catastrophe risk sub–modules and taking into consideration the diversification effect between the sub–modules given in C0030/R0340. |
| C0030/R0310–R0330 | SCR after risk mitigation – Health catastrophe risk sub–modules | This is the total capital requirement after risk mitigation per Health catastrophe risk sub–module, taking into consideration the diversification effect between countries.Per Health catastrophe risk sub–module this amount is equal to the Catastrophe Risk Charge after risk mitigation. |
| C0030/R0340 | SCR after risk mitigation – Diversification between sub–modules | Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different Health catastrophe risk sub–modules. |
| Non–life catastrophe risk | ||
| Natural catastrophe risk – Windstorm | ||
| C0040/R0610–R0780 | Estimation of the gross premium to be earned – Other Regions | An estimate of the premiums to be earned by the insurance or reinsurance undertaking, during the following year in relation to the 14 regions other than the specified regions (include regions as specified in Annex III, except the ones specified in Annex V or in Annex XIII of Delegated Regulation (EU) 2015/35), for the contract in relation to the obligations of lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35 Fire and other damage covering windstorm risk, including the proportional reinsurance obligations and marine, aviation and transport insurance covering onshore property damage by windstorm, including the proportional reinsurance obligations.Premiums shall be gross, without deduction of premiums for reinsurance contracts. |
| C0040/R0790 | Estimation of the gross premium to be earned – Total Windstorm Other Regions before diversifications | Total of the estimate of the premiums to be earned by the insurance or reinsurance undertaking before diversification, during the following year for the other 14 regions other than the specified regions. |
| C0050/R0400–R0590 | Exposure —specified Region | The sum of the total insured per each of the 23 specified regions for lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:Fire and other damage, including the proportional reinsurance obligations, in relation to contracts that cover windstorm risk and where the risk is situated in this particular specified region; andMarine, aviation and transport insurance, including the proportional reinsurance obligations, in relation to contracts that cover onshore property damage by Windstorm and where the risk is situated in this particular specified region. |
| C0050/R0600 | Exposure – Total Windstorm specified Regions before diversification | Total of the exposure before diversification for the 23 specified regions. |
| C0060/R0400–R0590 | Specified Gross Loss —specified Region | Specified gross windstorm loss per each of the 23 specified regions, taking into consideration the effect of diversification effect between zones. |
| C0060/R0600 | Specified Gross Loss – Total Windstorm specified Regions before diversification | Total of the specified gross loss before diversification for the 23 specified regions. |
| C0070/R0400–R0590 | Catastrophe Risk Charge Factor before risk mitigation —specified Region | The risk charge factor per each of the 23 specified regions for Windstorm, taking into consideration the effect of diversification effect between zones. |
| C0070/R0600 | Catastrophe Risk Charge Factor before risk mitigation – Total Windstorm specified Regions before diversification | Ratio between total specified gross loss and total exposure. |
| C0080/R0400–R0590 | Scenario A or B —specified Region | The larger of the capital requirement for Windstorm risk for each of the 23 specified regions according to scenario A or scenario B.When determining the largest amount of scenario A and B, the risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, shall be taken into account. |
| C0090/R0400–R0590 | Catastrophe Risk Charge before risk mitigation —specified Region | Capital requirement before risk mitigation arising from Windstorm for each of the 23 specified Regions corresponding to the larger of scenario A or B. |
| C0090/R0600 | Catastrophe Risk Charge before risk mitigation – Total Windstorm specified Regions before diversification | Total of the capital requirement before risk mitigation arising from Windstorm for the 23 specified regions. |
| C0090/R0790 | Catastrophe Risk Charge before risk mitigation – Total Windstorm Other Regions before diversifications | The capital requirement before risk mitigation for Windstorm risk in regions other than the specified Regions. It is the amount of the instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles. |
| C0090/R0800 | Catastrophe Risk Charge before risk mitigation – Total Windstorm all Regions before diversification | Total of the capital requirement before risk mitigation arising from Windstorm for all regions. |
| C0090/R0810 | Catastrophe Risk Charge before risk mitigation – Diversification effect between regions | Diversification effect arising from the aggregation of the Windstorm risks relating to the different regions (both specified Regions and ‘other regions’) |
| C0090/R0820 | Catastrophe Risk Charge before risk mitigation – Total Windstorm after diversification | This is the total capital requirement before risk mitigation for Windstorm risk, taking into consideration the diversification effect reported in item C0090/R0810. |
| C0100/R0400–R0590 | Estimated Risk Mitigation —specified Region | Per each of the 23 specified Regions, the estimated risk mitigation effect, corresponding to the selected scenario, of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C0100/R0600 | Estimated Risk Mitigation – Total Windstorm specified Regions before diversification | Total of the estimated risk mitigation arising from Windstorm for the 23 specified regions. |
| C0100/R0790 | Estimated Risk Mitigation – Total Windstorm Other Regions before diversifications | For all the regions other the specified Regions, the estimated risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C0100/R0800 | Estimated Risk Mitigation – Total Windstorm all Regions before diversification | Total of the estimated risk mitigation arising from Windstorm for all regions. |
| C0110/R0400–R0590 | Estimated Reinstatement Premiums —specified Region | For each of the 23 specified Regions, the estimated reinstatement premiums, corresponding to the selected scenario, as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C0110/R0600 | Estimated Reinstatement Premiums – Total Windstorm specified Regions before diversification | Total of the estimated reinstatement premiums for the 23 specified regions. |
| C0110/R0790 | Estimated Reinstatement Premiums – Total Windstorm Other Regions before diversifications | For all the regions other than the specified Regions, the estimated reinstatement premiums, as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C0110/R0800 | Estimated Reinstatement Premiums – Total Windstorm all Regions before diversification | Total of the estimated reinstatement premiums for all regions. |
| C0120/R0400–R0590 | Catastrophe Risk Charge after risk mitigation —specified Region | Capital requirement, after the deduction of the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Windstorms in each of the specified regions, corresponding to the selected scenario. |
| C0120/R0600 | Catastrophe Risk Charge after risk mitigation – Total Windstorm specified Regions before diversification | Total of the capital requirement, after the deduction of the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles for the 23 specified regions. |
| C0120/R0790 | Catastrophe Risk Charge after risk mitigation – Total Windstorm Other Regions before diversifications | Capital requirement after risk mitigation for Windstorm risk in regions other than the specified Regions. It is the amount of the instantaneous loss, including the deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles. |
| C0120/R0800 | Catastrophe Risk Charge after risk mitigation – Total Windstorm all Regions before diversification | Total of the capital requirement, after the deduction of the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles for all regions. |
| C0120/R0810 | Catastrophe Risk Charge after risk mitigation – Diversification effect between regions | Diversification effect arising from the aggregation of the capital requirement after risk mitigations for Windstorm risks relating to the different regions (both specified Regions and ‘other regions’). |
| C0120/R0820 | Catastrophe Risk Charge after risk mitigation – Total Windstorm after diversification | This is the total capital requirement after risk mitigation for Windstorm risk, taking into consideration the diversification effect given in item C0120/R0810. |
| Natural catastrophe risk – Earthquake | ||
| C0130/R1040–R1210 | Estimation of the gross premium to be earned – Other Regions | An estimate of the premiums to be earned by the insurance or reinsurance undertaking, during the following year in relation to each of the 14 regions other than the specified Regions (include regions as specified in Annex III, except the ones specified in Annex V or in Annex XIII of Delegated Regulation (EU) 2015/35), for the contract in relation to the obligations of lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:Fire and other damage covering earthquake risk, including the proportional reinsurance obligations; andMarine, aviation and transport insurance covering onshore property damage by earthquake, including the proportional reinsurance obligations.Premiums shall be gross, without deduction of premiums for reinsurance contracts. |
| C0130/R1220 | Estimation of the gross premium to be earned – Total Earthquake Other Regions before diversification | Total of the estimate of the premiums to be earned, by the insurance or reinsurance undertaking, during the following year for the other regions. |
| C0140/R0830–R1020 | Exposure —specified Region | The sum of the total insured per each of the 20 specified regions for the lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:Fire and other damage, including the proportional reinsurance obligations, in relation to contracts that cover Earthquake risk and where the risk is situated in this particular specified region; andFor lines of business Marine, aviation and transport insurance, including the proportional reinsurance obligations, in relation to contracts that cover onshore property damage by Earthquake and where the risk is situated in this particular specified region. |
| C0140/R1030 | Exposure – Total Earthquake specified Regions before diversification | Total of the exposure for the 20 specified regions. |
| C0150/R0830–R1020 | Specified Gross Loss —specified Region | Specified gross Earthquake loss for each of the 20 specified regions, taking into consideration the effect of diversification effect between zones. |
| C0150/R1030 | Specified Gross Loss – Total Earthquake specified Regions before diversification | Total of the specified gross Earthquake loss for the 20 specified regions. |
| C0160/R0830–R1020 | Catastrophe Risk Charge Factor before risk mitigation —specified Region | The Risk Charge Factor per each of the 20 specified regions for Earthquake according to the Standard Formula, taking into consideration the effect of diversification effect between zones. |
| C0160/R1030 | Catastrophe Risk Charge Factor before risk mitigation – Total Earthquake specified Regions before diversification | Ratio between total specified gross loss and total exposure. |
| C0170/R0830–R1020 | Catastrophe Risk Charge before risk mitigation —specified Region | Capital requirement before risk mitigation arising from Earthquakes in each of the 20 specified Regions. |
| C0170/R1030 | Catastrophe Risk Charge before risk mitigation – Total Earthquake specified Regions before diversification | Total of the capital requirement before risk mitigation arising from Earthquakes for the 20 specified regions. |
| C0170/R1220 | Catastrophe Risk Charge before risk mitigation – Total Earthquake – Other Regions before diversification | The capital requirement before risk mitigation for Earthquake risk in regions other than the specified Regions. It is the amount of the instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles. |
| C0170/R1230 | Catastrophe Risk Charge before risk mitigation – Total Earthquake – All Regions before diversification | Total of the capital requirement before risk mitigation arising from Earthquakes for all regions. |
| C0170/R1240 | Catastrophe Risk Charge before risk mitigation – Diversification effect between regions | Diversification effect arising from the aggregation of the Earthquake risks relating to the different regions (both specified Regions and Other regions). |
| C0170/R1250 | Catastrophe Risk Charge before risk mitigation – Total Earthquake after diversification | This is the total capital requirement before risk mitigation for Earthquake risk, taking into consideration the diversification effect given in C0170/R1240. |
| C0180/R0830–R1020 | Estimated Risk Mitigation —specified Region | Per each of the 20 specified Regions the estimated risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C0180/R1030 | Estimated Risk Mitigation – Total Earthquake specified Regions before diversification | Total of the estimated Risk Mitigation for the 20 specified regions. |
| C0180/R1220 | Estimated Risk Mitigation – Total Earthquake – Other Regions before diversification | For all the regions other than the specified Regions, the estimated risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C0180/R1230 | Estimated Risk Mitigation – Total Earthquake – All Regions before diversification | Total of the estimated Risk Mitigation for all regions. |
| C0190/R0830–R1020 | Estimated Reinstatement Premiums —specified Region | Per each of the 20 specified Regions the estimated reinstatement premiums as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C0190/R1030 | Estimated Reinstatement Premiums – Total Earthquake specified Regions before diversification | Total of the estimated reinstatement premiums for the 20 specified regions. |
| C0190/R1220 | Estimated Reinstatement Premiums – Total Earthquake Other Regions before diversification | For all the regions other than the specified Regions, the estimated reinstatement premiums, as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C0190/R1230 | Estimated Reinstatement Premiums – Total Earthquake All Regions before diversification | Total of the estimated reinstatement premiums for all regions. |
| C0200/R0830–R1020 | Catastrophe Risk Charge after risk mitigation —specified Region | Capital requirement, after the deduction of the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Earthquake in each of the 20 specified regions. |
| C0200/R1030 | Catastrophe Risk Charge after risk mitigation – Total Earthquake specified Regions before diversification | Total of the capital requirement, after the deduction of the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Earthquake for the 20 specified regions. |
| C0200/R1220 | Catastrophe Risk Charge after risk mitigation – Total Earthquake Other Regions before diversification | Capital requirement after risk mitigation for Earthquake risk in regions other than the specified Regions. It is the amount of the instantaneous loss, including the deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles. |
| C0200/R1230 | Catastrophe Risk Charge after risk mitigation – Total Earthquake All Regions before diversification | Total of the capital requirement, after the deduction of the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Earthquake for all regions. |
| C0200/R1240 | Catastrophe Risk Charge after risk mitigation – Diversification effect between regions | Diversification effect arising from the aggregation of the capital requirement after risk mitigations for Earthquake risks relating to the different regions (both specified Regions and Other regions). |
| C0200/R1250 | Catastrophe Risk Charge after risk mitigation – Total Earthquake after diversification | This is the total capital requirement after risk mitigation for Earthquake risk, taking into consideration the diversification effect given in C0200/R1240. |
| Natural catastrophe risk – Flood | ||
| C0210/R1410–R1580 | Estimation of the gross premiums to be earned – Other Regions | An estimate of the premiums to be earned by the insurance or reinsurance undertaking, during the following year in relation to each of the 14 regions other than the specified Regions (include regions as specified in Annex III, except the ones specified in Annex V or in Annex XIII of Delegated Regulation (EU) 2015/35), for the contract in relation to the obligations of lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:Fire and other damage covering flood risk, including the proportional reinsurance obligations;Marine, aviation and transport insurance covering onshore property damage by flood, including the proportional reinsurance obligations;Other motor insurance, including the proportional reinsurance obligations.Premiums shall be gross, without deduction of premiums for reinsurance contracts. |
| C0210/R1590 | Estimation of the gross premium to be earned – Total Flood Other Regions before diversification | Total of the estimate of the premiums to be earned, by the insurance or reinsurance undertaking, during the following year for the other regions. |
| C0220/R1260–R1390 | Exposure —specified Region | The sum of the total insured per each of the 14 specified regions of lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:Fire and other damage, including the proportional reinsurance obligations, in relation to contracts that cover Flood risk and where the risk is situated in this particular specified region;Marine, aviation and transport insurance, including the proportional reinsurance obligations, in relation to contracts that cover onshore property damage by Flood and where the risk is situated in this particular specified region; andOther motor insurance, including the proportional reinsurance obligations, multiplied by 1.5, in relation to contracts that cover onshore property damage by Flood and where the risk is situated in this particular specified region. |
| C0220/R1400 | Exposure – Total Flood specified Regions before diversification | Total of the exposure for the 14 specified regions. |
| C0230/R1260–R1390 | Specified Gross Loss —specified Region | Specified gross Flood loss in each of the 14 specified regions, taking into consideration the effect of diversification effect between zones. |
| C0230/R1400 | Specified Gross Loss – Total Flood specified Regions before diversification | Total of the specified gross Flood loss for the 14 specified regions. |
| C0240/R1260–R1390 | Catastrophe Risk Charge Factor before risk mitigation —specified Region | The Risk Charge Factor per each of the 14 specified regions for Flood according to the Standard Formula, taking into consideration the effect of diversification effect between zones. |
| C0240/R1400 | Catastrophe Risk Charge Factor before risk mitigation – Total Flood specified Regions before diversification | Ratio between total specified gross loss and total exposure. |
| C0250/R1260–R1390 | Scenario A or B —specified Region | The larger of the capital requirement for Flood risk in each of the 14 specified regions according to scenario A or scenario B.When determining the largest amount of scenario A and B, the risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, must be taken into account. |
| C0260/R1260–R1390 | Catastrophe Risk Charge before risk mitigation – specified Region | Capital requirement before risk mitigation arising from Floods in each of the 14 specified Regions, corresponding to the larger of scenario A or B. |
| C0260/R1400 | Catastrophe Risk Charge before risk mitigation – Total Flood specified Regions before diversification | Total of the capital requirement before risk mitigation arising from Floods for the 14 specified regions. |
| C0260/R1590 | Catastrophe Risk Charge before risk mitigation – Total Flood Other Regions before diversification | The capital requirement before risk mitigation for Flood risk in regions other than the specified Regions. It is the amount of the instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles. |
| C0260/R1600 | Catastrophe Risk Charge before risk mitigation – Total Flood All Regions before diversification | Total of the capital requirement before risk mitigation arising from Floods for all regions. |
| C0260/R1610 | Catastrophe Risk Charge before risk mitigation – Diversification effect between regions | Diversification effect arising from the aggregation of the Flood risks relating to the different regions (both specified Regions and Other regions). |
| C0260/R1620 | Catastrophe Risk Charge before risk mitigation – Total Flood after diversification | This is the total capital requirement before risk mitigation for Flood risk, taking into consideration the diversification effect given in C0260/R1610. |
| C0270/R1260–R1390 | Estimated Risk Mitigation —specified Region | Per each of the 14 specified Regions the estimated risk mitigation effect, corresponding to the selected scenario, of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C0270/R1400 | Estimated Risk Mitigation – Total Flood specified Regions before diversification | Total of the estimated Risk Mitigation for the 14 specified regions. |
| C0270/R1590 | Estimated Risk Mitigation – Total Flood Other Regions before diversification | For all the regions other than the specified Regions, the estimated risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C0270/R1600 | Estimated Risk Mitigation – Total Flood All Regions before diversification | Total of the estimated Risk Mitigation for all regions. |
| C0280/R1260–R1390 | Estimated Reinstatement Premiums —specified Region | Per each of the 14 specified Regions the estimated reinstatement premiums, corresponding to the selected scenario, as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C0280/R1400 | Estimated Reinstatement Premiums – Total Flood –specified Regions before diversification | Total of the estimated reinstatement premiums for the 14 specified regions. |
| C0280/R1590 | Estimated Reinstatement Premiums – Total Flood –Other Regions before diversification | For all the regions other than the specified Regions, the estimated reinstatement premiums, as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C0280/R1600 | Estimated Reinstatement Premiums – Total Flood – All Regions before diversification | Total of the estimated reinstatement premiums for all regions. |
| C0290/R1260–R1390 | Catastrophe Risk Charge after risk mitigation – specified Region | Capital requirement, after the deduction of the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Flood in each of the 14 specified regions, corresponding to the selected scenario. |
| C0290/R1400 | Catastrophe Risk Charge after risk mitigation – Total Flood —specified Regions before diversification | Total of the capital requirement, after the deduction of the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles for the 14 specified regions. |
| C0290/R1590 | Catastrophe Risk Charge after risk mitigation – Total Flood – Other Regions before diversification | Capital requirement after risk mitigation for Flood risk in regions other than the specified Regions. It is the amount of the instantaneous loss, including the deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles. |
| C0290/R1600 | Catastrophe Risk Charge after risk mitigation – Total Flood – All Regions before diversification | Total of the capital requirement, after the deduction of the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles all regions. |
| C0290/R1610 | Catastrophe Risk Charge after risk mitigation – Diversification effect between regions | Diversification effect arising from the aggregation of the capital requirement after risk mitigations for Flood risks relating to the different regions (both specified Regions and Other regions). |
| C0290/R1620 | Catastrophe Risk Charge after risk mitigation – Total Flood after diversification | This is the total capital requirement after risk mitigation for Flood risk, taking into consideration the diversification effect given in C0290/R1610. |
| Natural catastrophe risk – Hail | ||
| C0300/R1730–R1900 | Estimation of the gross premiums to be earned – Other Regions | An estimate of the premiums to be earned by the insurance or reinsurance undertaking, during the following year and in relation to each of the 11 regions other than the specified Regions (include regions as specified in Annex III, except the ones specified in Annex V or in Annex XIII of Delegated Regulation (EU) 2015/35), for the contract in relation to the obligations of lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:Fire and other damage covering hail risk, including the proportional reinsurance obligations;Marine, aviation and transport insurance covering onshore property damage by hail, including the proportional reinsurance obligations; andOther motor insurance, including the proportional reinsurance obligations.Premiums shall be gross, without deduction of premiums for reinsurance contracts. |
| C0300/R1910 | Estimation of the gross premium to be earned – Total Hail Other Regions before diversification | Total of the estimate of the premiums to be earned, by the insurance or reinsurance undertaking, during the following year for the other regions. |
| C0310/R1630–R1710 | Exposure —specified Region | The sum of the total insured per each of the 11 specified regions for lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:Fire and other damage, including the proportional reinsurance obligations, in relation to contracts that cover Hail risk and where the risk is situated in this particular specified region;Marine, aviation and transport insurance, including the proportional reinsurance obligations, in relation to contracts that cover onshore property damage by Hail and where the risk is situated in this particular specified region; andOther motor insurance, including the proportional reinsurance obligations, multiplied by 5, in relation to contracts that cover onshore property damage by Hail and where the risk is situated in this particular specified region. |
| C0310/R1720 | Exposure – Total Hail specified Regions before diversification | Total of the exposure for the 11 specified regions. |
| C0320/R1630–R1710 | Specified Gross Loss —specified Region | Specified gross Hail loss in each of the 9 specified regions, taking into consideration the effect of diversification effect between zones. |
| C0320/R1720 | Specified Gross Loss – Total Hail specified Regions before diversification | Total of the specified gross Hail loss for the 11 specified regions. |
| C0330/R1630–R1710 | Catastrophe Risk Charge Factor before risk mitigation —specified Region | The Risk Charge Factor per each of the 11 specified regions for Hail according to the Standard Formula, taking into consideration the effect of diversification effect between zones. |
| C0330/R1720 | Catastrophe Risk Charge Factor before risk mitigation – Total Hail specified Regions before diversification | Ratio between total specified gross loss and total exposure. |
| C0340/R1630–R1710 | Scenario A or B —specified Region | The larger of the capital requirement for Hail risk in each of the 9 specified regions according to scenario A or scenario B.When determining the largest amount of scenario A and B, the risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, must be taken into account. |
| C0350/R1630–R1710 | Catastrophe Risk Charge before risk mitigation —specified Region | Capital requirement before risk mitigation arising from Hails in each of the 11 specified Regions corresponding to the larger of scenario A or B. |
| C0350/R1720 | Catastrophe Risk Charge before risk mitigation – Total Hail specified Regions before diversification | Total of the capital requirement before risk mitigation arising from Hails for the 11 specified regions. |
| C0350/R1910 | Catastrophe Risk Charge before risk mitigation – Total Hail Other Regions before diversification | The capital requirement before risk mitigation for Hail risk in regions other than the specified Regions. It is the amount of the instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles. |
| C0350/R1920 | Catastrophe Risk Charge before risk mitigation – Total Hail All Regions before diversification | Total of the capital requirement before risk mitigation arising from Hails for all regions. |
| C0350/R1930 | Catastrophe Risk Charge before risk mitigation – Diversification effect between regions | Diversification effect arising from the aggregation of the Hail risks relating to the different regions (both specified Regions and other regions). |
| C0350/R1940 | Catastrophe Risk Charge before risk mitigation – Total Hail after diversification | This is the total capital requirement before risk mitigation for Hail risk, taking into consideration the diversification effect given in C0350/R1930. |
| C0360/R1630–R1710 | Estimated Risk Mitigation —specified Region | Per each of the 9 specified Regions the estimated risk mitigation effect, corresponding to the selected scenario, of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C0360/R1720 | Estimated Risk Mitigation – Total Hail specified Region before diversification | Total of the estimated risk mitigation for the 11 specified regions. |
| C0360/R1910 | Estimated Risk Mitigation – Total Hail Other Regions before diversification | For all the regions other than the specified Regions, the estimated risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C0360/R1920 | Estimated Risk Mitigation – Total Hail All Regions before diversification | Total of the estimated risk mitigation for all regions. |
| C0370/R1630–R1710 | Estimated Reinstatement Premiums —specified Region | Per each of the 11 specified Regions the estimated reinstatement premiums, corresponding to the selected scenario, as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C0370/R1720 | Estimated Reinstatement Premiums – Total Hail specified Regions before diversification | Total of the estimated reinstatement premiums for the 11 specified regions. |
| C0370/R1910 | Estimated Reinstatement Premiums – Total Hail Other Regions before diversification | For all the regions other than the specified Regions, the estimated reinstatement premiums, as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C0370/R1920 | Estimated Reinstatement Premiums – Total Hail All Regions before diversification | Total of the estimated reinstatement premiums for all regions. |
| C0380/R1630–R1710 | Catastrophe Risk Charge after risk mitigation —specified Region | Capital requirement, after the deduction of the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Hail in each of the 11 specified Regions, corresponding to the selected scenario. |
| C0380/R1720 | Catastrophe Risk Charge after risk mitigation – Total Hail specified Regions before diversification | Total of the capital requirement, after the deduction of the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles for the 11 specified regions. |
| C0380/R1910 | Catastrophe Risk Charge after risk mitigation – Total Hail Other Regions before diversification | Capital requirement after risk mitigation for Hail risk in regions other than the specified Regions. It is the amount of the instantaneous loss, including the deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles. |
| C0380/R1920 | Catastrophe Risk Charge after risk mitigation – Total Hail All Regions before diversification | Total of the capital requirement, after the deduction of the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles for all regions. |
| C0380/R1930 | Catastrophe Risk Charge after risk mitigation – Diversification effect between regions | Diversification effect arising from the aggregation of the capital requirement after risk mitigations for Hail risks relating to the different regions (both specified Regions and Other regions). |
| C0380/R1940 | Catastrophe Risk Charge after risk mitigation – Total Hail after diversification | This is the total capital requirement after risk mitigation for Hail risk, taking into consideration the diversification effect given in C0380/R1930. |
| Natural catastrophe risk – Subsidence | ||
| C0390/R1950 | Estimation of the gross premium to be earned – Total Subsidence before diversification | An estimate of the premiums to be earned, by the insurance or reinsurance undertaking, during the following year, for the contract in relation to the obligations of fire and other damage, including the proportional reinsurance obligations.Premiums shall be gross, without deduction of premiums for reinsurance contracts, and in relation to the territory of France. |
| C0400/R1950 | Exposure – Total Subsidence before diversification | The sum of the total insured made up of the geographical divisions of the territory of France for fire and other damage, including the proportional reinsurance obligations, which are sufficiently homogeneous in relation to the subsidence risk that the insurance and reinsurance undertakings are exposed to in relation to the territory. Together the zones shall comprise the whole territory. |
| C0410/R1950 | Specified Gross Loss – Total Subsidence before diversification | Specified gross subsidence loss, before taking into consideration the effect of diversification effect between zones. |
| C0420/R1950 | Catastrophe Risk Charge Factor before risk mitigation – Total Subsidence before diversification | The Risk Charge Factor of the territory of France for subsidence, before taking into consideration the effect of diversification effect between zones. |
| C0430/R1950 | Catastrophe Risk Charge before risk mitigation – Total Subsidence before diversification | The capital requirement before risk mitigation for Subsidence risk in the territory of France. It is the amount of the instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles, which for subsidence is equal to the Specified Gross Loss (item C0410/R1950). |
| C0430/R1960 | Catastrophe Risk Charge before risk mitigation – Diversification effect between zones | Diversification effect arising from the aggregation of the Subsidence risks relating to the different zones of the territory of France. |
| C0430/R1970 | Catastrophe Risk Charge before risk mitigation – Total Subsidence after diversification | This is the total capital requirement before risk mitigation for subsidence risk, taking into consideration the diversification effect given in item C0430/R1960. |
| C0440/R1950 | Estimated Risk Mitigation – Total Subsidence before diversification | The estimated risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C0450/R1950 | Estimated Reinstatement Premiums – Total Subsidence before diversification | The estimated reinstatement premiums as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C0460/R1950 | Catastrophe Risk Charge after risk mitigation – Total Subsidence before diversification | Capital requirement, after the deduction of the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from subsidence. |
| C0460/R1960 | Catastrophe Risk Charge after risk mitigation – Diversification effect between zones | Diversification effect arising from the aggregation of the capital requirement after risk mitigations for Subsidence risks relating to the different zones of the territory of France. |
| C0460/R1970 | Catastrophe Risk Charge after risk mitigation – Total Subsidence after diversification | This is the total capital requirement after risk mitigation for subsidence risk, taking into consideration the diversification effect given in item C0460/R1960. |
| Natural catastrophe risk – Non–proportional property reinsurance | ||
| C0470/R2000 | Estimation of the gross premium to be earned | An estimate of the premiums to be earned, by the insurance or reinsurance undertaking, during the following year, for the contract in relation to the obligations of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, non–proportional property reinsurance other than non–proportional reinsurance obligations relating to insurance obligations included in lines of business 9 and 21.Premiums shall be gross, without deduction of premiums for reinsurance contracts. |
| C0480/R2000 | Catastrophe Risk Charge before risk mitigation | The capital requirement before risk mitigation for non–proportional property reinsurance. It is the amount of the instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles. |
| C0490/R2000 | Estimated Risk Mitigation | The estimated risk mitigation effect of the undertaking’s specific retrocession contracts and special purpose vehicles relating to risks arising from accepted non–proportional property reinsurance, excluding the estimated reinstatement premiums. |
| C0500/R2000 | Estimated Reinstatement Premiums | The estimated reinstatement premiums as a result of the undertaking’s specific retrocession contracts and special purpose vehicles relating to risks arising from accepted non–proportional property reinsurance. |
| C0510/R2000 | Catastrophe Risk Charge after risk mitigation | Capital requirement, after the deduction of the risk mitigating effect of the undertaking’s specific retrocession contracts and special purpose vehicles relating to risks arising from accepted non–proportional property reinsurance. |
| Man–made catastrophe risk – Motor Vehicle Liability | ||
| C0520/R2100 | Number of vehicles policy limit above 24M EUR | Number of vehicles insured by the insurance or reinsurance undertaking in line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Motor vehicle liability insurance, including proportional reinsurance obligations, with a deemed policy limit above 24000000 Euro. |
| C0530/R2100 | Number of vehicles policy limit below or equal to 24M EUR | Number of vehicles insured by the insurance or reinsurance undertaking in line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Motor vehicle liability insurance, including proportional reinsurance obligations, with a deemed policy limit below or equal to 24000000 Euro. |
| C0540/R2100 | Catastrophe Risk Charge Motor Vehicle Liability before risk mitigation | This is the total capital requirement before risk mitigation for Motor Vehicle Liability risk. |
| C0550/R2100 | Estimated Risk Mitigation | The estimated risk mitigation effect of the undertaking’s specific retrocession contracts and special purpose vehicles relating to risks arising from Motor Vehicle Liability, excluding the estimated reinstatement premiums. |
| C0560/R2100 | Estimated Reinstatement Premiums | The estimated reinstatement premiums as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Motor Vehicle Liability. |
| C0570/R2100 | Catastrophe Risk Charge Motor Vehicle Liability after risk mitigation | Capital requirement, after the deduction of the risk mitigating effect of the undertaking’s specific retrocession contracts and special purpose vehicles, relating to risks arising from Motor Vehicle Liability. |
| Man–made catastrophe risk – Marine Tanker Collision | ||
| C0580/R2200 | Type of cover Catastrophe Risk Charge Share marine hull in tanker t before risk mitigation | This is the capital requirement before risk mitigation, per each marine hull cover, for risks arising from Marine Tanker Collision.The maximum relates to all oil and gas tankers insured by the insurance or reinsurance undertaking in respect of tanker collision in lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:Marine, aviation and transport, including proportional reinsurance obligations; andNon–proportional marine, aviation and transport reinsurance.The amount for this cover is equal to the sum insured accepted by the insurance or reinsurance undertaking for marine insurance and reinsurance in relation to each tanker. |
| C0590/R2200 | Catastrophe Risk Charge Share marine liability in tanker t before risk mitigation | This is the capital requirement before risk mitigation, per marine liability cover, for risks arising from Marine Tanker Collision.The maximum relates to all oil and gas tankers insured by the insurance or reinsurance undertaking in respect of tanker collision in lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:Marine, aviation and transport, including proportional reinsurance obligations; andNon–proportional marine, aviation and transport reinsurance.The amount for this cover is equal to the sum insured accepted by the insurance or reinsurance undertaking for marine insurance and reinsurance in relation to each tanker. |
| C0600/R2200 | Catastrophe Risk Charge Share marine oil pollution liability in tanker t before risk mitigation | This is the capital requirement before risk mitigation, per marine oil pollution liability cover, for risks arising from Marine Tanker Collision.The maximum relates to all oil and gas tankers insured by the insurance or reinsurance undertaking in respect of tanker collision in lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:Marine, aviation and transport, including proportional reinsurance obligations; andNon–proportional marine, aviation and transport reinsurance.The amount for this cover is equal to the sum insured accepted by the insurance or reinsurance undertaking for marine insurance and reinsurance in relation to each tanker. |
| C0610/R2200 | Catastrophe Risk Charge Marine Tanker Collision before risk mitigation | This is the total capital requirement before risk mitigation for risks arising from Marine Tanker Collision. |
| C0620/R2200 | Estimated Risk Mitigation | The estimated risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Marine Tanker Collision, excluding the estimated reinstatement premiums. |
| C0630/R2200 | Estimated Reinstatement Premiums | The estimated reinstatement premiums as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Marine Tanker Collision. |
| C0640/R2200 | Catastrophe Risk Charge Marine Tanker Collision after risk mitigation | The total capital requirement after risk mitigation, after the deduction of the risk mitigating effect of the undertaking’s specific retrocession contracts and special purpose vehicles, relating to risks arising from Marine Tanker Collision. |
| C0650/R2200 | Name vessel | Name of the corresponding vessel. |
| Man–made catastrophe risk – Marine Platform Explosion | ||
| C0660–C0700/R2300 | Catastrophe Risk Charge Marine Platform Explosion – Type of cover – before risk mitigation | This is the capital requirement before risk mitigation, per type of cover (Property damage, Removal of wreckage, Loss of production income, Capping of the well or making the well secure, Liability insurance and reinsurance obligations), for risks arising from Marine Platform Explosion.The maximum relates to all oil and gas offshore platforms insured by the insurance or reinsurance undertaking in respect of platform explosion in lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:Marine, aviation and transport, including proportional reinsurance obligations; andNon–proportional marine, aviation and transport reinsurance.The amount per type of cover is equal to the sum insured for the specific type of cover accepted by the insurance or reinsurance undertaking in relation to the selected platform. |
| C0710/R2300 | Catastrophe Risk Charge Marine Platform Explosion before risk mitigation | This is the total capital requirement before risk mitigation for risks arising from Marine Platform Explosion. |
| C0720/R2300 | Estimated Risk Mitigation | The estimated risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Marine Platform Explosion, excluding the estimated reinstatement premiums. |
| C0730/R2300 | Estimated Reinstatement Premiums | The estimated reinstatement premiums as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Marine Platform Explosion. |
| C0740/R2300 | Catastrophe Risk Charge Marine Platform Explosion after risk mitigation | Capital requirement, after the deduction of the risk mitigating effect of the undertaking’s specific retrocession contracts and special purpose vehicles, relating to risks arising from Marine Platform Explosion. |
| C0750/R2300 | Name platform | Name of the corresponding platform. |
| Number of vessels | ||
| C0781/R2421 | Number of vessels below the threshold of EUR 250k | This is the number of vessels below the threshold of EUR 250k |
| Man–made catastrophe risk – Marine | ||
| C0760/R2400 | Catastrophe Risk Charge Marine before risk mitigation – Total before diversification | This is the total capital requirement before risk mitigation, before diversification effect between types of events, for marine risks. |
| C0760/R2410 | Catastrophe Risk Charge Marine before risk mitigation – Diversification between type of event | Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different type of events for marine risks. |
| C0760/R2420 | Catastrophe Risk Charge Marine before risk mitigation – Total after diversification | This is the total capital requirement before risk mitigation, after diversification effect between the types of events, for marine risks. |
| C0770/R2400 | Estimated Total Risk Mitigation – Total before diversification | This is the total risk mitigation effect, before diversification effect between types of events, of the undertaking’s specific reinsurance contracts and special purpose vehicles arising from the marine risks. |
| C0780/R2400 | Catastrophe Risk Charge Marine after risk mitigation – Total before diversification | This is the total capital requirement after risk mitigation, before diversification effect between types of events, for marine risks. |
| C0780/R2410 | Catastrophe Risk Charge Marine after risk mitigation – Diversification between type of event | Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different type of events for marine risks. |
| C0780/R2420 | Catastrophe Risk Charge Marine after risk mitigation – Total after diversification | This is the total capital requirement after risk mitigation, after diversification effect between the types of events, for marine risks. |
| Man–made catastrophe risk – Aviation | ||
| C0790–C0800/R2500 | Catastrophe Risk Charge Aviation before risk mitigation – Type of cover– before risk mitigation | This is the capital requirement before risk mitigation, per type of cover (Aviation hull and Aviation liability), for risks arising from Aviation.The maximum relates to all aircrafts insured by the insurance or reinsurance undertaking in lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:Marine, aviation and transport, including proportional reinsurance obligations; andNon–proportional marine, aviation and transport reinsurance.The amount per type of cover is equal to the sum insured for the specific type of cover accepted by the insurance or reinsurance undertaking for aviation insurance and reinsurance and in relation to the selected aircraft. |
| C0810/R2500 | Catastrophe Risk Charge Aviation before risk mitigation | This is the total capital requirement before risk mitigation for risks arising from Aviation. |
| C0820/R2500 | Estimated Risk Mitigation | The estimated risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Aviation, excluding the estimated reinstatement premiums. |
| C0830/R2500 | Estimated Reinstatement Premiums | The estimated reinstatement premiums as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Aviation. |
| C0840/R2500 | Catastrophe Risk Charge Aviation after risk mitigation – Total (row) | The total capital requirement after risk mitigation, after the deduction of the risk mitigating effect of the undertaking’s specific retrocession contracts and special purpose vehicles, relating to risks arising from Aviation. |
| Man–made catastrophe risk – Fire | ||
| C0850/R2600 | Catastrophe Risk Charge Fire before risk mitigation | This is the total capital requirement before risk mitigation for Fire risks.This amount is equal to the largest fire risk concentration of an insurance or reinsurance undertaking being the set of buildings with the largest sum insured that meets the following conditions:The insurance or reinsurance undertaking has insurance or reinsurance obligations in lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35 Fire and other damage to property insurance, including proportional reinsurance obligations, in relation to each building which cover damage due to fire or explosion, including as a result of terrorist attacks.All buildings are partly or fully located within a radius of 200 meters. |
| C0860/R2600 | Estimated Risk Mitigation | The estimated risk mitigation effect of the undertaking’s specific retrocession contracts and special purpose vehicles relating to risks arising from Fire, excluding the estimated reinstatement premiums. |
| C0870/R2600 | Estimated Reinstatement Premiums | The estimated reinstatement premiums as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Fire. |
| C0880/R2600 | Catastrophe Risk Charge after risk mitigation Fire | The total capital requirement after risk mitigation, after the deduction of the risk mitigating effect of the undertaking’s specific retrocession contracts and special purpose vehicles, relating to risks arising from Fire. |
| Man–made catastrophe risk – Liability | ||
| C0890/R2700–R2740 | Earned premium following 12 months –Type of cover | Premiums earned, per type of cover, by the insurance or reinsurance undertaking, during the following 12 months, in relation to insurance and reinsurance obligations in liability risks, for the following type of covers:Professional malpractice liability insurance and proportional reinsurance obligations other than professional malpractice liability insurance and reinsurance for self–employed crafts persons or artisans;Employers liability insurance and proportional reinsurance obligations;Directors and officers liability insurance and proportional reinsurance obligations;Liability insurance and reinsurance obligations included in line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, General liability insurance, including proportional reinsurance obligations, other than obligations included in liability risk groups 1 to 3 and other than personal liability insurance and proportional reinsurance and other than professional malpractice liability insurance and reinsurance for self–employed crafts persons or artisans;Non–proportional reinsurance.For this purpose premiums shall be gross, without deduction of premiums for reinsurance contracts. |
| C0890/R2750 | Earned premium following 12 months – Total | Total for all types of covers of premiums earned by the insurance or reinsurance undertaking, during the following 12 months. |
| C0900/R2700–R2740 | Largest liability limit provided – Type of cover | The largest liability limit, per type of cover, provided by the insurance or reinsurance undertaking in liability risks. |
| C0910/R2700–R2740 | Number of claims – Type of cover | The number of claims, per type of cover, which is equal to the lowest integer that exceeds the amount according to the provided formula. |
| C0920/R2700–R2740 | Catastrophe Risk Charge Liability before risk mitigation – Type of cover | This is the capital requirement before risk mitigation, per type of cover, for liability risks. |
| C0920/R2750 | Catastrophe Risk Charge Liability before risk mitigation – Total | Total for all types of cover of the capital requirement before risk mitigation for liability risks. |
| C0930/R2700–R2740 | Estimated Risk Mitigation – Type of cover | The estimated risk mitigation effect, per type of cover, of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Liability, excluding the estimated reinstatement premiums. |
| C0930/R2750 | Estimated Risk Mitigation – Total | Total for all types of cover of the estimated risk mitigation. |
| C0940/R2700–R2740 | Estimated Reinstatement Premiums – Type of cover | The estimated reinstatement premiums, per type of cover, as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Liability. |
| C0940/R2750 | Estimated Reinstatement Premiums – Total | Total for all types of cover of the estimated reinstatement premiums. |
| C0950/R2700–R2740 | Catastrophe Risk Charge Liability after risk mitigation – Type of cover | Capital requirement, per type of cover, after the deduction of the risk mitigating effect of the undertaking’s specific retrocession contracts and special purpose vehicles, relating to risks arising from Liability. |
| C0950/R2750 | Catastrophe Risk Charge Liability after risk mitigation – Total | Total for all types of cover of the capital requirement, after the deduction of the risk mitigating effect of the undertaking’s specific retrocession contracts and special purpose vehicles, relating to risks arising from Liability. |
| C0960/R2800 | Catastrophe Risk Charge Liability before risk mitigation – Total before diversification | This is the total capital requirement before risk mitigation, before diversification effect between types of cover, for liability risks. |
| C0960/R2810 | Catastrophe Risk Charge Liability before risk mitigation – Diversification between type of cover | Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different type of covers for liability risks. |
| C0960/R2820 | Catastrophe Risk Charge Liability before risk mitigation – Total after diversification | This is the total capital requirement before risk mitigation, after diversification effect between the types of covers, for liability risks. |
| C0970/R2800 | Estimated Total Risk Mitigation – Total before diversification | This is the estimated total risk mitigation, before diversification effect between types of cover, for liability risks. |
| C0980/R2800 | Catastrophe Risk Charge Liability after risk mitigation – Total before diversification | This is the total capital requirement after risk mitigation, before diversification effect between types of cover, for liability risks. |
| C0980/R2810 | Catastrophe Risk Charge Liability after risk mitigation – Diversification between type of cover | Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different type of covers for liability risks. |
| C0980/R2820 | Catastrophe Risk Charge Liability after risk mitigation – Total after diversification | This is the total capital requirement after risk mitigation, after diversification effect between the types of covers, for liability risks. |
| Man–made catastrophe risk – Credit & Suretyship | ||
| C0990/R2900–R2910 | Exposure (individual or group) – Largest exposure | Two largest gross credit insurance exposures of the insurance or reinsurance undertaking based on a comparison of the net loss–given–default of the credit insurance exposures, being the loss–given–default after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles. |
| C0990/R2920 | Exposure (individual or group) – Total | Total of the two largest gross credit insurance exposures of the insurance or reinsurance undertaking based on a comparison of the net loss–given–default of the credit insurance exposures, being the loss–given–default after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles. |
| C1000/R2900–R2910 | Proportion of damage caused by scenario – Largest exposure | Percentage representing the loss given default of the gross credit exposure without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, for each of the two largest gross credit insurance exposures of the insurance or reinsurance undertaking. |
| C1000/R2920 | Proportion of damage caused by scenario – Total | Average loss given default of the two largest gross credit exposures without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles. |
| C1010/R2900–R2910 | Catastrophe Risk Charge Credit & Suretyship before risk mitigation – Large Credit Default –Largest exposure | This is the capital requirement before risk mitigation, per largest exposure, arising from the Large Credit Default scenario of Credit & Suretyship risks. |
| C1010/R2920 | Catastrophe Risk Charge Credit & Suretyship before risk mitigation – Large Credit Default – Total | This is the total capital requirement before risk mitigation arising from the Large Credit Default scenario of Credit & Suretyship risks. |
| C1020/R2900–R2910 | Estimated Risk Mitigation – Largest exposure | The estimated risk mitigation effect, per largest exposure, of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to risks arising from the Large Credit Default scenario of Credit & Suretyship, excluding the estimated reinstatement premiums. |
| C1020/R2920 | Estimated Risk Mitigation – Total | The estimated risk mitigation effect, for the two largest exposures, of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to risks arising from the Large Credit Default scenario of Credit & Suretyship, excluding the estimated reinstatement premiums. |
| C1030/R2900–R2910 | Estimated Reinstatement Premiums – Largest exposure | The estimated reinstatement premiums, per largest exposure, as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to risks arising from the Large Credit Default scenario of Credit & Suretyship. |
| C1030/R2920 | Estimated Reinstatement Premiums – Total | The estimated reinstatement premiums, for the two largest exposures, as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to risks arising from the Large Credit Default scenario of Credit & Suretyship. |
| C1040/R2900–R2910 | Catastrophe Risk Charge Credit & Suretyship after risk mitigation – Large Credit Default – Largest exposure | Net capital requirement, per largest exposure, after the deduction of the risk mitigating effect of the undertaking’s specific retrocession contracts and special purpose vehicles, relating to risks arising from the Large Credit Default scenario of Credit & Suretyship. |
| C1040/R2920 | Catastrophe Risk Charge Credit & Suretyship after risk mitigation – Large Credit Default – Total | The total capital requirement after risk mitigation, after the deduction of the risk mitigating effect of the undertaking’s specific retrocession contracts and special purpose vehicles, relating to risks arising from the Large Credit Default scenario of Credit & Suretyship. |
| C1050/R3000 | Earned premium following 12 months | Gross premiums earned by the insurance or reinsurance undertaking, during the following 12 months, in line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Credit and Suretyship insurance including proportional reinsurance obligations. |
| C1060/R3000 | Catastrophe Risk Charge Credit & Suretyship before risk mitigation – Recession Risk | This is the total capital requirement before risk mitigation for the Recession scenario of Credit & Suretyship risks. |
| C1070/R3000 | Estimated Risk Mitigation | The estimated risk mitigation effect of the undertaking’s specific retrocession contracts and special purpose vehicles relating to risks arising from the Recession scenario of Credit & Suretyship, excluding the estimated reinstatement premiums. |
| C1080/R3000 | Estimated Reinstatement Premiums | The estimated reinstatement premiums as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to risks arising from the Recession scenario of Credit & Suretyship. |
| C1090/R3000 | Catastrophe Risk Charge Credit & Suretyship after risk mitigation – Recession Risk | The total capital requirement after risk mitigation, after the deduction of the risk mitigating effect of the undertaking’s specific retrocession contracts and special purpose vehicles, relating to risks arising from the Recession scenario of Credit & Suretyship. |
| C1100/R3100 | Catastrophe Risk Charge Credit & Suretyship before risk mitigation – Total before diversification | This is the total capital requirement before risk mitigation, before diversification effect between types of events, for Credit & Suretyship risks. |
| C1100/R3110 | Catastrophe Risk Charge Credit & Suretyship before risk mitigation – Diversification between type of event | Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different type of events for Credit & Suretyship risks. |
| C1100/R3120 | Catastrophe Risk Charge Credit & Suretyship before risk mitigation – Total after diversification | This is the total capital requirement before risk mitigation, after diversification effect between the types of events, for Credit & Suretyship risks. |
| C1110/R3100 | Estimated Total Risk Mitigation – Total before diversification | This is the total risk mitigation effect, before diversification effect between types of events, of the undertaking’s specific reinsurance contracts and special purpose vehicles arising from the Credit & Suretyship risks. |
| C1120/R3100 | Catastrophe Risk Charge Credit & Suretyship after risk mitigation – Total before diversification | This is the total capital requirement after risk mitigation, before diversification effect between types of events, for Credit & Suretyship risks. |
| C1120/R3110 | Catastrophe Risk Charge Credit & Suretyship after risk mitigation – Diversification between type of event | Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different type of events for Credit & Suretyship risks. |
| C1120/R3120 | Catastrophe Risk Charge Credit & Suretyship after risk mitigation – Total after diversification | This is the total capital requirement after risk mitigation, after diversification effect between the types of events, for Credit & Suretyship risks. |
| Man–made catastrophe risk – Other non–life catastrophe risk | ||
| C1130/R3200–R3240 | Estimation of the gross premium to be earned – Group of obligations | An estimate of the premiums to be earned by the insurance or reinsurance undertaking, during the following year, for the contracts in relation to the following group of obligations:Insurance and reinsurance obligations included in line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Marine, aviation and transport insurance, including proportional reinsurance obligations, other than marine insurance and reinsurance and aviation insurance and reinsurance;Reinsurance obligations included in line of business Non–proportional marine, aviation and transport reinsurance, other than marine reinsurance and aviation reinsurance;Insurance and reinsurance obligations included in line of business Miscellaneous financial loss, including proportional reinsurance obligations other than extended warranty insurance and reinsurance obligations provided that the portfolio of these obligations is highly diversified and these obligation do not cover the costs of product recalls;Reinsurance obligations included in line of business Non–proportional casualty reinsurance, other than general liability reinsurance;Non–proportional reinsurance obligations relating to insurance obligations included in line of business Credit and Suretyship insurance, including proportional reinsurance obligations.Premiums shall be gross, without deduction of premiums for reinsurance contracts. |
| C1140/R3200–R3240 | Catastrophe Risk Charge Other non–life catastrophe risk before risk mitigation – Group of obligations | This is the capital requirement before risk mitigation, per group of obligations, for Other non–life catastrophe risks. |
| C1140/R3250 | Catastrophe Risk Charge Other non–life catastrophe risk before risk mitigation – Total before diversification | This is the total capital requirement before risk mitigation, before diversification effect between groups of obligations, for Other non–life catastrophe risks. |
| C1140/R3260 | Catastrophe Risk Charge Other non–life catastrophe risk before risk mitigation – Diversification between groups of obligations | Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different groups of obligations for Other non–life catastrophe risks. |
| C1140/R3270 | Catastrophe Risk Charge Other non–life catastrophe risk before risk mitigation – Total after diversification | This is the total capital requirement before risk mitigation, after diversification effect between groups of obligations, for Other non–life catastrophe risks. |
| C1150/R3250 | Estimated Total Risk Mitigation – Total before diversification | This is the estimated total risk mitigation, before diversification effect between groups of obligations, for Other non–life catastrophe risks. |
| C1160/R3250 | Catastrophe Risk Charge Other non–life catastrophe risk after risk mitigation – Total before diversification | This is the total capital requirement after risk mitigation, before diversification effect between groups of obligations, for Other non–life catastrophe risks. |
| C1160/R3260 | Catastrophe Risk Charge Other non–life catastrophe risk after risk mitigation – Diversification between groups of obligations | Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different groups of obligations for Other non–life catastrophe risks. |
| C1160/R3270 | Catastrophe Risk Charge Other non–life catastrophe risk after risk mitigation – Total after diversification | This is the total capital requirement after risk mitigation, after diversification effect between groups of obligations, for Other non–life catastrophe risks. |
| Health catastrophe risk | ||
| Health catastrophe risk – Mass accident | ||
| C1170/R3300–R3600,C1190/R3300–R3600,C1230/R3300–R3600,C1250/R3300–R3600 | Policyholders – per type of event | All insured persons of the insurance or reinsurance undertaking who are inhabitants of each of the countries and are insured against the following types of event:Death caused by an accident;Permanent disability caused by an accident;Disability that lasts 12 months caused by an accident;Medical treatment caused by an accident. |
| C1180/R3300–R3600,C1200/R3300–R3600,C1240/R3300–R3600,C1260/R3300–R3600 | Value of benefits payable – per type of event | The value of the benefits shall be the sum insured or where the insurance contract provides for recurring benefit payments the best estimate of the benefit payments, using the cash–flow projection, per event type.Where the benefits of an insurance contract depend on the nature or extent of any injury resulting from event types, the calculation of the value of the benefits shall be based on the maximum benefits obtainable under the contract which are consistent with the event.For medical expense insurance and reinsurance obligations the value of the benefits shall be based on an estimate of the average amounts paid in case of event types taking into account the specific guarantees the obligations include. |
| C1270/R3300–R3600 | Catastrophe Risk Charge before risk mitigation | Capital requirement before risk mitigation, for each of the countries, arising from the mass accident risk sub–module to health insurance and reinsurance obligations. |
| C1270/R3610 | Catastrophe Risk Charge before risk mitigation – Total Mass accident all countries before diversification | This is the total capital requirement before risk mitigation, before diversification effect between countries, for the mass accident risk sub–module to health insurance and reinsurance obligations. |
| C1270/R3620 | Catastrophe Risk Charge before risk mitigation – Diversification effect between countries | Diversification effect arising from the aggregation of the mass accident risk sub–module to health insurance and reinsurance obligations relating to the different countries. |
| C1270/R3630 | Catastrophe Risk Charge before risk mitigation – Total Mass accident all countries after diversification | This is the total capital requirement before risk mitigation, after diversification effect between countries, for the mass accident risk sub–module to health insurance and reinsurance obligations. |
| C1280/R3300–R3600 | Estimated Risk Mitigation | For each country the estimated risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C1280/R3610 | Estimated Risk Mitigation – Total Mass accident all countries before diversification | Total amount of estimated risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles for all countries. |
| C1290/R3300–R3600 | Estimated Reinstatement Premiums | For each country the estimated reinstatement premiums as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C1290/R3610 | Estimated Reinstatement Premiums – Total Mass accident all countries before diversification | Total amount of estimated reinstatement premiums as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles for all countries. |
| C1300/R3300–R3600 | Catastrophe Risk Charge after risk mitigation | Capital requirement, after the deduction of the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from the mass accident risk sub–module to health insurance and reinsurance obligations, for each country. |
| C1300/R3610 | Catastrophe Risk Charge after risk mitigation – Total Mass accident all countries before diversification | This is the total capital requirement after risk mitigation, before diversification effect between countries, for the mass accident risk sub–module to health insurance and reinsurance obligations. |
| C1300/R3620 | Catastrophe Risk Charge after risk mitigation – Diversification effect between countries | Diversification effect arising from the aggregation of the capital requirement after risk mitigations for the mass accident risk sub–module to health insurance and reinsurance obligations relating to the different countries. |
| C1300/R3630 | Catastrophe Risk Charge after risk mitigation – Total Mass accident all countries after diversification | This is the total capital requirement after risk mitigation for the mass accident risk sub–module to health insurance and reinsurance obligations, taking into consideration the diversification effect given in C1300/R3620. |
| Health catastrophe risk – Concentration accident | ||
| C1310/R3700–R4010 | Largest known accident risk concentration – Countries | The largest accident risk concentration of an insurance or reinsurance undertaking, for each country, shall be equal to the largest number of persons for which the following conditions are met:The insurance or reinsurance undertaking has a workers’ compensation insurance or reinsurance obligation or a group income protection insurance or reinsurance obligation in relation to each of the persons;The obligations in relation to each of the persons cover at least one of the events set out in the next item;The persons are working in the same building which is situated in this particular country.These persons are insured against the following types of event:Death caused by an accident;Permanent disability caused by an accident;Disability that lasts 10 years caused by an accident;Disability that lasts 12 months caused by an accident;Medical treatment caused by an accident. |
| C1320/R3700–R4010,C1330/R3700–R4010,C1350/R3700–R4010,C1360/R3700–R4010 | Average sum insured per type of event | The average value of benefits payable by insurance and reinsurance undertakings for the largest accident risk concentration. |
| C1370/R3700–R4010 | Catastrophe Risk Charge before risk mitigation | Capital requirement before risk mitigation, for each country, arising from the health sub–module concentration accident. |
| C1410 | Other countries to be considered in the Concentration accident | Identify the ISO code of other countries to be considered in the Concentration accident. |
| C1370/R4020 | Catastrophe Risk Charge before risk mitigation – Total Concentration accident all countries before diversification | This is the total capital requirement before risk mitigation, before diversification effect between countries, for the health sub–module concentration accident. |
| C1370/R4030 | Catastrophe Risk Charge before risk mitigation – Diversification effect between countries | Diversification effect arising from the aggregation of the health sub–module concentration accident relating to the different countries. |
| C1370/R4040 | Catastrophe Risk Charge before risk mitigation – Total Concentration accident all countries after diversification | This is the total capital requirement before risk mitigation, after diversification effect between countries, for the health sub–module concentration accident. |
| C1380/R3700–R4010 | Estimated Risk Mitigation – Countries | For each of the countries identified the estimated risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C1380/R4020 | Estimated Risk Mitigation – Total Concentration accident all countries before diversification | Total of estimated risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles for all countries. |
| C1390/R3700–R4010 | Estimated Reinstatement Premiums – Countries | For each of the countries identified the estimated reinstatement premiums as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C1390/R4020 | Estimated Reinstatement Premiums – Total Concentration accident all countries before diversification | Total of the estimated reinstatement premiums as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles for all countries. |
| C1400/R3700–R4010 | Catastrophe Risk Charge after risk mitigation – Countries | Capital requirement, after the deduction of the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from the health sub–module concentration accident for each of the countries identified. |
| C1400/R4020 | Catastrophe Risk Charge after risk mitigation – Total Concentration accident all countries before diversification | The total capital requirement after risk mitigation, before diversification effect between countries, for the health sub–module concentration accident. |
| C1400/R4030 | Catastrophe Risk Charge after risk mitigation – Diversification effect between countries | Diversification effect arising from the aggregation of the capital requirement after risk mitigations for the health sub–module concentration accident risks relating to the different countries. |
| C1400/R4040 | Catastrophe Risk Charge after risk mitigation – Total Concentration accident all countries after diversification | This is the total capital requirement after risk mitigation for the health sub–module concentration accident risk, taking into consideration the diversification effect given in C1400/R4020. |
| Health catastrophe risk – Pandemic | ||
| C1440/R4100–R4410 | Medical expense – Number of insured persons – Countries | The number of insured persons of insurance and reinsurance undertakings, for each of the countries identified, which meet the following conditions:The insured persons are inhabitants of this particular country;The insured persons are covered by medical expense insurance or reinsurance obligations, other than workers’ compensation insurance or reinsurance obligations that cover medical expense resulting from an infectious disease.These insured persons may claim benefits for the following healthcare utilisation:Hospitalisation;Consultation with a medical practitioner;No formal medical care sought. |
| C1450/R4100–R4410,C1470/R4100–R4410,C1490/R4100–R4410 | Medical expense – Unit claim cost per type of healthcare – Countries | Best estimate of the amounts payable, using the cash–flow projection, by insurance and reinsurance undertakings for an insured person in relation to medical expense insurance or reinsurance obligations, other than workers’ compensation insurance or reinsurance obligations per healthcare utilisation type, in the event of a pandemic, for each of the countries identified. |
| C1460/R4100–R4410,C1480/R4100–R4410,C1500/R4100–R4410 | Medical expense – Ratio of insured persons using type of healthcare – Countries | The ratio of insured persons with clinical symptoms utilising healthcare type, for each of the countries identified. |
| C1510/R4100–R4410 | Catastrophe Risk Charge before risk mitigation – Countries | Capital requirement before risk mitigation, for each of the countries identified, arising from the health sub–module pandemic. |
| C1550 | Other countries to be considered in the Pandemic | Identify the ISO code of other countries to be considered in the Pandemic. |
| C1420/R4420 | Income protection – Number of insured persons – Total Pandemic all countries | Total number of insured persons for all countries identified covered by the income protection insurance or reinsurance obligations other than workers’ compensation insurance or reinsurance obligations. |
| C1430/R4420 | Income protection – Total pandemic exposure – Total Pandemic all countries | The total of all income protection pandemic exposure for all countries identified of insurance and reinsurance undertakings.The value of the benefits payable for the insured person shall be the sum insured or where the insurance contract provides for recurring benefit payments the best estimate of the benefit payments assuming that the insured person is permanently disabled and will not recover. |
| C1510/R4420 | Catastrophe Risk Charge before risk mitigation – Total Pandemic all countries | This is the total capital requirement before risk mitigation for the health sub–module pandemic for all countries identified. |
| C1520/R4420 | Estimated Risk Mitigation – Total Pandemic all countries | The total estimated risk mitigation effect of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums for all countries identified. |
| C1530/R4420 | Estimated Reinstatement Premiums – Total Pandemic all countries | The total estimated reinstatement premiums as a result of the undertaking’s specific reinsurance contracts and special purpose vehicles relating to this peril for all countries identified. |
| C1540/R4420 | Catastrophe Risk Charge after risk mitigation – Total Pandemic all countries | The total capital requirement after risk mitigation for the health sub–module pandemic for all countries identified. |
S.28.01 – Minimum Capital Requirement – Only life or only non–life insurance or reinsurance activity
General comments:
This section relates to opening, quarterly and annual submission of information for individual entities.
In particular, S.28.01 is to be submitted by insurance and reinsurance undertakings other than insurance undertakings engaged in both life and non–life insurance activity. These undertakings shall submit S.28.02 instead.
This template shall be completed on the basis of Solvency II valuation, i.e. written premiums are defined as the premiums due to be received by the undertaking in the period (as defined in Article 1(11) of Delegated Regulation (EU) 2015/35).
All references to technical provisions address technical provisions after application of Long Term Guarantee measures and transitionals.
The calculation of MCR combines a linear formula with a floor of 25 % and a cap of 45 % of the SCR. The MCR is subject to an absolute floor depending on the nature of the undertaking (as defined in Article 129(1)(d) of Directive 2009/138/EC).
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010/R0010 | Linear formula component for non–life insurance and reinsurance obligations – MCRNL Result | This is the linear formula component for non–life insurance and reinsurance obligations calculated in accordance with Article 250 of Delegated Regulation (EU) 2015/35. |
| C0020/R0020 | Medical expense insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole | These are the technical provisions for medical expense insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero. |
| C0030/R0020 | Medical expense insurance and proportional reinsurance – net (of reinsurance) written premiums in the last 12 months | These are the premiums written for medical expense insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0020/R0030 | Income protection insurance and proportional reinsurance – net (of reinsurance/SPV) best estimate and TP calculated as a whole | These are the technical provisions for income protection insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero. |
| C0030/R0030 | Income protection insurance and proportional reinsurance – net (of reinsurance) written premiums in the last 12 months | These are the premiums written for income protection insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0020/R0040 | Workers’ compensation insurance and proportional reinsurance – net (of reinsurance/SPV) best estimate and TP calculated as a whole | These are the technical provisions for workers’ compensation insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero. |
| C0030/R0040 | Workers’ compensation insurance and proportional reinsurance – net (of reinsurance) written premiums in the last 12 months | These are the premiums written for workers’ compensations insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0020/R0050 | Motor vehicle liability insurance and proportional reinsurance – net (of reinsurance/SPV) best estimate and TP calculated as a whole | These are the technical provisions for motor vehicle liability insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero. |
| C0030/R0050 | Motor vehicle liability insurance and proportional reinsurance – net (of reinsurance) written premiums in the last 12 months | These are the premiums written for motor vehicle liability insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0020/R0060 | Other motor insurance and proportional reinsurance – net (of reinsurance/SPV) best estimate and TP calculated as a whole | These are the technical provisions for other motor insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero. |
| C0030/R0060 | Other motor insurance and proportional reinsurance – net (of reinsurance) written premiums in the last 12 months | These are the premiums written for other motor insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0020/R0070 | Marine, aviation and transport insurance and proportional reinsurance – net (of reinsurance/SPV) best estimate and TP calculated as a whole | These are the technical provisions for marine, aviation and transport insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero. |
| C0030/R0070 | Marine, aviation and transport insurance and proportional reinsurance – net (of reinsurance) written premiums in the last 12 months | These are the premiums written for marine, aviation and transport insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0020/R0080 | Fire and other damage to property insurance and proportional reinsurance – net (of reinsurance/SPV) best estimate and TP calculated as a whole | These are the technical provisions for fire and other damage to property insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero. |
| C0030/R0080 | Fire and other damage to property insurance and proportional reinsurance – net (of reinsurance) written premiums in the last 12 months | These are the premiums written for fire and other damage to property insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0020/R0090 | General liability insurance and proportional reinsurance – net (of reinsurance/SPV) best estimate and TP calculated as a whole | These are the technical provisions for general liability insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero. |
| C0030/R0090 | General liability insurance and proportional reinsurance – net (of reinsurance) written premiums in the last 12 months | These are the premiums written for general liability insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0020/R0100 | Credit and suretyship insurance and proportional reinsurance – net (of reinsurance/SPV) best estimate and TP calculated as a whole | These are the technical provisions for credit and suretyship insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero. |
| C0030/R0100 | Credit and suretyship insurance and proportional reinsurance – net (of reinsurance) written premiums in the last 12 months | These are the premiums written for credit and suretyship insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0020/R0110 | Legal expenses insurance and proportional reinsurance – net (of reinsurance/SPV) best estimate and TP calculated as a whole | These are the technical provisions for legal expenses insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero. |
| C0030/R0110 | Legal expenses insurance and proportional reinsurance – net (of reinsurance) written premiums in the last 12 months | These are the premiums written for legal expenses insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0020/R0120 | Assistance and proportional reinsurance – net (of reinsurance/SPV) best estimate and TP calculated as a whole | These are the technical provisions for assistance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero. |
| C0030/R0120 | Assistance and proportional reinsurance – net (of reinsurance) written premiums in the last 12 months | These are the premiums written for assistance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0020/R0130 | Miscellaneous financial loss insurance and proportional reinsurance – net (of reinsurance/SPV) best estimate and TP calculated as a whole | These are the technical provisions for miscellaneous financial loss insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero. |
| C0030/R0130 | Miscellaneous financial loss insurance and proportional reinsurance – net (of reinsurance) written premiums in the last 12 months | These are the premiums written for miscellaneous financial loss insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0020/R0140 | Non–proportional health reinsurance – net (of reinsurance/SPV) best estimate and TP calculated as a whole | These are the technical provisions for non–proportional health reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero. |
| C0030/R0140 | Non–proportional health reinsurance – net (of reinsurance) written premiums in the last 12 months | These are the premiums written for non–proportional health reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0020/R0150 | Non–proportional casualty reinsurance – net (of reinsurance/SPV) best estimate and TP calculated as a whole | These are the technical provisions for non–proportional casualty reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero. |
| C0030/R0150 | Non–proportional casualty reinsurance – net (of reinsurance) written premiums in the last 12 months | These are the premiums written for non–proportional casualty reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero. Amount of taxes or charges levied with premiums shall be excluded from the written premiums |
| C0020/R0160 | Non–proportional marine, aviation and transport reinsurance – net (of reinsurance/SPV) best estimate and TP calculated as a whole | These are the technical provisions for non–proportional marine, aviation and transport reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero. |
| C0030/R0160 | Non–proportional marine, aviation and transport reinsurance – net (of reinsurance) written premiums in the last 12 months | These are the premiums written for non–proportional marine, aviation and transport reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0020/R0170 | Non–proportional property reinsurance – net (of reinsurance/SPV) best estimate and TP calculated as a whole | These are the technical provisions for non–proportional property reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero. |
| C0030/R0170 | Non–proportional property reinsurance – net (of reinsurance) written premiums in the last 12 months | These are the premiums written for non–proportional property reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0040/R0200 | Linear formula component for life insurance and reinsurance obligations – MCRL Result | This is the result of the linear formula component for life insurance or reinsurance obligations calculated in accordance with Article 251 of Delegated Regulation (EU) 2015/35. |
| C0050/R0210 | Obligations with profit participation – guaranteed benefits – Net (of reinsurance/SPV) best estimate and TP calculated as a whole | These are the technical provisions without a risk margin in relation to guaranteed benefits for life insurance obligations with profit participation, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero and technical provisions without a risk margin for reinsurance obligations where the underlying life insurance obligations include profit participation, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero. |
| C0050/R0220 | Obligations with profit participation – future discretionary benefits – Net (of reinsurance/SPV) best estimate and TP calculated as a whole | These are the technical provisions without a risk margin in relation to future discretionary benefits for life insurance obligations with profit participation, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero. |
| C0050/R0230 | Index–linked and unit–linked insurance obligations – Net (of reinsurance/SPV) best estimate and TP calculated as a whole | These are the technical provisions without a risk margin for index–linked and unit–linked life insurance obligations and reinsurance obligations relating to such insurance obligations, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero. |
| C0050/R0240 | Other life (re)insurance and health (re)insurance obligations – Net (of reinsurance/SPV) best estimate and TP calculated as a whole | These are the technical provisions without a risk margin for all other life insurance obligations and reinsurance obligations relating to such insurance obligations, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.Annuities related to non–life contracts shall be reported here. |
| C0060/R0250 | Total capital at risk for all life (re)insurance obligations – Net (of reinsurance/SPV) total capital at risk | These are the total capital at risk, being the sum in relation to all contracts that give rise to life insurance or reinsurance obligations of the capital at risk of the contracts. |
| C0070/R0300 | Overall MCR calculation – Linear MCR | The linear Minimum Capital Requirement shall equal to the sum of the MCR linear formula component for non–life insurance and reinsurance and the MCR linear formula component for life insurance and reinsurance obligations calculated in accordance with Article 249 of Delegated Regulation (EU) 2015/35. |
| C0070/R0310 | Overall MCR calculation – SCR | This is the latest SCR to be calculated and reported in accordance with Articles 103 to 127 of Directive 2009/138/EC, either the annual one or a more recent one in case the SCR has been recalculated (e.g. due to a change in risk profile), including capital add on. Undertakings using internal model or partial internal model to calculate the SCR shall refer to the relevant SCR, except where under Article 129(3) of Directive 2009/138/EC the national supervisory authority requires a reference to the standard formula. |
| C0070/R0320 | Overall MCR calculation – MCR cap | This is calculated as 45 % of the SCR including any capital add–on in accordance with Art 129 (3) of the Directive 2009/138/EC. |
| C0070/R0330 | Overall MCR calculation – MCR floor | This is calculated as 25 % of the SCR including any capital add–on in accordance with Art 129 (3) of the Directive 2009/138/EC. |
| C0070/R0340 | Overall MCR calculation – Combined MCR | This is the result of the formula component calculated in accordance with Article 248(2) of Delegated Regulation (EU) 2015/35. |
| C0070/R0350 | Overall MCR calculation – Absolute floor of the MCR | This is calculated as defined in Art 129(1) d of Directive 2009/138/EC. |
| C0070/R0400 | Minimum Capital Requirement | This is the result of the formula component calculated in accordance with Article 248(1) of Delegated Regulation (EU) 2015/35. |
S.28.02 – Minimum Capital Requirement – Both life and non–life insurance activity
General comments:
This section relates to opening, quarterly and annual submission of information for individual entities.
In particular, S.28.02 is to be submitted by insurance undertakings engaged in both life and non–life insurance activity. Insurance and reinsurance undertakings other than insurance undertakings engaged in both life and non–life insurance activity shall submit S.28.01 instead.
This template shall be completed on the basis of Solvency II valuation, i.e. written premiums are defined as the premiums due to be received by the undertaking in the period (as defined in Article 1(11) of Delegated Regulation (EU) 2015/35).
Insurance and reinsurance undertakings shall disclose written/earned premiums as defined in Article 1(11) and (12) of Delegated Regulation (EU) 2015/35 regardless whether a local GAAP or IFRS is used.All references to technical provisions address technical provisions after application of Long Term Guarantee measures and transitionals.
The calculation of MCR combines a linear formula with a floor of 25 % and a cap of 45 % of the SCR. The MCR is subject to an absolute floor depending on the nature of the undertaking (as defined in Article 129(1)(d) of Directive 2009/138/EC).
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010/R0010 | Linear Formula component for non-life insurance and reinsurance obligations – MCR(NL,NL) result – non-life activities | This is the linear formula component for non-life insurance and reinsurance obligations relating to non-life insurance activities calculated in accordance with Article 252(4) and (5) of Delegated Regulation (EU) 2015/35. |
| C0020/R0010 | Linear Formula component for non-life insurance and reinsurance obligations – MCR(NL,L) result | This is the linear formula component for non-life insurance and reinsurance obligations relating to life insurance activities calculated in accordance with Article 252(9) and (10) of Delegated Regulation (EU) 2015/35. |
| C0030/R0020 | Medical expense insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – non-life activities | These are the technical provisions for medical expense insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities. |
| C0040/R0020 | Medical expense insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – non-life activities | These are the premiums written for medical expense insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0050/R0020 | Medical expense insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – life activities | These are the technical provisions for medical expense insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities. |
| C0060/R0020 | Medical expense insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – life activities | These are the premiums written for medical expense insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0030/R0030 | Income protection insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – non-life activities | These are the technical provisions for income protection insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities. |
| C0040/R0030 | Income protection insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – non-life activities | These are the premiums written for income protections insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0050/R0030 | Income protection insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – life activities | These are the technical provisions for income protection insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities. |
| C0060/R0030 | Income protection insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – life activities | These are the premiums written for income protections insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0030/R0040 | Workers’ compensation insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – non-life activities | These are the technical provisions for workers’ compensation insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities. |
| C0040/R0040 | Workers’ compensation insurance and proportional reinsurance- Net (of reinsurance) written premiums in the last 12 months – non-life activities | These are the premiums written for workers’ compensations insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0050/R0040 | Workers’ compensation insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – life activities | These are the technical provisions for workers’ compensation insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities. |
| C0060/R0040 | Workers’ compensation insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – life activities | These are the premiums written for workers’ compensations insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0030/R0050 | Motor vehicle liability insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – non-life activities | These are the technical provisions for motor vehicle liability insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities. |
| C0040/R0050 | Motor vehicle liability insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – non-life activities | These are the premiums written for motor vehicle liability insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0050/R0050 | Motor vehicle liability insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – life activities | These are the technical provisions for motor vehicle liability insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities. |
| C0060/R0050 | Motor vehicle liability insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – life activities | These are the premiums written for motor vehicle liability insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0030/R0060 | Other motor insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – non-life activities | These are the technical provisions for other motor insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities. |
| C0040/R0060 | Other motor insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – non-life activities | These are the premiums written for other motor insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0050/R0060 | Other motor insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – life activities | These are the technical provisions for other motor insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities. |
| C0060/R0060 | Other motor insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – life activities | These are the premiums written for other motor insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0030/R0070 | Marine, aviation and transport insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – non-life activities | These are the technical provisions for marine, aviation and transport insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities. |
| C0040/R0070 | Marine, aviation and transport insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – non-life activities | These are the premiums written for marine, aviation and transport insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0050/R0070 | Marine, aviation and transport insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – life activities | These are the technical provisions for marine, aviation and transport insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities. |
| C0060/R0070 | Marine, aviation and transport insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – life activities | These are the premiums written for marine, aviation and transport insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0030/R0080 | Fire and other damage to property insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – non-life activities | These are the technical provisions for fire and other damage to property insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities. |
| C0040/R0080 | Fire and other damage to property insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – non-life activities | These are the premiums written for fire and other damage to property insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0050/R0080 | Fire and other damage to property insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – life activities | These are the technical provisions for fire and other damage to property insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities. |
| C0060/R0080 | Fire and other damage to property insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – life activities | These are the premiums written for fire and other damage to property insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0030/R0090 | General liability insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – non-life activities | These are the technical provisions for general liability insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities. |
| C0040/R0090 | General liability insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – non-life activities | These are the premiums written for general liability insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0050/R0090 | General liability insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – life activities | These are the technical provisions for general liability insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities. |
| C0060/R0090 | General liability insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – life activities | These are the premiums written for general liability insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0030/R0100 | Credit and suretyship insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – non-life activities | These are the technical provisions for credit and suretyship insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities. |
| C0040/R0100 | Credit and suretyship insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – non-life activities | These are the premiums written for credit and suretyship insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0050/R0100 | Credit and suretyship insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – life activities | These are the technical provisions for credit and suretyship insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities. |
| C0060/R0100 | Credit and suretyship insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – life activities | These are the premiums written for credit and suretyship insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0030/R0110 | Legal expenses insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – non-life activities | These are the technical provisions for legal expenses insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities. |
| C0040/R0110 | Legal expenses insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – non-life activities | These are the premiums written for legal expenses insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0050/R0110 | Legal expenses insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – life activities | These are the technical provisions for legal expenses insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities. |
| C0060/R0110 | Legal expenses insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – life activities | These are the premiums written for legal expenses insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0030/R0120 | Assistance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – non-life activities | These are the technical provisions for assistance and its proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities. |
| C0040/R0120 | Assistance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – non-life activities | These are the premiums written for assistance and its proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0050/R0120 | Assistance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – life activities | These are the technical provisions for assistance and its proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities. |
| C0060/R0120 | Assistance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – life activities | These are the premiums written for assistance and its proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0030/R0130 | Miscellaneous financial loss insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – non-life activities | These are the technical provisions for miscellaneous financial loss insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities. |
| C0040/R0130 | Miscellaneous financial loss insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – non-life activities | These are the premiums written for miscellaneous financial loss insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0050/R0130 | Miscellaneous financial loss insurance and proportional reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – life activities | These are the technical provisions for miscellaneous financial loss insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities. |
| C0060/R0130 | Miscellaneous financial loss insurance and proportional reinsurance – Net (of reinsurance) written premiums in the last 12 months – life activities | These are the premiums written for miscellaneous financial loss insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0030/R0140 | Non-proportional health reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – non-life activities | These are the technical provisions for non-proportional health reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities. |
| C0040/R0140 | Non-proportional health reinsurance – Net (of reinsurance) written premiums in the last 12 months – non-life activities | These are the premiums written for non-proportional health reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0050/R0140 | Non-proportional health reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – life activities | These are the technical provisions for non-proportional health reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities. |
| C0060/R0140 | Non-proportional health reinsurance – Net (of reinsurance) written premiums in the last 12 months – life activities | These are the premiums written for non-proportional health reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0030/R0150 | Non-proportional casualty reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – non-life activities | These are the technical provisions for non-proportional casualty reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities. |
| C0040/R0150 | Non-proportional casualty reinsurance – Net (of reinsurance) written premiums in the last 12 months – non-life activities | These are the premiums written for non-proportional casualty reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0050/R0150 | Non-proportional casualty reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – life activities | These are the technical provisions for non-proportional casualty reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities. |
| C0060/R0150 | Non-proportional casualty reinsurance – Net (of reinsurance) written premiums in the last 12 months – life activities | These are the premiums written for non-proportional casualty reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0030/R0160 | Non-proportional marine, aviation and transport reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – non-life activities | These are the technical provisions for non-proportional marine, aviation and transport reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities. |
| C0040/R0160 | Non-proportional marine, aviation and transport reinsurance – Net (of reinsurance) written premiums in the last 12 months – non-life activities | These are the premiums written for non-proportional marine, aviation and transport reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0050/R0160 | Non-proportional marine, aviation and transport reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – life activities | These are the technical provisions for non-proportional marine, aviation and transport reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities. |
| C0060/R0160 | Non-proportional marine, aviation and transport reinsurance – Net (of reinsurance) written premiums in the last 12 months – life activities | These are the premiums written for non-proportional marine, aviation and transport reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0030/R0170 | Non-proportional property reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – non-life activities | These are the technical provisions for non-proportional property reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities. |
| C0040/R0170 | Non-proportional property reinsurance – Net (of reinsurance) written premiums in the last 12 months – non-life activities | These are the premiums written for non-proportional property reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0050/R0170 | Non-proportional property reinsurance – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – life activities | These are the technical provisions for non-proportional property reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities. |
| C0060/R0170 | Non-proportional property reinsurance – Net (of reinsurance) written premiums in the last 12 months – life activities | These are the premiums written for non-proportional property reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0070/R0200 | Linear Formula component for life insurance and reinsurance obligations MCR(L,NL) Result | This is the linear formula component for life insurance and reinsurance obligations relating to non-life insurance activities calculated in accordance with Article 252(4) and (5) of Delegated Regulation (EU) 2015/35. |
| C0080/R0200 | Linear Formula component for life insurance and reinsurance obligations MCR(L,L) Result | This is the linear formula component for life insurance and reinsurance obligations relating to life insurance activities calculated in accordance with Article 252(9) and (10) of Delegated Regulation (EU) 2015/35. |
| C0090/R0210 | Obligations with profit participation – guaranteed benefits – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – non-life activities | These are the technical provisions without a risk margin for guaranteed benefits in respect of life insurance obligations with profit participation, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities and technical provisions without a risk margin for reinsurance obligations where the underlying insurance obligations include profit participation, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities. |
| C0110/R0210 | Obligations with profit participation – guaranteed benefits – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – life activities | These are the technical provisions without a risk margin for guaranteed benefits in respect of life insurance obligations with profit participation, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities and technical provisions without a risk margin for reinsurance obligations where the underlying insurance obligations include profit participation, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities. |
| C0090/R0220 | Obligations with profit participation – future discretionary benefits – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – non-life activities | These are the technical provisions without a risk margin for future discretionary benefits in respect of life insurance obligations with profit participation, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities. |
| C0110/R0220 | Obligations with profit participation – future discretionary benefits – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – life activities | These are the technical provisions without a risk margin for future discretionary benefits in respect of life insurance obligations with profit participation, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities. |
| C0090/R0230 | Index-linked and unit-linked insurance obligations – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – non-life activities | These are the technical provisions without a risk margin for index-linked and unit-linked life insurance obligations and reinsurance obligations relating to such insurance obligations, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities. |
| C0110/R0230 | Index-linked and unit-linked insurance obligations – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – life activities | These are the technical provisions without a risk margin for index-linked and unit-linked life insurance obligations and reinsurance obligations relating to such insurance obligations, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities. |
| C0090/R0240 | Other life (re)insurance and health (re)insurance obligations – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – non-life activities | These are the technical provisions without a risk margin for other life insurance obligations and reinsurance obligations relating to such insurance obligations, after deduction of the amounts recoverable from reinsurance contracts and SPV, with a floor equal to zero, relating to non-life activities. |
| C0110/R0240 | Other life (re)insurance and health (re)insurance obligations – Net (of reinsurance/SPV) best estimate and TP calculated as a whole – life activities | These are the technical provisions without a risk margin for other life insurance obligations and reinsurance obligations relating to such insurance obligations, after deduction of the amounts recoverable from reinsurance contracts and SPV, with a floor equal to zero, relating to life activities. |
| C0100/R0250 | Total capital at risk for all life (re)insurance obligations – Net (of reinsurance/SPV) total capital at risk – non-life activities | This is the total capital at risk, being the sum over all contracts that give rise to life insurance or reinsurance obligations of the highest amounts that the insurance undertaking would pay in the event of the death or disability of the persons insured under the contract after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles in such event, and the expected present value of annuities payable on death or disability less the net best estimate, with a floor equal to zero, relating to non-life activities. |
| C0120/R0250 | Total capital at risk for all life (re)insurance obligations – Net (of reinsurance/SPV) total capital at risk – life activities | This is the total capital at risk, being the sum over all contracts that give rise to life insurance or reinsurance obligations of the highest amounts that the insurance undertaking would pay in the event of the death or disability of the persons insured under the contract after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles in such event, and the expected present value of annuities payable on death or disability less the net best estimate, with a floor equal to zero, relating to life activities. |
| C0130/R0300 | Overall MCR calculation – Linear MCR | The linear Minimum Capital Requirement shall equal to the sum of the MCR linear formula component for non-life insurance and reinsurance and the MCR linear formula component for life insurance and reinsurance obligations calculated in accordance with Article 249 of Delegated Regulation (EU) 2015/35. |
| C0130/R0310 | Overall MCR calculation – SCR | This is the latest SCR to be calculated and reported in accordance with Articles 103 to 127 of Directive 2009/138/EC, either the annual one or a more recent one in case the SCR has been recalculated (e.g. due to a change in risk profile), including capital add-on. Undertakings using internal model or partial internal model to calculate the SCR shall refer to the relevant SCR, except where under Article 129(3) of Directive 2009/138/EC the national supervisor requires a reference to the standard formula. |
| C0130/R0320 | Overall MCR calculation – MCR cap | This is calculated as 45 % of the SCR including any capital add-on in accordance with Article 129(3) of Directive 2009/138/EC. |
| C0130/R0330 | Overall MCR calculation – MCR floor | This is calculated as 25 % of the SCR including any capital add-on in accordance with Article 129(3) of Directive 2009/138/EC. |
| C0130/R0340 | Overall MCR calculation – Combined MCR | This is the result of the formula component calculated in accordance with Article 248(2) of Delegated Regulation (EU) 2015/35. |
| C0130/R0350 | Overall MCR calculation – Absolute floor of the MCR | This is calculated as defined in Article 129(1)d of Directive 2009/138/EC and Article 253 of the Delegated Regulation (EU) 2015/35. |
| C0130/R0400 | Minimum Capital Requirement | This is the result of the formula component calculated in accordance with Article 248(1) of Delegated Regulation (EU) 2015/35. |
| C0140/R0500 | Notional non-life and life MCR calculation – Notional linear MCR – non-life activities | This is calculated in accordance with Article 252(3) of Delegated Regulation (EU) 2015/35. |
| C0150/R0500 | Notional non-life and life MCR calculation – Notional linear MCR -life activities | This is calculated in accordance with Article 252(9) of Delegated Regulation (EU) 2015/35. |
| C0140/R0510 | Notional non-life and life MCR calculation – Notional SCR excluding add-on (annual or latest calculation) – non-life activities | This is the latest notional SCR to be calculated and reported in accordance with in accordance with Articles 103 to 127 of Directive 2009/138/EC, either the annual one or a more recent one in case the notional SCR has been recalculated (e.g. due to a change in risk profile), excluding capital add-on. Undertakings using internal model or partial internal model to calculate the SCR shall refer to the relevant SCR, except where under Article 129(3) of Directive 2009/138/EC the national supervisor requires a reference to the standard formula. |
| C0150/R0510 | Notional non-life and life MCR calculation – Notional SCR excluding add-on (annual or latest calculation) -life activities | This is the latest notional SCR to be calculated and reported in accordance with in accordance with Articles 103 to 127 of Directive 2009/138/EC, either the annual one or a more recent one in case the notional SCR has been recalculated (e.g. due to a change in risk profile), excluding capital add-on. Undertakings using internal model or partial internal model to calculate the SCR shall refer to the relevant SCR, except where under Article 129(3) of Directive 2009/138/EC the national supervisor requires a reference to the standard formula. |
| C0140/R0520 | Notional non-life and life MCR calculation – Notional MCR cap – non-life activities | This is calculated as 45 % of the notional non-life SCR including the non-life capital add-on in accordance with Article 129(3) of Directive 2009/138/EC. |
| C0150/R0520 | Notional non-life and life MCR calculation – Notional MCR cap -life activities | This is calculated as 45 % of the notional life SCR including the life capital add-on in accordance with Article 129(3) of Directive 2009/138/EC. |
| C0140/R0530 | Notional non-life and life MCR calculation – Notional MCR floor – non-life activities | This is calculated as 25 % of the notional non-life SCR including the non-life capital add-on in accordance with Article 129(3) of Directive 2009/138/EC. |
| C0150/R0530 | Notional non-life and life MCR calculation – Notional MCR floor -life activities | This is calculated as 25 % of the notional life SCR including the life capital add-on in accordance with Article 129(3) of Directive 2009/138/EC. |
| C0140/R0540 | Notional non-life and life MCR calculation – Notional Combined MCR – non-life activities | This is calculated in accordance with Article 252(3) of Delegated Regulation (EU) 2015/35. |
| C0150/R0540 | Notional non-life and life MCR calculation – Notional Combined MCR -life activities | This is calculated in accordance with Article 252(8) of Delegated Regulation (EU) 2015/35. |
| C0140/R0550 | Notional non-life and life MCR calculation – Absolute floor of the notional MCR – non-life activities | This is the amount defined in Article 129(1)(d)(i) of Directive 2009/138/EC before considering Article 253 of the Delegated Regulation (EU) 2015/35. |
| C0150/R0550 | Notional non-life and life MCR calculation – Absolute floor of the notional MCR – life activities | This is the amount defined in Article 129(1)(d)(ii) Directive 2009/138/EC before considering Article 253 of the Delegated Regulation (EU) 2015/35. |
| C0140/R0560 | Notional non-life and life MCR calculation – Notional MCR – non-life activities | This is the notional non-life MCR calculated in accordance with Article 252(2) of Delegated Regulation (EU) 2015/35. |
| C0150/R0560 | Notional non-life and life MCR calculation – Notional MCR – life activities | This is the notional life MCR calculated in accordance with Article 252(7) of Delegated Regulation (EU) 2015/35. |
S.29.01 – Excess of Assets over Liabilities
General comments:
a)A presentation of all variations in Basic Own fund items during the reporting period. It isolates the variation of the Excess of Assets over Liabilities as part of this total variation. This first analysis is entirely performed based on information also reported in template S.23.01 (year N and N–1).
b)A summary of the 5 main sources affecting the variation of the Excess of Assets over Liabilities between the prior and the last reporting periods (cells C0030/R0190 to C0030/R0250):
—The variation related to investments and financial liabilities – detailed in template S.29.02,
—The variation related to technical provisions – detailed in templates S.29.03 and S.29.04,
—The variation of ‘pure’ capital items, which is not directly influenced by the business carried on (e.g., variations in ordinary shares numbers and values); these variations are analysed in detail within template S.23.03;
—Other main variations linked to tax and dividend distribution, namely:
—Variation in Deferred Tax position
—Income Tax of the reporting period
—Dividend distribution
—Other variations not explained elsewhere.
This section relates to annual submission of information for individual entities.
This template is not applicable to captive insurance and reinsurance undertakings complying with conditions specified in the Regulation.
This template, together with S.29.02 to S.29.04, explains the variation of Excess of Assets over Liabilities by reconciling the different sources of movements (please see the five main sources in b) below). In these templates, creation of value needs to be reported (such as income from investments).
The content of this template covers:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010/R0010–R0120 | Basic Own fund items – Year N | These items do not cover all Basic Own fund items, but only those before adjustments/deductions for:Own funds from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds;Participations in financial and credit institutions. |
| C0020/R0010 – R0120 | Basic Own fund items – Year N–1 | These items do not cover all Basic Own fund items, but only those before adjustments/deductions for:Own funds from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds;Participations in financial and credit institutions |
| C0030/R0010–R0120 | Basic Own fund items – Variation | Variation between reporting period N and N–1 of own fund items. |
| C0030/R0130 | Excess of assets over liabilities (Variations of Basic Own Funds explained by Variation Analysis Templates) | Variation of excess of assets over liabilities. This item is further assessed in rows R0190 to R0250 and then in templates S.29.02 to S.29.04.Excess of assets over liabilities shall be considered before deductions of Participations in financial and credit institutions. |
| C0030/R0140 | Own shares | Variation of own shares included as assets on the balance sheet. |
| C0030/R0150 | Foreseeable dividends, distributions and charges | Variation of foreseeable dividends, distributions and charges. |
| C0030/R0160 | Other basic own fund items | Variation of other basic own fund items. |
| C0030/R0170 | Restricted own fund items due to ring fencing and matching | Variation of restricted own fund items due to ring fencing and matching. |
| C0030/R0180 | Total variation of Reconciliation Reserve | Total variation of Reconciliation Reserve. |
| C0030/R0190 | Variations due to investments and financial liabilities | Variations in the Excess of assets over liabilities explained by variations in investments and financial liabilities (for instance variations in value in the period, financial revenues, etc.). This amount shall not include amount of Own Shares. |
| C0030/R0200 | Variations due to net technical provisions | Variations in the Excess of assets over liabilities explained by variations in technical provisions (for instance provision reversals or new earned premiums, etc.). |
| C0030/R0210 | Variations in capital basic own fund items and other items approved | This amount explains the part of the variation of Excess of Assets over Liabilities due to movements in ‘pure’ capital items, such as Ordinary share capital (gross of own shares), Preference shares, Surplus funds. |
| C0030/R0220 | Variations in Deferred Tax position | Variations in the Excess of assets over liabilities explained by variation of deferred tax assets and deferred tax liabilities |
| C0030/R0230 | Income tax of the reporting period | Amount of corporate tax of the reporting period, as stated in the financial statements of the reporting period. |
| C0030/R0240 | Dividend distribution | Amount of dividend distributed during the reporting period, as stated in the financial statements of the reporting period. |
| C0030/R0250 | Other variations in Excess of Assets over Liabilities | The remaining variations in the excess of assets over liabilities. |
S.29.02 – Excess of Assets over Liabilities – explained by investments and financial liabilities
General comments:
i.Includes investments;
i.Movements in valuation with an impact on the Excess of Assets over Liabilities (e.g. realised gains and losses from sales, but also valuation differences);
ii.Includes liabilities position of derivatives (as investments);
ii.Revenues triggered by investments;
iii.Includes Own shares;
iii.Expenses related to investments (including interest charges on financial liabilities.).
iv.Includes Financial liabilities (comprising subordinated liabilities);
v.Includes assets held for unit–linked and index–linked funds;
vi.Excludes property held for own use.
This section relates to annual submission of information for individual entities.
This template focuses on changes in the Excess of Assets over Liabilities due to investments and financial liabilities.
The scope of this template:
For all these items, the template covers the investments held at closing date of the prior reporting period (N–1) and the investments acquired/issued during the reporting period (N).
The difference between template S.29.02 (last table) and information in template S.09.01 is the inclusion of the revenue from own shares and the exclusion of Property held for own use. The purpose of the template is to provide a detailed understanding of the changes in the Excess of Assets over Liabilities related to investments, considering:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010/R0010 | Valuation movements on investments | Valuation movements on investments, including:For those assets kept in the portfolio, the difference between Solvency II values at the end of the reporting period (N) and at the beginning of the Year (N–1);For those investments divested between the two reporting periods (including where an asset was acquired during the reporting period), the difference between the selling price and the Solvency II value as at the last reporting period (or, in case of investments acquired during the period, the acquisition cost/value);For those assets acquired during the reporting period and still held at the end of the reporting period, the difference between the closing Solvency II value and the acquisition cost/value.It shall include amounts relative to derivatives regardless of derivatives being an asset or a liability.It shall not include amounts reported in ‘Investment revenues – R0040’ and ‘Investments expenses including Interest charges on subordinated and financial liabilities – R0050’. |
| C0010/R0020 | Valuation movements on own shares | Same as for cell C0010/R0010, but for own shares. |
| C0010/R0030 | Valuation movements on financial liabilities and subordinated liabilities | Valuation movements on financial liabilities and subordinated liabilities, including:For those financial and subordinated liabilities issued prior to the reporting period and not redeemed, the difference between Solvency II values at the end of the reporting period (N) and at the beginning of the reporting period (N–1);For those financial and subordinated liabilities redeemed during the reporting period, the difference between the redemption price and the Solvency II value as at the end of the last reporting period;For those financial and subordinated liabilities issued during the reporting period and not redeemed during the period, the difference between the closing Solvency II value and issuance price. |
| C0010/R0040 | Investment Revenues | Includes dividends, interests, rents and other revenues, due to investments within scope of this template. |
| C0010/R0050 | Investments expenses including interest charges on subordinated and financial liabilities | Investments expenses including interest charges on subordinated and financial liabilities, including:Investment management expenses – related to Investments and to Own shares;Interest charges on financial and subordinated liabilities related to Financial liabilities other than debts owed to credit institutions as well as Debts owed to credit institutions and Subordinated liabilities.Those expenses and charges correspond to the ones recorded and recognised on an accrual basis at the end of the period. |
| C0010/R0060 | Variation in Excess of Assets over Liabilities explained by investments and financial liabilities management | Total of variation in Excess of Assets over Liabilities explained by investments and financial liabilities management. |
| C0010/R0070 | Dividends | Amount of dividends earned over the reporting period, excluding any dividends from property held for own use.The same definition as in S.09.01 shall apply (except for the scope of investments to consider). |
| C0010/R0080 | Interests | Amount of interest earned over the reporting period, excluding any interest from property held for own use.The same definition as in S.09.01 shall apply (except for the scope of investments to consider). |
| C0010/R0090 | Rents | Amount of rent earned over the reporting period, excluding any rent from property held for own use.The same definition as in S.09.01 shall apply (except for the scope of investments to consider). |
| C0010/R0100 | Other | Amount of other investments income received and accrued at the end of the reporting year. Applicable to other investment income not considered in cells C0010/R0070, C0010/R0080 and C0010/R0090, such as securities lending fees, commitment fees etc., excluding the ones from property held for own use. |
S.29.03 – Excess of Assets over Liabilities – explained by technical provisions
General comments:
—Changes in TP captions;
—Changes in technical flows of the period;
—A detailed breakdown of the variation of Best Estimate – gross of reinsurance by sources of changes (such as new business, changes in assumptions, experience, etc.).
This section relates to annual submission of information for individual entities.
This template focuses on changes in the Excess of Assets over Liabilities due to technical provisions (TP). The scope of technical provisions includes risks captured through Best Estimate (BE) and Risk margin, and those captured through TP calculated as a whole.
As regards the order of calculation in the table ‘breakdown of Variation in Best Estimate’, presentation of the order is not deemed prescriptive as to the order in which the calculation is performed, as long as the content of the different cells indeed reflect the purpose and definition of these cells.
Undertakings are required to report data on accident year or underwriting year basis, in accordance with any requirements of the National Supervisory Authority. If the National Supervisory Authority has not stipulated which to use then the undertaking may use accident or underwriting year according to how they manage each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, provided that they use the same year consistently, year on year.
The purpose of the template is to provide a detailed understanding of the changes in the Excess of Assets over Liabilities related to technical provisions, considering:
The accepted reinsurance on unit-linked and index-linked business shall be included within the template.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Of which the following breakdown of Variation in Best Estimate – analysis per UWY if applicable – Gross of reinsurance | ||
| C0010–C0020/R0010 | Opening Best Estimate | Amount of Best Estimate – gross of reinsurance – as stated in the Balance Sheet at closing year N–1 related to those lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, for which an underwriting year approach (UWY) is used for Best Estimate calculation. |
| C0010–C0020/R0020 | Exceptional elements triggering restating of opening Best Estimate | Amount of adjustment to opening Best Estimate due to elements, other than changes in perimeter that led to restate the opening BE.Shall essentially concern changes in models (in case models are used) for correction of the model and other modifications. It shall not concern changes in assumptions.These cells are expected to be mostly applicable for Life business. |
| C0010–C0020/R0030 | Changes in perimeter | Amount of adjustment to opening Best Estimate related to changes in perimeter of the portfolio like sales of (part of) portfolio and purchases. This could also concern changes of perimeter due to liabilities evolving to annuities stemming from Non–Life obligations (triggering some changes from Non–Life to Life). |
| C0010–C0020/R0040 | Foreign exchange variation | Amount of adjustment to opening Best Estimate related to foreign exchange variation during the period.In this case the foreign exchange variation is actually meant to be applied to contracts which are taken out in currencies different from the balance sheet currency. For the calculation, the cash–flows of these contracts contained in the opening Best Estimate are simply converted due to the exchange variation.This item does not address the impact on the cash–flows of the insurance portfolio induced by re–valuation of year N–1 assets due to foreign exchange variation during year N. |
| C0010–C0020/R0050 | Best Estimate on risks accepted during the period | It represents present expected future cash flows (gross of reinsurance) included in Best Estimate and related to risks accepted during the period.This shall be considered at the closing date (and not at the actual date of inception of the risks), i.e. this shall form part of the Best Estimate at closing date.The scope of cash flows refers to Article 77 of Directive 2009/138/EC. |
| C0010–C0020/R0060 | Variation of Best Estimate due to unwinding of discount rate – risks accepted prior to period | The variation of Best Estimate captured here shall only relate to the unwinding of discount rates, and does not take into account other parameters such as changes in assumptions or discount rates, experience adjustment, etc.The concept of unwinding may be illustrated as follows: Calculate the Best Estimate of year N–1 again but using the shifted interest rate term structureIn order to isolate this strict scope of variation, the calculation may be as follows:Consider Opening Best Estimate including the adjustment to opening Best Estimate (cells C0010/R0010 to R0040);Based on this figure, run the calculation of the unwinding of discount rates. |
| C0010–C0020/R0070 | Variation of Best Estimate due to year N projected in and out flows – risks accepted prior to period | Premiums, claims, and surrenders that were forecasted on the Opening Best Estimate as to be paid during the year, will not be in the closing Best Estimate anymore as they would have been paid/received during the year. A neutralisation adjustment shall be performed.In order to isolate this adjustment, the calculation may be as follows:Consider Opening Best Estimate (cell C0010/R0010) including the adjustment to opening Best Estimate (cells C0010/R0020 to R0040)Isolate the amount of cash flows (cash in minus cash out) that were projected within this opening Best Estimate for the period consideredThis isolated amount of cash flow shall come in addition to Opening Best Estimate (for neutralisation effect) – and be filled in cell C0010/R0070 and C0020/R0070. |
| C0010–C0020/R0080 | Variation of Best Estimate due to experience – risks accepted prior to period | The variation of Best Estimate captured here shall strictly relate to the cash flows projected at the end of the period when compared to the cash flows that were projected at the beginning of the period for the periods N + 1 and future.It shall only capture the changes due to the realisation of the CF in year N and not linked to changes in assumptions. |
| C0010–C0020/R0090 | Variation of Best Estimate due to changes in non–economic assumptions – risks accepted prior to period | It mainly refers to changes in best estimate not driven by realised technical flows and changes in assumptions directly linked to insurance risks (i.e. lapse rates), which can be referred to as non–economic assumptions.In order to isolate the strict scope of variation due to changes in assumptions, the calculation may be as follows:Consider the opening Best Estimate (cell C0010/R0010) including the adjustment to opening Best Estimate (cell C0010/R0010 to R0040) and the impact of unwinding of year N projected cash–flows (C0010/R0060 to R0080 and C0020/R0060 to R0080 respectively);Based on this figure, run calculations with new assumptions not related to discount rates – that applied at year end N (if any)This will provide the variation of Best Estimate strictly related to changes in these assumptions. This may not capture the variation due to case–by–case revision of RBNS, which would thus have to be added.For Non–Life, cases can be expected where these changes cannot be discerned separately from changes due to experience (C0020/R0080). In such cases, report the total figure under C0020/R0080. |
| C0010–C0020/R0100 | Variation of Best Estimate due to changes in economic environment – risks accepted prior to period | It mainly refers to assumptions not directly linked to insurance risks, i.e. mainly the impact of the changes in economic environment on the cash flows (taking management actions into account, e.g. reduction of future discretionary benefits (‘FDB’)) and changes in discount rates.For non–life (C0020/R0100), in case variation due to inflation cannot be discerned from changes due to experience, the whole amount would be reported under C0020/R0080.In order to isolate this strict scope of variation, the calculation may be as follows:Consider the opening Best Estimate including the adjustment to opening Best Estimate (cell C0010/R0010 to R0040) and the impact of unwinding, of year N projected cash–flows and experience (C0010/R0060 to R0080 and C0020/R0060 to R0080 respectively, or alternatively, C0010/R0060 to R0090 and C0020/R0060 to R0090 respectively)Based on this figure, run calculations with new discount rates that applied during year N, together with related financial assumptions (if any).This will provide the variation of Best Estimate strictly related to changes in discount rates and related financial assumptions. |
| C0010–C0020/R0110 | Other changes not elsewhere explained | Corresponds to other variations in Best Estimate, not captured in cells C0010/R0010 to R0100 (for Life) or C0020/R0010 to R0100 (Non–Life). |
| C0010–C0020/R0120 | Closing Best Estimate – gross of reinsurance | Amount of Best Estimate as stated in the Balance Sheet at closing year N related to those lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, for which an underwriting year approach (UWY) is used for Best Estimate calculation.These cells might be nil (if no UWY approach is used), or might total the closing Best Estimate figure in the Balance Sheet if no accident Year approach (AY) is used. |
| Of which the following breakdown of Variation in Best Estimate – analysis per UWY if applicable – Reinsurance recoverables | ||
| C0030–C0040/R0130 | Opening Best Estimate | Amount of Best Estimate of reinsurance recoverable as stated in the Balance Sheet at closing year N–1 related to those lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, for which an underwriting year approach (UWY) is used for Best Estimate calculation. |
| C0030–C0040/R0140 | Closing Best Estimate | Amount of Best Estimate of reinsurance recoverable as stated in the Balance Sheet at closing year N related to those lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, for which an underwriting year approach (UWY) is used for Best Estimate calculation. |
| Of which the following breakdown of Variation in Best Estimate – analysis per AY if applicable – Gross of reinsurance | ||
| C0050–C0060/R0150 | Opening Best Estimate | Amount of Best Estimate – gross of reinsurance – as stated in the Balance Sheet at closing year N–1 related to those lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, for which an accident year approach (AY) is used for Best Estimate calculation. |
| C0050–C0060/R0160 | Exceptional elements triggering restating of opening Best Estimate | Same as for C0010 and C0020/R0020 |
| C0050–C0060/R0170 | Changes in perimeter | Same as for C0010 and C0020/R0030 |
| C0050–C0060/R0180 | Foreign exchange variation | Same as for C0010 and C0020/R0040 |
| C0050–C0060/R0190 | Variation of Best Estimate on risk covered after the period | It is expected that these cells mainly concerns Non–Life and refers to changes in (part of) Premiums Provisions (i.e. in relation to all recognised obligations within the boundary of the contract at the valuation date where the claim has not yet occurred) as follows:Identify the part of premiums provisions at end of year (N) related to a coverage period starting after the closing year end N;Identify the part of premiums provisions at end of Year (N – 1) related to a coverage period starting after the closing Year end N;Derive the variation from the two figures. |
| C0050–C0060/R0200 | Variation of Best Estimate on risks covered during the period | It is expected that these cells mainly concerns Non–Life, and refers to the following cases:a) (part of) Premiums Provisions at Year end N – 1 which turned to Claims Provisions at year end N because claim has occurred during that periodb) claims provisions related to claims occurred during the period (for which there was no Premiums provisions at year end N – 1)Calculation may be as follows:Identify the part of claims provisions at Year end (N) related to risks covered during the period;Identify the part of premiums provisions at Year end (N – 1) related to risks covered during the period;Derive the variation from the two figures. |
| C0050–C0060/R0210 | Variation of Best Estimate due to unwinding of discount rate – risks covered prior to period | The concept of unwinding may be illustrated as follows: Calculate the Best Estimate of year N–1 again but using the shifted interest rate term structure.In order to isolate this strict scope of variation, the calculation may be as follows:Consider part of the Opening Best Estimate related to risks covered prior to period, i.e. Opening Best Estimate excluding Premiums provisions but including opening adjustments if any (see cells C0050/R0160 to R0180 and C0060/R0160 to R0180;Based on this figure, run the calculation of the unwinding of discount rates that applied during year N. |
| C0050–C0060/R0220 | Variation of Best Estimate due to year N projected in and out flows – risks covered prior to period | Premiums, claims, and surrenders that were forecasted on the Opening Best Estimate (related to risks covered prior to period) as to be paid during the year, will not be in the closing Best Estimate anymore as they would have been paid/received during the year.A neutralization adjustment has thus to be performed.In order to isolate this adjustment, the calculation may be as follows:Consider part of the Opening Best Estimate related to risks covered prior to period, i.e. Opening Best Estimate excluding Premiums provisions;Isolate the amount of cash flows (cash in minus cash out) that were projected within this opening Best Estimate for the period considered;This isolated amount of cash flow shall come in addition to Opening Best Estimate (for neutralisation effect) – and be filled in cell C0050 and C0060/R0220. |
| C0050–C0060/R0230 | Variation of Best Estimate due to experience – riskscovered prior to period | The variation of Best Estimate captured here shall strictly relate to the cash flows projected at the end of the period when compared to the cash flows that were projected at the beginning of the period for the periods N + 1 and future.It shall only capture the changes due to the realisation of the CF in year N and not linked to changes in assumptions. |
| C0050–C0060/R0240 | Variation of Best Estimate due to changes in non–economic assumptions – risks covered prior to period | It mainly refers to changes in best estimate not driven by realised technical flows and changes in assumptions directly linked to insurance risks (i.e. lapse rates), which can be referred to as non–economic assumptions.In order to isolate the strict scope of variation due to changes in assumptions, the calculation may be as follows:Consider the opening Best Estimate (cell C0050-C0060/R0150) including the adjustment to opening Best Estimate (cells C0050-C0060/R0160 to R0180) and the impact of unwinding of year N projected cash–flows (C0050-C0060/R0210 to R0230);Based on this figure, run calculations with new assumptions not related to discount rates – that applied at year end N (if any);This will provide the variation of Best Estimate strictly related to changes in these assumptions. This may not capture the variation due to case–by–case revision of RBNS, which would thus have to be added.For Non–Life, in cases where these changes cannot be discerned separately from changes due to experience, report the total figure under C0060/R0230. |
| C0050–C0060/R0250 | Variation of Best Estimate due to changes in economic environment – risks covered prior to period | It mainly refers to assumptions not directly linked to insurance risks, i.e. mainly the impact of the changes in economic environment on the cash flows (taking management actions into account, e. g. reduction of FDB) and changes in discount rates.For non–life (C0060/R0250), in case variation due to inflation cannot be discerned from changes due to experience, the whole amount would be reported under C0060/R0230.In order to isolate this strict scope of variation, the calculation may be as follows:Consider the opening Best Estimate including the adjustment to opening Best Estimate (cells C0050/R0160 to R0180) and the impact of unwinding, of year N projected cash–flows and experience (C0050/R0210 to R0230 and C0060/R0210 toR0230 respectively, or alternatively, C0050/R0210 to R0240 and C0060/R0210 toR0240, respectively);Based on this figure, run calculations with new discount rates that applied during year N, together with related financial assumptions (if any).This will provide the variation of Best Estimate strictly related to changes in discount rates and related financial assumptions. |
| C0050–C0060/R0260 | Other changes not elsewhere explained | Corresponds to other variations in Best Estimate, not captured in cells C0050/R0150 to R0250 (for Life) or C0060/R0150 to R0250 (Non–Life). |
| C0050–C0060/R0270 | Closing Best Estimate | Amount of Best Estimate as stated in the Balance Sheet at closing year N related to those lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, for which an accident year approach (AY) is used for Best Estimate calculation. |
| Of which the following breakdown of Variation in Best Estimate – analysis per AY if applicable – reinsurance recoverables | ||
| C0070–C0080/R0280 | Opening Best Estimate | Amount of Best Estimate of reinsurance recoverable as stated in the Balance Sheet at closing year N–1 related to those lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, for which an accident year approach (AY) is used for Best Estimate calculation. |
| C0070–C0080/R0290 | Closing Best Estimate | Amount of Best Estimate of reinsurance recoverable as stated in the Balance Sheet at closing year N related to those lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35 for which an accident year approach (AY) is used for Best Estimate calculation. |
| Of which adjustments in Technical Provisions related to valuation of Unit linked contracts, with theoretically a neutralising impact on Assets over Liabilities | ||
| C0090/R0300 | Net variation for index-linked and unit-linked business | Amount shall represent the net variation, in Balance Sheet, of the Assets held for index–linked and unit–linked funds and of technical provisions – index-linked and unit-linked (calculated as best estimate and risk margin or calculate as a whole). |
| Technical flows affecting Technical provisions | ||
| C0100–C0110/R0310 | Premiums written during the period | Amount of written premiums under Solvency II, respectively for Life and Non–life. |
| C0100–C0110/R0320 | Claims and benefits during the period, net of salvages and subrogations | Amount of claims and benefits during the period, net of salvages and subrogations, respectively for Life and Non–life.If amounts are already captured in the closing best estimate, they shall not be part of this item. |
| C0100–C0110/R0330 | Expenses (excluding Investment expenses) | Amount of expenses (excluding investment expenses – which are reported under S.29.02), respectively for Life and Non–life.If amounts are already captured in the closing best estimate, they shall not be part of this item. |
| C0100–C0110/R0340 | Total technical flows on gross Technical Provisions | Total amount of technical flows affecting gross TP. |
| C0100–C0110/R0350 | Technical flows related to reinsurance during the period (recoverables received net of premiums paid) | Total amount of technical flows related to reinsurance recoverable during the period, i.e. recoverable received net of premiums, respectively for Life and Non–life. |
| Variation in Excess of Assets over Liabilities explained by Technical provisions | ||
| C0120–C0130/R0360 | Variation in Excess of Assets over Liabilities explained by Technical provisions management – Gross Technical Provisions | This calculation corresponds to the following principle:consider the variation (opening minus closing) in BE, RM, TP calculated as a whole and transitional on Technical Provisions;add amount of total technical flows, i.e.: inflows minus outflows on gross technical provisions (C0100/R0340 for Life and C0110/R0340 for Non–Life). |
| C0120–C0130/R0370 | Variation in Excess of Assets over Liabilities explained by Technical provisions management – Reinsurance recoverables | This calculation corresponds to the following principle:consider the variation in Reinsurance recoverables;add total amount of technical flows, i.e.: inflows minus outflows, related to reinsurance during the period.If the amount has a positive impact on Excess of Assets over Liabilities, this shall be a positive amount. |
S.29.04 – Detailed analysis per period – Technical flows versus Technical provisions
General comments:
This section relates to annual submission of information for individual entities.
This template shall be completed on the basis of Solvency II valuation, i.e. written premiums are defined as the premiums due to be received by the undertaking in the period. Applying this definition means that written premiums in the given year are the premiums actually due to be received in that year, regardless of the coverage period. The definition of written premiums is consistent with the definition of ‘premium receivables’.
Undertakings are required to report data on an accident year or underwriting year basis, in accordance with any requirements of the National Supervisory Authority. If the National Supervisory Authority has not stipulated which to use then the undertaking may use accident or underwriting year according to how they manage each line of business, provided that they use the same year consistently, year on year.
As regards the split per Lines of business for the analysis per period, line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, shall refer to both direct business and accepted proportional reinsurance.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Lines of Business | Lines of business (LoB) for which a split of the analysis per period will be required. The following closed list shall be used:1 – 1 and 13 Medical expense insurance2 – 2 and 14 Income protection insurance3 – 3 and 15 Workers’ compensation insurance4 – 4 and 16 Motor vehicle liability insurance5 – 5 and 17 Other motor insurance6 – 6 and 18 Marine, aviation and transport insurance7 – 7 and 19 Fire and other damage to property insurance8 – 8 and 20 General liability insurance9 – 9 and 21 Credit and suretyship insurance10 – 10 and 22 Legal expenses insurance11 – 11 and 23 Assistance12 – 12 and 24 Miscellaneous financial loss25 – Non-proportional health reinsurance26 – Non-proportional casualty reinsurance27 – Non-proportional marine, aviation and transport reinsurance28 – Non-proportional property reinsurance37 – Life (including lines of business 30, 31, 32, 34 and 36, as defined in Annex I to Delegated Regulation (EU) 2015/35)38 – Health SLT (including lines of business 29, 33 and 35) |
| Detailed analysis per period – Technical flows versus Technical provisions – UWY | ||
| Risks accepted during period | ||
| C0010/R0010 | Written premiums underwritten during period | Part of the written premiums during the period that corresponds to contracts underwritten during the year.Allocation keys may be used to identify this part of the total written premiums under Solvency II affected to contracts underwritten during the year. |
| C0010/R0020 | Claims and benefits – net of salvages and subrogations recovered | Part of the claims and benefits, net of salvages and subrogations during the period that corresponds to risks accepted during the period.Allocation keys may be used to identify this part of the total claims, as long as this reconciles at the end to total claims and benefits net of salvages and subrogations as reported in C0100/R0320 from S.29.03 and C0110/R0320 from S.29.03. |
| C0010/R0030 | Expenses (related to insurance and reinsurance obligations) | Part of the expenses during the period that corresponds to risks accepted during the period.Allocation keys may be used to identify this part of the total expenses, as long as this reconciles at the end to total expenses as reported in C0100/R0330 from template S.29.03 plus C0110/R0330 from template S.29.03. |
| C0010/R0040 | Variation of Best Estimate | Corresponds to the variation of Best Estimate for risk accepted during the period. |
| C0010/R0050 | Variation of Technical Provisions as a whole | Part of TP calculated as a whole corresponding to risks accepted during period.Allocation keys may be used to identify this part of the total variation of TP calculated as a whole, as long as this reconciles at the end to total. |
| C0010/R0060 | Net variation for index-linked and unit-linked business | Amount shall represent the net variation, in Balance Sheet, of the Assets held for index–linked and unit–linked funds and of technical provisions – index-linked and unit-linked (calculated as best estimate and risk margin or calculate as a whole). |
| C0010/R0070 | Total | Total impact from risks accepted during period – gross of reinsurance). |
| Risks accepted prior to period | ||
| C0020/R0010 | Written premiums on contract underwritten during period | Part of the written premiums during the period that corresponds to contracts underwritten prior to period.See instructions on C0010/R0010. |
| C0020/R0020 | Claims and benefits – net of salvages and subrogations recovered | Part of the claims and benefits, net of salvages and subrogations during the period that corresponds to risks accepted prior to period.See instructions on C0010/R0020. |
| C0020/R0030 | Expenses (related to insurance and reinsurance obligations) | Part of the expenses during the period that corresponds to risks accepted prior to period.See instructions on C0010/R0030. |
| C0020/R0040 | Variation of BE | Variation of BE due to year N projected in and out flows – risks accepted prior to period (gross of reinsurance)Total for all reported line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, shall correspond to the sum of cells C0010/R0060 to C0010/R0100 from template S.29.03 and C0020/R0060 to C0020/R0100 from template S.29.03. |
| C0020/R0050 | Variation of Technical Provisions as a whole | Part of TP calculated as a whole corresponding to risks accepted prior to period.See instructions on C0010/R0050. |
| C0020/R0060 | Net variation for index-linked and unit-linked business | See instructions on C0010/R0060. |
| C0020/R0070 | Total | Total of changes related to risks accepted to prior, gross of reinsurance. |
| Detailed analysis per period – Technical flows versus Technical provisions – AY | ||
| Risks covered after the period | ||
| C0030/R0080 | Written premiums | Corresponds to part of written premiums related to risks covered after the period, i.e. premiums to be earned after the period.In addition, allocation keys may be used to identify this part of the premiums affected to risks covered after the period. |
| C0030/R0090 | Claims and benefits – net of salvages and subrogations recovered | Corresponds to part of claims and benefits, net of salvages and subrogations related to risks covered after the period (theoretically at nil).See instructions on C0010/R0020. |
| C0030/R0100 | Expenses (related to insurance and reinsurance obligations) | Part of the expenses during the period that corresponds to risks covered after the period.See instructions on C0010/R0030. |
| C0030/R0110 | Variation of Best Estimate | This variation of BE shall correspond to the sum of cells C0050/R0190 from template S.29.03 and C0060/R0190 from template S.29.03. if the analysis in S.29.03 is performed on a line of business basis.The amount refers to changes in (part of) Premiums Provisions (i.e. in relation to all recognised obligations within the boundary of the contract at the valuation date where the claim has not yet occurred) as follows:Identify the part of premiums provisions at end of year (N) related to a coverage period starting after the closing year-end NIdentify the part of premiums provisions at the end of year (N – 1) related to a coverage period starting after the closing year-end N (i.e. in case of premiums provisions in relation to obligations on more than one future reporting period)In case Premiums Provisions at year end (N – 1) includes amount for which claims occurred during year N, this amount shall not be considered in Variation of BE on risks covered after the period, but, instead in Variation of BE on risks covered during the period, as this provision turned to Claims provisions. |
| C0030/R0120 | Variation of Technical Provisions as a whole | Part of TP calculated as a whole corresponding to risks covered after the period.See instructions on C0010/R0050. |
| C0030/R0130 | Net variation for index-linked and unit-linked business | This cell is deemed not applicable for Non–LifeSee instructions on C0010/R0060. |
| C0030/R0140 | Total | Total changes related to risks covered after the period, gross of reinsurance. |
| Risks covered during the period | ||
| C0040/R0080 | Written premiums | Corresponds to part of written premiums related to risks covered during the period, i.e. earned premiums under Solvency II principles.In addition, allocation keys may be used to identify this part of the premiums affected to risks covered after the period. |
| C0040/R0090 | Claims and benefits – net of salvages and subrogations recovered | Corresponds to part of claims and benefits, net of salvages and subrogations related to risks covered during the period.See instructions on C0010/R0020. |
| C0040/R0100 | Expenses (related to insurance and reinsurance obligations) | Part of the expenses during the period that corresponds to risks covered during the period.See instructions on C0010/R0030. |
| C0040/R0110 | Variation of Best Estimate | Amount of the variation of best estimate for the risks covered during the period.For risks covered during the period: this variation of BE shall correspond to the sum of cells C0050/R0200 from template S.29.03 and C0060/R0200 from template S.29.03. if the analysis in S.29.03 is performed on a line of business basis.The amount refers to the following cases:a) Premiums Provisions at Year end N–1 which turned to Claims Provisions at year end N because claim has occurred during the periodb) Claims provisions related to claims occurred during the period (for which there was no Premiums provisions at year end N – 1)Calculation may be as follows:Identify the part of claims provisions at year-end (N) related to risks covered during the period.Identify the part of premiums provisions at year-end (N – 1) related to risks covered during the period.Derive the variation from the two figures. |
| C0040/R0120 | Variation of Technical Provisions as a whole | Part of TP calculated as a whole corresponding to risks covered during period.See instructions on C0010/R0050. |
| C0040/R0130 | Net variation for index-linked and unit-linked business | This cell is deemed not applicable for Non–LifeSee instructions on C0010/R0060. |
| C0040/R0140 | Total | Total changes related to risks covered during period, gross of reinsurance. |
| Risks covered prior to period | ||
| C0050/R0080 | Written premiums | Corresponds to part of written premiums related to risks covered prior to the period, i.e. earned premiums under Solvency II principles (when the premium is only due after the coverage period).In addition, allocation keys may be used to identify this part of the premiums. |
| C0050/R0090 | Claims and benefits – net of salvages and subrogations recovered | Corresponds to part of claims and benefits, net of salvages and subrogations related to risks covered prior to the period.See instructions on C0010/R0020. |
| C0050/R0100 | Expenses (related to insurance and reinsurance obligations) | Part of the expenses during the period that corresponds to risks covered prior to the period.See instructions on C0010/R0030. |
| C0050/R0110 | Variation of Best Estimate | For risks covered prior to period corresponds to year N projected in and out technical flows for risks accepted prior to period. For risks covered prior to the period this variation of BE shall correspond to the sum of cells R0210/C0050-C0060 to R0250/C0050–C0060 from template S.29.03 if the analysis in S.29.03 is performed on a line of business basis.The calculation may be as follows:Consider part of the Opening Best Estimate related to risks covered prior to period, i.e. Opening Best Estimate excluding Premiums provisions;Isolate the amount of cash flows (cash in minus cash out) that were projected within this opening Best Estimate for the period considered;This isolated amount of cash flow shall come in addition to Opening Best Estimate (for neutralisation effect). |
| C0050/R0120 | Variation of Technical Provisions as a whole | Part of technical provisions as a whole corresponding to risks covered prior to period.See comment on C0010/R0050 |
| C0050/R0130 | Net variation for index-linked and unit-linked business | This cell is deemed not applicable for Non–LifeSee instructions on C0010/R0060. |
| C0050/R0140 | Total | Total changes related to risks covered prior to period, gross of reinsurance. |
S.30.01 – Facultative covers for non–life and life business basic data
General comments:
This section relates to annual submission of information for individual entities.
This template is relevant to insurance and reinsurance undertakings which reinsure and/or retrocede business on a facultative basis.
It shall be filled by the non–life and life insurance and reinsurance undertakings with information on facultative covers in the next reporting year, covering information on the 20 largest facultative reinsurance exposures (part of sum insured transferred to all reinsurers) overall plus the largest two in each line of business if not covered by the 20 largest. Each facultative risk is submitted to the reinsurer and terms and conditions of the facultative reinsurance are negotiated individually for each policy. Treaties that automatically cover risks are out of scope of this template and must be reported in S.30.03.
Each underwriting risk shall have a unique code specified by the ‘risk identification code’.
This template is prospective (to be in line with S.30.03) and as such shall reflect the reinsurance treaties effective and valid during the next reporting year for the overall 20 largest facultative reinsurance exposures plus the largest two in each line of business if not covered by the 20 largest. Undertakings shall report the most important risks of the next reporting period which are covered by reinsurance treaties valid during the next reporting period. If reinsurance strategy changes materially after the validity date or if the renovation of the reinsurance contracts are performed later than the reporting date and before next 1 January, the information on this template shall be re–submitted when adequate.
Facultative placements covering different lines of business shall also appear in the various relevant line of business if they are ranked within the 20 largest facultative reinsurance exposures plus the largest two in each line of business if not covered by the 20 largest risks of the same line of business.
This template should only be reported if the reinsurance recoverables are higher than 10 % of the Best Estimate calculated separately for life and non-life business.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Facultative covers non–life | ||
| C0020 | Reinsurance program code | Undertaking specific reinsurance code that links the dominant treaty of reinsurance programme which also protects the risk covered by the facultative reinsurance. The Reinsurance program code shall be in line with the Reinsurance program code of S.30.03 – Outgoing Reinsurance Program in the next reporting year. |
| C0030 | Risk identification code | For each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of non–life insurance a selection shall be made of the 20 largest facultative reinsurance exposures (part of sum insured transferred to all reinsurers) overall plus the largest two in each line of business if not covered by the 20 largest that are subject to facultative reinsurance in force in the next reporting period (also if they originated in preceding years). The code is a unique identifying number assigned by the insurer that identifies the risk and shall remain unchanged for subsequent annual reports.This code once assigned shall not be reused for another risk even when the risk to which the code was originally assigned does not exist anymore.When one risk affects more than one line of business the same code can be used for all the lines of business affected. |
| C0040 | Facultative reinsurance placement identification code | Each facultative reinsurance placement must be assigned a sequence number which is unique for the risk. The facultative reinsurance placement identification code is entity specific. |
| C0041 | Line of business for non-life | Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:1 – Medical expense insurance2 – Income protection insurance3 – Workers’ compensation insurance4 – Motor vehicle liability insurance5 – Other motor insurance6 – Marine, aviation and transport insurance7 – Fire and other damage to property insurance8 – General liability insurance9 – Credit and suretyship insurance10 – Legal expenses insurance11 – Assistance12 – Miscellaneous financial loss13 – Proportional medical expense reinsurance14 – Proportional income protection reinsurance15 – Proportional workers’ compensation reinsurance16 – Proportional motor vehicle liability reinsurance17 – Proportional other motor reinsurance18 – Proportional marine, aviation and transport reinsurance19 – Proportional fire and other damage to property reinsurance20 – Proportional general liability reinsurance21 – Proportional credit and suretyship reinsurance22 – Proportional legal expenses reinsurance23 – Proportional assistance reinsurance24 – Proportional miscellaneous financial loss reinsurance25 – Non–proportional health reinsurance26 – Non–proportional casualty reinsurance27 – Non–proportional marine, aviation and transport reinsurance28 – Non–proportional property reinsurance |
| C0042 | Indication of belonging to the 20 largest exposures | Please indicate whether the exposure belongs to the 20 largest exposures of the undertaking. The following closed list shall be used:1 – Belongs to 20 largest2 – LoB not in the 20 largest |
| C0050 | Finite reinsurance or similar arrangements | Identification of the reinsurance contract. The following closed list shall be used:1 – Non–traditional or Finite RE(if any reinsurance contract or financial instrument which is not directly based on the principle of indemnity or is based on a contract wording which has limited or no demonstrable risk transfer mechanism)2 – Other than non–traditional or Finite REIn case of Finite reinsurance or a similar arrangement only the items which are feasible must be filled. |
| C0060 | Proportional | Indicate whether the reinsurance program is proportional reinsurance, i.e., involves a reinsurer taking a stated percent share of each policy that an insurer underwrites. One of the options in the following closed list shall be used:1 – Proportional reinsurance2 – Non–proportional reinsurance |
| C0070 | Identification of the company/person to which the risk relates | If the risk relates to a company identify the name of the company to whom the risk relates.If the risk relates to a natural person, pseudonymise the original policy number and report pseudonymised information. Pseudonymous data refer to data that cannot be attributed to a specific individual without the use of additional information, as long as such additional information is kept separately. Consistency over time shall be insured. It implies that if a single underwriting risk appears from one year to another, it shall receive the same pseudonymised format. |
| C0080 | Description risk | The description of the risk. Depending on the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, report the type of company, building or occupation of the specific risk insured. |
| C0090 | Description risk category covered | Description of the main scope of the cover of the facultative risk. It is normally part of the description used to identify the placement.The description of the risk category covered is entity specific and is not mandatory. Also the term ‘risk category’ is not based on Directive 2009/138/EC or Delegated Regulation (EU) 2015/35/EC terminologies but can be considered as an extra possibility the give additional information about the underwriting risk(s). |
| C0100 | Validity period (start date) | Identify the ISO 8601 (yyyy–mm–dd) code of the date of commencement of the specific cover, i.e., date when the cover took effect. |
| C0110 | Validity period (expiry date) | Identify the ISO 8601 (yyyy–mm–dd) code of the final expiry date of the specific cover.In case the cover conditions remain unchanged when filling in the template and the undertaking is not making use of the termination clause, the expiry date will be the next possible expiry date. |
| C0120 | Currency | Identify the ISO 4217 alphabetic code of the currency used while placing the facultative cover. All the amounts must be expressed in this currency for the specific facultative cover, unless otherwise required by the national supervisory authority. In case the facultative cover is placed in two different currencies, then the main currency must be filled. |
| C0130 | Sum insured | The highest amount that the insurer can be obliged to pay out under the policy. The insured sum relates to the underwriting risk. Where the facultative cover provides for a number of exposures/risks across the country the aggregate policy limits shall be specified. If the risk has been accepted on a co–insurance basis, the insured sum indicates the maximum liability of the reporting non–life insurer.In the case of unlimited sum insured, the ‘Sum insured’ shall be an estimation of the expected possible loss (calculated using the same methods as used for the calculation of the premium, which shall reflect the actual risk exposure). |
| C0140 | Type of underwriting model | Type of underwriting model which is used to estimate the exposure of the underwriting risk and the need for reinsurance protection. One of the options in the following closed list shall be used:1 – Sum Insuredthe highest amount that the insurer can be obliged to pay out according to the original policy. SI must also be filled when type of underwriting model is not applicable2 – Maximum Possible Lossloss which may occur when the most unfavourable circumstances being more or less exceptionally combined, the fire is only stopped by impassable obstacles or lack of substance.3 – Probable Maximum Lossdefined as the estimate of the largest loss from a single fire or peril to be expected, assuming the worst single impairment of primary private fire protection systems but with secondary protection systems or organizations (such as emergency organizations and private and/or public fire department response) functioning as intended. Catastrophic conditions like explosions resulting from massive release of flammable gases, which might involve large areas of the plant, detonation of massive explosives, seismic disturbances, tidal waves or flood, falling aircraft, and arson committed in more than one area are excluded in this estimate. This definition is a hybrid form between Maximum Possible Loss and Estimated Maximum Loss that is generally accepted and frequently used by insurers, reinsurers and reinsurance brokers4 – Estimated Maximum Lossloss that could reasonably be sustained from the contingencies under consideration, as a result of a single incident considered to be within the realms of probability taking into account all factors likely to increase or lessen the extent of the loss, but excluding such coincidences and catastrophes which may be possible but remain unlikely.5 – Otherother possible underwriting models used. The type of other underwriting model applied must be explained in the Regular Supervisory ReportAlthough abovementioned definitions are used for the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35 ‘Fire and other damage to property insurance’, similar definitions might be in place for other lines of business. |
| C0150 | Amount underwriting model | Maximum loss amount of the underwriting risk which is the result of the underwriting model used. |
| C0160 | Sum reinsured on a facultative basis, with all reinsurers | The sum reinsured on a facultative basis is part of the sum insured which is reinsured on a facultative basis. The amount shall be consistent with the Sum insured as specified in C0130 and reflects the maximum liability (100 %) for the facultative reinsurers. |
| C0170 | Facultative reinsurance premium ceded to all reinsurers for 100 % of the reinsurance placement | Expected gross annual or written reinsurance premium, gross of ceding commissions, ceded to reinsurers for their share. |
| Facultative covers life | ||
| C0190 | Reinsurance program code | Undertaking specific reinsurance code that links the dominant treaty of reinsurance programme which also protects the risk covered by the facultative reinsurance. The Reinsurance program code shall be in line with the Reinsurance program code of S.30.03 – Outgoing Reinsurance Program in the next reporting year. |
| C0200 | Risk identification code | For each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of life insurance a selection shall be made of the 20 largest facultative reinsurance exposures (part of sum insured transferred to all reinsurers) overall plus the largest two in each line of business if not covered by the 20 largest in terms of exposure that are subject to facultative reinsurance in force in the reporting period (also if they originated in preceding years). The code is a unique identifying number assigned by the insurer that identifies the risk within the branch, and this code cannot be reused for other risks in the same branch and shall remain unchanged for subsequent annual reports.This code once assigned shall not be reused for another risk even when the risk to which the code was originally assigned does not exist anymore.When one risk affects more than one line of business the same code can be used for all the lines of business affected. |
| C0210 | Facultative reinsurance placement identification code | Each facultative reinsurance placement must be assigned a sequence number which is unique for the risk. The facultative reinsurance placement identification code is entity specific. |
| C0211 | Line of business for life | Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:29 – Health insurance30 – Insurance with profit participation31 – Index–linked and unit–linked insurance32 – Other life insurance33 – Annuities stemming from non–life insurance contracts and relating to health insurance obligations34 – Annuities stemming from non–life insurance contracts and relating to insurance obligations other than health insurance obligations35 – Health reinsurance36 – Life reinsurance |
| C0212 | Indication of belonging to the 20 largest exposures | Please indicate whether the exposure belongs to the 20 largest exposures of the undertaking. The following closed list shall be used:1 – Belongs to 20 largest2 – LoB not in the 20 largest |
| C0220 | Finite reinsurance or similar arrangements | One of the options in the following closed list shall be used:1 – Non–traditional or Finite RE(if any reinsurance contract or financial instrument which is not directly based on the principle of indemnity or is based on a contract wording which has limited or no demonstrable risk transfer mechanism)2 – Other than non–traditional or Finite RE |
| C0230 | Proportional | Indicate whether the reinsurance program is proportional reinsurance, i.e., involves a reinsurer taking a stated percent share of each policy that an insurer underwrites. One of the options in the following closed list shall be used:1 – Proportional reinsurance2 – Non–proportional reinsurance |
| C0240 | Identification of the company/person to which the risk relates | If the risk relates to a company identify the name of the company to whom the risk relatesIf the risk relates to a natural person, pseudonymise the original policy number and report pseudonymised information. Pseudonymous data refer to data that cannot be attributed to a specific individual without the use of additional information, as long as such additional information is kept separately. Consistency over time shall be insured. It implies that if a single underwriting risk appears from one year to another, it shall receive the same pseudonymised format. |
| C0250 | Description risk category covered | Description of the main scope of the cover of the facultative risk. It is normally part of the description used to identify the placement.The description of the risk category covered is entity specific and is not mandatory. Also the term ‘risk category’ isn’t based on Solvency II Directive terminologies but can be considered as an extra possibility the give additional information about the underwriting risk(s). |
| C0260 | Validity period (start date) | Identify the ISO 8601 (yyyy–mm–dd) code of the date of commencement of the specific cover, i.e., date when the cover took effect. |
| C0270 | Validity period (expiry date) | Identify the ISO 8601 (yyyy–mm–dd) code of the final expiry date of the specific cover. |
| C0280 | Currency | Identify the ISO 4217 alphabetic code of the currency used while placing the facultative cover. All the amounts of this record must be expressed in this currency for the specific facultative cover, unless otherwise required by the national supervisory authority. In case the facultative cover is placed in two different currencies, then the main currency must be filled. |
| C0290 | Sum Insured | The amount that the life insurer pays out to the beneficiary. If the risk is co–insured with other life insurers, the insured capital payable by the reporting life insurer has to be reported here. |
| C0300 | Capital at risk | The capital at risk, as defined in Delegated Regulation (EU) 2015/35/EC.If the risk is co–insured with other life insurers, the risk capital relating to the life insurer’s amount share in the insured capital has to be reported here. |
| C0310 | Sum reinsured on a facultative basis, with all reinsurers | The sum reinsured on a facultative basis is that part of the sum insured which is reinsured on a facultative basis. The amount shall be consistent with the Sum insured as specified in C0290 and reflects the maximum liability (100 %) for the facultative reinsurers. |
| C0320 | Facultative reinsurance premium ceded to all reinsurers for 100 % of the reinsurance placement | Expected gross annual or written reinsurance premium, gross of ceding commissions, ceded to the reinsurers for their share. |
S.30.02 – Facultative covers for non–life and life business shares data
General comments:
This section relates to annual submission of information for individual entities.
This template is relevant to insurance and reinsurance undertakings which reinsure and/or retrocede business on a facultative basis.
It shall be filled by the non–life and life insurance and reinsurance undertakings with information on shares of reinsurers of facultative covers in the next reporting year covering information on the 20 largest facultative reinsurance exposures (part of sum insured transferred to all reinsurers) overall plus the largest two in each line of business if not covered by the 20 largest (e.g. in cases where the risks accepted do not fit in the regular policy acceptance and could only be accepted in case part of the risk is reinsured on a facultative basis). Each facultative risk is submitted to the reinsurer and terms and conditions of the facultative reinsurance are negotiated individually for each policy. Treaties that automatically cover risks are out of scope of this template and must be reported in S.30.03.
Furthermore, each underwriting risk shall have a unique code specified by the ‘risk identification code’. Each chosen risk shall be separated to get unique conditions for a contract in a single line. Where a facultative cover as reported in template S.30.01 is related to more than one reinsurance undertaking, this template shall be filled in with as many rows as the number of reinsurance undertakings involved for the specific facultative cover.
This template is prospective (to be in line with S.30.03) and as such shall reflect the reinsurance treaties effective and valid during the next reporting year for the selected 20 largest facultative reinsurance exposures overall plus the largest two in each line of business if not covered by the 20 largest. Undertakings shall report the most important risks of the next reporting period which are covered by reinsurance treaties valid during the next reporting period. If reinsurance strategy changes materially after the validity date or if the renovation of the reinsurance contracts are performed later than the reporting date and before next 1 January, the information on this template shall be re–submitted when adequate.
Facultative placements covering different lines of business shall also appear in the various rows if they are ranked within the overall 20 largest facultative reinsurance exposures plus the largest two in each line of business if not covered by the 20 largest risks of the same line of business.
This template shall be filled in for each reinsurer that accepted the facultative cover.
This template should only be reported if the reinsurance recoverables are higher than 10 % of the Best Estimate calculated separately for life and non-life business.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Facultative covers non–life | ||
| C0020 | Reinsurance program code | Undertaking specific reinsurance code that links the dominant treaty of reinsurance programme which also protects the risk covered by the facultative reinsurance. The Reinsurance program code shall be in line with the Reinsurance program code of S.30.03 – Outgoing Reinsurance Program in the next reporting year. |
| C0030 | Risk identification Code | For each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of non–life insurance a selection shall be made of the 20 largest facultative reinsurance exposures (part of sum insured transferred to all reinsurers) overall plus the largest two in each line of business if not covered by the 20 largest in terms of exposure that are subject to facultative reinsurance in force in the reporting period (also if they originated in preceding years). The code is a unique identifying number assigned by the insurer that identifies the risk and shall remain unchanged for subsequent annual reports.This code once assigned shall not be reused for another risk even when the risk to which the code was originally assigned does not exist anymore.When one risk affects more than one line of business the same code can be used for all the lines of business affected. |
| C0040 | Facultative reinsurance Placement identification code | Each facultative reinsurance placement must be assigned a sequence number which is unique for the risk. The facultative reinsurance placement identification code is entity specific. |
| C0050 | Code of the reinsurer | Identification code of the reinsurer by this order of priority:Legal Entity Identifier (LEI);Specific code attributed by the undertakingIn case a specific code is attributed by the undertaking, the code shall be unique for the specific reinsurer or broker and shall not overlap with any other code, attributed by the undertaking or LEI code.In the cases where a code already exists (e.g. national identifier), the same code is used as this identifier and shall be kept consistently over time until a LEI code exists. |
| C0051 | Type of code reinsurer | Identification of the code used in item ‘Code reinsurer’ The following closed list shall be used:1 – LEI2 – Specific code |
| C0061 | Line of business for non-life | Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:1 – Medical expense insurance2 – Income protection insurance3 – Workers’ compensation insurance4 – Motor vehicle liability insurance5 – Other motor insurance6 – Marine, aviation and transport insurance7 – Fire and other damage to property insurance8 – General liability insurance9 – Credit and suretyship insurance10 – Legal expenses insurance11 – Assistance12 – Miscellaneous financial loss13 – Proportional medical expense reinsurance14 – Proportional income protection reinsurance15 – Proportional workers’ compensation reinsurance16 – Proportional motor vehicle liability reinsurance17 – Proportional other motor reinsurance18 – Proportional marine, aviation and transport reinsurance19 – Proportional fire and other damage to property reinsurance20 – Proportional general liability reinsurance21 – Proportional credit and suretyship reinsurance22 – Proportional legal expenses reinsurance23 – Proportional assistance reinsurance24 – Proportional miscellaneous financial loss reinsurance25 – Non–proportional health reinsurance26 – Non–proportional casualty reinsurance27 – Non–proportional marine, aviation and transport reinsurance28 – Non–proportional property reinsurance |
| C0065 | Indication of belonging to the 20 largest exposures | Please indicate whether the exposure belongs to the 20 largest exposures of the undertaking. The following closed list shall be used:1 – Belongs to 20 largest2 – LoB not in the 20 largest |
| C0100 | Share reinsurer (%) | Percentage of the facultative placement accepted by the reinsurer, expressed as an absolute percentage of the Amount reinsured on a facultative basis, with all reinsurers, as reported in column C0160 of S.30.01 – Facultative covers (in terms of reinsured exposure) – Basic.The percentage shall be reported as a decimal. |
| C0110 | Currency | Identify the ISO 4217 alphabetic code of the currency used while placing the facultative cover. All the amounts must be expressed in this currency for the specific facultative cover, unless otherwise required by the national supervisory authority. In case the facultative cover is placed in two different currencies, then the main currency must be filled. |
| C0120 | Sum reinsured to facultative reinsurer | The sum reinsured on a facultative basis with the reinsurer. |
| C0130 | Facultative ceded reinsurance premium | Expected gross annual or written reinsurance premium, ceded to reinsurer for their share. |
| C0140 | Annotations | Description of cases where either the reinsurer’s participation is at conditions different from those of the standard facultative or treaty placement, or to provide any other information that the undertaking has to bring to the attention of the Supervisor. |
| Facultative covers life | ||
| C0150 | Reinsurance program code | Undertaking specific reinsurance code that links the dominant treaty of reinsurance programme which also protects the risk covered by the facultative reinsurance. The Reinsurance program code shall be in line with the Reinsurance program code of S.30.03 – Outgoing Reinsurance Program in the next reporting year. |
| C0160 | Risk identification code | For each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of life insurance a selection shall be made of the 20 largest facultative reinsurance exposures (part of sum insured transferred to all reinsurers) overall plus the largest two in each line of business if not covered by the 20 largest in terms of exposure that are subject to facultative reinsurance in force in the reporting period (also if they originated in preceding years). The code is a unique identifying number assigned by the insurer that identifies the risk within the branch, and this code cannot be reused for other risks in the same branch and shall remain unchanged for subsequent annual reports.This code once assigned shall not be reused for another risk even when the risk to which the code was originally assigned does not exist anymore.When one risk affects more than one line of business the same code can be used for all the lines of business affected. |
| C0170 | Facultative reinsurance placement identification code | A sequential number which is unique for the risk, assigned to each facultative reinsurance placement by the undertaking. |
| C0180 | Code reinsurer | Identification code of the reinsurer by this order of priority:Legal Entity Identifier (LEI);Specific code attributed by the undertakingIn case a specific code is attributed by the undertaking, the code shall be unique for the specific reinsurer and shall not overlap with any other code, attributed by the undertaking or LEI code.In the cases where a code already exists (e.g. national identifier), the same code is used as this identifier and shall be kept consistently over time until a LEI code exists. |
| C0181 | Type of code reinsurer | Identification of the code used in item ‘Code reinsurer’ The following closed list shall be used:1 – LEI2 – Specific code |
| C0191 | Line of business for life | Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:29 – Health insurance30 – Insurance with profit participation31 – Index–linked and unit–linked insurance32 – Other life insurance33 – Annuities stemming from non–life insurance contracts and relating to health insurance obligations34 – Annuities stemming from non–life insurance contracts and relating to insurance obligations other than health insurance obligations35 – Health reinsurance36 – Life reinsurance |
| C0195 | Indication of belonging to the 20 largest exposures | Please indicate whether the exposure belongs to the 20 largest exposures of the undertaking. The following closed list shall be used:1 – Belongs to 20 largest2 – LoB not in the 20 largest |
| C0230 | Share reinsurer (%) | Percentage of the facultative placement accepted by the reinsurer, expressed as an absolute percentage of the Amount reinsured on a facultative basis, with all reinsurers, as reported in column C0310 of S.30.01 – Facultative covers (in terms of reinsured exposure) – Basic.The percentage shall be reported as a decimal. |
| C0240 | Currency | Identify ISO 4217 alphabetic code of the currency used while placing the facultative cover. All the amounts must be expressed in this currency for the specific facultative cover, unless otherwise required by the national supervisory authority. In case the facultative cover is placed in two different currencies, then the main currency must be filled. |
| C0250 | Sum reinsured to facultative reinsurer | The sum reinsured on a facultative basis with the reinsurer. |
| C0260 | Facultative ceded reinsurance premium | Expected gross annual or written reinsurance premium, ceded to reinsurer for their share. |
| C0270 | Annotations | Description of cases where either the reinsurer’s participation is at conditions different from those of the standard facultative or treaty placement, or to provide any other information that the undertaking has to bring to the attention of the Supervisor. |
| Information on reinsurers and brokers | ||
| C0280 | Code reinsurer | Identification code of the reinsurer by this order of priority:Legal Entity Identifier (LEI);Specific code attributed by the undertakingIn case a specific code is attributed by the undertaking, the code shall be unique for the specific reinsurer and shall not overlap with any other code, attributed by the undertaking or LEI code.In the cases where a code already exists (e.g. national identifier), the same code is used as this identifier and shall be kept consistently over time until a LEI code exists. |
| C0290 | Type of code reinsurer | Identification of the code used in item ‘Code reinsurer’ The following closed list shall be used:1 – LEI2 – Specific code |
| C0300 | Legal name reinsurer | Legal name of the reinsurer to whom the underwriting risk has been transferred. The official name of the risk–carrier reinsurer is stated in the reinsurance contract. It is not permitted to fill in the name of a reinsurance broker. Nor is it permitted to state a general or incomplete name as international reinsurers have several operating companies that may be based in different countries.In case of pooling arrangements, the name of the Pool (or pool manager) can be filled only if the Pool is a legal entity. |
| C0310 | Type of reinsurer | Type of reinsurer to whom the underwriting risk has been transferred. The following closed list shall be used:1 – Direct Life insurer2 – Direct Non–life insurer3 – Direct Composite insurer4 – Captive insurance undertaking5 – Internal reinsurer (reinsurance undertaking which primary focus is to take risk from other insurance undertakings within the group)6 – External reinsurer (reinsurance undertaking that takes risks from undertakings other than from insurance undertakings within the group)7 – Captive reinsurance undertaking8 – Special purpose vehicle9 – Pool entity (where more than one insurance or reinsurance undertakings are involved)10 – State pool |
| C0320 | Country of residency | Identify the ISO 3166–1 alpha–2 code for the country where the reinsurer is legally authorised/licensed. |
| C0330 | External rating assessment by nominated ECAI | Rating of the reinsurer at the reporting reference date as provided by the nominated credit assessment institution (ECAI).If the rating is not available the item shall be left blank. |
| C0340 | Nominated ECAI | Identify the credit assessment institution (ECAI) giving the external rating in C0330, by using the name of the ECAI as published on ESMA’s website. In case of ratings issued by subsidiaries of the ECAI please report the parent ECAI (the reference is to ESMA list of credit rating agencies registered or certified in accordance with Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies). This item shall be reported when External rating (C0330) is reported. |
| C0350 | Credit quality step | Identify the credit quality step attributed to the reinsurer. The credit quality step shall reflect any readjustments to the credit quality made internally by the undertakings that use the standard formula.One of the options in the following closed list shall be used:0 – Credit quality step 01 – Credit quality step 12 – Credit quality step 23 – Credit quality step 34 – Credit quality step 45 – Credit quality step 56 – Credit quality step 69 – No rating available |
| C0360 | Internal rating | Internal rating of the reinsurer for undertakings using internal model to the extent that the internal ratings are used in their internal modelling. If an internal model undertaking is using solely external ratings this item shall not be reported. |
S.30.03 – Outgoing Reinsurance Program basic data
General comments:
This section relates to annual submission of information for individual entities.
This template is relevant to insurance and reinsurance undertakings with an outgoing reinsurance and/or retrocession program including any coverage provided by State backed reinsurance pool arrangements, excluding facultative covers.
This template shall be filled by the insurance and reinsurance undertaking which is transferring underwriting risk to the reinsurers through a reinsurance treaty whose period of validity includes or overlaps the next reporting year and are known when filling the template. If reinsurance strategy changes materially after that date or if the renovation of the reinsurance contracts are performed later than the reporting date and before next 1 January, the information on this template shall be re–submitted when adequate.
This template should only be reported if the reinsurance recoverables are higher than 10 % of the Best Estimate calculated separately for life and non-life business.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Reinsurance program code | Unique code (undertaking specific) covering all the individual reinsurance placements and/or treaties which belong to the same reinsurance program. |
| C0020 | Treaty identification code | Treaty identification code that identifies the treaty exclusively and must be maintained in subsequent reports, usually the original treaty number registered in the company’s books. |
| C0030 | Progressive section number in treaty | The progressive section number assigned by the undertaking to the various sections of the treaty, in those cases where the treaty, for example, covers more than one line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, or covers different lines of activity with different limits. Treaties with different conditions are considered different treaties for the submission of information and shall be reported in different sections. For different lines of business covered under the same treaty, the conditions referring to each line of business will be detailed separately under each section number. Treaties covering different type of reinsurance (e.g. one section on a Quota Share basis and another one on XL) in the same treaty shall be reported in different sections. Treaties covering different layers of the same program shall be reported in different sections. |
| C0040 | Progressive number of surplus/layer in program | The progressive surplus/layer number, when the treaty is part of a wider program. |
| C0050 | Quantity of surplus/layers in program | The total number of surpluses or layers in the same program which includes the treaty which is being reported. |
| C0060 | Finite reinsurance or similar arrangements | Identification of the reinsurance contract. The following closed list shall be used:1 – Non–traditional or Finite RE(if any reinsurance contract or financial instrument which is not directly based on the principle of indemnity or is based on a contract wording which has limited or no demonstrable risk transfer mechanism)2 – Other than non–traditional or Finite REIn case of Finite reinsurance or a similar arrangement only the items which are feasible must be filled. |
| C0070 | Line of business | Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:1 – Medical expense insurance2 – Income protection insurance3 – Workers’ compensation insurance4 – Motor vehicle liability insurance5 – Other motor insurance6 – Marine, aviation and transport insurance7 – Fire and other damage to property insurance8 – General liability insurance9 – Credit and suretyship insurance10 – Legal expenses insurance11 – Assistance12 – Miscellaneous financial loss13 – Proportional medical expense reinsurance14 – Proportional income protection reinsurance15 – Proportional workers’ compensation reinsurance16 – Proportional motor vehicle liability reinsurance17 – Proportional other motor reinsurance18 – Proportional marine, aviation and transport reinsurance19 – Proportional fire and other damage to property reinsurance20 – Proportional general liability reinsurance21 – Proportional credit and suretyship reinsurance22 – Proportional legal expenses reinsurance23 – Proportional assistance reinsurance24 – Proportional miscellaneous financial loss reinsurance25 – Non–proportional health reinsurance26 – Non–proportional casualty reinsurance27 – Non–proportional marine, aviation and transport reinsurance28 – Non–proportional property reinsurance29 – Health insurance30 – Insurance with profit participation31 – Index–linked and unit–linked insurance32 – Other life insurance33 – Annuities stemming from non–life insurance contracts and relating to health insurance obligations34 – Annuities stemming from non–life insurance contracts and relating to insurance obligations other than health insurance obligations35 – Health reinsurance36 – Life reinsurance37 – Multiline (as defined hereunder)Additional remarks:1) Where the reinsurance treaty provides cover for more than one line of business and the terms of cover differ between lines of business then the treaty needs to be specified over multiple rows. The first row entry for the treaty needs to be entered as Multiline that provides details of the overall terms of the treaty (such as deductibles and reinstatements), with the subsequent rows providing details of the individual terms of the reinsurance treaty to each relevant line of business.2) Where the term of the cover do not differ by line of business only the dominant (based on the Gross Estimated Treaty Premium Income) Solvency II line of business is required.3) Multiyear treaties with fixed conditions can be expressed by the columns used for the validity period. |
| C0080 | Description risk category covered | Description of the main scope of the treaty cover. This is referred to the main portfolio which is the scope of the treaty and normally is part of the treaty description (e.g. ‘Industrial property’ or ‘Director and officers liability’. Undertakings can also include a description referring which business unit the risk was accepted in case this has led to different treaty conditions (e.g. ‘Distribution label A’).The description of the risk category covered is entity specific and is not mandatory. Also the term ‘risk category’ isn’t based on Level 1 and 2 terminologies but can be considered as an extra possibility to give additional information about the underwriting risk(s). |
| C0090 | Type of reinsurance treaty | Code of the type of reinsurance treaty. One of the options in the following list shall be used:1 – quota share2 – variable quota share3 – surplus4 – excess of loss (per event and per risk)5 – excess of loss (per risk)6 – excess of loss (per event)7 – excess of loss back–up (protection against follow–on events which certain catastrophes can cause such as flooding or fire)8 – excess of loss with basis risk9 – reinstatement cover10 – aggregate excess of loss11 – unlimited excess of loss12 – stop loss13 – other proportional treaties14 – other non–proportional treatiesOther proportional treaties (code 13) and Other non–proportional treaties (code 14) can be used for hybrid types of reinsurance treaties. |
| C0100 | Inclusion of catastrophic reinsurance cover | Identification of the including of catastrophic guarantees. Depending on whether the listed catastrophe risks are protected under reinsurance covers, one or a combination (separated by ‘,’) of the following codes has to be used:1 – cover excludes all catastrophic guarantees2 – earthquake, volcanic eruption, tidal wave etc. are covered3 – flood is covered4 – hurricane, windstorm, etc. are covered5 – other risks such as freeze, hail, strong wind are covered6 – terrorism is covered7 – SRCC (strikes, riots, civil commotion), sabotage, popular uprising are covered8 – all the above mentioned risks are covered9 – risks not otherwise included in the listed items are covered |
| C0110 | Validity period (start date) | Identify the ISO 8601 (yyyy–mm–dd) code of the date of commencement of the specific reinsurance treaty. |
| C0120 | Validity period (expiry date) | Identify the ISO 8601 (yyyy–mm–dd) code of the final expiry date of the specific reinsurance treaty.In case the treaty conditions remain unchanged when filling in the template and the undertaking is not making use of the termination clause, the expiry date will be the next possible expiry date. |
| C0130 | Currency | Identify the ISO 4217 alphabetic code of the currency used while placing the reinsurance treaty. All the amounts must be expressed in this currency for the specific cover, unless otherwise required by the national supervisory authority. In case the treaty is placed in two different currencies, then the main currency must be filled. |
| C0140 | Type of underwriting model | Type of underwriting model which is used to estimate the exposure of the underwriting risk and the need for reinsurance protection. One of the options in the following closed list shall be used:1 – Sum Insuredthe highest amount that the insurer can be obliged to pay out according to the original policy. SI must also be filled when type of underwriting model is not applicable2 – Maximum Possible Lossloss which may occur when the most unfavourable circumstances being more or less exceptionally combined, the fire is only stopped by impassable obstacles or lack of substance.3 – Probable Maximum Lossdefined as the estimate of the largest loss from a single fire or peril to be expected, assuming the worst single impairment of primary private fire protection systems but with secondary protection systems or organizations (such as emergency organizations and private and/or public fire department response) functioning as intended. Catastrophic conditions like explosions resulting from massive release of flammable gases, which might involve large areas of the plant, detonation of massive explosives, seismic disturbances, tidal waves or flood, falling aircraft, and arson committed in more than one area are excluded in this estimate. This definition is a hybrid form between Maximum Possible Loss and Estimated Maximum Loss that is generally accepted and frequently used by insurers, reinsurers and reinsurance brokers4 – Estimated Maximum Lossloss that could reasonably be sustained from the contingencies under consideration, as a result of a single incident considered to be within the realms of probability taking into account all factors likely to increase or lessen the extent of the loss, but excluding such coincidences and catastrophes which may be possible but remain unlikely.5 – Otherother possible underwriting models used. The type of other underwriting model applied must be explained in the Regular Supervisory Report.Although abovementioned definitions are used for the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, ‘Fire and other damage to property insurance and reinsurance’, similar definitions might be in place for other lines of business. |
| C0150 | Estimated Subject Premium Income (XL – ESPI) | The amount of the estimated subject premiums income (‘ESPI’) relating to the contract period. It is normally the amount of premium referring to the portfolio protected under Excess of Loss treaties; in any case it is the amount on which the reinsurance premium is calculated by applying the rate. This item is only reported for XL treaties. |
| C0160 | Gross Estimated Treaty Premium Income (proportional and non proportional) | The amount of premium for 100 % of the treaty relating to the contract period. This amount is the equivalent of the 100 % reinsurance premium to be paid to all reinsurers for the treaty period, including the premium corresponding to unplaced shares. |
| C0170 | Aggregate deductibles (amount) | The amount of franchise, meaning an additional retention when losses are covered by the reinsurer only when a certain amount of cumulative losses have taken place. This item is reported, when applicable, only if item C0180 is not reported. |
| C0180 | Aggregate deductibles (%) | The percentage of franchise, meaning an additional retention percentage when losses are covered by the reinsurer only when a certain amount of cumulative losses have taken place. This item is reported, when applicable, only if item C0170 is not reported.The percentage shall be reported as a decimal. |
| C0190 | Retention or priority (amount) | The amount, for Surplus, Working XL and Catastrophe XL treaties, that is stated as retention or priority in the reinsurance treaty. Separate indication shall be given for the various lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| C0200 | Retention or priority (%) | The percentage, for Quota Share and Stop Loss treaties, that is stated as retention or priority in the reinsurance treaty. Separate indication shall be given for the various lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.The percentage shall be reported as a decimal. |
| C0210 | Limit (amount) | The amount that is stated as Limit in the reinsurance treaty. Separate indication shall be given for the various lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.In the case of unlimited cover ‘– 1’ is to be reported. |
| C0220 | Limit (%) | The percentage, for Stop Loss treaties, that is stated as Limit in the reinsurance treaty. Separate indication shall be given for the various lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.In the case of unlimited cover ‘– 1’ is to be reported.The percentage shall be reported as a decimal. |
| C0230 | Maximum cover per risk or event | The amount of maximum cover per risk or event. If for a Quota Share or a Surplus a maximum amount has been agreed for an event (for example – windstorm), the 100 % amount is to be reported. In all other cases, the amount is equal to the Limit minus Priority.In the case of unlimited cover ‘– 1’ is to be reported. |
| C0240 | Maximum cover per treaty | The amount of maximum cover per treaty. If for a Quota Share or a Surplus a maximum amount has been set for the entire contract, the 100 % amount is to be reported. In the case of unlimited cover ‘– 1’ is to be reported. For XL or SL treaties the initial capacity has to be indicated (e.g. annual aggregate limits); total cover might also be the result of the information provided under C0250. |
| C0245 | Coverage of a layer covered by reinsurance | The amount of maximum cover for a layer of a treaty. In the case of unlimited cover ‘– 1’ is to be reported. For XL or SL treaties the initial capacity has to be indicated (e.g. annual aggregate limits). In case the treaty only includes one layer, this cell will be equal to C0250. |
| C0250 | Number of reinstatements | Number of possibilities to recover the reinsurance coverage. |
| C0260 | Description of reinstatements | Description of the reinstatements to recover the reinsurance coverage. Examples of possible content of this item are ‘2 at 100 % plus 1 at 150 %’ or ‘all free’ |
| C0360 | XL rate 1 | Report the fixed rate or starting rate of a sliding rate system.The percentage shall be reported as a decimal.This item is only reported for XL treaties. |
| C0370 | XL rate 2 | Report the top end rate of a sliding rate system.The percentage shall be reported as a decimal.This item is only reported for XL treaties. |
| C0380 | XL premium flat | Indication on whether XL premium is based or not on a flat premium. One of the options in the following list shall be used:1 – XL premium based on a flat premium2 – XL premium not based on a flat premiumThis item is only reported for XL treaties. |
| C0390 | Sliding scale commission | Indicate whether a sliding scale commission is used:One of the options in the following closed list shall be used:1 – Yes;2 – No. |
| C0400 | Minimum claim ratio on which the amount of sliding scale commission is dependant | Include the minimum claim ratio as a percentage on which is the amount of sliding scale commission dependant. |
| C0410 | Maximum claim ratio on which the amount of sliding scale commission is dependant | Include the maximum claim ratio as a percentage on which is the amount of sliding scale commission dependant. |
| C0420 | Minimum commission | Include the minimum commission as a percentage. |
| C0430 | Maximum commission | Include the maximum commission as a percentage. |
| C0440 | Expected commission | Include the expected commission as a percentage. |
S.30.04 – Outgoing Reinsurance Program shares data
General comments:
This section relates to annual submission of information for individual entities.
This template is relevant to insurance and reinsurance undertakings with an outgoing; reinsurance and/or retrocession program including any coverage provided by State backed reinsurance pool arrangements, excluding facultative covers.
This template shall be filled by the insurance and reinsurance undertaking which is transferring underwriting risk to the reinsurers through a reinsurance treaty whose period of validity includes or overlaps the next reporting year and are known when filling the template. If reinsurance strategy changes materially after that date or if the renovation of the reinsurance contracts are performed later than the reporting date and before next 1 January, the information on this template shall be re–submitted when adequate.
This template should only be reported if the reinsurance recoverables are higher than 10 % of the Best Estimate calculated separately for life and non-life business.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Reinsurance program code | Unique code (undertaking specific) covering all the individual reinsurance placements and/or treaties which belong to the same reinsurance program. |
| C0020 | Treaty identification code | Treaty identification code that identifies it exclusively and must be maintained in subsequent reports, usually the original treaty number registered in the company’s books. |
| C0030 | Progressive section number in treaty | The progressive section number assigned by the undertaking to the various sections of the treaty, in those cases where the treaty, for example, covers more than one line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, or covers different lines of activity with different limits. Treaties with different conditions are considered different treaties for the submission of information and shall be reported in different sections. For different lines of business covered under the same treaty, the conditions referring to each line of business will be detailed separately under each section number. Treaties covering different type of reinsurance (e.g. one section on a Quota Share basis and another one on XL) in the same treaty shall be reported in different sections. Treaties covering different layers of the same program shall be reported in different sections. |
| C0040 | Progressive number of surplus/layer in program | The progressive surplus/layer number, when the treaty is part of a wider program. |
| C0050 | Code reinsurer | Identification code of the reinsurer by this order of priority:Legal Entity Identifier (LEI);Specific code attributed by the undertakingIn case a specific code is attributed by the undertaking, the code shall be unique for the specific reinsurer and shall not overlap with any other code, attributed by the undertaking or LEI code. |
| C0060 | Type of code reinsurer | Identification of the code used in item ‘Code reinsurer’. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0100 | Share reinsurer (%) | Percentage of the reinsurance treaty accepted by reinsurer identified in item C0050, expressed as absolute percentage of the treaty placement.Percentages shall be reported as a decimal. |
| C0110 | Exposure ceded for reinsurer’s share | Amount of the exposure reinsured with the reinsurer. This amount is based on the maximum cover per risk/event and is calculated with the formula: Item Maximum cover per risk or event (reported in item C0230 of S.30.03) × Item Share reinsurer (%) (reported in item C0100 of S.30.04).If C0230 from S.30.03 is Unlimited fill this cell with ‘– 1’. |
| C0120 | Type of collateral (if applicable) | Type of collateral held. The following closed list shall be used:1 – Cash or equivalent in Trust2 – Cash or Funds Withheld3 – Letter of Credit4 – Other5 – None |
| C0130 | Description of the reinsurers limit collateralised | Description of the reinsurer limit collateralised referring to the specific item specified in the treaty (e.g. 90 % of the technical provisions or 90 % of the premiums), if applicable. |
| C0140 | Code collateral provider (if applicable) | Identification code using the Legal Entity Identifier (LEI) if available.If none is available this item shall not be reported. |
| C0150 | Type of code of collateral provider | Identification of the code used in item ‘Code collateral provider (if applicable)’:1 – LEI9 – None |
| C0160 | Estimated outgoing reinsurance premium for reinsurer’s share | The estimated gross reinsurance premium of the treaty, to be paid by the undertaking, according to the next reporting year (N + 1) for the share of each reinsurer. This amount is calculated according to the following examples:Case 1: For Quota Share and Surplus; the share reported in item Share reinsurer (C0100) multiplied by item Gross Estimated Treaty Premium Income (C0160) reported in S.30.03;Case 2: For XL–treaties if the treaty is subject to a fixed rate; the rate reported in item XL rate 1 (C0360) as reported in S.30.03 multiplied by the item Estimated Subject premium income (C0150) reported in S.30.03 multiplied by the share reported in item Share reinsurer (C0100).Case 3: For XL–treaties if the treaty is subject to a sliding rate; the rate reported in item XL rate 2 (C0370) as reported in S.30.03 multiplied by the item Estimated Subject premium income (C0150) reported in S.30.03 multiplied by the share reported in item Share reinsurer (C0100). |
| C0170 | Annotations | Description of cases where either the reinsurer’s participation is at conditions different from those of the standard facultative or treaty placement, or to provide any other information that the undertaking has to bring to the attention of the Supervisory Authority. |
| Information on reinsurers and brokers | ||
| C0180 | Code reinsurer | Identification code of the reinsurer by this order of priority:Legal Entity Identifier (LEI);Specific code attributed by the undertakingIn case a specific code is attributed by the undertaking, the code shall be unique for the specific reinsurer and shall not overlap with any other code, attributed by the undertaking or LEI code. |
| C0190 | Type of code reinsurer | Identification of the code used in item ‘Code reinsurer’. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0200 | Legal name reinsurer | Legal name of the reinsurer to whom the underwriting risk has been transferred. The official name of the risk–carrier reinsurer is stated in the reinsurance contract. It is not permitted to fill in the name of a reinsurance broker. Nor is it permitted to state a general or incomplete name as international reinsurers have several operating companies that may be based in different countries.In case of pooling arrangements, the name of the Pool (or Pool manager) can be filled only if the Pool is a legal entity. |
| C0210 | Type of reinsurer | Type of reinsurer to whom the underwriting risk has been transferred.The following closed list shall be used:1 – Direct Life insurer2 – Direct Non–life insurer3 – Direct Composite insurer4 – Captive insurance undertaking5 – Internal reinsurer (reinsurance undertaking which primary focus is to take risk from other insurance undertakings within the group)6 – External reinsurer (reinsurance undertaking that takes risks from undertakings other than from insurance undertakings within the group)7 – Captive reinsurance undertaking8 – Special purpose vehicle9 – Pool entity (where more than one insurance or reinsurance undertakings are involved)10 – State pool |
| C0220 | Country of residency | Identify the ISO 3166–1 alpha–2 code for the country where the reinsurer is legally authorised/licensed. |
| C0230 | External rating assessment by nominated ECAI | Rating of the reinsurer at the reporting reference date as provided by the nominated credit assessment institution (ECAI).If the rating is not available the item shall be left blank.This item is not applicable to reinsurers for which undertakings using internal model use internal ratings. If undertakings using internal model do not use internal rating, this item shall be reported. |
| C0240 | Nominated ECAI | Identify the credit assessment institution (ECAI) giving the external rating in C0230, by using the name of the ECAI as published on ESMA’s website. In case of ratings issued by subsidiaries of the ECAI please report the parent ECAI (the reference is to ESMA list of credit rating agencies registered or certified in accordance with Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies). |
| C0250 | Credit quality step | Identify the credit quality step attributed to the reinsurer. The credit quality step shall reflect any readjustments to the credit quality made internally by the undertakings that use the standard formulaThis item is not applicable to reinsurers for which undertakings using internal model use internal ratings. If undertakings using internal model do not use internal rating, this item shall be reported.One of the options in the following closed list shall be used:0 – Credit quality step 01 – Credit quality step 12 – Credit quality step 23 – Credit quality step 34 – Credit quality step 45 – Credit quality step 56 – Credit quality step 69 – No rating available |
| C0260 | Internal rating | Internal rating of reinsurers for undertakings using internal model to the extent that the internal ratings are used in their internal modelling. If an internal model undertaking is using solely external ratings this item shall not be reported. |
| C0320 | Collateral provider name | Name of the collateral provider will depend on the type of collateral specified in C0120.Where collateral is held in trust the collateral provider will be the Trust provider.Where the collateral is on a Cash or Funds withheld basis this cell can remain blank.Where the collateral is a Letters of Credit it will be the underlying Financial Institution providing this facility.Where other report only if applicable. |
S.31.01 – Share of reinsurers (including Finite Reinsurance and SPV’s)
General comments:
This section relates to annual submission of information for individual entities.
This template shall be filled by the insurance and reinsurance undertakings where a recoverable is recognised in relation to the reinsurer (even if all contracts with that reinsurer have terminated).
The template collects information on reinsurers and not on separate treaties. All ceded technical provisions, including those ceded under Finite reinsurance (as defined in S.30.03 Column C0060), must be completed. This also means that if an SPV or a syndicate of Lloyd’s acts as a reinsurer the SPV or the syndicate must be listed.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0040 | Code reinsurer | Identification code of the reinsurer by this order of priority:Legal Entity Identifier (LEI);Specific code attributed by the undertaking |
| C0050 | Type of code Reinsurer | Identification of the code used in item ‘Code reinsurer’. The following closed list shall be used:1 – LEI2 – Specific code |
| C0060 | Reinsurance recoverables – Premium provision Non–life including Non–SLT Health | The amount of share of the reinsurer in the recoverables from reinsurance (including Finite Re and SPV) before the adjustment for expected losses due to the counterparty default, in the best estimate of the premium provisions calculated as the expected present value of future incoming and outgoing cash flows. |
| C0070 | Reinsurance recoverables – Claims provisions Non–life including Non–SLT Health | The amount of share of the reinsurer in the recoverables from reinsurance (including Finite Re and SPV) before the adjustment for expected losses due to the counterparty default, in the best estimate of the claims provisions. |
| C0080 | Reinsurance recoverables – Technical provisions Life including SLT Health | The amount of share of the reinsurer in the recoverables from reinsurance (including Finite Re and SPV) before the adjustment for expected losses due to the counterparty default, in the best estimate of the technical provisions. |
| C0090 | Adjustment for expected losses due to counterparty default | Per reinsurer the adjustment for expected losses due to counterparty default. The adjustment shall be calculated separately and must be in line with Delegated Regulation (EU) 2015/35.This value shall be reported as negative value. |
| C0100 | Reinsurance recoverables: Total reinsurance recoverables | The result of ceded technical provisions (resulting from claims provihsion + premiums provision + Non–Life TP calculated as a whole and Life including health SLT), including the adjustment for expected losses due to counterparty default. |
| C0110 | Net receivables | The amounts past due resulting from: claims paid by the insurer but not yet reimbursed by the reinsurer plus commissions to be paid by the reinsurer and other receivables minus debts to the reinsurer. Cash deposits are excluded and are to be considered as guarantees received. |
| C0120 | Assets pledged by reinsurer | Amount of assets pledged by the reinsurer to mitigate the counterparty default risk of the reinsurer. |
| C0130 | Financial guarantees | Amount of guarantees received by the undertaking from the reinsurer to guarantee the payment of the liabilities due by the undertaking (includes letter of credit, undrawn committed borrowing facilities). |
| C0140 | Cash deposits | Amount of cash deposits received by the undertaking from the reinsurers. |
| C0150 | Total guarantees received | Total amount of types of guarantees.Corresponds to the sum of the amounts reported in C0120, C0130 and C0140. |
| C0155 | Currency | Where applicable, identify the ISO 4217 alphabetic code of the currency of the reinsurance recoverables. The breakdown by currency is only be required to cover 90 % of reinsurance recoverables. For the remaining 10 % it is possible to group it under "other currencies". |
| Information on reinsurers | ||
| C0160 | Code reinsurer | Identification code of the reinsurer by this order of priority:Legal Entity Identifier (LEI);Specific code attributed by the undertaking |
| C0170 | Type of code Reinsurer | Identification of the code used in item ‘Code reinsurer’. The following closed list shall be used:1 – LEI2 – Specific code |
| C0180 | Legal name reinsurer | Legal name of the reinsurer to whom the underwriting risk has been transferred. The official name of the risk–carrier reinsurer is stated in the reinsurance contract. It is not permitted to fill in the name of a reinsurance broker. Nor is it permitted to state a general or incomplete name as international reinsurers have several operating companies that may be based in different countries.In case of pooling arrangements, the name of the Pool (or Pool manager) can be filled only if the Pool is a legal entity. |
| C0190 | Type of reinsurer | Type of reinsurer to whom the underwriting risk has been transferred.The following closed list shall be used:1 – Direct Life insurer2 – Direct Non–life insurer3 – Direct Composite insurer4 – Captive insurance undertaking5 – Internal reinsurer (reinsurance undertaking which primary focus is to take risk from other insurance undertakings within the group)6 – External reinsurer (reinsurance undertaking that takes risks from undertakings other than from insurance undertakings within the group)7 – Captive reinsurance undertaking8 – Special purpose vehicle9 – Pool entity (where more than one insurance or reinsurance undertakings are involved)10 – State pool |
| C0200 | Country of residency | Identify the ISO 3166–1 alpha–2 code for the country where the reinsurer is legally authorised/licensed. |
| C0210 | External rating assessment by nominated ECAI | The actual/current rating that is considered by the undertaking.If the rating is not available the item shall be left blank and the reinsurer shall be identified as ‘9 – no rating available’ in column C0230 (Credit quality step).This item is not applicable to reinsurers for which undertakings using internal model use internal ratings. If undertakings using internal model do not use internal rating, this item shall be reported. |
| C0220 | Nominated ECAI | Identify the credit assessment institution (ECAI) giving the external rating in C0210, by using the name of the ECAI as published on ESMA’s website. In case of ratings issued by subsidiaries of the ECAI please report the parent ECAI (the reference is to ESMA list of credit rating agencies registered or certified in accordance with Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies).— |
| C0230 | Credit quality step | Identify the credit quality step attributed to the reinsurer. The credit quality step shall reflect any readjustments to the credit quality made internally by the undertakings that use the standard formula.One of the options in the following closed list shall be used:0 – Credit quality step 01 – Credit quality step 12 – Credit quality step 23 – Credit quality step 34 – Credit quality step 45 – Credit quality step 56 – Credit quality step 69 – No rating available |
| C0240 | Internal rating | Internal rating of the reinsurer for undertakings using internal model to the extent that the internal ratings are used in their internal modelling. If an internal model undertaking is using solely external ratings this item shall not be reported. |
S.31.02 – Special Purpose Vehicles
General comments:
a)SPVs defined under Article 13(26) and authorised under Article 211(1) of Directive 2009/138/EC;
b)SPVs meeting conditions of Article 211(3) of Directive 2009/138/EC;
c)SPVs regulated by third country supervisors where these meet equivalent measures to the conditions set out in Article 211(2) of Directive 2009/138/EC;
d)Other SPVs, not meeting the definitions above, where risks are transferred under arrangements with the economic substance of a reinsurance contract.
This section relates to annual submission of information for individual entities.
This template is relevant for each insurance or reinsurance undertaking transferring risk(s) to a Special Purpose Vehicle (SPV), to ensure sufficient disclosure has been made where SPVs are used as alternative risk transfer methods to traditional reinsurance treaties.
The template applies to the use of:
The template covers risk mitigation techniques (recognised or not) carried out by the (re)insurance undertaking whereby a SPV assumes risks from the reporting undertaking through a reinsurance contract; or assume insurance risks from the reporting undertaking transferred through a similar arrangement that is ‘reinsurance like’.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0030 | Internal code of SPV | Internal code attributed to the SPV by the undertaking by this order of priority:Legal Entity Identifier (LEI);Specific codeThis code shall be unique to each SPV and remain constant over subsequent reports. |
| C0040 | ID Code of SPV notes or other financing mechanism issued | For the notes or other financing mechanism issued by the SPV and hold by the insurance and reinsurance undertaking identify the ID code by this order of priority if existent:ISO 6166 ISIN when available;Other recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC);Code attributed by the undertaking, when the options above are not available, and must be consistent over time. |
| C0050 | ID Code Type of SPV notes or other financing mechanism issued | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO 6166 for ISIN code2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertaking |
| C0060 | Lines of Business SPV securitisation relates | Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:1 – Medical expense insurance2 – Income protection insurance3 – Workers’ compensation insurance4 – Motor vehicle liability insurance5 – Other motor insurance6 – Marine, aviation and transport insurance7 – Fire and other damage to property insurance8 – General liability insurance9 – Credit and suretyship insurance10 – Legal expenses insurance11 – Assistance12 – Miscellaneous financial loss13 – Proportional medical expense reinsurance14 – Proportional income protection reinsurance15 – Proportional workers’ compensation reinsurance16 – Proportional motor vehicle liability reinsurance17 – Proportional other motor reinsurance18 – Proportional marine, aviation and transport reinsurance19 – Proportional fire and other damage to property reinsurance20 – Proportional general liability reinsurance21 – Proportional credit and suretyship reinsurance22 – Proportional legal expenses reinsurance23 – Proportional assistance reinsurance24 – Proportional miscellaneous financial loss reinsurance25 – Non–proportional health reinsurance26 – Non–proportional casualty reinsurance27 – Non–proportional marine, aviation and transport reinsurance28 – Non–proportional property reinsurance29 – Health insurance30 – Insurance with profit participation31 – Index–linked and unit–linked insurance32 – Other life insurance33 – Annuities stemming from non–life insurance contracts and relating to health insurance obligations34 – Annuities stemming from non–life insurance contracts and relating to insurance obligations other than health insurance obligations35 – Health reinsurance36 – Life reinsurance37 – MultilineWhere the reinsurance treaty or a similar arrangement provides cover for more than one line of business and the terms of cover differ between lines of business then the treaty needs to be specified over multiple rows. The first row entry for the treaty needs to be entered as ‘Multiline’ that provides details of the overall terms of the treaty, with the subsequent rows providing details of the individual terms of the reinsurance treaty to each relevant line of business. Where the term of the cover do not differ by line of business only the dominant Solvency II line of business is required. |
| C0070 | Type of Trigger(s) in the SPV | Identify the trigger mechanisms used by the SPV as trigger events that would oblige the SPV to make payment to the ceding (re)insurance undertaking. The following closed list shall be used:1 – Indemnity2 – Model Loss3 – Index or Parametric4 – Hybrids (including components from the above–mentioned techniques)5 – Other |
| C0080 | Contractual Trigger Event | Description of the specific trigger that would oblige the SPV to make payment to the ceding (re)insurance undertaking. This information should be complementary to the information on ‘Type of Trigger(s) in the SPV’ and should be descriptive enough to allow supervisors to identify the concrete trigger, e.g. specific weather/storm indices for cat risks or general mortality tables for longevity risks. |
| C0090 | Same trigger as in underlying cedant’s portfolio | Identify if the trigger defined in the underlying (re)insurance policy with the pay–out trigger defined in the treaty is the same as the one defined in the SPV. The following closed list shall be used:1 – Same trigger2 – Different trigger |
| C0100 | Basis risk arising from risk–transfer structure | Identify the causes of basis risk (i.e. that the exposure covered by the risk–mitigation technique does not correspond to the risk exposure of the insurance or reinsurance undertaking). The following closed list shall be used:1 – No basis risk2 – Insufficient subordination for note holders,3 – Investors’ additional recourse against cedant,4 – Additional risks were securitised subsequent to authorisation,5 – Cedants hold exposure to notes issued,9 – Other |
| C0110 | Basis risk arising from contractual terms | Identify the basis risk arising from contractual terms.1 – No basis risk2 – Substantial part of risks insured not transferred3 – Insufficient trigger to match risk exposure of cedant |
| C0120 | SPV assets ring–fenced to settle cedant–specific obligations | The amount of SPV assets ring–fenced for the reporting cedant, which are available to settle the contractual liabilities reinsured by the SPV for that specific cedant only (collateral assets specifically recognised on balance sheet of the SPV in relation to the obligation assumed). |
| C0130 | Other non cedant–specific SPV Assets for which recourse may exist | The amount of SPV assets (recognised on balance sheet of the SPV), not directly related to the reporting cedant but for which recourse exists. This would include any ‘free assets’ of the SPV, which may be available to settle the reporting cedant’s liabilities. |
| C0140 | Other recourse arising from securitisation | The amount of contingent assets of the SPV (held off balance sheet), not directly related to the reporting cedant but for which recourse exists. This includes recourse against other counterparties of the SPV, including guarantees, reinsurance contracts and derivative commitments to SPV made by the SPV sponsor, note holders, or other third parties. |
| C0150 | Total maximum possible obligations from SPV under reinsurance policy | Amount of total maximum possible obligations from reinsurance contract (cedant–specific). |
| C0160 | SPV fully funded in relation to cedant obligations throughout the reporting period | Identify if the protection offered by the risk–mitigation technique may only be partially recognised where counterparty to a reinsurance contract ceases to be able to provide effective and continuing risk–transfer. The following closed list shall be used:1 – SPV fully funded in relation to cedant obligations2 – SPV not fully funded in relation to cedant obligations |
| C0170 | Current recoverables from SPV | Amount of SPV Recoverables recognised on the Solvency II balance sheet of the reporting undertaking (prior to adjustments made for expected losses due to counterparty default). This shall be calculated in accordance with the requirements of Article 41of Delegated Regulation (EU) 2015/35. |
| C0180 | Identification of material investments held by cedant in SPV | Identify whether material investments held by the cedant in the SPV exist, according to Article 210 of Delegated Regulation (EU) 2015/35.1 – Not applicable2 – Investments of SPV controlled by cedant and/or sponsor (where it differs from cedant);3 – Investments of SPV held by cedant (equity, notes or other subordinated debt of the SPV);4 – Cedant sells reinsurance or other risk mitigation protection to the SPV;5 – Cedant has provided guarantee or other credit enhancement to SPV or note holders;6 – Sufficient basis risk retained by cedant;9 – Other.If this is reported then cells C0030 and C0040 needs to identify the instrument. |
| C0190 | Securitisation assets related to cedant held in trust with other third party than cedant/sponsor? | Identify if there are securitisation assets related to cedant held in trust with other third party than cedant/sponsor, considering the provisions of Articles 214(2) and 326 of Delegated Regulation (EU) 2015/35. One of the options in the following closed list shall be used:1 – Held in trust with other third party than cedant/sponsor2 – Not held in trust with other third party than cedant/sponsor |
| Information on SPV | ||
| C0200 | Internal code of SPV | Internal code attributed to the SPV by the undertaking by this order of priority:Legal Entity Identifier (LEI);Specific codeThis code shall be unique to each SPV and remain constant over subsequent reports. |
| C0210 | Type of code SPV | Identification of the code used in item ‘internal code of SPV’. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0220 | Legal nature of SPV | Identify the legal nature of the SPV securitisation, according to Article 13(26) of Directive 2009/138/EC.Closed list1 – Trusts2 – Partnerships3 – Limited liability companies4 – Other legal entity form not referred above5 – Not incorporated |
| C0230 | Name of SPV | Identify the name of the SPV |
| C0240 | Incorporation no. of SPV | Registration number received at incorporation of the SPV. For un–incorporated SPVs, the undertaking should report the regulatory number or equivalent number obtained from the supervisory authority at the time of authorisation. |
| C0250 | SPV country of authorisation | Identify the ISO 3166–1 alpha–2 code for the country where the SPV is established and has received authorisation, where applicable. |
| C0260 | SPV authorisation conditions | Identify authorisation conditions of the SPV according to Article 211 of the Directive 2009/138/EC or equivalent legal instrument. One of the options in the following closed list shall be used:1 – SPV authorised under Article 211(1) of Directive 2009/138/EC2 – SPV authorised under Article 211(3) of Directive 2009/138/EC (grandfathered)3 – SPV regulated by a third country supervisory authority where requirements equivalent to those set out in Article 211(2) of Directive 2009/138/EC are met by the special purpose vehicle4 – SPV not covered above |
| C0270 | External rating assessment by nominated ECAI | Rating of the SPV (if any) that is considered by the undertaking and provided by an external rating agency.If the rating is not available the item shall be left blank and the SPV shall be identified as ‘9 – no rating available’ in column C0290 (Credit quality step).This item is not applicable to SPVs for which undertakings using internal model use internal ratings. If undertakings using internal model do not use internal rating, this item shall be reported. |
| C0280 | Nominated ECAI | Identify the credit assessment institution (ECAI) giving the external rating in C0270, by using the name of the ECAI as published on ESMA’s website. In case of ratings issued by subsidiaries of the ECAI please report the parent ECAI (the reference is to ESMA list of credit rating agencies registered or certified in accordance with Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies). |
| C0290 | Credit quality step | Identify the credit quality step attributed to the SPV. The credit quality step shall reflect any readjustments to the credit quality made internally by the undertaking.One of the options in the following closed list shall be used:0 – Credit quality step 01 – Credit quality step 12 – Credit quality step 23 – Credit quality step 34 – Credit quality step 45 – Credit quality step 56 – Credit quality step 69 – No rating available |
| C0300 | Internal rating | Internal rating of the SPV for undertakings using internal model to the extent that the internal ratings are used in their internal modelling. If an internal model undertaking is using solely external ratings this item shall not be reported. |
S.36.01 – IGT – Equity–type transactions, debt and asset transfer
General comments:
—equity and other capital items including participations in related entities and transfer shares of related entities of the group;
—in-force at the start of the reporting period.
—debt including bonds, loans, collateralised debt, and other transactions of similar nature e.g. with periodic pre-determined interest or coupon or premium payments for a pre-determined period of time;
—incepted during the reporting period and outstanding at the reporting date.
—other asset transfer such as transfer of properties and transfer of shares of other companies unrelated (i.e. outside) to the group.
—incepted and expired/matured during the reporting period.
This template relates to annual submission of information for individual entities.
This template shall report all (significant, very significant and transactions required to be reported in all circumstances) intra-group transactions between entities of a group related to equity, debt, reciprocal financingnote and asset transfers.
These include, but are not limited to:
This template shall include intragroup transactions that were:
Where two or more transactions between entities of the group which, from an economic perspective, contribute to the same risk, or, serve the same purpose/objective or are temporally connected in a plan, they shall be considered as a single economic operation.
As such each transaction which is part of a single economic operation shall be reported whenever collectively they are at or above the corresponding threshold for significant intra-group transactions, even though individually the transactions fall below the threshold.
Any element added to significant intragroup transactions shall be reported as a separate intragroup transaction, even if the element in its own right falls below the significant threshold limit. For example, if an undertaking increases the initial loan amount to another related undertaking the addition to the loan shall be recorded as a separate item with its issue date as the date of the addition.
Where the transaction value is different for two transacting parties (e.g. a EUR10m transaction between A and B where A records EUR10m but B only receive EUR9,5 m because of transactions costs, of say EUR0,5 m has been expensed) the template shall record the maximum amount as the transaction amount, in this case EUR10m.
Indirect transactions shall be defined as any transaction shifting risk exposures between entities within the group including but not limited to transactions with special purpose vehicle, collective investment undertakings, ancillary entities or unregulated entities; or entities outside of the group but ultimately risk exposure is brought back or stays within the group. Where there is a chain of related intragroup transactions (e.g. A invests in B and B invests in C), this transaction shall be reported as an indirect transaction. Therefore A to C transaction shall be reported and the comments shall mention the intermediary step. In the case of a waterfall of transactions, e. g. if ‘A’-> ‘B’ -> ‘C’-> ‘D’ where both ‘B’ and ‘C’ are both in the group but unregulated entities, this transaction shall also be reported.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | ID of intragroup transaction | Unique internal identification code for each intragroup transaction. Shall be consistent over time. |
| C0020 | Investor/Lender name | Name of the entity that is buying the equity or lending to a related undertaking within the group, i.e. the entity that recognises the transaction as an asset on its balance sheet (debit – balance sheet). |
| C0030 | Identification code for investor/lender | The unique identification code attached to the investor/buyer/transferee by this order of priority if existent:Legal Entity Identifier (LEI);Specific codeSpecific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group. When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall comply with the following format in a consistent manner:identification code of the parent undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits |
| C0031 | Type of code for investor/lender | Type of ID Code used for the ‘Identification code for investor/lender’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| NC0040 | Sector of the investor/lender | If the investor/lender is part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC, indicate: ‘banking sector’, ‘insurance and reinsurance sector’ ‘investments services sector’.If the investor/lender is not part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC indicate: ‘other undertaking of the group’. |
| C0050 | Issuer/borrower name | Name of the entity that is issuing the equity/capital item, or borrowing money (issuing debt), i.e. the entity that recognises the transaction as a liability or capital on its balance sheet (credit – balance sheet). |
| C0060 | Identification code for issuer/borrower | The unique identification code attached to the investor/buyer/transferee by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group. When allocating an identification code to each non-EEA or non-regulated undertaking, the financial conglomerate shall comply with the following format in a consistent manner: identification code of the parent undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits |
| C0061 | Type of code for issuer/borrower | Type of ID Code used for the ‘Identification code for issuer/borrower’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| NC0070 | Sector of the issuer/borrower | If the issuer/borrower is part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC, indicate: ‘banking sector’, ‘insurance and reinsurance sector’ ‘investments services sector’.If the issuer/borrower is not part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC indicate ‘other undertaking of the group’. |
| NC0080 | Indirect transactions | If reported intra-group transaction is part of an indirect transaction (cf. General comments supra), report the ‘ID of intragroup transaction’ (C0010) of the related transaction in this cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactions.If the reported IGT is not part of an indirect transaction, indicate No. |
| NC0090 | Single economic operation | If the reported IGT is part of single economic operation (cf. General comments supra report the ‘ID of intragroup transaction’ (C0010)) of the related transaction in this cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactions.If the reported IGT is not part of single economic operation, indicate No |
| NC0100 | ID Code of the instrument | This is the identification code of the instrument (capital, debt etc.) between the two counterparties identified using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available. This code shall be consistent over time.This may be different from the intragroup transaction code provided in cell C0010. |
| NC0101 | ID Code Type of the instrument | Type of ID Code used for the ‘ID Code of the instrument’ item. One of the options in the following closed list shall be used:1 – ISO 6166 for ISIN code2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn-Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertaking |
| NC0110 | Type of instrument | Identify the type of instrument.The following closed list shall be used:1 – Bonds/Debt2 – Equity type3 – Other asset transfer |
| NC0120 | Instrument | Identify the instrument. The following closed list shall be used:1 – Bonds/Debt – collateralised2 – Bonds/Debt – uncollateralised3 – Equity type – shares/participations4 – Equity type – others5 – Other asset transfer – properties6 – Other asset transfer – others |
| NC0130 | Issue date | This is the earlier of the transaction/debt issue date or the date the intragroup transaction is effective from, if different from the issue date.The date shall follow the ISO 8601 (yyyy-mm-dd) format. |
| NC0140 | Maturity date | Identify the ISO 8601 (yyyy-mm-dd) code of the date when the transaction expires/reaches maturity if applicable.For intragroup transaction with no maturity date use 9999-12-31.For perpetual securities use 9999-12-31 |
| NC0150 | Currency of transaction | Identify the ISO 4217 alphabetic code of the currency in which the transaction took place. |
| NC0160 | Amount at transaction date | Amount of the transaction at transaction date reported. |
| NC0170 | Amount at reporting date | Outstanding amount of the transaction at the reporting date if applicable e.g. for debt issue, reported in the reporting currency of the group. If there has been a full early settlement/prepayment, the balance of contractual amount shall be zero. |
| NC0180 | Value of collateral | The value of collateral for collaterised debt or asset value for intragroup transaction involving asset transfer. |
| NC0190 | Amount of dividends/interest/coupon and other payments made during reporting period | This cell shall capture any payments made in relation to the intragroup transaction s recorded in this template for the reporting period (6 months up to the reporting date).This includes, but not limited to:Dividends for the current year including paid or declared but unpaid dividends.Any deferred dividends from previous years paid during the reporting period (i.e. any deferred dividends paid that impacted the P&L for the reporting period).Interest payments made in relation to debt instruments.Any other payments made in relation to the intragroup transaction s that are reported in this template, e.g. charges on asset transfers.Amount of total tops-ups if applicable, i.e. total additional money invested during the reporting period such as an additional payments on partly paid shares or increasing loan amount during the period (when reporting tops-ups as a separate item). |
| C0200 | Coupon/Interest rate | The interest or coupon rate as a percentage, if applicable. For variable interest rate, this shall include the reference rate and the interest rate above it. |
| C0210 | Comments | Comments shall contain:a notification if the transaction has not been performed at arm’s lengthany other relevant information regarding the economic nature of the operation |
S.36.02 – IGT – Derivatives
General comments:
—Interest rate contracts, including swaps, forward agreements, futures and options;
—in-force at the start of the reporting period.
—Foreign exchange contracts, including swaps, forward agreements, futures and options;
—incepted during the reporting period and outstanding at the reporting date.
—Contracts of a nature similar to those in points 1(a) to (e) and 2(a) to (d) of this Annex concerning other reference items or indices.
—incepted and expired/matured during the reporting period.
This section relates to annual submission of information for individual entities.
This template shall report all (significant, very significant and transactions required to be reported in all circumstances) intra-group transactions between the individual undertaking and the mixed–activity insurance holding company and its related undertakings related to derivatives. Significant intra-group transactions related to derivatives shall be reported where the carrying amount of the derivative exceeds the threshold. These include, but are not limited to:
This template shall include intragroup transactions that were:
Where two or more transactions between entities of the group which, from an economic perspective, contribute to the same risk, or, serve the same purpose/objective or are temporally connected in a plan, they shall be considered as a single economic operation.
As such each transaction which is part of a single economic operation shall be reported whenever collectively they are at or above the corresponding threshold for significant intra-group transactions, even though individually the transactions fall below the threshold.
Any element added to significant intragroup transactions shall be reported as a separate intragroup transaction, even if the element in its own right falls below the significant threshold limit. For example, if an undertaking increases the initial loan amount to another related undertaking the addition to the loan shall be recorded as a separate item with its issue date as the date of the addition.
Where the transaction value is different for two transacting parties (e.g. a EUR10m transaction between A and B where A records EUR10m but B only receive EUR9,5 m because of transactions costs, of say EUR0,5 m has been expensed) the template shall record the maximum amount as the transaction amount, in this case EUR10m.
Indirect transactions shall be defined as any transaction shifting risk exposures between entities within the group including but not limited to transactions with special purpose vehicle, collective investment undertakings, ancillary entities or unregulated entities; or entities outside of the group but ultimately risk exposure is brought back or stays within the group. Where there is a chain of related intragroup transactions (e.g. A invests in B and B invests in C), this transaction shall be reported as an indirect transaction. Therefore A to C transaction shall be reported and the comments shall mention the intermediary step. In the case of a waterfall of transactions, e. g. if ‘A’-> ‘B’ -> ‘C’-> ‘D’ where both ‘B’ and ‘C’ are both in the group but unregulated entities, this transaction shall also be reported.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | ID of intragroup transaction | Unique internal identification code for each intragroup transaction. It shall be consistent over time. |
| C0020 | Investor/buyer name | Name of the entity that is investing/buying the derivative, or the counterparty with the long position. For swaps the payer is the payer of the fixed rate that receives the floating rate. |
| C0030 | Identification code of the investor/buyer | The unique identification code attached to the investor/buyer/transferee by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group. When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall comply with the following format in a consistent manner: identification code of the parent undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits |
| C0031 | Type of code of the investor/buyer | Type of ID Code used for the ‘Identification code of the investor/buyer’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| NC0040 | Sector of the investor/buyer | If the investor/buyer is part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC, indicate: ‘banking sector’, ‘insurance and reinsurance sector’ ‘investments services sector’.If the investor/buyer is not part of financial sector within the meaning of Article 2(8) indicate: ‘other undertaking of the group’. |
| C0050 | Issuer/Seller name | Name of the entity that is issuing/selling the derivative, or the counterparty with the short position. For swaps the receiver, receives the fixed rates and pays the floating rate. |
| C0060 | Identification code of the issuer/seller | The unique identification code attached to the investor/buyer/transferee by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group. When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall comply with the following format in a consistent manner: identification code of the parent undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits |
| C0061 | Type of code of the issuer/seller | Type of ID Code used for the ‘Identification code of the issuer/seller’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| NC0070 | Financial sector of the issuer/seller | If the issuer/seller is part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC, indicate: ‘banking sector’, ‘insurance and reinsurance sector’ ‘investments services sector’.If the issuer/seller is not part of financial sector within the meaning of Article 2(8) indicate: ‘other undertaking of the group’. |
| NC0080 | Indirect transactions | If reported intragroup transaction is part of an indirect transaction (cf. General comments supra), report the ‘ID of intragroup transaction’ (C0010) of the related transaction in the cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactions.If the reported intragroup transaction is not part of an indirect transaction, indicate No. |
| NC0090 | Single economic operation | If the reported intragroup transaction is part of single economic operation (cf. General comments supra), report the ‘ID of intragroup transaction’ (C0010) of the related transaction in the cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactions.If the reported intragroup transaction is not part of single economic operation, indicate No. |
| NC0100 | ID Code of the instrument | This is the identification code of the instrument (capital, debt etc.) between the two counterparties identified using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available. This code shall be consistent over time.This may be different from the intragroup transaction code provided in cell C0010. |
| NC0101 | ID Code Type of the instrument | Type of ID Code used for the ‘ID Code of the instrument’ item. One of the options in the following closed list shall be used:1 – ISO 6166 for ISIN code2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn-Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertaking |
| NC0110 | Type of instrument | Identify the transaction type. The following closed list shall be used:1 – Derivatives – futures2 – Derivatives – forwards3 – Derivatives – options4 – Derivatives – others5 – Guarantees – credit protection6 – Guarantees – others7 – Swaps8 – OthersA repurchase agreement shall be considered as cash transaction plus forward contract. |
| NC0120 | Type of protection | Identify the transaction type. The following closed list shall be used:1 – credit default2 – interest rate3 – currency4 – others |
| NC0130 | Purpose of the instrument | Describe use of derivative (micro/macro hedge, efficient portfolio management). Micro hedge refers to derivatives covering a single financial instrument, forecasted transaction or liability. Macro hedge refers to derivatives covering a set of financial instruments, forecasted transactions or liabilities. The following closed list shall be used:1 – Micro hedge2 – Macro hedge3 – Matching assets and liabilities cash-flows4 – Efficient portfolio management, other than Matching assets and liabilities cash-flows5 – Others |
| NC0140 | Starting date | Identify the ISO 8601 (yyyy-mm-dd) code of the date of the transaction/trade of the derivative contract. For rolled contracts use the initial trade date. |
| NC0150 | Maturity date | Identify the ISO 8601 (yyyy-mm-dd) code of the contractually defined date of close of the derivative contract, whether at maturity date, expiring date for options (European or American), etc. |
| NC0160 | Currency of transaction | Identify the ISO 4217 alphabetic code of the currency in which the transaction took place. |
| NC0170 | Notional amount | The amount covered or exposed to the derivative at the reporting date, i.e. the closing balance, reported in the reporting currency of the group.For futures and options, corresponds to contract size multiplied by the number of contracts. For swaps and forwards, corresponds to the contract amount. Where a transaction has matured/expired during the reporting period before the reporting date, the notional amount at the reporting date shall be zero. |
| NC0180 | Carrying amount | Value of the derivative at the reporting date as reported in the balance sheet of the entity.Where a transaction has matured/expired during the reporting period before the reporting date, the carrying amount at the reporting date shall be the maximum carrying amount of the derivatives before the maturity of the transaction. |
| NC0190 | Value of collateral | Value of the collateral pledged on reporting date (zero if derivative has been closed) if applicable. |
| NC0200 | Identification code Asset/Liability underlying the derivative | ID Code of the asset or liability underlying the derivative contract. This item is to be provided for derivatives that have a single underlying instrument or index in the undertaking’s portfolio.An index is considered a single instrument and shall be reported.Identification code of the instrument underlying the derivative using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available, and shall be consistent over timeMultiple assets/liabilities, if the underlying assets or liabilities are more than oneIf the underlying is an index, then the code of the index shall be reported. |
| NC0201 | Type of code Asset/Liability underlying the derivative | Type of ID Code used for the ‘Identification code Asset/Liability underlying the derivative’ item. One of the options in the following closed list shall be used:1 – ISO 6166 for ISIN code2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn-Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertaking. This option shall also be used for the cases of Multiple assets/liabilities and indexes |
| NC0210 | Counterparty name for which credit protection is purchased | Name of the counterparty for which protection has been purchased for its default. |
| NC0220 | Swap delivered interest rate (for buyer) | Interest rate delivered under the swap contract (only for Interest rate swaps). |
| NC0230 | Swap received interest rate (for buyer) | Interest rate received under the swap contract (only for Interest rate swaps). |
| NC0240 | Swap delivered currency (for buyer) | Identify the ISO 4217 alphabetic code of the currency of the swap price (only for currency swaps). |
| C0250 | Swap received currency (for buyer) | Identify the ISO 4217 alphabetic code of the currency of the swap notional amount (only for currency swaps). |
| C0260 | Revenues stemming from derivatives | Net revenues stemming from the investment or the purchase of derivatives. Following the IFRS based P&L, both realized and unrealized results are expected here. The amounts should be filed with their clean value (in comparison to QRT S. 09.01. SII). Interests will be reported in S. 36.05 IGT P&L. |
| C0270 | Comments | Comments shall contain:a notification if the transaction has not been performed at arm’s lengthany other relevant information regarding the economic nature of the operation |
S.36.03 – IGT – Off-balance sheet and contingent liabilities
General comments:
—Off- balance sheet guarantees;
—in-force at the start of the reporting period.
—undrawn credit facilities
—incepted during the reporting period and outstanding at the reporting date.
—assets purchased under outright forward purchase agreements (currency or other)
—incepted and expired/matured during the reporting period.
—asset sale and repurchase agreements as referred to in Article 12(3) and (5) of Directive 86/635/EEC
—Contingent liabilities
This template relates to information insurance and reinsurance undertakings shall provide at least annually.
This template shall report all (significant, very significant and transactions required to be reported in all circumstances) intragroup transactions between entities in scope of group supervision related to off-balance sheet guarantees.
These include, but not limited to:
This template shall include intragroup transactions that were:
Where two or more transactions between entities of the group which, from an economic perspective, contribute to the same risk, or, serve the same purpose/objective or are temporally connected in a plan, they shall be considered as a single economic operation.
As such each transaction which is part of a single economic operation shall be reported whenever collectively they are at or above the corresponding threshold for significant intra-group transactions, even though individually the transactions fall below the threshold.
Any element added to significant intragroup transactions shall be reported as a separate intragroup transaction, even if the element in its own right falls below the significant threshold limit. For example, if an undertaking increases the initial loan amount to another related undertaking the addition to the loan shall be recorded as a separate item with its issue date as the date of the addition.
Where the transaction value is different for two transacting parties (e.g. a EUR10m transaction between A and B where A records EUR10m but B only receive EUR9,5 m because of transactions costs, of say EUR0,5 m has been expensed) the template shall record the maximum amount as the transaction amount, in this case EUR10m.
Indirect transactions shall be defined as any transaction shifting risk exposures between entities within the group including but not limited to transactions with special purpose vehicle, collective investment undertakings, ancillary entities or unregulated entities; or entities outside of the group but ultimately risk exposure is brought back or stays within the group. Where there is a chain of related intragroup transactions (e.g. A invests in B and B invests in C), this transaction shall be reported as an indirect transaction. Therefore A to C transaction shall be reported and the comments shall mention the intermediary step. In the case of a waterfall of transactions, e. g. if ‘A’-> ‘B’ -> ‘C’-> ‘D’ where both ‘B’ and ‘C’ are both in the group but unregulated entities, this transaction shall also be reported.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | ID of intragroup transaction | Unique internal identification code for each intragroup transaction. It shall be consistent over time. |
| C0020 | Provider name | Name of the entity that is providing the off-balance guarantee. |
| C0030 | Identification code of the provider | The unique identification code attached to the provider by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non-EEA undertakings and non-regulated undertakings within the group, identification code will be provided by the financial conglomerate. When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall comply with the following format in a consistent manner: identification code of the parent undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits |
| C0031 | Type of code of the provider | Type of ID Code used for the ‘Identification code of the provider’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0040 | Financial sector of the provider | If the provider is part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC, indicate: ‘banking sector’, ‘insurance and reinsurance sector’ ‘investments services sector’.If the provider is not part of financial sector within the meaning of Article 2(8) indicate: ‘other undertaking of the group’. |
| C0050 | Beneficiary name | Name of the entity that is benefiting from the off-balance sheet guarantee. |
| C0060 | Identification code of the beneficiary | The unique identification code attached to the beneficiary by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group. When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall comply with the following format in a consistent manner: identification code of the parent undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits |
| C0061 | Type of code of the beneficiary | Type of ID Code used for the ‘Identification code of the beneficiary’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0070 | Financial sector of the beneficiary | If the beneficiary is part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC, indicate: ‘banking sector’, ‘insurance and reinsurance sector’ ‘investments services sector’.If the beneficiary is not part of financial sector within the meaning of Article 2(8) indicate: ‘other undertaking of the group’. |
| C0080 | Indirect transactions | If reported intragroup transaction is part of an indirect transaction (cf. General comments supra), report the ‘ID of intragroup transaction’ (C0010) of the related transaction in this cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactions.If the reported intragroup transaction is not part of an indirect transaction, indicate No. |
| C0090 | Single economic operation | If the reported intragroup transaction is part of single economic operation (cf. General comments supra), report the ‘ID of intragroup transaction’ (C0010) of the related transaction in this cell.If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactions.If the reported intragroup transaction is not part of single economic operation, indicate No |
| C0100 | Transaction type | Identify the type of transaction. The following closed list shall be used:1 – guarantees2 – commitment3 – letter of credit4 – undrawn credit facilities5 – assets purchased under outright forward purchase agreements (currency or other);6 – asset sale and repurchase agreements as referred to in Article 12(3) and (5) of Directive 86/635/EEC;7 – Contingent liabilities8 – other; |
| C0110 | Transaction issue date | Identify the ISO 8601 (yyyy-mm-dd) code of the date when the transaction/issue takes effect. |
| C0120 | Expiry date of agreement/contract underlying transaction | Where applicable, identify the ISO 8601 (yyyy-mm-dd) code of the date when the agreement/contract ceases. If the expiry date is perpetual use "9999-12-31". |
| C0130 | Currency of transaction | Identify the ISO 4217 alphabetic code of the currency in which the transaction took place. If there are two currencies involved, please identify both in cell Comments C0200 |
| C0140 | Trigger event | Where applicable, brief description of event that would trigger the transaction/payment/liability/none e.g. event that would result in a contingent liability occurring. |
| C0150 | Value of transaction at starting date | Value of the transaction or collateral pledged at the starting date, recognised on the Solvency II balance sheet. |
| C0160 | Value of transaction at reporting date | Value of the transaction, collateral pledged recognised on the Solvency II balance sheet at the reporting date. |
| C0170 | Maximum possible value of contingent liabilities | Maximum possible value, if possible, regardless of their probability (i.e. future cash flows required to settle the contingent liability over the lifetime of that contingent liability, discounted at the relevant risk-free interest rate term structure) of contingent liabilities included in SII balance sheet. Sum of all possible cash flows if events triggering guarantees were all to happen in relation to guarantees provided by the ‘provider’ (cell C0020) to the ‘beneficiary’ (Cell C0050) to guarantee the payment of the liabilities due by the undertaking (includes letter of credit, undrawn committed borrowing facilities). This item shall not include amounts already reported under C0150 and C0160. |
| C0180 | Value of guaranteed assets | Value of the guaranteed asset for which the guarantees are received.Sectoral valuation principles may be relevant in this case. |
| C0190 | Revenues stemming from the off-balance sheet items | Revenues associated to the provisions of the off-balance sheet transaction. |
| C0200 | Comments | Comments shall contain:a notification if the transaction has not been performed at arm’s lengthany other relevant information regarding the economic nature of the operation |
S.36.04 – IGT – Insurance and Reinsurance
General comments:
—Insurance contracts of entities within the scope of the group with insurance companies within the scope of the group
—in-force at the start of the reporting period.
—reinsurance treaties between related undertakings of a group;
—incepted during the reporting period and outstanding at the reporting date.
—facultative reinsurance between related undertakings of a group; and
—incepted and expired/matured during the reporting period.
—any other transaction that results in transferring underwriting risk (insurance risk) between related undertakings of a group.
This section relates to annual submission of information for individual entities. This template shall report all (significant, very significant and transactions required to be reported in all circumstances) intra-group transactions between entities in scope of the group supervision related to internal insurance and reinsurance within the group.
These include, but not limited to:
This template shall include intragroup transactions that were:
Where two or more transactions between entities of the group which, from an economic perspective, contribute to the same risk, or, serve the same purpose/objective or are temporally connected in a plan, they shall be considered as a single economic operation.
As such each transaction which is part of a single economic operation shall be reported whenever collectively they are at or above the corresponding threshold for significant intra-group transactions, even though individually the transactions fall below the threshold.
Any element added to significant intragroup transactions shall be reported as a separate intragroup transaction, even if the element in its own right falls below the significant threshold limit. For example, if an undertaking increases the initial loan amount to another related undertaking the addition to the loan shall be recorded as a separate item with its issue date as the date of the addition.
Where the transaction value is different for two transacting parties (e.g. a EUR10m transaction between A and B where A records EUR10m but B only receive EUR9,5 m because of transactions costs, of say EUR0,5 m has been expensed) the template shall record the maximum amount as the transaction amount, in this case EUR10m.
Indirect transactions shall be defined as any transaction shifting risk exposures between entities within the group including but not limited to transactions with special purpose vehicle, collective investment undertakings, ancillary entities or unregulated entities; or entities outside of the group but ultimately risk exposure is brought back or stays within the group. Where there is a chain of related intragroup transactions (e.g. A invests in B and B invests in C), this transaction shall be reported as an indirect transaction. Therefore A to C transaction shall be reported and the comments shall mention the intermediary step. In the case of a waterfall of transactions, e. g. if ‘A’-> ‘B’ -> ‘C’-> ‘D’ where both ‘B’ and ‘C’ are both in the group but unregulated entities, this transaction shall also be reported.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | ID of the intragroup transaction | Unique internal identification code for each intragroup transaction. It shall be consistent over time. |
| C0020 | Insured party/Cedent name | Legal name of the entity that has transferred the underwriting risk to another insurer or reinsurer within the group. |
| C0030 | Identification code for insured party/cedent | The unique identification code attached to the investor/buyer/transferee by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group. When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall comply with the following format in a consistent manner: identification code of the parent undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits. |
| C0031 | Type of code for insured party/cedent | Type of ID Code used for the ‘Identification code for investor/lender’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0040 | Sector of the insured party/cedent | If the insured party/cedent is part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC, indicate: ‘banking sector’, ‘insurance and reinsurance sector’ ‘investments services sector’.If the insured party/cedent is not part of financial sector within the meaning ofArticle 2 (8) indicate: ‘other undertaking of the group’. |
| C0050 | Insurer/Reinsurer name | Legal name of the insurer/reinsurer to whom the underwriting risk has been transferred. |
| C0060 | Identification code of insurer/reinsurer | The unique identification code attached to the investor/buyer/transferee by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group. When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall comply with the following format in a consistent manner: identification code of the parent undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits |
| C0061 | Type of code of insurer/reinsurer | Type of ID Code used for the ‘Identification code of insurer/reinsurer’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0070 | Sector of the insurer/reinsurer | Financial sector of the provider within the meaning of Article 2(8) of Directive 2002/87/EC, i.e., ‘insurance and reinsurance sector’.This column has been kept to be aligned with the templates used at financial conglomerate level. |
| C0080 | Indirect transactions | If reported intragroup transaction is part of an indirect transaction (cf. General comments supra), report the ‘ID of intragroup transaction’ (C0010) of the related transaction in this cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactions.If the reported intragroup transaction is not part of an indirect transaction, indicate No. |
| C0090 | Single economic operation | If the reported intragroup transaction is part of single economic operation (cf. General comments supra),report the ‘ID of intragroup transaction’ (C0010) of the related transaction in this cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactions.If the reported intragroup transaction is not part of single economic operation, indicate No. |
| C0100 | Type of transaction | Identify the type of contract/treaty. The following closed list shall be used:1 – insurance2 – reinsurance |
| C0110 | Transaction | If C0100 = reinsurance, then identify the type of reinsurance contract/treaty. The following closed list shall be used:1 – quota share2 – variable quota share3 – surplus4 – excess of loss (per event and per risk)5 – excess of loss (per risk)6 – excess of loss (per event)7 – excess of loss back-up (protection against follow-on events which certain catastrophes can cause such as flooding or fire)8 – excess of loss with basis risk9 – reinstatement cover10 – aggregate excess of loss11 – unlimited excess of loss12 – stop loss13 – other proportional treaties14 – other non-proportional treaties15 – Financial reinsurance16 – Facultative proportional17 – Facultative non-proportionalOther proportional treaties (code 13) and Other non-proportional treaties (code 14) can be used for hybrid types of reinsurance treaties. |
| C0120 | Starting date | Identify the ISO 8601 (yyyy-mm-dd) code of the date of commencement of the specific reinsurance contract/treaty. |
| C0130 | Expiry date | Identify the ISO 8601 (yyyy-mm-dd) code of the expiry date of the specific reinsurance contract/treaty (i.e. the last date the specific reinsurance contract/treaty is in force). This item is not reported if there is no expiry date (for example, contract is continuous and ends by one of the parties giving notice). |
| C0140 | Currency of transaction | Identify the ISO 4217 alphabetic code of the currency of payments for the specific reinsurance contract/treaty. |
| C0150 | Maximum cover by transaction | For quota share or a surplus treaty, 100 % of the maximum amount that has been set for the entire contract/treaty is stated here (e.g. EUR10million). In case of unlimited cover ‘-1’ shall be filled in here.This item has to be reported in the currency of the transaction. |
| C0160 | Net Receivables | The amount resulting from: claims paid by the (re)insurer but not yet reimbursed by the (re)insurer + commissions to be paid by the (re)insurer + other receivables minus debts to the (re)insurer. Cash deposits are excluded and are to be considered as guarantees received. |
| C0170 | Total reinsurance recoverables | Total amount due from the reinsurer at the reporting date which include:Premium provision for part of the future reinsurance premium which has already been paid to the reinsurer;Claims provision for claims outstanding for insurer which have to be paid by the reinsurer; and/orTechnical provisions for the amount reflecting the share of the reinsurer in the gross technical provisions. |
| C0180 | Reinsurance technical result (for reinsurance) | Reinsurance result (for reinsured entity):Total reinsurance commissions received by reinsured entity less Gross reinsurance premiums paid by reinsured entity plus Claims paid by reinsurer during the reporting period plus Total reinsurance recoverables at the end of the reporting period less Total reinsurance recoverables at the start of the reporting period. |
| C0190 | Premiums (for insurance) | Total amount of gross written premiums as defined in Article 1(11) of Delegated Regulation (EU) 2015/35.For annuities stemming from non-life this cell is not applicable. |
| C0200 | Claims (for insurance) | Total amount of gross claims paid during the year, including claims management expenses. |
| C0210 | Line of business | Identify the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, being reinsured.The following closed list shall be used:1 – Medical expense insurance2 – Income protection insurance3 – Workers’ compensation insurance4 – Motor vehicle liability insurance5 – Other motor insurance6 – Marine, aviation and transport insurance7 – Fire and other damage to property insurance8 – General liability insurance9 – Credit and suretyship insurance10 – Legal expenses insurance11 – Assistance12 – Miscellaneous financial loss13 – Proportional medical expense reinsurance14 – Proportional income protection reinsurance15 – Proportional workers’ compensation reinsurance16 – Proportional motor vehicle liability reinsurance17 – Proportional other motor reinsurance18 – Proportional marine, aviation and transport reinsurance19 – Proportional fire and other damage to property reinsurance20 – Proportional general liability reinsurance21 – Proportional credit and suretyship reinsurance22 – Proportional legal expenses reinsurance23 – Proportional assistance reinsurance24 – Proportional miscellaneous financial loss reinsurance25 – Non–proportional health reinsurance26 – Non–proportional casualty reinsurance27 – Non–proportional marine, aviation and transport reinsurance28 – Non–proportional property reinsurance29 – Insurance with profit participation30 – Index–linked and unit–linked insurance31 – Other life insurance32 – Annuities stemming from non–life insurance contracts and relating to health insurance obligations33 – Annuities stemming from non–life insurance contracts and relating to insurance obligations other than health insurance obligations34 – Life reinsurance35 – Health insurance36 – Health reinsurance If a reinsurance arrangement covers more than one line of business, then select the most significant line of business from the list above. |
| C0220 | Comments | Comments shall contain:a notification if the transaction has not been performed at arm’s lengthany other relevant information regarding the economic nature of the operation |
S.36.05 – IGT – Profit and Loss
General comments:
—Fees;
—in-force at the start of the reporting period.
—Commissions;
—incepted during the reporting period and outstanding at the reporting date.
—Interests;
—incepted and expired/matured during the reporting period.
—Dividends.
This section relates to annual submission of information for individual entities.
This template shall report the P&L associated to all (significant, very significant and transactions required to be reported in all circumstances) intra-group transactions between entities in the scope of the group supervision or P&L transaction considered as significant or very significant intragroup transactions or transactions required to be reported in all circumstances. These include, but not limited to:
Intragroup outsourcing or internal cost sharing leading to significant intragroup transactions shall be reported.
Although interest, dividends are reported in S.36.01, S.36.02 they have to be reported additionally in S.36.05 P&L.
This template shall include intragroup transactions that were:
Where two or more transactions between entities of the group which, from an economic perspective, contribute to the same risk, or, serve the same purpose/objective or are temporally connected in a plan, they shall be considered as a single economic operation.
As such each transaction which is part of a single economic operation shall be reported whenever collectively they are at or above the corresponding threshold for significant intra-group transactions, even though individually the transactions fall below the threshold.
Any element added to significant intragroup transactions shall be reported as a separate intragroup transaction, even if the element in its own right falls below the significant threshold limit. For example, if an undertaking increases the initial loan amount to another related undertaking the addition to the loan shall be recorded as a separate item with its issue date as the date of the addition.
Where the transaction value is different for two transacting parties (e.g. a EUR10m transaction between A and B where A records EUR10m but B only receive EUR9,5 m because of transactions costs, of say EUR0,5 m has been expensed) the template shall record the maximum amount as the transaction amount, in this case EUR10m.
Indirect transactions shall be defined as any transaction shifting risk exposures between entities within the group including but not limited to transactions with special purpose vehicle, collective investment undertakings, ancillary entities or unregulated entities; or entities outside of the group but ultimately risk exposure is brought back or stays within the group. Where there is a chain of related intragroup transactions (e.g. A invests in B and B invests in C), this transaction shall be reported as an indirect transaction. Therefore A to C transaction shall be reported and the comments shall mention the intermediary step. In the case of a waterfall of transactions, e. g. if ‘A’-> ‘B’ -> ‘C’-> ‘D’ where both ‘B’ and ‘C’ are both in the group but unregulated entities, this transaction shall also be reported.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | ID of intragroup transaction | Unique internal identification code for each intragroup transaction. It shall be consistent over time. In case related to transactions already mentioned, used the same ID. |
| C0020 | Revenue side name | Legal name of the entity that received the revenue from another entity within the group. |
| C0030 | Identification code for revenue side | The unique identification code attached to the entity that received the revenue by this order of priority:Legal Entity Identifier (LEI) mandatory if existent;Specific code in case of absence of LEI codeSpecific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group. When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall comply with the following format in a consistent manner: identification code of the parent undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits |
| C0031 | Type of code for revenue side | Type of ID Code used for the ‘Identification code for revenue side’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0040 | Sector of the revenue side | If the entity that received the revenue from another entity within the group is part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC, indicate: ‘banking sector’, ‘insurance and reinsurance sector’ ‘investments services sector’.If the entity that received the revenue from another entity within the group is not part of financial sector within the meaning of Article 2(8) indicate: ‘other undertaking of the group’. |
| C0050 | Expense side name | Legal name of the entity that provided the revenue to another entity within the group. |
| C0060 | Identification code for expense side | The unique identification code attached the entity that provided the revenue by this order of priority if existent:Legal Entity Identifier (LEI);Specific codeSpecific code:For EEA regulated undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group. When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall comply with the following format in a consistent manner: identification code of the parent undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits. |
| C0061 | Type of code for expense side | Type of ID Code used for the ‘Identification code for expense side’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0070 | Sector of the expense side | If the entity that provided the revenue to another entity within the group is part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC, indicate: ‘banking sector’, ‘insurance and reinsurance sector’ ‘investments services sector’.If the entity that provided the revenue to another entity within the group is not part of financial sector within the meaning of Article 2(8) indicate: ‘other undertaking of the group’. |
| C0080 | Indirect transactions | If reported intra-group transaction is part of an indirect transaction (cf. General comments supra), report the ‘ID of intragroup transaction’ (C0010) of the related transaction in this cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactions.If the reported intra-group transaction is not part of an indirect transaction, indicate NO. |
| C0090 | Single economic operation | If the reported intragroup transaction is part of single economic operation (cf. General comments supra),report the ‘ID of intragroup transaction’ (C0010) of the related transaction in this cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactions.If the reported intragroup transaction is not part of single economic operation, indicate No. |
| C0100 | Type of transaction | Identify the type of the P&L transaction. The following closed list shall be used:1 – Fees;2 – Commission;3 – Interest;4 – Dividends;5 – Costs or revenues;6 – Others |
| C0110 | Transaction | When applicable, instrument to which the revenue or the expense are linked.The following closed list shall be used:1 – Bonds/Debt;2 – Equity type;3 – Other assets transfer4 – Derivative;5 – Off-balance sheet item;6 – Intragroup outsourcing, internal cost sharing or rental agreement;7 – Others |
| C0120 | Currency of transaction | Identify the ISO 4217 alphabetic code of the currency of payments for the specific P&L transaction. |
| C0130 | Transaction date | Identify the ISO 8601 (yyyy-mm-dd) code of the date of commencement of the P&L transaction. |
| C0140 | Amount | Amount of the transaction or price as per agreement/contract, reported in the reporting currency of the group. |
| C0150 | Comments | Comments shall contain:a notification if the transaction has not been performed at arm’s lengthany other relevant information regarding the economic nature of the operation. |
III
Instructions regarding reporting templates for groups
This Annex contains additional instructions in relation to the templates included in Annex I of this Regulation. The first column of the tables identifies the items to be reported by identifying the columns and rows as showed in the template in Annex I.
Templates which shall be filled in in accordance with the instructions of the different sections of this Annex are referred to as ‘this template’ throughout the text of the Annex.
All references to Articles should refer to Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of insurance and reinsurance (Solvency II) unless otherwise specified.
S.01.01 – Content of the submission
General comments:
This section relates to the quarterly and annual submission of information for groups, ring fenced funds, matching portfolios and remaining part at group level.
When a special justification is needed the explanation is not to be submitted within the reporting template but shall be part of the dialogue with the national competent authorities.
When a template is submitted only with zeros or without figures, then S.01.01 should indicate one of the ‘non reported’ options.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Ring–fenced fund/matching portfolio/remaining part | Identifies whether the reported figures are with regard to a ring–fenced fund (‘RFF’), matching adjustment portfolio (‘MAP’) or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0020 | Fund/Portfolio number | When item Z0010 = 1, identification number for a ring–fenced fund or matching portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates. |
| C0010/R0010 | S.01.02 – Basic Information – General | This template shall always be reported. The only option possible is:1 – Reported |
| C0010/R0020 | S.01.03 – Basic Information – RFF and matching adjustment portfolios | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no RFF or MAP13 – Not reported as method 2 is used exclusively0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0030 | S.02.01 – Balance sheet | One of the options in the following closed list shall be used:1 – Reported6 – Exempted under Article 254(2)13 – Not reported as method 2 is used exclusively0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0040 | S.02.02 – Liabilities by currency | One of the options in the following closed list shall be used:1 – Reported3 – Not due in accordance with instructions of the template13 – Not reported as method 2 is used exclusively0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0060 | S.03.01. – Off–balance sheet items – general | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no off–balance sheet items3 – Not reported due to value of guarantee/collateral/contingent liabilities below the threshold and no unlimited guarantee provided or received as in the template instructions0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0110 | S.05.01 – Premiums, claims and expenses by line of business | One of the options in the following closed list shall be used:1 – Reported6 – Exempted under Article 254(2)0 – Not reported other reason (in this case special justification is needed |
| C0010/R0120 | S.05.02 – Premiums, claims and expenses by country | One of the options in the following closed list shall be used:1 – Reported3 – Not due in accordance with instructions of the template0 – Not reported other reason (in this case special justification is needed |
| C0010/R0140 | S.06.02 – List of assets | One of the options in the following closed list shall be used:1 – Reported6 – Exempted under Article 254(2)7 – Not due annually as reported for Quarter 4 (this option is only applicable on annual submissions)0 – Not reported other reason (in this case special justification is needed |
| C0010/R0150 | S.06.03 – Collective investment undertakings – look–through approach | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no Collective investment undertakings3 – Not due in accordance with instructions of the template6 – Exempted under Article 254(2)7 – Not due annually as reported for Quarter 4 (this option is only applicable on annual submissions)0 – Not reported (in this case special justification is needed) |
| C0010/R0160 | S.07.01 – Structured products | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no structured products3 – Not due in accordance with instructions of the template6 – Exempted under Article 254(2)0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0170 | S.08.01 – Open derivatives | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no derivative transactions6 – Exempted under Article 254(2)7 – Not due annually as reported for Quarter 4 (this option is only applicable on annual submissions)0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0190 | S.09.01 – Income/gains and losses in the period | One of the options in the following closed list shall be used:1 – Reported0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0200 | S.10.01 – Securities lending and repos | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no Securities lending and repos3 – Not due in accordance with instructions of the template6 – Exempted under Article 254(2)0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0210 | S.11.01 – Assets held as collateral | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no Assets held as collateral6 – Exempted under Article 254(2)0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0370 | S.22.01 – Impact of long term guarantees measures and transitionals | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no long term guarantees (LTG) or transitional measures are applied0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0410 | S.23.01 – Own funds | One of the options in the following closed list shall be used:1 – Reported6 – Exempted under Article 254(2)0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0420 | S.23.02 – Detailed information by tiers on own funds | One of the options in the following closed list shall be used:1 – Reported13 – Not reported as method 2 is used exclusively0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0430 | S.23.03 – Annual movements on own funds | One of the options in the following closed list shall be used:1 – Reported13 – Not reported as method 2 is used exclusively3 – Not due in accordance with instructions of the template0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0440 | S.23.04 – List of items on own funds | One of the options in the following closed list shall be used:1 – Reported3 – Not due in accordance with instructions of the template0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0460 | S.25.01 – Solvency Capital Requirement – for groups on Standard Formula | One of the options in the following closed list shall be used:1 – Reported as standard formula (SF) is used8 – Not reported due to use of partial internal model (PIM)9 – Not reported due to use of full internal model (IM)16 – Reported due to request of Article 112 of Directive 2009/138/EC13 – Not reported as method 2 is used exclusively0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0470 | S.25.05 – Solvency Capital Requirement – for groups using an internal model (partial or full) | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model5 – Reported due to use of full internal model10 – Not reported due to use of standard formula13 – Not reported as method 2 is used exclusively0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0500 | S.26.01 – Solvency Capital Requirement – Market risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as reported at RFF/MAP level13 – Not reported as method 2 is used exclusively16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0510 | S.26.02 – Solvency Capital Requirement – Counterparty default risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as reported at RFF/MAP level13 – Not reported as method 2 is used exclusively16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0520 | S.26.03 – Solvency Capital Requirement – Life underwriting risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as reported at RFF/MAP level13 – Not reported as method 2 is used exclusively16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0530 | S.26.04 – Solvency Capital Requirement – Health underwriting risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as reported at RFF/MAP level13 – Not reported as method 2 is used exclusively16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0540 | S.26.05 – Solvency Capital Requirement – Non–Life underwriting risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as reported at RFF/MAP level13 – Not reported as method 2 is used exclusively16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0550 | S.26.06 – Solvency Capital Requirement – Operational risk | One of the options in the following closed list shall be used:1 – Reported8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as reported at RFF/MAP level13 – Not reported as method 2 is used exclusively16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0560 | S.26.07 – Solvency Capital Requirement – Simplifications | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no simplified calculations used8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as reported at RFF/MAP level13 – Not reported as method 2 is used exclusively16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0561 | S.26.08 – Solvency Capital Requirement – for groups using an internal model (partial or full) | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model5 – Reported due to use of full internal model10 – Not reported due to use of standard formula11 – Not reported as reported at RFF/MAP level0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0562 | S.26.09 – Internal model – Market & credit risk and sensitivities | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model covering these risks5 – Reported due to use of full internal model10 – Not reported due to use of standard formula or partial internal model not covering these risks0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0563 | S.26.10 – Internal model – Credit event risk Portfolio view details | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model covering these risks5 – Reported due to use of full internal model10 – Not reported due to use of standard formula or partial internal model not covering these risks0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0564 | S.26.11 – Internal model – Credit risk details for financial instruments | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model covering these risks5 – Reported due to use of full internal model10 – Not reported due to use of standard formula or partial internal model not covering these risks0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0565 | S.26.12 – Internal model – Credit risk Non-Financial Instruments | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model covering these risks5 – Reported due to use of full internal model10 – Not reported due to use of standard formula or partial internal model not covering these risks0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0566 | S.26.13 – Internal model – Non-life & Health non-SLT | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model covering these risks5 – Reported due to use of full internal model10 – Not reported due to use of standard formula or partial internal model not covering these risks0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0567 | S.26.14 – Internal model – Life & health risk | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model covering these risks5 – Reported due to use of full internal model10 – Not reported due to use of standard formula or partial internal model not covering these risks0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0568 | S.26.15 – Internal model – Operational risk | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model covering these risks5 – Reported due to use of full internal model10 – Not reported due to use of standard formula or partial internal model not covering these risks0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0569 | S.26.16 – Internal model – Model Changes | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model covering these risks5 – Reported due to use of full internal model10 – Not reported due to use of standard formula or partial internal model not covering these risks0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0570 | S.27.01 – Solvency Capital Requirement – Non–Life and Health catastrophe risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as reported at RFF/MAP level13 – Not reported as method 2 is used exclusively17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0680 | S.31.01 – Share of reinsurers (including Finite Reinsurance and SPV’s) | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no reinsurance0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0690 | S.31.02 – Special Purpose Vehicles | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no Special Purpose Insurance Vehicles (SPV)0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0700 | S.32.01 – Undertakings in the scope of the group | One of the options in the following closed list shall be used:1 – Reported0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0710 | S.33.01 – Insurance and Reinsurance individual requirements | One of the options in the following closed list shall be used:1 – Reported0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0720 | S.34.01 – Other regulated and non-regulated financial undertakings including insurance holding companies and mixed financial holding company individual requirements | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no non–(re)insurance business in the scope of the group0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0730 | S.35.01 – Contribution to group Technical Provisions | One of the options in the following closed list shall be used:1 – Reported0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0740 | S.36.01 – IGT – Equity–type transactions, debt and asset transfer | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no IGT on Equity–type transactions, debt and asset transfer0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0750 | S.36.02 – IGT – Derivatives | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no IGT on Derivatives0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0760 | S.36.03 – IGT – Off-balance sheet and contingent liabilities | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no IGT on off-balance sheet and contingent liabilities0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0770 | S.36.04 – IGT – Insurance and Reinsurance | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no IGT on Insurance and Reinsurance0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0775 | S.36.05 – IGT – P&L | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no IGT0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0780 | S.37.01 – Risk concentration | One of the options in the following closed list shall be used:1 – Reported2 – Not due in accordance with threshold decided by group supervisor0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0785 | S.37.02 – Risk Concentration – Exposure by currency, sector, country | One of the options in the following closed list shall be used:1 – Reported0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0786 | S.37.03 – Risk Concentration – Exposure by asset class and rating | One of the options in the following closed list shall be used:1 – Reported0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0790 | SR.02.01 – Balance Sheet | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no RFF/MAP13 – Not reported as method 2 is used exclusively14 – Not reported as refers to MAP fund0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0840 | SR.25.01 – Solvency Capital Requirement – Only SF | One of the options in the following closed list shall be used:1 – Reported as standard formula is used8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model13 – Not reported as method 2 is used exclusively16 – Reported due to request of Article 112 of Directive 2009/138/EC0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0855 | SR.25.05 – Solvency Capital Requirement – for groups using an internal model (partial or full) | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model5 – Reported due to use of full internal model10 – Not reported due to use of standard formula13 – Not reported as method 2 is used exclusively0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0870 | SR.26.01 – Solvency Capital Requirement – Market risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as no RFF/MAP13 – Not reported as method 2 is used exclusively16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0880 | SR.26.02 – Solvency Capital Requirement – Counterparty default risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as no RFF/MAP13 – Not reported as method 2 is used exclusively16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0890 | SR.26.03 – Solvency Capital Requirement – Life underwriting risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as no RFF/MAP13 – Not reported as method 2 is used exclusively16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0900 | SR.26.04 – Solvency Capital Requirement – Health underwriting risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as no RFF/MAP13 – Not reported as method 2 is used exclusively16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0910 | SR.26.05 – Solvency Capital Requirement – Non–Life underwriting risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as no RFF/MAP13 – Not reported as method 2 is used exclusively16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0920 | SR.26.06 – Solvency Capital Requirement – Operational risk | One of the options in the following closed list shall be used:1 – Reported8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as no RFF/MAP13 – Not reported as method 2 is used exclusively16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0930 | SR.26.07 – Solvency Capital Requirement – Simplifications | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as no simplified calculations used8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as no RFF/MAP13 – Not reported as method 2 is used exclusively16 – Reported due to request of Article 112 of Directive 2009/138/EC17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0935 | SR.26.08 – Solvency Capital Requirement – for groups using an internal model | One of the options in the following closed list shall be used:4 – Reported due to use of partial internal model5 – Reported due to use of full internal model10 – Not reported due to use of standard formula17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
| C0010/R0940 | SR.27.01 – Solvency Capital Requirement – Non–Life Catastrophe risk | One of the options in the following closed list shall be used:1 – Reported2 – Not reported as risk not existent8 – Not reported due to use of partial internal model9 – Not reported due to use of full internal model11 – Not reported as no RFF/MAP13 – Not reported as method 2 is used exclusively17 – Partially reported due to use of partial internal model0 – Not reported other reason (in this case special justification is needed) |
S.01.02 – Basic information
General comments:
This section relates to the quarterly and annual submission of information for groups.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010/R0010 | Participating undertaking name | Legal name of the participating insurance and reinsurance undertaking or insurance holding company or mixed financial holding company at the head of the insurance or reinsurance group. Needs to be consistent over different submissions. |
| C0010/R0020 | Group identification code | Identification code of the participating undertaking, using the Legal Entity Identifier (‘LEI’). |
| C0010/R0025 | Name of the group | This item corresponds to the legal name of group. |
| C0010/R0050 | Country of the group supervisor | Identify the ISO 3166–1 alpha–2 Code of the country of the group supervisor |
| C0010/R0060 | Sub–group information | Identify if the information relates to a subgroup in accordance with Article 216 of Directive 2009/138/EC. One of the options in the following closed list shall be used:1 – No sub–group information2 – Sub–group information |
| C0010/R0070 | Language of reporting | Identify the 2-letter code of ISO 639–1 code of the language used in the submission of information |
| C0010/R0080 | Reporting submission date | Identify the ISO 8601 (yyyy–mm–dd) code of the date when the reporting to the supervisory authority is made |
| C0010/R0081 | Financial year end | Identify the ISO 8601 (yyyy–mm–dd) code of the financial year end of the undertaking, e.g. 2017-12-31 |
| C0010/R0090 | Reporting reference date | Identify the ISO 8601 (yyyy–mm–dd) code of the date identifying the last day of the reporting period |
| C0010/R0100 | Regular/Ad–hoc submission | Identify if the submission of information relates to regular submission of information or ad–hoc. The following closed list of options shall be used:1 – Regular reporting2 – Ad–hoc reporting4 – Empty submission |
| C0010/R0110 | Currency used for reporting | Identify the ISO 4217 alphabetic code of the currency of the monetary amounts used in each report |
| C0010/R0120 | Accounting standards | Identification of the accounting standards used for reporting items in S.02.01, financial statements valuation. The following closed list of options shall be used:1 – International Financial Reporting Standards (IFRS)2 – Local generally accepted accounting principles (GAAP) |
| C0010/R0130 | Method of Calculation of the group SCR | Identify the method used to calculate the group SCR. The following closed list of options shall be used:1 – Standard formula2 – Partial internal model3 – Full internal model |
| C0010/R0140 | Use of group specific parameters | Identify if the group is reporting figures using group specific parameters. The following closed list of options shall be used:1 – Use of group specific parameters2 – Don’t use group specific parameters |
| C0010/R0150 | Ring–Fenced Funds | Identify if the group is reporting activity by Ring Fenced Funds (RFF). The following closed list of options shall be used:1 – Reporting activity by RFF2 – Not reporting activity by RFF |
| C0010/R0160 | Method of group solvency calculation | Identify the group solvency calculation method. The following closed list of options shall be used:1 – Method 1 is used exclusively2 – Method 2 is used exclusively3 – A combination of method 1 and method 2 is used |
| C0010/R0170 | Matching adjustment | Identify if the group is reporting figures using the matching adjustment (‘MA’). The following closed list of options shall be used:1 – Use of matching adjustment2 – No use of matching adjustment |
| C0010/R0180 | Volatility adjustment | Identify if the group is reporting figures using the volatility adjustments. The following closed list of options shall be used:1 – Use of volatility adjustment2 – No use of volatility adjustment |
| C0010/R0190 | Transitional measure on the risk–free interest rate | Identify if the group is reporting figures using the transitional adjustment to the relevant risk-free interest rate term structure. The following closed list of options shall be used:1 – Use of transitional measure on the risk–free interest rate2 – No use of transitional measure on the risk–free interest rate |
| C0010/R0200 | Transitional measure on technical provisions | Identify if the group is reporting figures using the transitional deduction to technical provisions. The following closed list of options shall be used:1 – Use of transitional measure on the technical provisions2 – No use of transitional measure on the technical provisions |
| C0010/R0210 | Initial submission or re–submission | Identify if it is an initial submission of information or a re–submission of information in relation to a reporting reference date already reported. The following closed list of options shall be used:1 – Initial submission2 – Re–submission |
| C0010/R0250 | Exemption of reporting ECAI information | One of the options in the following closed list shall be used:1 – Exempted for assets (based on Article 35(6) and (7))2 – Exempted for assets (based on outsourcing)3 – Exempted for derivatives (based on Article 35(6) and (7))4 – Exempted for derivatives (based on outsourcing)5 – Exempted for assets and derivatives (based on Article 35(6) and (7))6 – Exempted for assets and derivatives (based on outsourcing)0 – Not exempted |
| C0010/R0255 | Direct URL to the webpage where the Solvency and Financial Condition Report is disclosed | Include the direct URL to the page where the Solvency and Financial Condition Report (SFCR) corresponding to the reporting reference date as filled in C0010/R0081 ‘Financial year end’ will be published.In case undertaking has no webpage, "UNDERTAKING WITH NO WEBSITE" value should be reported. |
| C0010/R0260 | Direct URL to download the Solvency and Financial Condition Report | Include the direct URL to download the Solvency and Financial Condition Report (SFCR) corresponding to the reporting reference date as filled in C0010/R0081 ‘Financial year end’.The URL shall directly link to the file containing the SFCR and not to a webpage.Alternatively, if the SFCR file is already available at the submission date, or if the SFCR is not disclosed in a webpage, the file shall be included in the annual submission and in this cell choose one of the following options:SFCR file providedSFCR file not providedIf File not provided is chosen an explanation needs to be provided to the national competent authority. |
| C0010/R0270 | Captive Business | Identify if any undertaking belonging to the group performs a captive business in line with the definition in Article 13 of Directive 2009/138/EC.One of the options in the following closed list shall be used:1 – Captive business2 – No captive business |
| C0010/R0280 | Run-Off Business | Identify if any undertaking belonging to the group no longer write new business for any LoB, but still holds contracts belonging to that LoB.One of the options in the following closed list shall be used:1 – Undertakings running-off a portfolio of contracts but not their whole business (partial run-off undertaking or undertaking with run-off portfolio);2 – Undertakings running-off their whole (previous) business (full run-off undertaking);3 – Undertakings with a run-off business model (specialised run-off undertakings) – insurance undertakings or groups whose business model is to actively acquire legacy portfolios or whole insurers in run-off.4 – No run-off business |
| C0010/R0290 | M&A during period | Identify if mergers or acquisitions or disposal of activities affecting the information reported occurred in the group during the reporting period.One of the options in the following closed list shall be used:1 – Yes2 – No |
S.01.03 – Basic information – RFF and matching adjustment portfolios
a)This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;
b)When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;
c)This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.
General comments:
This section relates to the annual submission of information for groups.
All ring–fenced funds and matching portfolios should be identified regardless of whether they are material for the purposes of submission of information.
In the first table all ring–fenced funds and matching adjustments portfolios shall be reported. In case a ring–fenced fund has a matching portfolio not covering the full RFF three funds have to be identified, one for the RFF, other for the MAP inside the RFF and other for the remaining part of the fund (vice–versa for the situations where a MAP has an RFF).
In the second table the relations between the funds as explained in previous paragraph are explained. Only the funds with such relations shall be reported in the second table.
For group reporting the following specific requirements shall be met:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| List of all RFF/MAP (overlaps allowed) | ||
| C0010 | Legal name of the undertaking | Legal name of the undertaking within the scope of group supervision that holds the RFF/MAP |
| C0020 | Identification code of the undertaking | Identification code of the undertaking, using the following priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI codeWhen the undertaking uses the option ‘Specific code’ the following shall be considered:For non–EEA undertakings and non–regulated undertakings within the scope of group supervision, identification code provided will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, it should comply with the following format in a consistent manner:identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits |
| C0030 | Type of code of the ID of the undertaking | Type of ID Code used for the ‘Identification code of the undertaking’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0040 | Fund/Portfolio Number | Number, which is attributed by the undertaking, corresponding to the unique number assigned to each ring-fenced fund and matching portfolio. This number has to be consistent over time and shall be used to identify the ring-fenced funds and the matching portfolio number in other templates. |
| C0050 | Name of ring–fenced fund/Matching adjustment portfolio | Indicate the name of the ring-fenced fund and matching adjustment portfolio.When possible (if linked to a commercial product), the commercial name shall be used. If not possible, e.g. if the fund is linked to several commercial products, a different name shall be used.The name shall be unique and be kept consistent over time. |
| C0060 | RFF/MAP/Remaining part of a fund | Indicate if it is a ring-fenced fund or a matching portfolio. In the cases where other funds are included within one fund this cell shall identify the type of each fund or sub–fund. One of the options in the following closed list shall be used:1 – Ring–fenced fund2 – Matching portfolio3 – Remaining part of a fund |
| C0070 | RFF/MAP with sub RFF/MAP | Identify if the fund identified has other funds embedded. One of the options in the following closed list shall be used:1 – Fund with other funds embedded2 – Not a fund with other funds embeddedOnly the ‘mother’ fund shall be identified with option 1. |
| C0080 | Material | Indicate if the ring–fenced fund or a matching portfolio is material for the purposes of detailed submission of information. One of the options in the following closed list shall be used:1 – Material2 – Not materialIn case of fund with other funds embedded, this item is to be reported only for the ‘mother’ fund. |
| C0090 | Article 304 | Indicate whether the RFF is under Article 304 of Solvency II Directive. One of the following options shall be used:1 – RFF under Article 304 – with the option for the equity risk sub–module2 – RFF under Article 304 – without the option for the equity risk sub–module3 – RFF not under Article 304 |
| List of RFF/MAP with sub RFF/MAP | ||
| C0100 | Number of RFF/MAP with sub RFF/MAP | For the funds with other funds embedded (option 1 reported in item C0070) identify the number as defined for item C0040.The fund shall be repeated for as many rows as needed to report the funds embedded. |
| C0110 | Number of sub RFF/MAP | Identify the number of the funds embedded in other funds as defined for item C0040. |
| C0120 | Sub RFF/MAP | Identify if the nature of the fund embedded in other funds. One of the options in the following closed list shall be used:1 – Ring–fenced fund2 – Matching portfolio |
S.02.01 – Balance sheet
General comments:
This section relates to the quarterly and annual submission of information for groups, ring-fenced funds and remaining part.
This template is relevant when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method). Holdings in related undertakings that are not consolidated row by row in accordance with Article 335, paragraph 1, (a), (b) or (c) of the Delegated Regulation (EU) 2015/35, including the holdings in related undertakings included with method 2 when combination of methods is used, shall be included in the item ‘Holdings in related undertakings, including participations’.
Template SR.02.01 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).
The ‘Solvency II value’ column (C0010) shall be completed using the valuation principles set out in the Directive 2009/138/EC, Delegated Regulation (EU) 2015/35, Technical Standards issued under Directive 2009/138/EC and EIOPA Guidelines.
With regards to the ‘Statutory accounts value’ column (C0020), recognition and valuation methods are the ones used by groups in their statutory accounts in accordance with the local GAAP or IFRS if accepted as local GAAP. This column is by default mandatory. In the specific cases where the group does not produce official financial statements according to local GAAP or IFRS the specific situation should be discussed with the group supervisor. In template SR.02.01 this column is only applicable if the development of financial statements by RFF is required by national law.
The default instruction is that each item shall be reported in the ‘Statutory accounts value’ column, separately.
However, in the ‘Statutory accounts value’ column the dotted rows were introduced in order to enable the reporting of aggregated figures if the split figures are not available.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Assets | ||
| Z0020 | Ring–fenced fund or remaining part | Identifies whether the reported figures are with regard to an RFF or to the remaining part. One of the options in the following closed list shall be used:1 – RFF2 – Remaining part |
| Z0030 | Fund number | When item Z0020 = 1, identification number or code for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the group and must be consistent over time and with the fund/portfolio number or code reported in other templates |
| C0020/R0010 | Goodwill | Intangible asset that arises as the result of a business combination and that represents the economic value of assets that cannot be individually identified or separately recognised in a business combination. |
| C0020/R0020 | Deferred acquisition costs | Acquisition costs relating to contracts in force at the balance sheet date which are carried forward from one reporting period to subsequent reporting periods, relating to the unexpired periods of risks. In relation to life business, acquisition costs are deferred when it is probable that they will be recovered. |
| C0010– C0020/R0030 | Intangible assets | Intangible assets other than goodwill. An identifiable non–monetary asset without physical substance. |
| C0010– C0020/R0040 | Deferred tax assets | Deferred tax assets are the amounts of income taxes recoverable in future periods in respect of:(a) deductible temporary differences;(b) the carry forward of unused tax losses; and/or(c) the carry forward of unused tax credits. |
| C0010– C0020/R0050 | Pension benefit surplus | This is the total of net surplus related to employees’ pension scheme. |
| C0010– C0020/R0060 | Property, plant & equipment held for own use | Tangible assets which are intended for permanent use and property held by the group for own use. It also includes property for own use under construction. |
| C0010– C0020/R0070 | Investments (other than assets held for index–linked and unit–linked contracts) | This is the total amount of investments, excluding assets held for index–linked and unit–linked contracts. |
| C0010– C0020/R0080 | Property (other than for own use) | Amount of the property, other than for own use. It also includes property under construction other than for own use. |
| C0010– C0020/R0090 | Holdings in related undertakings, including participations | Participations as defined in Article 13(20) and holdings in related undertakings in Article 212(1)(b) of Directive 2009/138/EC.When part of the assets regarding participation and related undertakings refer to unit and index linked contracts, these parts shall be reported in ‘Assets held for index–linked and unit–linked contracts’ in C0010–C0020/R0220.Holdings in related undertakings, including participations at group level will include:holdings in related but not subsidiary insurance or reinsurance undertakings, insurance holding companies or mixed financial holding companies as described in Article 335, paragraph 1, (d) of Delegated Regulation (EU) 2015/35holdings in related undertakings in other financial sectors as described in Article 335, paragraph 1, (e) of Delegated Regulation (EU) 2015/35other related undertakings as described in Article 335, paragraph 1, (f) of Delegated Regulation (EU) 2015/35insurance or reinsurance undertakings, insurance holding companies or mixed financial holding companies included with the deduction and aggregation method (when combination of methods is used) |
| C0010– C0020/R0100 | Equities | This is the total amount of equities, listed and unlisted.With regard to ‘statutory accounts values’ column (C0020), where– the split between listed and unlisted is not available, this item shall reflect the sum. |
| C0010– C0020/R0110 | Equities – listed | Shares representing corporations’ capital, e.g. representing ownership in a corporation, negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2004/39/EC.It shall exclude holdings in related undertakings, including participations.With regard to ‘statutory accounts values’ column (C0020), where the split between listed and unlisted is not available, this item shall not be reported. |
| C0010– C0020/R0120 | Equities – unlisted | Shares representing corporations’ capital, e.g. representing ownership in a corporation, not negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2004/39/EC.It shall exclude holdings in related undertakings, including participations.With regard to ‘statutory accounts values’ column (C0020), where the split between listed and unlisted is not available, this item shall not be reported. |
| C0010– C0020/R0130 | Bonds | This is the total amount of government bonds, corporate bonds, structured notes and collateralised securities.With regard to ‘Statutory accounts values’ column (C0020) – where the split of bonds is not available, this item shall reflect the sum. |
| C0010– C0020/R0140 | Government Bonds | Bonds issued by public authorities, whether by central governments, supra–national government institutions, regional governments or local authorities and bonds that are fully, unconditionally and irrevocably guaranteed by the European Central Bank, Member States’ central government and central banks, multilateral development banks referred to in paragraph 2 of Article 117 of Regulation (EU) No 575/2013 or international organisations referred to in Article 118 of Regulation (EU) No 575/2013, regional governments and local authorities listed in Article 1 of Implementing Regulation (EU) 2015/2011, where the guarantee meets the requirements set out in Article 215 of Delegated Regulation (EU) 2015/35.With regard to ‘statutory accounts values’ column (C0020), where the split between bonds, structured products and collateralised securities is not available, this item shall not be reported. |
| C0010– C0020/R0150 | Corporate Bonds | Bonds issued by corporationsWith regard to ‘statutory accounts values’ column (C0020), where– the split between bonds, structured products and collateralised securities is not available, this item shall not be reported. |
| C0010– C0020/R0160 | Structured notes | Hybrid securities, combining a fixed income (return in a form of fixed payments) instrument with a series of derivative components. Excluded from this category are fixed income securities that are issued by sovereign governments. Concerns securities that have embedded any categories of derivatives, including Credit Default Swaps (‘CDS’), Constant Maturity Swaps (‘CMS’), Credit Default Options (‘CDOp’).With regard to ‘statutory accounts values’ column (C0020), where– the split between bonds, structured products and collateralised securities is not available, this item shall not be reported. |
| C0010– C0020/R0170 | Collateralised securities | Securities whose value and payments are derived from a portfolio of underlying assets. Includes Asset Backed Securities (‘ABS’), Mortgage Backed securities (‘MBS’), Commercial Mortgage Backed securities (‘CMBS’), Collateralised Debt Obligations (‘CDO’), Collateralised Loan Obligations (‘CLO’), Collateralised Mortgage Obligations (‘CMO’).With regard to ‘statutory accounts values’ column (C0020), where– the split between bonds, structured products and collateralised securities is not available, this item shall not be reported. |
| C0010– C0020/R0180 | Collective Investment undertakings | ‘Collective investment undertaking’ means an undertaking for collective investment in transferable securities (‘UCITS’) as defined in Article 1(2) of Directive 2009/65/EC of the European Parliament and of the Council or an alternative investment fund (AIF) as defined in Article 4(1)(a) of Directive 2011/61/EU of the European Parliament and of the Council. |
| C0010– C0020/R0190 | Derivatives | A financial instrument or other contract with all three of the following characteristics:(a) Its value changes in response to the change in a specified interest rate, financial instrument price, commodity price, foreign exchange (FX) rate, index of prices or rates, credit rating or credit index, or other variable, provided in the case of a non–financial variable that the variable is not specific to a party to the contract (sometimes called the underlying).(b) It requires no initial net investment or an initial net investment that is smaller than would be required for other types of contracts that would be expected to have a similar response to changes in market factors.(c) It is settled at a future date.Solvency II value, only if positive, of the derivative as of the reporting date is reported here (in case of negative value, see R0790). |
| C0010– C0020/R0200 | Deposits other than cash equivalents | Deposits other than cash equivalents that cannot be used to make payments until before a specific maturity date and that are not exchangeable for currency or transferable deposits without any kind of significant restriction or penalty. |
| C0010– C0020/R0210 | Other investments | Other investments not covered already within investments reported above. |
| C0010–C0020/R0220 | Assets held for index–linked and unit–linked contracts | Assets held for index–linked and unit–linked contracts (classified in line of business 31 as defined in Annex I of Delegated Regulation (EU) 2015/35). |
| C0010– C0020/R0230 | Loans and mortgages | This is the total amount of loans and mortgages, i.e. financial assets created when group lend funds, either with or without collateral, including cash pools.With regard to ‘Statutory accounts values’ column (C0020) – where the split of the split of loans & mortgages is not available, this item shall reflect the sum. |
| C0010– C0020/R0240 | Loans on policies | Loans made to policyholders, collateralised on policies (underlying technical provisions).With regard to ‘statutory accounts values’ column (C0020), where– the split between loans on policies, loans and mortgages to individuals and other loans and mortgages is not available, this item shall not be reported. |
| C0010– C0020/R0250 | Loans and mortgages to individuals | Financial assets created when creditors lend funds to debtors – individuals, with collateral or not, including cash pools.With regard to ‘statutory accounts values’ column (C0020), where– the split between loans on policies, loans and mortgages to individuals and other loans and mortgages is not available, this item shall not be reported. |
| C0010– C0020/R0260 | Other loans and mortgages | Financial assets created when creditors lend funds to debtors – others, not classifiable in item R0240 or R0250, with collateral or not, including cash pools.With regard to ‘statutory accounts values’ column (C0020), where– the split between loans on policies, loans and mortgages to individuals and other loans and mortgages is not available, this item shall not be reported. |
| C0010– C0020/R0270 | Reinsurance recoverables from: | This is the total amount of reinsurance recoverables. It corresponds to the amount of reinsurer share of technical provisions (including Finite reinsurance and SPV).For the ‘Solvency II value’ column (C0010) this cell in particular should include all expected payments from reinsurers to the undertaking (or vice versa) corresponding to payments not yet made by the undertaking to policyholders (or by policyholders to the undertaking). All expected payments from reinsurers to the undertaking (or vice versa) corresponding to payments already made by the undertaking to policyholders (or by policyholders to the undertaking) should be included in reinsurance receivables (or reinsurance payables). |
| C0010– C0020/R0280 | Non–life and health similar to non–life | Reinsurance recoverables in respect of technical provisions for non–life and health similar to non–life.With regard to ‘statutory accounts values’ column (C0020), where the split between non–life excluding health and health similar to non–life is not available this item shall reflect the sum. |
| C0010– C0020/R0290 | Non–life excluding health | Reinsurance recoverables in respect of technical provisions for non–life business, excluding technical provisions for health– similar to non –life. |
| C0010– C0020/R0300 | Health similar to non–life | Reinsurance recoverables in respect of technical provisions for health similar to non – life. |
| C0010– C0020/R0310 | Life and health similar to life, excluding health and index–linked and unit–linked | Reinsurance recoverable in respect of technical provisions for life and health similar to life, excluding health and index–linked and unit–linked.With regard to ‘statutory accounts values’ column (C0020), where– the split between life excluding health and index–linked and unit–linked and health similar to life is not available, this item shall reflect the sum. |
| C0010– C0020/R0320 | Health similar to life | Reinsurance recoverables in respect of technical provisions for health–similar to life. |
| C0010– C0020/R0330 | Life excluding health and index–linked and unit–linked | Reinsurance recoverables in respect of technical provisions for life business, excluding technical provisions health–similar to life techniques and technical provisions for index–linked and unit–linked. |
| C0010– C0020/R0340 | Life index–linked and unit–linked | Reinsurance recoverables in respect of technical provisions for life index–linked and unit–linked business. |
| C0010– C0020/R0350 | Deposits to cedants | Deposits relating to reinsurance accepted. |
| C0010– C0020/R0360 | Insurance and intermediaries receivables | Amounts for payment by policyholders, insurers and other linked to insurance business that are not included in technical provisions.It shall include receivables from reinsurance accepted. |
| C0010– C0020/R0370 | Reinsurance receivables | For the ‘Solvency II value’ column (C0010) this cell shall include all expected payments (due and past-due) from reinsurers linked to reinsurance business to the undertaking that are not included in reinsurance recoverables. These should not be included in the item "any other assets not elsewhere shown".This cell in particular should take into account all expected payments from reinsurers to the undertaking corresponding to payments made by the undertaking to the policyholders.It also shall include all expected payments (due and past-due) from reinsurers in relation to other than insurance events or those that have been agreed between cedent and reinsurer and where the amount of the expected payment is certain. |
| C0010– C0020/R0380 | Receivables (trade, not insurance) | Includes amounts receivables from employees or various business partners (not insurance–related), including public entities. |
| C0010– C0020/R0390 | Own shares (held directly) | This is the total amount of own shares held directly by the group. |
| C0010– C0020/R0400 | Amounts due in respect of own fund items or initial fund called up but not yet paid in | Value of the amount due in respect of own fund items or initial fund called up but not yet paid in. |
| C0010– C0020/R0410 | Cash and cash equivalents | Notes and coin in circulation that are commonly used to make payments, and deposits exchangeable for currency on demand at par and which are directly usable for making payments by cheque, draft, giro order, direct debit/credit, or other direct payment facility, without penalty or restriction.Bank accounts shall not be netted off, thus only positive accounts shall be recognised in this item and bank overdrafts shall be shown within liabilities unless where both legal right of offset and demonstrable intention to settle net exist. |
| C0010– C0020/R0420 | Any other assets, not elsewhere shown | This is the amount of any other assets not elsewhere already included within balance Sheet items. |
| C0010–C0020/R0500 | Total assets | This is the overall total amount of all assets. |
| Liabilities | ||
| C0010–C0020/R0510 | Technical provisions – non–life | Sum of the technical provisions non–life.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.With regard to ‘statutory accounts values’ column (C0020), where the split of technical provisions for non –life between non – life (excluding health) and health (similar to non – life) is not possible, this item shall reflect the sum. |
| C0010– C0020/R0520 | Technical provisions – non–life (excluding health) | This is the total amount of technical provisions for non – life business (excluding health).This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0530 | Technical provisions – non–life (excluding health) – technical provisions calculated as a whole | This is the total amount of technical provisions calculated as whole (replicable/hedgeable portfolio) for non – life business (excluding health).This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0540 | Technical provisions – non–life (excluding health) – Best estimate | This is the total amount of best estimate of technical provisions for non – life business (excluding health).Best estimate shall be reported gross of reinsurance.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0550 | Technical provisions – non–life (excluding health) – Risk margin | This is the total amount of risk margin of technical provisions for non – life business (excluding health).This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010– C0020/R0560 | Technical provisions – health (similar to non–life) | This is the total amount of technical provisions for health (similar to non – life).This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0570 | Technical provisions – health (similar to non – life) – technical provisions calculated as a whole | This is the total amount of technical provisions calculated as a whole (replicable/hedgeable portfolio) for health (similar to non–life).This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0580 | Technical provisions – health(similar to non –life) – Best estimate | This is the total amount of best estimate of technical provisions for health business (similar to non – life).Best estimate shall be reported gross of reinsurance.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0590 | Technical provisions – health (similar to non – life) – Risk margin | This is the total amount of risk margin of technical provisions for health business (similar to non – life).This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010–C0020/R0600 | Technical provisions – life (excluding index–linked and unit–linked) | Sum of the technical provisions life (excluding index–linked and unit–linked).This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.With regard to ‘statutory accounts values’ column (C0020), where the split of technical provisions life (excluding index – linked and unit – linked) between health (similar to life) and life (excluding health, index– linked and unit – linked) is not possible, this item shall reflect the sum. |
| C0010– C0020/R0610 | Technical provisions – health (similar to life) | This is the total amount of technical provisions for health (similar to life) business.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0620 | Technical provisions – health (similar to life) – technical provisions calculated as a whole | This is the total amount of technical provisions calculated as a whole (replicable/hedgeable portfolio) for health (similar to life) business.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0630 | Technical provisions – health (similar to life) – Best estimate | This is the total amount of best estimate of technical provisions for health (similar to life) business.Best estimate shall be reported gross of reinsurance.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0640 | Technical provisions – health (similar to life) – Risk margin | This is the total amount of risk margin of technical provisions for health (similar to life) business.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010– C0020/R0650 | Technical provisions – life (excl. health and index–linked and unit–linked) | This is the total amount of technical provisions for life (excluding health and index – linked and unit – linked) business.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0660 | Technical provisions – life (excl. health and index–linked and unit–linked) – technical provisions calculated as a whole | This is the total amount of technical provisions calculated as a whole (replicable/hedgeable portfolio) for life (excluding health and index – linked and unit – linked) business.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0670 | Technical provisions – life (excl. health and index–linked and unit–linked) – Best estimate | This is the total amount of best estimate of technical provisions for life (excluding health and index – linked and unit – linked) business.Best estimate shall be reported gross of reinsurance.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0680 | Technical provisions – life (excl. health and index–linked and unit–linked) – Risk margin | This is the total amount of risk margin of technical provisions for life (excluding health and index – linked and unit – linked) business.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010– C0020/R0690 | Technical provisions – index–linked and unit–linked | This is the total amount of technical provisions for index – linked and unit – linked business.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0700 | Technical provisions – index–linked and unit–linked – technical provisions calculated as a whole | This is the total amount of technical provisions calculated as a whole (replicable/hedgeable portfolio) for index – linked and unit – linked business.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0710 | Technical provisions – index–linked and unit–linked – Best estimate | This is the total amount of best estimate of technical provisions for index – linked and unit – linked business.Best estimate shall be reported gross of reinsurance.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0010/R0720 | Technical provisions – index–linked and unit–linked – Risk margin | This is the total amount of risk margin of technical provisions for index – linked and unit – linked business.This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation. |
| C0020/R0730 | Other technical provisions | Other technical provisions, as recognised by the group in their statutory accounts, in accordance with the local GAAP or IFRS. |
| C0010/R0740 | Contingent liabilities | A contingent liability is defined as:a) a possible obligation that arises from past events and whose existence will be confirmed only by the occurrence or non–occurrence of one or more uncertain future events not wholly within the control of the entity; orb) a present obligation that arises from past events even if: (i)it is not probable that an outflow of resources embodying economic benefits will be required to settle the obligation; or(ii)the amount of the obligation cannot be measured with sufficient reliability.The amount of contingent liabilities recognised in the balance sheet shall follow the criteria set in Article 11 of the Delegated Regulation (EU) 2015/35. |
| C0010– C0020/R0750 | Provisions other than technical provisions | Liabilities of uncertain timing or amount, excluding the ones reported under ‘Pension benefit obligations’.The provisions are recognised as liabilities (assuming that a reliable estimate can be made) when they represent obligations and it is probable that an outflow of resources embodying economic benefits will be required to settle the obligations. |
| C0010– C0020/R0760 | Pension benefit obligations | This is the total net obligations related to employees’ pension scheme. |
| C0010– C0020/R0770 | Deposits from reinsurers | Amounts (e.g. cash) received from reinsurer or deducted by the reinsurer according to the reinsurance contract. |
| C0010– C0020/R0780 | Deferred tax liabilities | Deferred tax liabilities are the amounts of income taxes payable in future periods in respect of taxable temporary differences. |
| C0010– C0020/R0790 | Derivatives | A financial instrument or other contract with all three of the following characteristics:(a) Its value changes in response to the change in a specified interest rate, financial instrument price, commodity price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided in the case of a non–financial variable that the variable is not specific to a party to the contract (sometimes called the underlying).(b) It requires no initial net investment or an initial net investment that is smaller than would be required for other types of contracts that would be expected to have a similar response to changes in market factors.(c) It is settled at a future date.Only derivative liabilities shall be reported on this row (i.e. derivatives with negative values as of the reporting date.) Derivatives assets shall be reported under C0010– C0020/R0190.Groups which do not value derivatives in their Local GAAP do not need to provide a statutory accounts value. |
| C0010– C0020/R0800 | Debts owed to credit institutions | Debts, such as mortgage and loans, owed to credit institutions, excluding bonds held by credit institutions (it is not possible for the group to identify all the holders of the bonds that it issues) and subordinated liabilities. It This shall also include bank overdrafts. |
| C0010– C0020/R0810 | Financial liabilities other than debts owed to credit institutions | Financial liabilities including bonds issued by the group (held by credit institutions or not), structured notes issued by the group itself and mortgage and loans due to other entities than credit institutions.Subordinated liabilities shall not be included here. |
| C0010– C0020/R0820 | Insurance and intermediaries payables | Amounts payable to policyholders, insurers and other business linked to insurance that are not included in technical provisions.Includes amounts payable to (re)insurance intermediaries (e.g. commissions due to intermediaries but not yet paid by the undertaking).Excludes loans & mortgages due to other insurance companies, if they only relate to financing and are not linked to insurance business (such loans and mortgages shall be reported as financial liabilities).It shall include payables from reinsurance accepted. |
| C0010– C0020/R0830 | Reinsurance payables | Amounts payable to reinsurers (in particular current accounts) other than deposits linked to reinsurance business that are not included in reinsurance recoverables, including payables from the undertaking to reinsurers in relation to other than insurance events.Includes payables to reinsurers that relate to ceded premiums.For the ‘Solvency II value’ column (C0010) this cell shall include all expected payments (due and past-due) from the undertaking to reinsurers that are not included in reinsurance recoverables. These should not be included in the item "any other liabilities not elsewhere shown".This cell in particular should take into account all expected payments from the undertaking to reinsurers corresponding to payments made by the policyholders to the undertaking.It also shall include all expected payments (due and past-due) to reinsurers in relation to other than insurance events or those that have been agreed between cedent and reinsurer and where the amount of the expected payment is certain. |
| C0010– C0020/R0840 | Payables (trade, not insurance) | This is the total amount trade payables, including amounts due to employees, suppliers, etc. and not insurance–related, parallel to receivables (trade, not insurance) on asset side; includes public entities. |
| C0010– C0020/R0850 | Subordinated liabilities | Subordinated liabilities are debts which rank after other specified debts when undertaking is liquidated. This is the total of subordinated liabilities classified as Basic Own Funds and those that are not included in Basic Own Funds.With regard to ‘statutory accounts values’ column (C0020), where the split between subordinated liabilities not in basic own funds and subordinated liabilities in basic own funds is not available, this item shall reflect the sum. |
| C0010– C0020/R0860 | Subordinated liabilities not in Basic Own Funds | Subordinated liabilities are debts which rank after other specified debts when undertaking is liquidated. Other debts may be even more deeply subordinated. Only subordinated liabilities that are not classified in Basic Own Funds shall be presented here.With regard to ‘statutory accounts values’ column (C0020), where the split between subordinated liabilities not in basic own funds and subordinated liabilities in basic own funds is not available, this item shall not be reported. |
| C0010– C0020/R0870 | Subordinated liabilities in Basic Own Funds | Subordinated liabilities classified in Basic Own Funds.With regard to ‘statutory accounts values’ column (C0020), where– the split between subordinated liabilities not in basic own funds and subordinated liabilities in basic own funds is not available, this item shall not be reported. |
| C0010– C0020/R0880 | Any other liabilities, not elsewhere shown | This is the total of any other liabilities, not elsewhere already included in other Balance Sheet items. |
| C0010– C0020/R0900 | Total liabilities | This is the overall total amount of all liabilities |
| C0010/R1000 | Excess of assets over liabilities | This is the total of group’s excess of assets over liabilities, valued in accordance with Solvency II valuation basis. Value of the assets minus liabilities. |
| C0020/R1000 | Excess of assets over liabilities(statutory accounts value) | This is the total of excess of assets over liabilities of statutory accounts value column. |
S.02.02 – Liabilities by currency
General comment:
This section relates to the annual submission of information for groups.
This template is to be filled in accordance with the Balance sheet (S.02.01). Valuation principles are laid down in Directive 2009/138/EC, Delegated Regulation (EU) 2015/35, Solvency II Technical Standards and Guidelines.
This template is not required to be submitted if one single currency represents more than 80 % of liabilities. In case the value of technical provisions, as reported in R0030 and R0120 in S.12.01 and R0060 and R0160 in S.17.01, is negative, for the purposes of the calculation of the threshold above the absolute value those notional amounts should be considered without netting of technical provisions between different LoBs.
If submitted, information on the reporting currency shall always be reported regardless of the amount of liabilities. Information reported by currency shall at least represent 80 % of the total liabilities. The remaining 20 % shall be aggregated. If a specific currency has to be reported for liabilities to comply with the 80 % rule, then that currency shall be reported for all liabilities.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| R0010 | Material currency | Identify the ISO 4217 alphabetic code of each currency to be reported. |
| C0020/R0110 | Total value of all currencies – Technical provisions (excluding index–linked and unit–linked contracts) | Report the total value of the technical provisions (excl. index–linked and unit–linked contracts) for all currencies. |
| C0030/R0110 | Value of the reporting currency – Technical provisions (excluding index–linked and unit–linked contracts) | Report the value of the technical provisions (excl. index–linked and unit–linked contracts) for the reporting currency |
| C0040/R0110 | Value of remaining other currencies – Technical provisions (excluding index–linked and unit–linked contracts) | Report the total value of the technical provisions (excl. index–linked and unit–linked contracts) for the remaining currencies that are not reported by currency.This means that this cell excludes the amount reported in the reporting currency (C0030/R0110) and in the currencies reported by currency (C0050/R0110). |
| C0050/R0110 | Value of material currencies – Technical provisions (excluding index–linked and unit–linked contracts) | Report the value of the Technical provisions (excl. index–linked and unit–linked contracts) for each of the currencies required to be reported separately. |
| C0020/R0120 | Total value of all currencies – Technical provisions – index–linked and unit–linked contracts | Report the total value of the technical provisions – index–linked and unit–linked contracts for all currencies. |
| C0030/R0120 | Value of the reporting currency – Technical provisions – index–linked and unit–linked contracts | Report the value of the technical provisions – index–linked and unit–linked contracts for the reporting currency. |
| C0040/R0120 | Value of remaining other currencies – Technical provisions – index–linked and unit–linked contracts | Report the value of the technical provisions – index–linked and unit–linked contracts for the remaining currencies that are not reported by currency.This means that this cell excludes the amount reported in the reporting currency (C0030/R0120) and in the currencies reported by currency (C0050/R0120). |
| C0050/R0120 | Value of material currencies – Technical provisions – index–linked and unit–linked contracts | Report the value of the technical provisions – index–linked and unit–linked contracts for each of the currencies required to be reported separately. |
| C0020/R0130 | Total value of all currencies – Deposits from reinsurers and insurance, intermediaries and reinsurance payables | Report the total value of the deposits from reinsurers, insurance and intermediaries payables and reinsurance payables for all currencies. |
| C0030/R0130 | Value of the reporting currency – Deposits from reinsurers and insurance, intermediaries and reinsurance payables | Report the value of the deposits from reinsurers, insurance and intermediaries payables and reinsurance payables for the reporting currency. |
| C0040/R0130 | Value of remaining other currencies – Deposits from reinsurers and insurance, intermediaries and reinsurance payables | Report the value of the deposits from reinsurers, insurance and intermediaries payables and reinsurance payables for the remaining currencies that are not reported by currency.This means that this cell excludes the amount reported in the reporting currency (C0030/R0130) and in the currencies reported by currency (C0050/R0130). |
| C0050/R0130 | Value of material currencies – Deposits from reinsurers and insurance, intermediaries and reinsurance payables | Report the value of the deposits from reinsurers, insurance and intermediaries payables and reinsurance payables for each of the currencies required to be reported separately. |
| C0020/R0140 | Total value of all currencies – Derivatives | Report the total value of the derivatives for all currencies. |
| C0030/R0140 | Value of the reporting currency – Derivatives | Report the value of the derivatives for the reporting currency. |
| C0040/R0140 | Value of remaining other currencies – Derivatives | Report the total value of the derivatives for the remaining currencies that are not reported by currency.This means that this cell excludes the amount reported in the reporting currency (C0030/R0140) and in the currencies reported by currency (C0050/R0140). |
| C0050/R0140 | Value of material currencies – Derivatives | Report the value of the derivatives for each of the currency required to be reported separately. |
| C0020/R0150 | Total value of all currencies – Financial liabilities | Report the total value of the financial liabilities for all currencies. |
| C0030/R0150 | Value of the reporting currency – Financial liabilities | Report the value of the financial liabilities for the reporting currency. |
| C0040/R0150 | Value of remaining other currencies – Financial liabilities | Report the total value of the financial liabilities for the remaining currencies that are not reported by currency.This means that this cell excludes the amount reported in the reporting currency (C0030/R0150) and in the currencies reported by currency (C0050/R0150). |
| C0050/R0150 | Value of material currencies – Financial liabilities | Report the value of the financial liabilities for each of the currencies required to be reported separately. |
| C0020/R0160 | Total value of all currencies – Contingent liabilities | Report the total value of the Contingent liabilities for all currencies. |
| C0030/R0160 | Value of the reporting currency – Contingent liabilities | Report the value of the contingent liabilities for the reporting currency. |
| C0040/R0160 | Value of remaining other currencies – Contingent liabilities | Report the total value of the contingent liabilities for the remaining currencies that are not reported by currency.This means that this cell excludes the amount reported in the reporting currency (C0030/R0160) and in the currencies reported by currency (C0050/R0160). |
| C0050/R0160 | Value of material currencies – Contingent liabilities | Report the value of the contingent liabilities for each of the currencies required to be reported separately |
| C0020/R0170 | Total value of all currencies – Any other liabilities | Report the total value of any other liabilities for all currencies. |
| C0030/R0170 | Value of the reporting currency – Any other liabilities | Report the value of any other liabilities for the reporting currency. |
| C0040/R0170 | Value of remaining other currencies – Any other liabilities | Report the total value of any other liabilities for remaining currencies that are not reported by currency.This means that this cell excludes the amount reported in the reporting currency (C0030/R0170) and in the currencies reported by currency (C0050/R0170). |
| C0050/R0170 | Value of material currencies – Any other liabilities | Report the value of any other liabilities for each of the currencies required to be reported separately. |
| C0020/R0200 | Total value of all currencies – Total liabilities | Report the total value of the total liabilities for all currencies. |
| C0030/R0200 | Value of the reporting currency – Total liabilities | Report the value of total liabilities for the reporting currency. |
| C0040/R0200 | Value of remaining other currencies – Total liabilities | Report the total value of total liabilities for the remaining currencies that are not reported by currency.This means that this cell excludes the amount reported in the reporting currency (C0030/R0200) and in the currencies reported by currency (C0050/R0200). |
| C0050/R0200 | Value of material currencies – Total liabilities | Report the value of total liabilities for each of the currency required to be reported separately. |
S.03.01 – Off–balance sheet items – General
a)a possible obligation that arises from past events and whose existence will be confirmed only by the occurrence or non–occurrence of one or more uncertain future events not wholly within the control of the entity; or
a)the amount of any of the following sums is higher than 2 % of Total Assets:
i.(C0020/R0010) Value of guarantee/collateral/contingent liabilities – Guarantees provided by the undertaking, including letters of credit + (C0020/R0300) Value of guarantee/collateral/contingent liabilities – Total collateral pledged + (C0010/R0400) Maximum value – Total Contingent liabilities;
ii.(C0020/R0030) Value of guarantee/collateral/contingent liabilities – Guarantees received by the undertaking, including letters of credit + (C0020/R0200) Value of guarantee/collateral/contingent liabilities – Total collateral held; or
b)a present obligation that arises from past events even if:
i.it is not probable that an outflow of resources embodying economic benefits will be required to settle the obligation; or
ii.the amount of the obligation cannot be measured with sufficient reliability.
b)the undertaking has provided or received unlimited guarantee.
General comments:
This section relates to the annual submission of information for groups.
This template shall include the information referring to off–balance sheet items and the maximum and solvency II value of contingent liabilities in Solvency II balance sheet also. As regards the Solvency II value, the instructions define the items from a recognition perspective. Valuation principles are laid down in Directive 2009/138/EC, Delegated Regulation (EU) 2015/35, Solvency II Technical Standards and Guidelines.
A pool of assets that secure an investment (e.g. the pool of assets that are a collateral for covered bonds) shall not be reported in this template.
Guarantee require the issuer to make specified payments to reimburse the holder for a loss it incurs if a specified debtor fails to make payment when due under the original or modified terms of a debt instrument. These guarantees can have various legal forms, such as financial guarantees, letters of credit, credit default contracts. These items shall not include guarantees stemming from insurance contracts, which are recognised in technical provisions.
A contingent liability is defined as:
Collateral is an asset with a monetary value or a commitment that secure the lender against the defaults of the borrower. The value of the collateral should be reported as the economic value of the collateral at per reference date (Solvency II value of the assets), not as the risk-adjusted value of a collateral according to Article 197 of the Delegated Regulation.
Only limited guarantees are to be reported in this template. Internal guarantees within the scope of group supervision are not reported in this template excluding information about any provided or received unlimited guarantee.
At group level, the template is applicable for all entities within the scope of group supervision – including other financial sectors and non–controlled participations – for method 1 (Accounting consolidation–based method), method 2 (Deduction and aggregation method) and a combination of methods 1 and 2.
For non–controlled participations guarantees provided and guarantees received are included on a proportional basis when method 1 is applied. When method 2 is applied these guarantees are reported with the total amount.
This template shall be reported considering the following specifications, which regards to the instructions in the below table:
Undertakings consolidated in accordance with points (d), (e) and (f) of Article 335(1) of Delegated Regulation (EU) 2015/35 are excluded from the calculation of the threshold.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010/R0010 | Maximum value – Guarantees provided by the group, including letters of credit | Sum of all possible cash out–flows related to guarantees if events triggering guarantees were all to happen in relation to guarantees provided by the group to another party. It includes cash–flows related to letter of credit.In case any guarantee is also identified as contingent liability under R0310, the maximum amount shall also be included in this row. |
| C0020/R0010 | Value of guarantee/collateral/contingent liabilities – Guarantees provided by the group, including letters of credit | Solvency II value of the guarantees provided by the group, including letters of credit. |
| C0010/R0030 | Maximum value – Guarantees received by the group, including letters of credit | Sum of all possible cash in–flows related to guarantees if events triggering guarantees were all to happen in relation to guarantees received by the group from another party to guarantee the payment of the liabilities due by the group (includes letter of credit, undrawn committed borrowing facilities). |
| C0020/R0030 | Value of guarantee/collateral/contingent liabilities – Guarantees received by the group, including letters of credit | Solvency II value of the guarantees received by the group, including letters of credit. |
| C0020/R0100 | Value of guarantee/collateral/contingent liabilities – Collateral held for loans made or bonds purchased | Solvency II value of the collaterals held for loans made or bonds purchased.Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0020/R0110 | Value of guarantee/collateral/contingent liabilities – Collateral held for derivatives | Solvency II value of the collaterals held for derivatives.Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0020/R0120 | Value of guarantee/collateral/contingent liabilities – Assets pledged by reinsurers for ceded technical provisions | Solvency II value of the assets pledged by reinsurers for ceded technical provisions.Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0020/R0130 | Value of guarantee/collateral/contingent liabilities – Other collateral held | Solvency II value of other collaterals held.Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0020/R0200 | Value of guarantee/collateral/contingent liabilities – Total collateral held | Total Solvency II value of the collaterals held.Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0030/R0100 | Value of assets for which collateral is held – Collateral held for loans made or bonds purchased | Solvency II value of the assets for which the collateral for loans made or bonds purchased is held.Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0030/R0110 | Value of assets for which collateral is held – Collateral held for derivatives | Solvency II value of the assets for which the collateral for derivatives is held.Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0030/R0120 | Value of assets for which collateral is held – Assets pledged by reinsurers for ceded technical provisions | Solvency II value of the assets for which the collateral on assets pledged by reinsurers for ceded technical provisions is held.Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0030/R0130 | Value of assets for which collateral is held – Other collateral held | Solvency II value of the assets for which the other collateral is held.Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0030/R0200 | Value of assets for which collateral is held – Total collateral held | Total Solvency II value of the assets for which the total collateral is held.Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0020/R0210 | Value of guarantee/collateral/contingent liabilities – Collateral pledged for loans received or bonds issued | Solvency II value of the collaterals pledged for loans received or bonds issued.Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0020/R0220 | Value of guarantee/collateral/contingent liabilities – Collateral pledged for derivatives | Solvency II value of the collaterals pledged for derivatives.Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0020/R0230 | Value of guarantee/collateral/contingent liabilities – Assets pledged to cedants for technical provisions (reinsurance accepted) | Solvency II value of the assets pledged to cedants for technical provisions (reinsurance accepted).Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0020/R0240 | Value of guarantee/collateral/contingent liabilities – Other collateral pledged | Solvency II value of the collateral pledged for other collateral.Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0020/R0300 | Value of guarantee/collateral/contingent liabilities – Total collateral pledged | Total Solvency II value of the collateral pledged.Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0040/R0210 | Value of liabilities for which collateral is pledged – Collateral pledged for loans received or bonds issued | Solvency II value of the liabilities for which the collateral for loans received or bonds issued is pledged.Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0040/R0220 | Value of liabilities for which collateral is pledged – Collateral pledged for derivatives | Solvency II value of the liabilities for which the collateral for derivatives is pledged.Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0040/R0230 | Value of liabilities for which collateral is pledged – Assets pledged to cedants for technical provisions (reinsurance accepted) | Solvency II value of the liabilities for which the assets are pledged to cedants for technical provisions (reinsurance accepted).Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0040/R0240 | Value of liabilities for which collateral is pledged – Other collateral pledged | Solvency II value of the liabilities for which other collateral is pledged.Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0040/R0300 | Value of liabilities for which collateral is pledged – Total collateral pledged | Total Solvency II value of the liabilities for which the collateral is pledged.Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0010/R0310 | Maximum value – Contingent liabilities not in Solvency II Balance Sheet | Maximum possible value, regardless of their probability (i.e. future cash out–flows required to settle the contingent liability over the lifetime of that contingent liability, discounted at the relevant risk–free interest rate term structure) of contingent liabilities that are not included in those valued in Solvency II Balance Sheet (item C0010/R0740 of S.02.01)Internal contingent liabilities within the scope of group supervision are not reported in this template.This shall relate to Contingent liabilities that are not material.This amount shall include guarantees reported in R0010 if considered as contingent liabilities. |
| C0010/R0330 | Maximum value – Contingent liabilities in Solvency II Balance Sheet | Maximum possible value, regardless of their probability (i.e. future cash out–flows required to settle the contingent liability over the lifetime of that contingent liability, discounted at the relevant risk–free interest rate term structure) of contingent liabilities that are valued in Solvency II Balance Sheet, as defined in Article 11 of the Delegated Regulation (EU) 2015/35. |
| C0010/R0400 | Maximum value – Total Contingent liabilities | Total maximum possible value, regardless of their probability (i.e. future cash flows required to settle the contingent liability over the lifetime of that contingent liability, discounted at the relevant risk–free interest rate term structure) of contingent liabilities. |
| C0020/R0310 | Value of guarantee/collateral/contingent liabilities – Contingent liabilities not in Solvency II Balance Sheet | Solvency II value of the contingent liabilities not in Solvency II Balance Sheet. |
| C0020/R0330 | Value of guarantee/collateral/contingent liabilities – Contingent liabilities in Solvency II Balance Sheet | Solvency II value of the contingent liabilities in Solvency II Balance Sheet. This value shall only be reported in relation to contingent liabilities for which a value in item C0010/R0330 in S.03.01 was reported.If this value is lower than C0010/R0740 in S.02.01 an explanation shall be provided in the narrative reporting. |
| C0050/R0510 | Unlimited guarantees – received | Indication if the unlimited guarantees received exists. One of the options in the following closed list shall be used:0 – no unlimited guarantees received;1 – Unlimited guarantees received only from group;2 – Unlimited guarantees received only from outside the group;3 – Unlimited guarantees received from group and from outside the group. |
| C0050/R0520 | Unlimited guarantees – provided | Indication if the unlimited guarantees provided exists. One of the options in the following closed list shall be used:0 – no unlimited guarantees provided;1 – Unlimited guarantees provided only by group;2 – Unlimited guarantees provided only by an entity outside the group;3 – Unlimited guarantees provided by group and by entity outside the group. |
S.05.01 – Premiums, claims and expenses by line of business
General comments:
This section relates to the quarterly and annual submission of information for groups.
This template shall be reported from a consolidated accounting perspective, i.e.: Local GAAP or IFRS if accepted as local GAAP but using Solvency II lines of business. Groups shall use the recognition and valuation basis as for the published financial statements, no new recognition or re–valuation is required, unless otherwise stated in these instructions, except for the classification between investment contracts and insurance contracts or different reporting requirements when this is applicable in the financial statements. This template shall include all insurance business regardless of the possible different classification between investment contracts and insurance contracts applicable in the financial statements.
Written/earned premiums shall be reported as defined in Article 1(11) and (12) of Delegated Regulation (EU) 2015/35 regardless of whether a local GAAP or IFRS is used.
The template is based on a year–to–date basis.
This template covers only insurance and reinsurance business within the scope of the consolidated financial statements.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Non–life insurance and reinsurance obligations | ||
| C0010 to C0120/R0110 | Premiums written – Gross – Direct Business | Gross premiums written shall comprise all amounts due during the reporting period in respect of insurance contracts, arising from direct business, regardless of the fact that such amounts may relate in whole or in part to a later reporting period. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0010 to C0120/R0120 | Premiums written – Gross – Proportional reinsurance accepted | Gross premiums written shall comprise all amounts due during the reporting period in respect of insurance contracts, arising from proportional reinsurance accepted business, regardless of the fact that such amounts may relate in whole or in part to a later reporting period. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0130 to C0160/R0130 | Premiums written – Gross – Non proportional reinsurance accepted | Gross premiums written shall comprise all amounts due during the reporting period in respect of insurance contracts, arising from non–proportional reinsurance accepted business, regardless of the fact that such amounts may relate in whole or in part to a later reporting period. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0010 to C0160/R0140 | Premiums written – Reinsurers’ share | Gross premiums written shall comprise all amounts ceded to reinsurers during the reporting period in respect of insurance contracts regardless of the fact that such amounts may relate in whole or in part to a later reporting period. Amount of taxes or charges levied with premiums should be excluded from the written premiums. |
| C0010 to C0160/R0200 | Premiums written – net | The net premiums written represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0010 to C0120/R0210 | Premiums earned – Gross – Direct business | The sum of gross premiums written minus the change in the gross provision for unearned premiums related to direct insurance business. Amount of taxes or charges levied with premiums shall be excluded from the written premiums earned. |
| C0010 to C0120/R0220 | Premiums earned – Gross – Proportional reinsurance accepted | The sum of gross premiums written minus the change in the gross provision for unearned premiums related to proportional reinsurance accepted business. Amount of taxes or charges levied with premiums shall be excluded from the premiums earned. |
| C0130 to C0160/R0230 | Premiums earned – Gross – Non proportional reinsurance accepted | The sum of gross premiums written minus the change in the gross provision for unearned premiums related to non–proportional reinsurance accepted business. Amount of taxes or charges levied with premiums shall be excluded from the written premiums earned. |
| C0010 to C0160/R0240 | Premiums earned – reinsurers’ share | The sum of reinsurer’s share in gross premiums written minus the change in the reinsurer’s share in provision for unearned premiums. Amount of taxes or charges levied with premiums shall be excluded from the written premiums earned. |
| C0010 to C0160/R0300 | Premiums earned – Net | The sum of gross premiums written minus the change in the gross provision for unearned premiums related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0010 to C0120/R0310 | Claims incurred Gross – Direct business | Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims (according to the local GAAP or IFRS used) during the reporting period related to insurance contracts arising from direct business.This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0010 to C0120/R0320 | Claims incurred Gross – Proportional reinsurance accepted | Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims(according to the local GAAP or IFRS used) during the reporting period related to insurance contracts arising from the gross proportional reinsurance accepted.This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0130 to C0160/R0330 | Claims incurred – Gross – Non proportional reinsurance accepted | Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims (according to the local GAAP or IFRS used) during the reporting period related to insurance contracts arising from the gross non proportional reinsurance accepted.This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0010 to C0160/R0340 | Claims incurred – Reinsurers’ share | Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: it is the reinsurer’s share in the sum of the claims paid and the change in the provision for claims (according to the local GAAP or IFRS used) during the reporting period.This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0010 to C0160/R0400 | Claims incurred – Net | Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims (according to the local GAAP or IFRS used) during the reporting period related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0010 to C0160/R0550 | Expenses incurred | All technical expenses incurred by the group during the reporting period, on accrual basis. |
| C0010 to C0120/R0610 | Administrative expenses – Gross – direct business | Administrative expenses incurred by the group during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.The amount relates to the gross direct business. |
| C0010 to C0120/R0620 | Administrative expenses – Gross – Proportional reinsurance accepted | Administrative expenses incurred by the group during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.The amount relates to the gross proportional reinsurance accepted. |
| C0130 to C0160/R0630 | Administrative expenses – Gross – non proportional reinsurance accepted | Administrative expenses incurred by the group during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.The amount relates to the gross non proportional reinsurance accepted. |
| C0010 to C0160/R0640 | Administrative expenses – reinsurers’ share | Administrative expenses incurred by the group during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.The amount relates to the reinsurer’s share.Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses. |
| C0010 to C0160/R0700 | Administrative expenses – Net | Administrative expenses incurred by the group during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.The net administrative expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0010 to C0160/R0710 | Investment management expenses – Gross – direct business | Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of record keeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.The amount relates to the gross direct business. |
| C0010 to C0120/R0720 | Investment management expenses – Gross – proportional reinsurance accepted | Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.The amount relates to the gross proportional reinsurance accepted. |
| C0130 to C0160/R0730 | Investment management expenses – Gross – non proportional reinsurance accepted | Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.The amount relates to the gross non proportional reinsurance accepted. |
| C0010 to C0160/R0740 | Investment management expenses – reinsurers’ share | Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.The amount relates to the reinsurers’ share.Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses. |
| C0010 to C0160/R0800 | Investment management expenses – Net | Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.The amount relates to the net investment management expenses.The net investment management expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0010 to C0120/R0810 | Claims management expenses – Gross – direct business | Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).The amount relates to the gross direct business.This shall include the movement in provisions in claims management expenses. |
| C0010 to C0120/R0820 | Claims management expenses – Gross – Proportional reinsurance accepted | Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).The amount relates to the gross proportional reinsurance accepted.This shall include the movement in provisions in claims management expenses. |
| C0130 to C0160/R0830 | Claims management expenses – Gross – Non–proportional reinsurance accepted | Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).The amount relates to the gross non proportional reinsurance accepted.This shall include the movement in provisions in claims management expenses. |
| C0010 to C0160/R0840 | Claims management expenses – Reinsurers’ share | Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).The amount relates to the reinsurers’ share.This shall include the movement in provisions in claims management expenses.Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses. |
| C0010 to C0160/R0900 | Claims management expenses – Net | Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).The net claims management expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.This shall include the movement in provisions in claims management expenses. |
| C0010 to C0120/R0910 | Acquisition expenses – Gross – direct business | Acquisition expenses include expenses, including renewal expenses, which can be identified at the level of individual insurance contract and have been incurred because the group has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.The amount relates to the gross direct business. |
| C0010 to C0120/R0920 | Acquisition expenses – Gross – Proportional reinsurance accepted | Acquisition expenses include expenses, including renewal expenses which can be identified at the level of individual insurance contract and have been incurred because the group has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.The amount relates to the gross proportional reinsurance accepted. |
| C0130 to C0160/R0930 | Acquisition expenses – Gross – Non proportional reinsurance accepted | Acquisition expenses include expenses, including renewal expenses which can be identified at the level of individual insurance contract and have been incurred because the group has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.The amount relates to the non–proportional reinsurance accepted. |
| C0010 to C0160/R0940 | Acquisition expenses – Reinsurers’ share | Acquisition expenses include expenses, including renewal expenses which can be identified at the level of individual insurance contract and have been incurred because the group has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.The amount relates to the reinsurers’ share.Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses. |
| C0010 to C0160/R1000 | Acquisition expenses – Net | Acquisition expenses include expenses, including renewal expenses, which can be identified at the level of individual insurance contract and have been incurred because the group has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertakings, the definition shall be applied mutatis mutandis.The net acquisition expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0010 to C0120/R1010 | Overhead expenses – Gross direct business | Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software).The amount relates to the gross direct business. |
| C0010 to C0120/R1020 | Overhead expenses – Gross – Proportional reinsurance accepted | Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software).The amount relates to the gross proportional reinsurance accepted. |
| C0130 to C0160/R1030 | Overhead expenses – Gross – Non proportional reinsurance accepted | Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software).The amount relates to the gross – non proportional reinsurance accepted. |
| C0010 to C0160/R1040 | Overhead expenses – Reinsurers’ share | Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software).The amount relates to the reinsurers’ share.Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses. |
| C0010 to C0160/R1100 | Overhead expenses – Net | Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software).The net overhead expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0200/R0110–R1100 | Total | Total for different items for all Lines of Business. |
| C0200/R1210 | Balance – other technical expenses/income | Net technical expenses/income not covered by above mentioned expenses/income and reduced by the amount ceded to reinsurance undertakings. Other technical expenses/income shall not be split by lines of business.Shall not include change in other technical provisions and non–technical expenses/income such as tax, interest expenses, losses on disposals, etc.The amount of net technical expenses/income shall be reported negative if the amount of technical income is larger than the amount of technical expenses. |
| C0200/R1300 | Total expenses | Amount of all technical expenses |
| Life insurance and reinsurance obligations | ||
| C0210 to C0280/R1410 | Premiums written – Gross | Gross premiums written shall comprise all amounts due during the reporting period in respect of insurance contracts, arising from gross business, regardless of the fact that such amounts may relate in whole or in part to a later reporting period. Amount of taxes or charges levied with premiums shall be excluded from the written premiums.It includes both direct and reinsurance business. |
| C0210 to C0280/R1420 | Premiums written – Reinsurers’ share | Gross premiums written shall comprise all amounts ceded to reinsurers due during the reporting period in respect of insurance contracts regardless of the fact that such amounts may relate in whole or in part to a later reporting period. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0210 to C0280/R1500 | Premiums written – net | The net premiums written represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0210 to C0280/R1510 | Premiums earned – Gross | The sum of gross premiums written minus the change in the gross provision for unearned premiums related to direct insurance and reinsurance accepted business. Amount of taxes or charges levied with premiums should be excluded from the written premiums. |
| C0210 to C0280/R1520 | Premiums earned – reinsurers’ share | The reinsurer’s share in gross premiums written minus the change in the reinsurer’s share in provision for unearned premiums. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. |
| C0210 to C0280/R1600 | Premiums earned – Net | The sum of gross premiums written minus the change in the gross provision for unearned premiums related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0210 to C0280/R1610 | Claims incurred – Gross | Claims incurred in the reporting period as defined in directive 91/674/EEC: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period (according to the local GAAP or IFRS used), related to insurance contracts arising from the direct and reinsurance business.This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0210 to C0280/R1620 | Claims incurred – Reinsurers’ share | Claims incurred in the reporting period as defined in Directive 91/674/EEC: it is the reinsurer’s share in the sum of the claims paid and the change in the provision for claims during the reporting period.This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0210 to C0280/R1700 | Claims incurred – Net | Claims incurred in the reporting period as defined in Directive 91/674/EEC: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period (according to the local GAAP or IFRS used), related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0210 to C0280/R1900 | Expenses incurred | All technical expenses incurred by the group during the reporting period, on accrual basis. |
| C0210 to C0280/R1910 | Administrative expenses – Gross | Administrative expenses incurred by the group during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.The amount relates to the gross direct and reinsurance business. |
| C0210 to C0280/R1920 | Administrative expenses – reinsurers’ share | Administrative expenses incurred by the group during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.The amount relates to the reinsurer’s share.Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses. |
| C0210 to C0280/R2000 | Administrative expenses – Net | Administrative expenses incurred by the group during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.The amount relates to the net administrative expenses.The net administrative expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0210 to C0280/R2010 | Investment management expenses – Gross | Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.The amount relates to the gross direct and reinsurance business. |
| C0210 to C0280/R2020 | Investment management expenses – reinsurers’ share | Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.The amount relates to the reinsurers’ share.Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses. |
| C0210 to C0280/R2100 | Investment management expenses – Net | Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.The amount relates to the net investment management expenses.The net investment management expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0210 to C0280/R2110 | Claims management expenses – Gross | Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).The amount relates to the gross direct and reinsurance business.This shall include the movement in provisions in claims management expenses. |
| C0210 to C0280/R2120 | Claims management expenses – Reinsurers’ share | Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).The amount relates to the reinsurers’ share.This shall include the movement in provisions in claims management expenses.Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses. |
| C0210 to C0280/R2200 | Claims management expenses – Net | Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).The net claims management expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.This shall include the movement in provisions in claims management expenses. |
| C0210 to C0280/R2210 | Acquisition expenses – Gross | Acquisition expenses include expenses which can be identified at the level of individual insurance contract and have been incurred because the group has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.The amount relates to the gross direct and reinsurance business. |
| C0210 to C0280/R2220 | Acquisition expenses – Reinsurers’ share | Acquisition expenses include expenses which can be identified at the level of individual insurance contract and have been incurred because the group has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.The amount relates to the reinsurers’ share.Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses. |
| C0210 to C0280/R2300 | Acquisition expenses – Net | Acquisition expenses include expenses which can be identified at the level of individual insurance contract and have been incurred because the group has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.The net acquisition expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0210 to C0280/R2310 | Overhead expenses – Gross | Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software).The amount relates to the gross direct and reinsurance business. |
| C0210 to C0280/R2320 | Overhead expenses – Reinsurers’ share | Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software).The amount relates to the reinsurers’ share.Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses. |
| C0210 to C0280/R2400 | Overhead expenses – Net | Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software).The net overhead expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0300/R1410–R2400 | Total | Total for different items for all life lines of business. |
| C0300/R2510 | Balance – other technical expenses/income | Net technical expenses/income not covered by above mentioned expenses/income and reduced by the amount ceded to reinsurance undertakings. Other technical expenses/income shall not be split by lines of business. Shall not include change in other technical provisions and non–technical expenses/income such as tax, interest expenses, losses on disposals, etc.The amount of net technical expenses/income shall be reported negative if the amount of technical income is larger than the amount of technical expenses. |
| C0300/R2600 | Total expenses | Amount of all technical expenses. |
| C0210 to C0280/R2700 | Total amount of surrenders | This amount represents the total amount of surrenders occurred during the year.This amount is also reported under claims incurred (item R1610). |
S.05.02 – Premiums, claims and expenses by country
a)The country where the insurance undertaking is established (home country) when the contract was not sold through a branch or freedom to provide services;
b)The country where the branch is located (host country) when the contract was sold through a branch;
c)The country where the freedom to provide services was notified (host country) when the contract was sold through freedom to provide services.
d)If an intermediary is used or in any other situation, it is a), b) or c) depending on who sold the contract.
—The information, provided by country, shall be completed for the five countries with the biggest amount of gross written premiums in addition to the home country or until reaching 90 % of the total gross written premiums;
—For the direct insurance business for the lines of business ‘Medical expense’, ‘Income protection’, ‘Workers’ compensation’, ‘Fire and other damage to property’ and ‘Credit and suretyship’ information shall be reported by country where the risk is situated as defined in Article 13(13) of Directive 2009/138/EC;
—For direct insurance business for all other lines of business, information shall be reported by country where the contract was entered into;
—For proportional and non–proportional reinsurance information shall be reported by country of localisation of the ceding undertaking.
General comments:
This section relates to the annual submission of information for groups. The template is not due when the thresholds for reporting by country described below are not applicable, i.e. the home country represents 90 % or more of the total gross written premiums.
This template shall be reported from an accounting perspective, i.e.: Local GAAP or IFRS (if accepted as local GAAP. Groups shall use the recognition and valuation basis as for the published financial statements, no new recognition or re–valuation is required, except for the classification between investment contracts and insurance contracts when this is applicable in the financial statements. This template shall include all insurance business regardless of the possible different classification between investment contracts and insurance contracts applicable in the financial statements.
This template covers only insurance and reinsurance business within the scope of the consolidated accounting perspective.
The following criteria for the classification by country shall be used:
For the purposes of this template ‘country where the contract was entered into’ means:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Non–life insurance and reinsurance obligations | ||
| C0020 to C0060/R0010 | Top 5 countries (by amount of gross premiums written) – non–life obligations | Identify the ISO 3166–1 alpha–2 code of the countries being reported for the non–life obligations. |
| C0080 to C0140/R0110 | Premiums written – Gross – Direct Business | Definition of premiums written provided in application of directive 91/674/EEC where applicable: gross premiums written shall comprise all amounts due during the reporting period in respect of insurance contracts, arising from direct business, regardless of the fact that such amounts may relate in whole or in part to a later reporting period. |
| C0080 to C0140/R0120 | Premiums written – Gross – Proportional reinsurance accepted | Definition of premiums written provided in application of directive 91/674/EEC where applicable: gross premiums written shall comprise all amounts due during the reporting period in respect of insurance contracts, arising from proportional reinsurance accepted business, regardless of the fact that such amounts may relate in whole or in part to a later reporting period. |
| C0080 to C0140/R0130 | Premiums written – Gross – Non proportional reinsurance accepted | Definition of premiums written provided in application of directive 91/674/EEC where applicable: gross premiums written shall comprise all amounts due during the reporting period in respect of insurance contracts, arising from non–proportional reinsurance accepted business, regardless of the fact that such amounts may relate in whole or in part to a later reporting period. |
| C0080 to C0140/R0140 | Premiums written – Reinsurers’ share | Definition of premiums written provided in application of directive 91/674/EEC where applicable: gross premiums written shall comprise all amounts ceded to reinsurers during the reporting period in respect of insurance contracts regardless of the fact that such amounts may relate in whole or in part to a later reporting period. |
| C0080 to C0140/R0200 | Premiums written – Net | Definition of premiums written provided in application of directive 91/674/EEC where applicable: the net premiums written represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0080 to C0140/R0210 | Premiums earned – Gross – Direct business | Definition of earned premiums provided in directive 91/674/EEC where applicable: it is the sum of gross premiums written minus the change in the gross provision for unearned premiums related to insurance direct business. |
| C0080 to C0140/R0220 | Premiums earned – Gross – Proportional reinsurance accepted | Definition of earned premiums provided in directive 91/674/EEC where applicable: it is the sum of gross premiums written minus the change in the gross provision for unearned premiums related to proportional reinsurance accepted business. |
| C0080 to C0140/R0230 | Premiums earned – Gross – Non proportional reinsurance accepted | Definition of earned premiums provided in directive 91/674/EEC where applicable: it is the sum of gross premiums written minus the change in the gross provision for unearned premiums related to non–proportional reinsurance accepted business. |
| C0080 to C0140/R0240 | Premiums earned – Reinsurers’ share | Definition of earned premiums provided in directive 91/674/EEC where applicable: it is the sum of reinsurer’s share in gross premiums written minus the change in the reinsurer’s share in provision for unearned premiums. |
| C0080 to C0140/R0300 | Premiums earned – Net | Definition of earned premiums provided in directive 91/674/EEC where applicable: it is the sum of gross premiums written minus the change in the gross provision for unearned premiums related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0080 to C0140/R0310 | Claims incurred Gross – Direct business | Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period related to insurance contracts arising from direct business.This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0080 to C0140/R0320 | Claims incurred Gross – Proportional reinsurance accepted | Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period related to insurance contracts arising from proportional reinsurance accepted.This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0080 to C0140/R0330 | Claims incurred – Gross – Non proportional reinsurance accepted | Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period related to insurance contracts arising from non–proportional reinsurance accepted.This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0080 to C0140/R0340 | Claims incurred – Reinsurers’ share | Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: it is the reinsurer’s share in sum of the claims paid and the change in the provision for claims during the reporting period.This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0080 to C0140/R0400 | Claims incurred – Net | Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.This shall exclude claims management expenses and the movement in provisions in claims management expenses. |
| C0080 to C0140/R0550 | Expenses incurred | All technical expenses incurred by the group during the reporting period, on accrual basis. |
| C0140/R1210 | Balance – other technical expenses/income | Other technical expenses not covered by above mentioned expenses and not split by lines of business.Shall not include non–technical expenses such as tax, interest expenses, losses on disposals, etc. |
| C0140/R1300 | Total technical expenses | Amount of all technical expenses corresponding to countries covered by this template. |
| Life insurance obligations | ||
| C0160 to C0200/R1400 | Top 5 countries (by amount of gross premiums written) – life obligations | Identify the ISO 3166–1 alpha–2 code of the countries being reported for the life obligations. |
| C0220 to C0280/R1410 | Premiums written – Gross | Definition of premiums written provided in application of directive 91/674/EEC where applicable: gross premiums written shall comprise all amounts due during the reporting period in respect of insurance contracts, arising from gross business, regardless of the fact that such amounts may relate in whole or in part to a later reporting period. |
| C0220 to C0280/R1420 | Premiums written – Reinsurers’ share | Definition of premiums written provided in application of directive 91/674/EEC where applicable: gross premiums written shall comprise all amounts ceded to reinsurers due during the reporting period in respect of insurance contracts regardless of the fact that such amounts may relate in whole or in part to a later reporting period. |
| C0220 to C0280/R1500 | Premiums written – Net | Definition of premiums written provided in application of directive 91/674/EEC where applicable: the net premiums written represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0220 to C0280/R1510 | Premiums earned – Gross | Definition of earned premiums provided in directive 91/674/EEC where applicable: it is the sum of gross premiums written minus the change in the gross provision for unearned premiums related to direct and reinsurance accepted gross business. |
| C0220 to C0280/R1520 | Premiums earned – Reinsurers’ share | Definition of earned premiums provided in directive 91/674/EEC where applicable: it is the reinsurer’s share in gross premiums written minus the change in the reinsurer’s share in provision for unearned premiums. |
| C0220 to C0280/R1600 | Premiums earned – Net | Definition of earned premiums provided in directive 91/674/EEC where applicable: it is the sum of gross premiums written minus the change in the gross provision for unearned premiums related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. |
| C0220 to C0280/R1610 | Claims incurred – Gross | Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period related to insurance contracts arising from the gross direct and reinsurance business.It excludes claims management expenses and the movement in provisions in claims management expenses. |
| C0220 to C0280/R1620 | Claims incurred – Reinsurers’ share | Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: it is the reinsurers’ share in the sum of the claims paid and the change in the provision for claims during the reporting period.It excludes claims management expenses and the movement in provisions in claims management expenses. |
| C0220 to C0280/R1700 | Claims incurred – Net | Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.It excludes claims management expenses and the movement in provisions in claims management expenses. |
| C0220 to C0280/R1900 | Expenses incurred | All technical expenses incurred by the group during the reporting period, on accrual basis. |
| C0280/R2510 | Balance – other technical expenses/income | Net technical expenses/income not covered by above mentioned expenses/income and reduced by the amount ceded to reinsurance undertakings. Other technical expenses/income shall not be split by lines of business.Shall not include change in other technical provisions and non–technical expenses/income such as tax, interest expenses, losses on disposals, etc.The amount of net technical expenses/income shall be reported negative if the amount of technical income is larger than the amount of technical expenses. |
| C0280/R2600 | Total technical expenses | Amount of all technical expenses corresponding to countries covered by this template. |
S.06.02 – List of assets
a)Cash shall be reported in one row per currency, for each combination of items C0060, C0070, C0080, and C0090;
a)through a decision of the national supervisory authority (‘NSA’) under Article 254(2) of the Directive 2009/138/EC; or
b)Transferable deposits (cash equivalents) and other deposits with maturity of less than one year shall be reported in one row per pair of bank and currency, for each combination of items C0060, C0070, C0080, C0090 and C0290;
b)through a decision of the national supervisory authority in the cases where the insurance and reinsurance undertakings have in place outsourcing arrangements in the area of investments that lead to this specific information not being available directly to the undertaking.
c)Mortgages and loans to individuals, including loans on policies, shall be reported in two rows, one row regarding loans to administrative, management and supervisory body, for each combination of items C0060, C0070, C0080, C0090 and C0290 and another regarding loans to other natural persons, for each combination of items C0060, C0070, C0080, C0090 and C0290;
d)Deposits to cedants shall be reported in one single line, for each combination of items C0060, C0070, C0080 and C0090;
e)Plant and equipment for the own use of the undertaking shall be reported in one single line, for each combination of items C0060, C0070, C0080 and C0090.
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;
—The assets held by the participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
—The assets held by the participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
—The assets held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
—The assets held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies under method 2 shall be reported item by item;
—The assets held by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;
—The assets held by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item by undertaking;
—The assets held by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;
—The assets held by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries under method 2 (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item by undertaking;
—Participations in undertakings consolidated in accordance with Article 335, paragraph 1, (d), (e) and (f) of Delegated Regulation (EU) 2015/35 shall be reported in one row and identify it by using the available options in cell C0310.
—Participations in insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are not subsidiaries (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported in one row for each participation;
—Participations in undertakings consolidated in accordance with Article 335, paragraph 1, (d), (e) and (f) of Delegated Regulation (EU) 2015/35 shall be reported in one row and identify it by using the available options in cell C0310;
—Participations in insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are not subsidiaries (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported in one row for each participation;
—The assets held by undertakings from the other financial sectors shall not be included.
—Participations in undertakings under method 2 shall be reported one row for each subsidiary and non–controlled participation held and identify it by using the available options in cell C0310.
—The assets held by the undertakings from the other financial sectors shall not be included.
General comments:
This section relates to the quarterly and annual submission of information for groups.
The asset categories referred to in this template are the ones defined in Annex IV – Assets Categories of this Regulation and references to Complementary Identification Code (‘CIC’) refer to Annex VI – CIC table of this Regulation.
This template shall reflect the list of all assets included in the Balance–sheet classifiable as asset categories 0 to 9 of Annex IV – Assets Categories of this Regulation. In particular in case of securities lending and repurchase agreements the underlying securities that are kept in the Balance–sheet shall be reported in this template.
This template contains an item–by–item list of assets held directly by the group (i.e. not on a look–through basis), classifiable as asset categories 0 to 9 (in case of unit–linked and index–linked products managed by the (re)insurance undertaking, the assets to be reported are also only the ones covered by asset categories 0 to 9, e.g. recoverables and liabilities related to these products shall not be reported), with the following exceptions:
All items shall be reported, except when otherwise stated in these instructions.
Items C0110, C0120, C0121, C0122, C0130, C0140,, C0190, C0200, C0230, C0270, C0280, C0310, C0370, C0380 are not applicable to CIC 09 – Other investments.
This template comprises two tables: Information on positions held and Information on assets.
On the table Information on positions held, each asset shall be reported separately in as many lines as needed in order to properly fill in all non-monetary variables with the exception of item ‘Quantity’, requested in that table. If for the same asset two values can be attributed to one variable, then this asset needs to be reported in more than one line.
On the table Information on assets, each asset shall be reported separately, with one row for each asset, filling in all applicable variables requested in that table.
The template is applicable for method 1 (Accounting consolidation–based method), method 2 (Deduction and aggregation method) and a combination of methods 1 and 2.
Where method 1 is used exclusively, the reporting shall reflect the consolidated position of the assets net of intra–group transactions held. The reporting shall be made as follows:
Where method 2 is used exclusively, the reporting shall include the detailed list of the assets held by the participating undertakings, the insurance holding companies and subsidiaries and one row for each non–controlled participation. The assets reported shall not take into account the proportional share used for group solvency calculation. The reporting shall be made as follows:
Where a combination of methods 1 and 2 is used, one part of the reporting reflects the consolidated position of the assets, net of intra–group transactions, which must be reported and the other part of the reporting shall include the detailed list of the assets held by the participating undertakings, the insurance holding companies or mixed–financial holding companies and subsidiaries and one row for each non–controlled participation, net of intra–group transactions and regardless of the proportional share used.
The first part of the reporting shall be made as follows:
The second part of the reporting shall include the detailed list of the assets held by the participating undertakings, the insurance holding companies and subsidiaries and one row for each non–controlled participation, regardless of the proportional share used. The reporting shall be made as follows:
The information regarding the external rating (C0320) and nominated External Credit Assessment Institutions (‘ECAI’) (C0330) may be limited (not reported) in the following circumstances:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Information on positions held | ||
| C0010 | Legal name of the undertaking | Identify the legal name of the undertaking within the scope of group supervision that holds the asset.This item shall be filled in only when it relates to assets held by participating undertakings, insurance holding companies, mixed–financial holding companies and subsidiaries under deduction and aggregation method. |
| C0020 | Identification code of the undertaking | Identification code by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non–EEA undertakings and non–regulated undertakings within the scope of group supervision, identification code will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, the group should comply with the following format in a consistent manner:identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits |
| C0030 | Type of code of the ID of the undertaking | Type of ID Code used for the ‘Identification code of the undertaking’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0040 | Asset ID Code | Asset ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time.When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code+EUR’ |
| C0050 | Asset ID Code Type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO 6166 for ISIN code2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertakingWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘99/1’. |
| C0060 | Portfolio | Distinction between life, non–life, shareholder’s funds, other internal funds, general (no split) and ring-fenced funds.Underlying assets of life technical provisions shall be assigned to life portfolio and underlying assets of non-life technical provisions shall be assigned to non-life portfolio (by applying the available most precise split).One of the options in the following closed list shall be used:1 – Life2 – Non–life3 – Ring fenced funds4 – Other internal funds5 – Shareholders’ funds6 – GeneralThe split is not mandatory, unless otherwise required by the national supervisory authority, except for identifying ring fenced funds, but shall be reported if the undertaking uses it internally. When an undertaking does not apply a split ‘general’ shall be used. |
| C0070 | Fund number | Applicable to assets held in ring fenced funds or other internal funds defined at national level, in particular regarding funds (asset portfolios) supporting life products.Number or code which is attributed by the undertaking, corresponding to the unique number or code assigned to each fund. This number or code has to be consistent over time and shall be used to identify the same funds in other templates (e.g. in S.08.01). It shall not be re–used for a different fund.The fund number is not mandatory, unless otherwise required by the national supervisory authority. |
| C0080 | Matching portfolio number | Number or code which is attributed by the undertaking, corresponding to the unique number or code assigned to each matching adjustment portfolio as prescribed in Article 77b(1)(a) of Directive 2009/138/EC. This number or code has to be consistent over time and shall be used to identify the matching adjustment portfolio in other templates. It shall not be re–used for a different matching adjustment portfolio. |
| C0090 | Asset held in unit linked and index linked contracts | Identify the assets that are held by unit linked and index linked contracts. One of the options in the following closed list shall be used:1 – Unit–linked or index–linked2 – Neither unit–linked nor index–linked |
| C0100 | Asset pledged as collateral | Identify assets kept in the undertaking’s balance–sheet that are pledged as collateral. For partially pledged assets two rows for each asset shall be reported, one for the pledged amount and another for the remaining part. One of the options in the following closed list shall be used for the asset:1 – Assets in the balance sheet that are collateral pledged2 – Collateral for reinsurance accepted3 – Collateral for securities borrowed4 – Repos9 – Not collateral |
| C0110 | Country of custody | ISO 3166–1 alpha–2 code of the country where undertaking assets are held in custody. For identifying international custodians, such as Euroclear, the country of custody will be the one where the custody service was contractually defined.In case of the same asset being held in custody in more than one country, each asset shall be reported separately in as many rows as needed in order to properly identify all countries of custody.This item is not applicable for CIC category 8 – Mortgages and Loans, CIC 71, CIC 75 and for CIC 95 – Plant and equipment.Regarding CIC Category 9, excluding CIC 95 – Plant and equipment (for own use), the country of custody corresponds to the issuer country, which is assessed by the address of the property. |
| C0120 | Custodian | Name of the financial institution that is the custodian.In case of the same asset being held in custody in more than one custodian, each asset shall be reported separately in as many rows as needed in order to properly identify all custodians.For assets stored in-house, the insurance undertaking shall be reported as the custodian.When available, this item corresponds to the entity name in the LEI database. When this is not available corresponds to the legal name.This item is not applicable for CIC category 8 – Mortgages and Loans, CIC 71, CIC 75, CIC 09 and for CIC 9 – Property and to any other assets that due to their nature are not held in custody.For assets where there is no custodian or when this item is not applicable, report ‘No custodian’. |
| C0121 | Code of custodian | Identification of the custodian code using the LEI if available.If none is available this item shall not be reported. |
| C0122 | Type of code of custodian | Identification of the type of code used for the ‘Code of custodian’ item. One of the options in the following closed list shall be used:1 – LEI9 – None |
| C0130 | Quantity | Number of assets, for relevant assets.This item shall not be reported if item Par amount (C0140) is reported.This item is not applicable for CIC 71 and 09 and CIC category 9 – Property. |
| C0140 | Par amount | Amount outstanding measured at par amount, for all assets where this item is relevant, and at nominal amount for CIC = 72, 73, 74, 75, 79 and CIC Category 8 – Mortgages and Loans. This item is not applicable for CIC 71, 09 and CIC category 9 – Property. This item shall not be reported if item Quantity (C0130) is reported. |
| C0145 | Long-term equity investment | Only applicable to CIC categories 3 – Equity and 4 – Collective Investment Undertakings.Identify if an equity or collective investment undertaking is classified under the provisions of Art. 171a. of Delegated Regulation (EU) 2015/35. One of the options in the following closed list shall be used:1 – Yes2 – No9 – Not applicable |
| C0150 | Valuation method | Identify the valuation method used when valuing assets. One of the options in the following closed list shall be used:1 – quoted market price in active markets for the same assets2 – quoted market price in active markets for similar assets3 – alternative valuation methods4 – adjusted equity methods (applicable for the valuation of participations)5 – IFRS equity methods (applicable for the valuation of participations)6 – Market valuation according to Article 9(4) of Delegated Regulation (EU) 2015/35 |
| C0160 | Acquisition value | Total acquisition value for assets held, clean value without accrued interest. Not applicable to CIC categories 7 – Cash and deposits and 8 – Mortgages and Loans. |
| C0170 | Total Solvency II amount | Value calculated as defined by Article 75 of the Directive 2009/138/EC, which corresponds to:the multiplication of Par amount (principal amount outstanding measured at par amount or nominal amount) by Unit percentage of par amount Solvency II price plus Accrued interest, for assets where the first two items are relevant;the multiplication of Quantity by Unit Solvency II price, for assets where these two items are relevant (plus Accrued interest if applicable);Solvency II value of the asset for assets classifiable under CIC 71 and CIC category 9 – Property. |
| C0180 | Accrued interest | Quantify the amount of accrued interest after the last coupon date for interest bearing assets. Note that this value is also part of item Total Solvency II amount. |
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Information on assets | ||
| C0040 | Asset ID Code | Asset ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time.When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code+EUR’ |
| C0050 | Asset ID Code Type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO 6166 for ISIN code2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertakingWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code+currency: ‘99/1’. |
| C0190 | Item Title | Identify the reported item by filling the name of the asset (or the address in case of property), with the detail settled by the undertaking.The following shall be considered:Regarding CIC 87 and CIC 88, this item shall contain Loans to AMSB members i.e. loans to the Administrative, Management and Supervisory Body (AMSB) or Loans to other natural persons, according to its nature, as those assets are not required to be individualised. Loans to other than natural persons shall be reported line–by–line.This item is not applicable for CIC 95 – Plant and equipment (for own use) as those assets are not required to be individualised, CIC 71 and CIC 75 (unless required by the national supervisory authority).For property the country ISO Alpha-2 + postal code + city + street name + street number) of the property held or the latitude & longitude or the CRESTA/NUTS region of the property investment shall be reported: administrative boundaries (e.g. province or county boundaries, e.g. NUTS3 level) or merged postal code areas (e.g. first-two-digit postal code areas, similar to CRESTA 2019[2] low resolution zones). |
| C0200 | Issuer Name | Name of the issuer, defined as the entity that issues assets to investors.When available, this item corresponds to the entity name in the LEI database. When this is not available corresponds to the legal name.The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the issuer name is the name of the fund manager (entity). The authorised management company who can be responsible and is responsible for managing the fund is the one to be reported regardless if some activities have been outsourced, including the actual management of the portfolio, i.e. the decision on buying/selling;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer name is the name of the depositary entity;Regarding CIC 87 and CIC 88, this item shall contain Loans to AMSB members or Loans to other natural persons, according to its nature, as those assets are not required to be individualised;Regarding CIC category 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the information shall relate to the borrower;This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property. |
| C0210 | Issuer Code | Identification of the issuer using the Legal Entity Identifier (LEI) if available.If none is available this item shall not be reported.The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the issuer code is the code of the fund manager (entity). The authorised management company who can be responsible and is responsible for managing the fund is the one to be reported regardless if some activities have been outsourced, including the actual management of the portfolio, i.e. the decision on buying/selling;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer code is the code of the depositary entityRegarding CIC category 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the information shall relate to the borrower;This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property;This item is not applicable to CIC 87 and CIC 88. |
| C0220 | Type of issuer code | Identification of the type of code used for the ‘Issuer Code’ item. One of the options in the following closed list shall be used:1 – LEI9 – NoneThis item is not applicable to CIC 87 and CIC 88.This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property. |
| C0230 | Issuer Sector | Identify the economic sector of issuer based on the latest version of the Statistical classification of economic activities in the European Community (‘NACE’) code (as published in an EC Regulation). For NACE sections A to N full four-digit reporting of the NACE codes is required, i.e. the letter identifying the Section followed by the 4 digits code for the class shall be used (e.g. ‘K6411’). For the remaining sections the letter reference of the NACE code identifying the Section shall be used as a minimum for identifying sectors (e.g. ‘P’ or ‘P8501’ would be acceptable).The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the issuer sector is the sector of the fund manager;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer sector is the sector of the depositary entityRegarding CIC category 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the information shall relate to the borrower;This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 – Property;This item is not applicable to CIC 87 and CIC 88. |
| C0240 | Issuer Group | Name of issuer’s ultimate parent entity. For collective investment undertakings the ultimate parent of the fund manager (entity) shall be reported.When available, this item corresponds to the entity name in the LEI database. When this is not available corresponds to the legal name.The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the ultimate parent of the fund manager (entity) shall be reported;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the group relation relates to the depositary entityRegarding CIC category 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the group relation relates to the borrower;This item is not applicable for CIC 87 and CIC 88;This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 – Property;This item is not applicable for bonds issued by:a central government,a local government,a government agency,a central bank,the group/entity itself,a supranational organisation (as long as no issuer group exists). |
| C0250 | Issuer Group Code | Issuer group’s identification using the LEI if available.If none is available, this item shall not be reported.The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the ultimate parent of the fund manager (entity) shall be reported;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the group relation relates to the depositary entityRegarding CIC category 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the group relation relates to the borrower;This item is not applicable for CIC 87 and CIC 88;This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 – Property;This item is not applicable for bonds issued by:a central government,a local government,a government agency,a central bank,the group/entity itself,a supranational organisation (as long as no issuer group exists). |
| C0260 | Type of issuer group code | Identification of the code used for the ‘Issuer Group Code’ item. One of the options in the following closed list shall be used:1 – LEI9 – None |
| C0270 | Issuer Country | ISO 3166–1 alpha–2 code of the country of localisation of the issuer.The localisation of the issuer is assessed by the address of the entity issuing the asset.The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the issuer country is the country of the fund manager (entity);Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer country is the country of the depositary entityRegarding CIC 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the information shall relate to the borrower;This item is not applicable to CIC 87 and CIC 88;This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 – Property.One of the options shall be used:ISO 3166–1 alpha–2 code;XA: Supranational issuers (public institutions established by a commitment between national states, e.g. securities issued by a multilateral development bank as referred to in paragraph 2 of Article 117 of Regulation (EU) No 575/2013 or securities issued by an international organisation referred to in Article 118 of Regulation (EU) No 575/2013, with exemption of European Union Institutions);EU: European Union Institutions (as defined in Article 13 of the Treaty on European Union. |
| C0280 | Currency | Identify the ISO 4217 alphabetic code of the currency of the issue.The following shall be considered:This item is not applicable for CIC 87 and CIC 88, as those assets are not required to be individualised), CIC 75, CIC 09 and for CIC 95 – Plant and equipment (for own use) for the same reason;Regarding CIC Category 9 – Property, excluding CIC 95 – Plant and equipment (for own use), the currency corresponds to the currency in which the investment was made. |
| C0290 | CIC | Complementary Identification Code used to classify assets, as set out in Annex VI – CIC Table of this Regulation. When classifying an asset using the CIC table, undertakings shall take into consideration the most representative risk to which the asset is exposed to.The parent undertaking shall check and ensure that the CIC code used for the same security from different undertakings is the same in the group reporting. |
| C0293 | Bail-in rules | Identify if the asset is subject to bail-in rules, in line with Articles 43 and 44 of Directive 2014/59/EU (the Bank Recovery and Resolution Directive – BRRD).One of the options in the following closed list shall be used:1 – Yes;2 – No;9 – Not applicable. |
| C0294 | Regional Governments and Local Authorities (RGLA) | Identify assets issued or guaranteed by Regional Governments and Local Authorities (RGLA) listed and not listed in the Implementing Regulation (EU) 2015/2011, regarding assets classifiable with CIC 13 and 14.One of the options in the following closed list shall be used:1 – Listed in Implementing Regulation (EU) 2015/2011;2 – Not listed in Implementing Regulation (EU) 2015/2011;9 – Not applicable. |
| C0295 | Crypto-assets | Identify assets linked to crypto-assets.Crypto-asset means a digital representation of value or rights which may be transferred and stored electronically, using distributed ledger technology or similar technology.One of the options in the following closed list shall be used:1 – Electronic money token – a type of crypto-asset the main purpose of which is to be used as a means of exchange and that purports to maintain a stable value by referring to the value of a fiat currency that is legal tender;2 – Asset-referenced token – a type of crypto-asset that purports to maintain a stable value by referring to the value of several fiat currencies that are legal tender, one or several commodities or one or several crypto-assets, or a combination of such assets;3 – Utility token – a type of crypto-asset which is intended to provide digital access to a good or service, available on DLT, and is only accepted by the issuer of that token;4 – Other crypto-assets;5 – No. |
| C0296 | Property type | Identify property type, according to ESRB Recommendation of 21 March 2019 amending Recommendation ESRB/2016/14 on closing real estate data gaps.One of the options in the following closed list shall be used:1 – Residential, e.g. multi-household premises;2 – Retail, e.g. hotels, restaurants, shopping malls;3 – Offices, e.g. a property primarily used as professional or business offices;4 – Industrial, e.g. property used for the purposes of production, distribution and logistics;5 – Other types of commercial property;9 – Not applicable.If a property has a mixed use, it shall be considered as different properties (based for example on the surface areas dedicated to each use) whenever it is feasible to make such breakdown; otherwise, the property can be classified according to its dominant use.This item is only applicable to CIC category 9 – Property |
| C0297 | Property location | Identify property location, according to ESRB Recommendation of 21 March 2019 amending Recommendation ESRB/2016/14 on closing real estate data gaps.One of the options in the following closed list shall be used:1 – Prime;2 – Non-prime;9 – Not applicable.This item is only applicable to CIC category 9 – Property |
| C0300 | Infrastructure investment | Identify if the asset is an infrastructure investment as defined in Article 1 (55a) and (55b) of Delegated Regulation (EU) 2015/35.One of the options in the following closed list shall be used:1 – Not an infrastructure investment2 – Infrastructure non-qualifying: Government Guarantee (Government, Central bank, Regional government or local authority)3 – Infrastructure non-qualifying: Government Supported including Public Finance initiative (Government, Central bank, Regional government or local authority)4 – Infrastructure non-qualifying: Supranational Guarantee/Supported (ECB, Multilateral development bank, International organisation)9 – Infrastructure non-qualifying: Other non-qualifying infrastructure loans or investments, not classified under the above categories12 – Infrastructure qualifying: Government Guarantee (Government, Central bank, Regional government or local authority)13 – Infrastructure qualifying: Government Supported including Public Finance initiative (Government, Central bank, Regional government or local authority)14 – Infrastructure qualifying: Supranational Guarantee/Supported (ECB, Multilateral development bank, International organisation)19 – Infrastructure qualifying: Other qualifying infrastructure investments, not classified in the above categories.20 – European Long-Term Investment Fund (ELTIF investing in infrastructure assets and ELTIF investing in other – non infrastructure – assets) |
| C0310 | Holdings in related undertakings, including participations | Only applicable to CIC categories 3 – Equity and 4 – Collective Investment Undertakings.Identify if an equity and other share is a participation.One of the options in the following closed list shall be used:1 – Not a participation2 – Non–controlled participation in a related insurance and reinsurance undertaking under method 13 – Non–controlled participation in related insurance and reinsurance undertaking under method 24 – Participation in other financial sector5 – Subsidiary under method 26 – Participation in other strategic related undertaking under method 17 – Participation in other non–strategic related undertaking under method 18 – Other participations (e.g. participation in other undertakings under method 2) |
| C0320 | External rating | Applicable at least to CIC categories 1 – Government bonds, 2 – Corporate bonds, 5 – Structured notes, 6 – Collateralised securities, CIC 87 and CIC 88, where available.This is the issue rating of the asset at the reporting reference date as provided by the nominated credit assessment institution (ECAI).If an issue rating is not available, the item shall be left blank.In case ‘Multiple ECAI’ is reported in C0330 report the most representative external rating. |
| C0330 | Nominated ECAI | Identify the credit assessment institution (ECAI) giving the external rating in C0320, by using the name of the ECAI as published on ESMA’s website. In case of ratings issued by subsidiaries of the ECAI please report the parent ECAI (the reference is made to ESMA list of credit rating agencies registered or certified in accordance with Regulation (EC) No 1060/2009 on credit rating agencies).Applicable at least to CIC categories 1 – Government bonds, 2 – Corporate bonds, 5 – Structured notes, 6 – Collateralised securities and 8 – Mortgages and Loans, (other than CIC 87 and CIC 88), where available.This item shall be reported where External rating (C0320) is reported. In case ‘No ECAI has been nominated and a simplification is used to calculate the SCR’, the External rating (C0320) shall be left blank and in Credit quality step (C0340) one of the following options shall be used: 2a; 3a or 3b. |
| C0340 | Credit quality step | Applicable to any asset for which Credit quality step needs to be attributed for the purpose of SCR calculation.Identify the credit quality step attributed to the asset, as defined by Article 109a(1) of Directive 2009/138/EC, by applying the mapping table prescribed in Implementing Regulation (EU) 2016/1800.The credit quality step shall in particular reflect any readjustments to the credit quality made internally by the undertakings that use the standard formula.This item is not applicable to assets for which undertakings using internal model use internal ratings. If undertakings using internal model do not use internal rating, this item shall be reported.One of the options in the following closed list shall be used:0 – Credit quality step 01 – Credit quality step 12 – Credit quality step 22a – Credit quality step 2 due to the application of Article 176a of Delegated Regulation (EU) 2015/35 for unrated bonds and loans3 – Credit quality step 33a – Credit quality step 3 due to the application of simplified calculation under Article 105a of Delegated Regulation (EU) 2015/353b – Credit quality step 3 due to the application of Article 176a of Delegated Regulation (EU) 2015/35 for unrated bonds and loans4 – Credit quality step 45 – Credit quality step 56 – Credit quality step 69 – No rating available |
| C0350 | Internal rating | Applicable at least to CIC categories 1- Government bonds, 2 – Corporate bonds, 5 – Structured notes, 6 – Collateralised securities and 8 – Mortgages and Loans, (other than CIC 87 and CIC 88), where available.Internal rating of assets for undertakings using internal ratings.For undertakings applying a matching adjustment the item shall be reported to the extent that the internal ratings are used to calculate the fundamental spread referred to in Article 77c(2). |
| C0360 | Duration | Only applies to CIC categories 1 – Government bonds, 2 – Corporate bonds, 4 – Collective Investments Undertakings (when applicable, e.g. for collective investment undertaking mainly invested in bonds), 5 – Structured notes and 6 – Collateralised securities.Asset duration, defined as the ‘residual modified duration’ (modified duration calculated based on the remaining time for maturity of the security, counted from the reporting reference date). For assets without fixed maturity the first call date shall be used but the probability of the call option being exercised shall be taken into account. The duration shall be calculated based on economic value. |
| C0370 | Unit Solvency II price | Amount in reporting currency for the asset, if relevant.This item shall be reported if a ‘quantity’ (C0130) has been provided in the first part of the template (‘Information on positions held’).This item shall not be reported if item Unit percentage of par amount Solvency II price (C0380) is reported. |
| C0380 | Unit percentage of par amount Solvency II price | Amount in percentage of par value, clean price without accrued interest, for the asset, if relevant.This item shall be reported if a ‘par amount’ information (C0140) has been provided in the first part of the template (‘Information on positions held’) except for CIC 71 and CIC category 9 – Property.This item shall not be reported if item Unit Solvency II price (C0370) is reported. |
| C0390 | Maturity date | Only applicable for CIC categories 1 – Government bonds, 2 – Corporate bonds, 5 – Structured notes, 6 – Collateralised securities, and 8 – Mortgages and Loans, CIC 74 and CIC 79.Identify the ISO 8601 (yyyy–mm–dd) code of the maturity date.It corresponds always to the maturity date, even for callable securities.The following shall be considered:For perpetual securities use 9999–12–31;For CIC 87 and CIC 88, the weighted (based on the loan amount) remaining maturity is to be reported. |
S.06.03 – Collective investment undertakings – look–through approach
General comments:
This section relates to the quarterly and annual submission of information for groups.
This template contains information on the look through of collective investment undertakings, or investments packaged as funds and similar undertakings, including when they are participations by underlying asset category, country of issue and currency. Considering proportionality and specific instructions of the template, the look through shall be performed until the asset categories, countries and currencies are identified. In case of funds of funds the look–through shall follow the same approach.
The template shall include information corresponding to 100 % of the value invested in collective investment undertakings. However for the identification of countries the look–through shall be implemented in order to identify the exposures of 90 % of the total value of the funds minus the amounts related to CIC 8 and 9, and for the identification of currencies the look–through shall be implemented in order to identify the exposures of 90 % of the total value of the funds. Groups shall ensure that the 10 % not identified by country is diversified across geographical areas, for example that not more than 5 % is in one single country. The look-through shall be applied by groups starting from the major, considering the amount invested, to the lowest single fund and the approach shall be kept consistent over time.
Quarterly information shall only be reported when the ratio of collective investments undertakings held by the group to total investments, measured as the ratio between item C0010/R0180 of template S.02.01 plus collective investments undertakings included in item C0010/R0220 of template S.02.01 plus collective investments undertakings included in item C0010/R0090 and the sum of item C0010/R0070 and C0010/RC0220 of template S.02.01, is higher than 30 % when method 1 as defined in Article 230 of Directive 2009/138/EC is used exclusively. When method 1 is used in combination with method 2 as defined in Article 233 of Directive 2009/138/EC or method 2 is used exclusively the ratio needs to be adjusted in order to capture the items of all entities included in the scope of template S.06.02.
Items shall be reported with positive values unless otherwise stated in the respective instructions.
The asset categories referred to in this template are the ones defined in Annex IV – Assets Categories of this Regulation and references to CIC codes refer to Annex VI – CIC table of this Regulation.
This template shall include the look–through of all collective investment undertakings, or investments packaged as funds and similar undertakings, including when they are participations by underlying asset category, reported item–by–item in S.06.02. If one collective investment undertaking, or investment packaged as fund and similar undertaking is held by many undertakings, in this template it shall be reported only once.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Collective Investments Undertaking ID Code | Asset ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the group, when the options above are not available, and must be consistent over time. |
| C0020 | Collective Investments Undertaking ID Code type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO/6166 for ISIN2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the group |
| C0030 | Underlying asset category | Identify the assets categories, receivables and derivatives within the collective investment undertaking. One of the options in the following closed list shall be used:1 – Government bonds2 – Corporate bonds3L – Listed equity3X – Unlisted equity4 – Collective Investment Undertakings5 – Structured notes6 – Collateralised securities7 – Cash and deposits8 – Mortgages and loans9 – Properties0 – Other investments (including receivables)A – FuturesB – Call OptionsC – Put OptionsD – SwapsE – ForwardsF – Credit derivativesL – LiabilitiesCategory ‘4 – Collective Investment Units’ shall be used only for non–material residual values for both ‘funds of funds’ and any other fund. |
| C0040 | Country of issue | Breakdown of each asset category identified in C0030 by issuer country. Identify the country of localisation of the issuer.The localisation of the issuer is assessed by the address of the entity issuing the asset.One of the options shall be used:ISO 3166–1 alpha–2 codeXA: Supranational issuersEU: European Union InstitutionsAA: aggregated countries due to application of thresholdThis item is not applicable to Categories 7, 8 and 9 as reported in C0030. |
| C0050 | Currency | Identify whether the currency of the asset category is the reporting currency or a foreign currency. All other currencies than the reporting currency are referred to as foreign currencies. One of the options in the following closed list shall be used:1 – Reporting currency2 – Foreign currency3 – Aggregated currencies due to application of threshold |
| C0060 | Total amount | Total amount invested by asset category, country and currency through collective investment undertakings.For liabilities a positive amount shall be reported, unless the item is a derivative liability.For derivatives the Total amount can be positive (if an asset) or negative (if a liability). |
S.07.01 – Structured products
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;
—The structured products held directly by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
—The structured products held directly by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item
—The structured products held directly by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
—The structured products held directly by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies under method 2 shall be reported item by item;
—The structured products held by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;
—The structured products held by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item by undertaking;
—The structured products held by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;
—The structured products held by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries under method 2 (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area)shall be reported item by item by undertaking;
—The structured products held by other related undertakings shall not be included.
—The structured products held by other related undertakings shall not be included.
—The structured products held by other related undertakings shall not be included
—The structured products held by other related undertakings under method 2 shall not be included.
General comments:
This section relates to the annual submission of information for groups.
The asset categories referred to in this template are the ones defined in Annex IV – Assets Categories of this Regulation and references to CIC codes refer to Annex VI – CIC table of this Regulation.
Structured products are defined as assets falling into the asset categories 5 (Structured notes) and 6 (Collateralised securities).
This template shall only be reported when the amount of structured products, measured as the ratio between assets classified as asset categories 5 (Structured notes) and 6 (Collateralised securities) as defined in Annex IV – Asset Categories of this Regulation and the sum of item C0010/R0070 and C0010/R0220 of template S.02.01, is higher than 5 % when method 1 as defined in Article 230 of Directive 2009/138/EC is used exclusively. When method 1 is used in combination with method 2 as defined in Article 233 of Directive 2009/138/EC or method 2 is used exclusively the ratio needs to be adjusted in order to capture the items of all entities included in the scope of template S.06.02.
In some cases the types of structured products (C0070) identify the derivative embedded in the structured product. In this case this classification shall be used when the structured product has the referred derivative embedded.
The template is applicable for method 1 (Accounting consolidation–based method), method 2 (Deduction and aggregation method) and a combination of methods 1 and 2.
Where method 1 is used exclusively, the reporting shall reflect the consolidated position of the structured notes and collateralised securities net of intra–group transactions held within the scope of group supervision in its portfolio. The reporting shall be made as follows:
Where method 2 is used exclusively, the reporting shall include the detailed list of the structured notes and collateralised securities held by the participating undertakings, the insurance holding companies or mixed–financial holding companies and subsidiaries, and regardless of the proportional share used. The reporting shall be made as follows:
Where a combination of methods 1 and 2 is used, one part of the reporting reflects the consolidated position of the structured notes and collateralised securities, net of intra–group transactions, held within the scope of group supervision which must be reported and the other part of the reporting shall include the detailed list of the structured notes and collateralised securities held by the participating undertakings, the insurance holding companies or mixed–financial holding companies and subsidiaries, regardless of the proportional share used.
The first part of the reporting shall be made as follows:
The second part of the reporting shall be made as follows:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Legal name of the undertaking | Identify the legal name of the undertaking within the scope of group supervision that holds the structured product.This item shall be filled in only when it relates to structured products held by participating undertakings, insurance holding companies or mixed–financial holding companies and subsidiaries under deduction and aggregation method. |
| C0020 | Identification code of the undertaking | Identification code by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI codeSpecific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non–EEA undertakings and non–regulated undertakings within the scope of group supervision, identification code will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, the group should comply with the following format in a consistent manner:identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits |
| C0030 | Type of code of the ID of the undertaking | Type of ID Code used for the ‘Identification code of the undertaking’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0040 | Asset ID Code | The Identification code of the structured product, as reported in S.06.02 using the following priority:ISO 6166 ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available. The code used shall be kept consistent over time and shall not be reused for other product.When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code+EUR’ |
| C0050 | Asset ID Code type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO/6166 for ISIN2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertakingWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘99/1’. |
| C0060 | Collateral type | Identify the type of collateral, using the assets categories defined in Annex IV – Assets Categories. One of the options in the following closed list shall be used:1 – Government bonds2 – Corporate bonds3 – Equity4 – Collective Investment Undertakings5 – Structured notes6 – Collateralised securities7 – Cash and deposits8 – Mortgages and loans9 – Properties0 – Other investments10 – No collateralWhen more than one category of collateral exists for one single structured product, the most representative one shall be reported. |
| C0070 | Type of structured product | Identify the type of structure of the product. One of the options in the following closed list shall be used:1 – Credit linked notesSecurity or deposit with an embedded credit derivative (e.g. credit default swaps or credit default options)2 – Constant maturity swaps(security with an embedded interest rate swap (IRS), where the floating interest portion is reset periodically according to a fixed maturity market rate.)3 – Asset backed securities(security that has an asset as collateral.)4 – Mortgage backed securities(security that has real estate as collateral.)5 – Commercial mortgage backed securities(security that has real estate as collateral such as retail properties, office properties, industrial properties, multifamily housing and hotels.)6 – Collateralised debt obligations(structured debt security backed by a portfolio consisting of secured or unsecured bonds issued by corporate or sovereign obligators, or secured or unsecured loans made to corporate commercial and industrial loan costumers of lending banks.)7 – Collateralised loan obligations(security that has as underlying a trust of a portfolio of loans where the cash–flows from the security are derived from the portfolio.)8 – Collateralised mortgage obligations(investment–grade security backed by a pool of bonds, loans and other assets.)9 – Interest rate–linked notes and deposits10 – Equity–linked and Equity Index Linked notes and deposits11 – FX and commodity–linked notes and deposits12 – Hybrid linked notes and deposits(it includes real estate and equity securities)13 – Market–linked notes and deposits14 – Insurance–linked notes and deposits, including notes covering Catastrophe and Weather Risk as well as Mortality Risk99 – Others not covered by the previous options |
| C0080 | Capital protection | Identify whether the product has capital protection. One of the options in the following closed list shall be used:1 – Full capital protection2 – Partial capital protection3 – No capital protection |
| C0090 | Underlying security/index/portfolio | Describe the type of underlying. One of the options in the following closed list shall be used:1 – Equity and Funds (a selected group or basket of equities)2 – Currency (a selected group or basket of currencies)3 – Interest rate and yields (bond indices, yield curves, differences in prevailing interest rates on shorter and longer–term maturities, credit spreads, inflation rates and other interest rate or yield benchmarks)4 – Commodities (a selected, basic good or group of goods)5 – Index (performance of a selected index)6 – Multi (allowing for a combination of the possible types listed above)9 – Others not covered by the previous options (e.g. other economic indicators) |
| C0100 | Callable or Putable | Identify whether the product has call and/or put features, or both, if applicable. One of the options in the following closed list shall be used:1 – Call by the buyer2 – Call by the seller3 – Put by the buyer4 – Put by the seller5 – Any combination of the previous options6 – Not applicable |
| C0110 | Synthetic structured product | Identify if it is a structured products without any transfer of assets (e.g. products that will not give rise to any delivery of assets, except cash, if an adverse/favourable event occurs). One of the options in the following closed list shall be used:1 – Structured product without any transfer of asset2 – Structured product with transfer of asset |
| C0120 | Prepayment structured product | Identify if it is a structured products which have the possibility of prepayment, considered as an early unscheduled return of principal. One of the options in the following closed list shall be used:1 – Prepayment structured product2 – Not a prepayment structured product |
| C0130 | Collateral value | Total amount of collateral attached to the structured product despite the nature of the collateral.In case of collateralisation on a portfolio basis, only the value referred to the single contract must be reported and not the total. |
| C0140 | Collateral portfolio | This item informs if the collateral to the structured product covers only one structured product or more than one structured product that is held by the undertaking. Net positions refer to the positions held on structured products. One of the options in the following closed list shall be used:1 – Collateral calculated on the basis of net positions resulting from a set of contracts2 – Collateral calculated on the basis of a single contract10 – No collateral |
| C0150 | Fixed annual return | Identify the coupon (reported as a decimal), if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). |
| C0160 | Variable annual return | Identify variable rate of return if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). It is most commonly identified as a benchmark market rate plus a spread, or as dependent on the performance of a portfolio or index (underlying dependent) or more complex returns set by the path of the underlying asset’s price (path dependent), among others. When needed this item may be reported as a string to reflect how the return is calculated. |
| C0170 | Loss given default | The percentage (reported as a decimal,) of the invested amount that will not be recovered following default, if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities).If information is not defined in the contract this item shall not be reported. This item is not applicable for non–credit structured product. |
| C0180 | Attachment point | The contractually defined loss percentage (reported as a decimal) above which the losses affect the structured product, if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). This item is not applicable for non–credit structured product. |
| C0190 | Detachment point | The contractually defined loss percentage (reported as a decimal) above which the losses seize to affect the structured product, if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). This item is not applicable for non–credit structured product. |
S.08.01 – Open derivatives
a)Its value changes in response to the change in a specified interest rate, financial instrument price, commodity price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided in the case of a non–financial variable that the variable is not specific to a party to the contract (sometimes called the ‘underlying’).
a)through a decision of the national supervisory authority under Article 254(2) of the Directive 2009/138/EC; or
b)It requires no initial net investment or an initial net investment that is smaller than would be required for other types of contracts that would be expected to have a similar response to changes in market factors.
b)through a decision of the national supervisory authority in the cases where the insurance and reinsurance undertakings have in place outsourcing arrangements in the area of investments that lead to this specific information not being available directly to the undertaking.
c)It is settled at a future date.
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;
—The derivatives held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
—The derivatives held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
—The derivatives held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
—The derivatives held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies under method 2 shall be reported item by item;
—The derivatives held by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;
—The derivatives held by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item by undertaking;
—The derivatives held by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;
—The derivatives held by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries under method 2 (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item by undertaking;
—The derivatives held by other related undertakings shall not be included
—The derivatives held by other related undertakings shall not be included.
—The derivatives held by other related undertakings shall not be included.
—The derivatives held by other related undertakings under method 2 shall not be included.
General comments:
This section relates to the quarterly and annual submission of information for groups.
The derivatives categories referred to in this template are the ones defined in Annex IV – Assets Categories of this Regulation and references to CIC codes refer to Annex VI – CIC table of this Regulation. This template contains an item–by–item list of derivatives held directly by the group (i.e. not on a look–through basis), classifiable as asset categories A to F.
This template covers derivatives traded on a stock exchange or equivalent centralised market, as well as derivatives traded over-the-counter.
When a derivative is traded on a stock exchange or equivalent centralised market, the counterparty is that a stock exchange or equivalent centralised market and not the end-counterparty, as is the case for derivatives traded over-the-counter.
Derivatives are considered assets if their Solvency II value is positive or zero. They are considered liabilities if their Solvency II value is negative. Both derivatives considered as assets or considered as liabilities shall be included.
Information shall include all derivatives contracts that existed during the reporting period and were not closed prior to the reporting reference date.
If there are frequent trades on the same derivative, resulting in multiple open positions, the derivative can be reported on an aggregated or net basis, as long as all the relevant characteristics are common and following the specific instruction for each relevant item.
Items shall be reported with positive values unless otherwise stated in the respective instructions.
A derivative is a financial instrument or other contract with all three of the following characteristics:
This template comprises two tables: Information on positions held and Information on derivatives.
On the table Information on positions held, each derivative shall be reported separately in as many rows as needed in order to properly fill in all non-monetary variables, requested in that table. If for the same derivative two values can be attributed to one variable, then this derivative needs to be reported in more than one line.
In particular, for derivatives that have more than a pair of currencies, it shall be split into the pair components and reported in different rows.
On the table Information on derivative, each derivative shall be reported separately, with one row for each derivative, filling in all variables requested in that table.
Where method 1 is used exclusively, the reporting shall reflect the consolidated position of the derivatives net of intra–group transactions held within the scope of group supervision. The reporting shall be made as follows:
Where method 2 is used exclusively, the reporting shall include the detailed list of the derivatives held by the participating undertakings, the insurance holding companies or mixed–financial holding companies and subsidiaries, regardless of the proportional share used. The reporting shall be made as follows:
Where a combination of methods 1 and 2 is used, one part of the reporting shall reflect the consolidated position of the derivatives, net of intra–group transactions held within the scope of group supervision which must be reported and the other part of the reporting shall include the detailed list of the derivatives held by the participating undertakings, the insurance holding companies or mixed–financial holding companies and subsidiaries, regardless of the proportional share used.
The first part of the reporting shall be made as follows:
The second part of the reporting shall be made as follows:
The information regarding the External rating (C0290) and Nominated ECAI (C0300) may be limited (not reported) in the following circumstances:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Information on positions held | ||
| C0010 | Legal name of the undertaking | Identify the legal name of the undertaking within the scope of group supervision that holds the derivative.This item shall be filled in only when it relates to derivatives held by participating undertakings, insurance holding companies, mixed–financial holding companies and subsidiaries under deduction and aggregation method. |
| C0020 | Identification code of the undertaking | Identification code by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non–EEA undertakings and non–regulated undertakings within the scope of group supervision, identification code will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, the group should comply with the following format in a consistent manner:identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits |
| C0030 | Type of code of the ID of the undertaking | Type of ID Code used for the ‘Identification code of the undertaking’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0040 | Derivative ID Code | Derivative ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available, and must be consistent over time |
| C0041 | Unique Transaction Identifiers | Identify the Trade IDs used in the trade reports to trade repositories according to Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories.As many Trade IDs as needed to build the position being reported should be reported in this item. The trade IDs shall be reported separated by commas.This item shall be reported with ‘No ID’ when the derivative not in the scope of Regulation (EU) No 648/2012. |
| C0050 | Derivative ID Code type | Type of ID Code used for the ‘Derivative ID Code’ item. One of the options in the following closed list shall be used:1 – ISO/6166 for ISIN2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertaking |
| C0060 | Portfolio | Distinction between life, non–life, shareholder’s funds, general (no split) and ring-fenced funds.Underlying derivatives of life technical provisions shall be assigned to life portfolio and underlying derivatives of non-life technical provisions shall be assigned to non-life portfolio (by applying the available most precise split).One of the options in the following closed list shall be used:1 – Life2 – Non–life3 – Ring fenced funds4 – Other internal fund5 – Shareholders’ funds6 – GeneralThe split is not mandatory, unless otherwise required by the national supervisory authority, except for identifying ring fenced funds, but shall be reported if the undertaking uses it internally. When an undertaking does not apply a split ‘general’ shall be used. |
| C0070 | Fund number | Applicable to derivatives held in ring fenced funds or other internal funds defined at national level, in particular regarding funds (asset portfolios) supporting life products.Number or code which is attributed by the undertaking, corresponding to the unique number or code assigned to each fund. This number or code has to be consistent over time and shall be used to identify the same funds in other templates (e.g. in S.06.02). It shall not be re–used for a different fund. |
| C0080 | Derivatives held in unit linked and index linked contracts | Identify the derivatives that are held by unit linked and index linked contracts. One of the options in the following closed list shall be used:1 – Unit–linked or index–linked2 – Neither unit–linked nor index–linked |
| C0090 | Instrument underlying the derivative | ID Code of the instrument (asset or liability) underlying the derivative contract. This item is to be provided only for derivatives that have a single or multiple underlying instruments in the undertakings’ portfolio. An index is considered a single instrument and shall be reported.Identification code of the instrument underlying the derivative using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking for the underlying instrument when the options above are not available and must be unique and consistent over time for that instrument;Multiple assets/liabilities, if the underlying assets or liabilities are more than one.If the underlying instrument is an index, then the code of the index shall be reported. |
| C0100 | Type of code of asset or liability underlying the derivative | Type of ID Code used for the ‘Instrument underlying the derivative’ item. One of the options in the following closed list shall be used:1 – ISO/6166 for ISIN2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertaking in case that none of the above options are available. This option shall also be used for the cases of Multiple assets/liabilities and indexes. |
| C0110 | Use of derivative | Describe the use of the derivative (micro/macro hedge, efficient portfolio management).Micro hedge refers to derivatives covering a single financial instrument (asset or liability), forecasted transaction or other liability.Macro hedge refers to derivatives covering a set of financial instruments (assets or liabilities), forecasted transactions or other liabilities.Efficient portfolio management refers usually to operations where the manager wishes to improve a portfolio’ income by exchanging a (lower) cash–flow pattern by another with a higher value, using a derivative or set of derivatives, without changing the asset’ portfolio composition, having a lower investment amount and less transaction costs.One of the options in the following closed list shall be used:1 – Micro hedge2 – Macro hedge3 – Matching assets and liabilities cash–flows used in the context of matching adjustment portfolios4 – Efficient portfolio management, other than Matching assets and liabilities cash–flows used in the context of matching adjustment portfolios |
| C0131 | Notional amount of the derivative | The amount covered or exposed to the derivative, reported in the original currency.For futures and options it corresponds to contract size multiplied by the trigger value and by the number of contracts reported in that line. For swaps and forwards it corresponds to the contract amount of the contracts reported in that line. When the trigger value corresponds to a range, the average value of the range shall be used.The notional amount refers to the amount that is being hedged/invested (when not covering risks). If several trades occur, it shall be the net amount at the reporting date. |
| C0140 | Buyer/Seller | Only for futures and options, swaps and credit derivatives contracts.Identify whether the derivative contract was bought or sold.The buyer and seller position for swaps is defined relative to the security or notional amount and the swap flows.A seller of a swap owns the security or notional amount at the contract inception and agrees to deliver during the contract term that security or notional amount, including any other outflows related to the contract, when applicable.A buyer of a swap shall own the security or the notional amount at the end of the derivatives contact and shall receive during the contract term that security or notional amount, including any other inflows related to the contract, when applicable.One of the options in the following closed list shall be used, with the exception of Interest Rate Swaps:1 – Buyer2 – SellerFor interest rate swaps one of the options in the following closed list shall be use:3 – FX–FL: Deliver fixed–for–floating4 – FX–FX: Deliver fixed–for–fixed5 – FL–FX: Deliver floating–for–fixed6 – FL–FL: Deliver floating–for–floating |
| C0150 | Premium paid to date | The payment made (if bought), for options and up–front, and periodical premium amounts paid for swaps, since the moment the undertaking entered into the derivative contract. |
| C0160 | Premium received to date | The payment received (if sold), for options and up–front, and periodical premium amounts received for swaps, since the moment the undertaking entered into the derivative contract. |
| C0170 | Number of contracts | Number of similar derivative contracts reported in the line. It shall be the number of contracts entered into. For Over–TheCounter derivatives, e.g. one swap contract, ‘1’ shall be reported, if ten swaps with the same characteristics, ‘10’ shall be reported.The number of contracts can be non-integer, when there is a need to split contracts.The number of contracts shall be the ones outstanding at the reporting date. |
| C0180 | Contract size | Number of underlying assets in the contract (e.g. for equity futures it is the number of equities to be delivered per derivative contract at maturity, for bond futures it is the reference amount underlying each contract).The way the contract size is defined varies according with the type of instrument. For futures on equities it is common to find the contract size defined as a function of the number of shares underlying the contract.For futures on bonds, it is the bond nominal amount underlying the contract.Only applicable for futures and options. |
| C0190 | Maximum loss under unwinding event | Maximum amount of loss if an unwinding event occurs. Applicable to CIC category F.Where a credit derivative is 100 % collateralised, the maximum loss under an unwinding event is zero. |
| C0200 | Swap outflow amount | Amount delivered under the swap contract (other than premiums), during the reporting period. Corresponds to interest paid for IRS and amounts delivered for currency swaps, credit swaps, total return swaps and other swaps.In the cases where the settlement is made on a net basis only one of the items C0200 and C0210 shall be reported. |
| C0210 | Swap inflow amount | Amount received under the swap contract (other than premiums), during the reporting period. Corresponds to interest received for IRS and amounts received for currency swaps, credit swaps, total return swaps and other swaps.In the cases where the settlement is made on a net basis only one of the items C0200 and C0210 shall be reported. |
| C0220 | Initial date | Identify the ISO 8601 (yyyy–mm–dd) code of the date when obligations under the contract come into effect.When various dates occur for the same derivative, only the one regarding the first trade date of the derivative and only one row for each derivative (no different rows for each trade) reflecting the total amount invested in that derivative considering the different dates of trade shall be reported.In case of novation, the novation date becomes the trade date for that derivative. |
| C0230 | Duration | Derivative duration, defined as the residual modified duration, for derivatives for which a duration measure is applicable.Calculated as the net duration between in and out flows from the derivative, when applicable. |
| C0240 | Solvency II value | Value of the derivative as of the reporting date calculated as defined by Article 75 of Directive 2009/138/EC. It can be positive, negative or zero. |
| C0250 | Valuation method | Identify the valuation method used when valuing derivatives. One of the options in the following closed list shall be used:1 – quoted market price in active markets for the same assets or liabilities2 – quoted market price in active markets for similar assets or liabilities3 – alternative valuation methods6 – market valuation according to Article 9(4) of Delegated Regulation (EU) 2015/35 |
| Information on derivatives | ||
|---|---|---|
| C0040 | Derivative ID Code | Derivative ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available, and must be consistent over time |
| C0050 | Derivative ID Code type | Type of ID Code used for the ‘Derivative ID Code’ item. One of the options in the following closed list shall be used:1 – ISO/6166 for ISIN2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertaking |
| C0260 | Counterparty Name | Name of the counterparty of the derivative. When available, this item shall correspond to the entity name in LEI database. When not available, it shall correspond to the legal name.The following shall be considered:Name of the exchange market for exchanged traded derivatives; orName of Central Counterparty (CCP) for Over–The–Counter derivatives where they are cleared through a CCP; orName of the contractual counterparty for the other Over–The–Counter derivatives. |
| C0270 | Counterparty Code | Identification code of the counterparty using the following priority:LEI, when available;Code attributed by the undertaking, when LEI is not available, which shall be consistent over time.This item is applicable to all counterparties, including for derivatives cleared through a central counterparty, in which case the Counterparty code refers to that central counterparty. |
| C0280 | Type of counterparty code | Identification of the code used for the ‘Counterparty Code’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0290 | External rating | Only applicable to Over–The–Counter derivatives.The rating of the counterparty of the derivative at the reporting reference date as provided by the nominated credit assessment institution (ECAI).This item is not applicable to derivatives for which undertakings using internal model use internal ratings. If undertakings using internal model do not use internal rating, this item shall be reported.If an issuer rating is not available, the item shall be left blank.In case ‘Multiple ECAI’ is reported in C0300 the most representative external rating shall be reported. |
| C0300 | Nominated ECAI | Identify the credit assessment institution (ECAI) giving the external rating in C0290, by using the name of the ECAI as published on ESMA’s website. In case of ratings issued by subsidiaries of the ECAI the parent ECAI shall be reported (the reference is made to ESMA list of credit rating agencies registered or certified in accordance with Regulation (EC) No 1060/2009 on credit rating agencies).This item shall be reported when External rating (C0290) is reported. |
| C0310 | Credit quality step | Identify the credit quality step attributed to the counterparty of the derivative, as defined by Article 109a(1) of Directive 2009/138/EC. The credit quality step shall reflect any readjustments to the credit quality made internally by the undertakings that use the standard formula.This item is not applicable to derivatives for which undertakings using internal model use internal ratings. If undertakings using internal model do not use internal rating, this item shall be reported.One of the options in the following closed list shall be used:0 – Credit quality step 01 – Credit quality step 12 – Credit quality step 23 – Credit quality step 34 – Credit quality step 45 – Credit quality step 56 – Credit quality step 69 – No rating available |
| C0320 | Internal rating | Internal rating of derivatives for undertakings using internal ratings.For undertakings applying a matching adjustment the internal rating shall be reported to the extent that the internal ratings are used to calculate the fundamental spread referred to in Article 77c(2). |
| C0330 | Counterparty group | Only applicable to Over–The–Counter derivatives, regarding contractual counterparties other than an exchange market and Central Counterparty (CCP).Name of the ultimate parent entity of counterparty. When available, this item shall correspond to the entity name in the Legal Entity Identifier (LEI) database. When not available, it shall correspond to the legal name. |
| C0340 | Counterparty group code | Only applicable to Over–The–Counter derivatives, regarding contractual counterparties other than an exchange market and Central Counterparty (CCP).Identification code of the counterparty using the following priority:LEI when availableCode attributed by the undertaking, when LEI is not available, which shall be consistent over timeWhen non-applicable this item shall not be reported. |
| C0350 | Type of counterparty group code | Identification of the code used for the ‘Counterparty group Code’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0360 | Contract name | Name of the derivative contract. |
| C0370 | Currency | The ISO 4217 alphabetic code of the currency of the derivative shall be identified, i.e. currency of the notional amount of the derivative (e.g. option to have having an underlying amount in USD, currency for which the notional amount is expressed contractually for FX swap). |
| C0371 | Currency of price | The ISO 4217 alphabetic code of the currency of the price of the derivative shall be identified, i.e. currency of the amount exchanged against the notional amount of the derivative. For example, if the undertaking is paying (or receiving) currency A for the notional amount (currency B), the currency of the price is A. The currency of the notional amount is B, reported in (C0370). |
| C0380 | CIC | Complementary Identification Code used to classify assets, as set out in Annex – VI CIC Table of this Regulation. When classifying derivatives using the CIC table, undertakings shall take into consideration the most representative risk to which the derivative is exposed to. |
| C0390 | Trigger value | Reference price for futures, strike price for options (for bonds, price shall be a percentage of the par amount), currency exchange rate or interest rate for forwards, etc.Not applicable to CIC D3 – Interest rate and currency swaps. For CIC F1 – Credit default swaps it shall not be completed if not possible.In the case of more than one trigger over time, report the next trigger occurring.When the derivative has a range of trigger values, report the set separated by comma ‘,’ if the range is not continuous and report the range separated by ‘–’ if it is continuous. |
| C0400 | Unwind trigger of contract | The event that causes the unwinding of the contract, out of the regular expiration or term conditions, shall be identified. One of the options in the following closed list shall be used:1 – Bankruptcy of the underlying or reference entity2 – Adverse fall in value of the underlying reference asset3 – Adverse change in credit rating of the underlying assets or entity4 – Novation, i.e. the act of replacing an obligation under the derivative with a new obligation, or replacing a party of the derivative with a new party5 – Multiple events or a combination of events6 – Other events not covered by the previous options9 – No unwind trigger |
| C0430 | Maturity date | Identify the contractually defined ISO 8601 (yyyy–mm–dd) code of the date of close of the derivative contract, whether at maturity date, expiring date for options (European or American), etc. |
| C0440 | Swap delivered | Identify what the undertaking delivers under the swap contract (E.g.: Euribor + 0,5 %; 2,3 %; EUR). |
| C0450 | Swap received | Identify what the undertaking receives under the swap contract (E.g.: Euribor + 0,5 %; 2,3 %; EUR). |
S.09.01 – Information on gains/income and losses in the period
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;
—Gains/income and losses of portfolios held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported portfolio by portfolio, each by asset category;
—Gains/income and losses of portfolios held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported portfolio by portfolio, each by asset category;
—Gains/income and losses of portfolios held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported portfolio by portfolio, each by asset category;
—Gains/income and losses of portfolios held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported portfolio by portfolio, each by asset category;
—Gains/income and losses of portfolios held undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported portfolio by portfolio, each by asset category;
—Gains/income and losses of portfolios held by subsidiaries (EEA, equivalent non –EEA, non–equivalent non–EEA) shall be reported portfolio by portfolio, each by asset category;
—Gains/income and losses of portfolios held undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported portfolio by portfolio, each by asset category;
—Gains/income and losses of portfolios held by subsidiaries (EEA, equivalent non –EEA, non–equivalent non–EEA) shall be reported portfolio by portfolio, each by asset category;
—Gains/income and losses of portfolios held by other related undertakings shall not be included;
—Gains/income and losses of portfolios held by other related undertakings shall not be included;
—Gains/income and losses of portfolios held by other related undertakings shall not be included;
—Gains/income and losses of portfolios held by other related undertakings shall not be included.
General comments:
This section relates to the annual submission of information for groups.
This template contains information on gains/income and losses by asset category (including derivatives). i.e., no item–by–item reporting is required. The asset categories considered in this template are the ones defined in Annex IV – Assets Categories.
At group level, the template is applicable for method 1 (Accounting consolidation–based method), method 2 (Deduction and aggregation method) and a combination of methods 1 and 2.
Where method 1 is used exclusively, the reporting shall reflect the consolidated position of the portfolios (i.e. net of IGT) within the scope of group supervision. The reporting shall be made as follows:
Where method 2 is used exclusively, the reporting shall include the detailed list of the portfolios held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies and its subsidiaries and their profitability by asset category. The reporting shall be made as follows:
Where a combination of methods 1 and 2 is used, one part of the reporting shall reflect the consolidated position of the portfolios (i.e. net of IGT) within the scope of group supervision which must be reported and the other part of the reporting shall include the detailed list of the portfolios held by subsidiaries and their profitability by asset category.
The first part of the reporting shall be made as follows:
The second part of the reporting shall be made as follows:
Items shall be reported with positive values unless otherwise stated in the respective instructions.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Legal name of the undertaking | Identify the legal name of the undertaking within the scope of group supervision for which the return on investment relates to.This item shall be filled in only when it relates to the return on investment by asset category for assets held by subsidiaries consolidated under deduction and aggregation method.The cell shall be filled in only when it relates to the list portfolio by portfolio of assets, each reported by asset category, held by subsidiaries under method 2.When the cell is filled in, the portfolios held by subsidiaries under method 2 cannot be reconciled with template S.06.02.When the cell is blank, the portfolios held by the group can be reconciled with template S.06.02. |
| C0020 | Identification code of the undertaking | Identification code by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non–EEA undertakings and non–regulated undertakings within the scope of group supervision, identification code will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, the group should comply with the following format in a consistent manner:identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits |
| C0030 | Type of code of the ID of the undertaking | Type of ID Code used for the ‘Identification code of the undertaking’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0040 | Asset category | Identify the asset categories present in the portfolio.Use the categories defined in Annex IV – Assets Categories. |
| C0050 | Portfolio | Distinction between life, non–life, shareholder’s funds, general (no split) and ring-fenced funds.Gains/income and losses regarding assets underlying life technical provisions shallbe assigned to life portfolio and gains/income and losses regarding assets underlying non-life technical provisions shall be assigned to non-life portfolio (by applying the available most precise split).One of the options in the following closed list shall be used:1 – Life2 – Non–life3 – Ring fenced funds4 – Other internal funds5 – Shareholders’ funds6 – GeneralThe split is not mandatory, unless otherwise required by the national supervisory authority, except for identifying ring fenced funds, but shall be reported if the undertaking uses it internally. When an undertaking does not apply a split ‘general’ shall be used. |
| C0060 | Asset held in unit linked and index linked contracts | Identify the assets that are held by unit linked and index linked contracts. One of the options in the following closed list shall be used:1 – Unit–linked or index–linked2 – Neither unit–linked nor index–linked |
| C0070 | Dividends | Amount of dividends earned over the reporting period, i.e. dividends received less the right to receive a dividend already recognised at the beginning of the reporting period, plus the right to receive a dividend recognised at the end of the reporting period. Applicable to dividend paying assets such as equity, preferred securities and collective investment undertakings.Includes also dividends received from assets that have been sold or matured. |
| C0080 | Interest | Amount of interest earned, i.e. interest received less accrued interest at the start of the period plus accrued interest, at the end of the reporting period.Includes interest received when the asset is sold/matured or when the coupon is received.Applicable to coupon and interest paying assets such as bonds, loans and deposits. |
| C0090 | Rent | Amount of rent earned, i.e. rent received less accrued rent at the start of the period plus accrued rent, at the end of the reporting period.Includes also rents received when the asset is sold or matured.Only applicable to properties, regardless of the function. |
| C0100 | Net gains and losses | Net gains and losses resulting from assets sold or matured during the reporting period.The gains and losses are calculated as the difference between selling or maturity value and the value according to Article 75 of Directive 2009/138/EC at the end of the prior reporting year (or, in case of assets acquired during the reporting period, the acquisition value).The net value can be positive, negative or zero.This calculation shall be performed without interest accrued. |
| C0110 | Unrealised gains and losses | Unrealised gains and losses resulting from assets not sold nor matured during the reporting period.The unrealised gains and losses are calculated as the difference between the value according to Article 75 of Directive 2009/138/EC at the end of the reporting year end and the value according to Article 75 of Directive 2009/138/EC at the end of the prior reporting year (or, in case of assets acquired during the reporting period, the acquisition value).The net value can be positive, negative or zero.This calculation shall be performed without interest accrued. |
S.10.01 – Securities lending and repos
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;
—The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
—The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
—The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
—The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies under method 2 shall be reported item by item;
—The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;
—The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item;
—The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;
—The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis)by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries under method 2 (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item;
—The repurchase agreements and securities lending contracts held by other related undertakings shall not be included.
—The repurchase agreements and securities lending contracts held by other related undertakings shall not be included.
—The repurchase agreements and securities lending contracts held by other related undertakings shall not be included.
—The repurchase agreements and securities lending contracts held by other related undertakings under method 2 shall not be included.
General comments:
This section relates to the annual submission of information for groups.
This template contains an item–by–item list of securities lending transactions and repurchase agreements (buyer and seller) contracts, which also include the liquidity swaps referred to in Article 309(2)(f) of Delegated Regulation (EU) 2015/35.
It shall be reported only when the value of the underlying securities on and off-balance sheet involved in lending or repurchase agreements, with maturity date falling after the reporting reference date represent more than 5 % of the total investments as reported in C0010/R0070 and C0010/R0220 of template S.02.01. when method 1 as defined in Article 230 of Directive 2009/138/EC is used exclusively. When method 1 is used in combination with method 2 as defined in Article 233 of Directive 2009/138/EC or method 2 is used exclusively the ratio needs to be adjusted in order to capture the items of all entities included in the scope of template S.06.02.
All contracts that are on the balance sheet or off-balance sheet shall be reported. The information shall include all contracts in the reporting period regardless of whether they were open or closed at the reporting date. For contracts which are part of a roll–over strategy, where they substantially are the same transaction, only open positions shall be reported.
A repurchase agreement (repo) is defined as the sale of securities together with an agreement for the seller to buy back the securities at a later date. Securities lending is defined as the lending of securities by one party to another, which requires that the borrower provides the lender with collateral.
Items shall be reported with positive values unless otherwise stated in the respective instructions.
The asset categories referred to in this template are the ones defined in Annex IV – Assets Categories of this Regulation and references to CIC codes refer to Annex VI – CIC table of this Regulation.
Each repo and securities lending contract shall be reported in as many rows as needed to provide the information requested. If for one item one option fits one part of the instrument being reported and a different option fits the other part, then the contract needs to be unbundled unless is stated otherwise in the instructions.
The template is applicable for method 1 (Accounting consolidation–based method), method 2 (Deduction and aggregation method) and a combination of methods 1 and 2.
Where method 1 is used exclusively, the reporting shall reflect the consolidated position of the repos and securities lending contracts net of intra–group transactions held within the scope of group supervision. The reporting shall be made as follows:
Where method 2 is used exclusively, the reporting shall include the detailed list of the repos and securities lending contracts held by the participating undertakings, the insurance holding companies or mixed–financial holding companies and its subsidiaries, regardless of the proportional share used. The reporting shall be made as follows:
Where a combination of methods 1 and 2 is used, one part of the reporting shall reflect the consolidated position of the repos and securities lending contracts, net of intra–group transactions, held within the scope of group supervision which must be reported and the other part of the reporting shall include the detailed list of the repos and securities lending contracts held by the participating undertakings, the insurance holding companies or mixed–financial holding companies and its subsidiaries, regardless of the proportional share used.
The first part of the reporting shall be made as follows:
The second part of the reporting shall be made as follows:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Legal name of the undertaking | Identify the legal name of the undertaking within the scope of group supervision that holds the repo and securities lending.This item shall be filled in only when it relates to the repos and securities lending contracts held by participating undertakings, insurance holding companies or mixed–financial holding companies and subsidiaries under deduction and aggregation method. |
| C0020 | Identification code of the undertaking | Identification code by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non–EEA undertakings and non–regulated undertakings within the scope of group supervision, identification code will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, the group should comply with the following format in a consistent manner:identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits |
| C0030 | Type of code of the ID of the undertaking | Type of ID Code used for the ‘Identification code of the undertaking’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0040 | Portfolio | Distinction between life, non–life, shareholder’s funds, general (no split) and ring-fenced funds. Underlying assets of life technical provisions shall be assigned to life portfolio and underlying assets of non-life technical provisions shall be assigned to non-life portfolio (by applying the available most precise split).One of the options in the following closed list shall be used:1 – Life2 – Non–life3 – Ring fenced funds4 – Other internal fund5 – Shareholders’ funds6 – GeneralThe split is not mandatory, unless otherwise required by the national supervisory authority, except for identifying ring fenced funds, but shall be reported if the undertaking uses it internally. When an undertaking does not apply a split ‘general’ shall be used.For assets held off–balance sheet this item shall not be reported. |
| C0050 | Fund number | Applicable to assets held in ring fenced funds or other internal funds, defined according to national markets, in particular regarding funds (asset portfolios) supporting life products.Number or code which is attributed by the undertaking, corresponding to the unique number or code assigned to each fund. This number or code has to be consistent over time and shall be used to identify the same funds in other templates (e.g. in S.06.02). It shall not be re–used for a different fund.The Fund Number is not mandatory, unless otherwise required by the national supervisory authority. |
| C0060 | Asset category | Identify the asset categories of the underlying asset lent/provided as part of a securities lending transactions or repurchase agreements).Use the categories defined in Annex IV – Assets Categories of this Regulation. |
| C0070 | Counterparty Name | Name of the counterparty of the contract.When available, this item corresponds to the entity name in the LEI database. When not available, corresponds to the legal name. |
| C0080 | Counterparty code | Identification code of the counterparty using the Legal Entity Identifier (LEI) if available.If none is available, this item shall not be reported. |
| C0090 | Type of counterparty code | Identification of the code used for the ‘Counterparty Code’ item. One of the options in the following closed list shall be used:1 – LEI9 – None |
| C0100 | Counterparty asset category | Identify the most significant asset category borrowed/received as part of a securities lending transactions or repurchase agreements.Use the asset categories defined in Annex IV – Assets Categories of this Regulation. |
| C0110 | Asset held in unit–linked and index–linked contracts | Identify if the underlying asset identified in C0060 is held by unit linked and index linked contracts. One of the options in the following closed list shall be used:1 – Unit–linked or index–linked2 – Neither unit–linked nor index–linked |
| C0120 | Position in the contract | Identify whether the undertaking is a buyer or seller in the repo or a lender or borrower in the securities lending. One of the options in the following closed list shall be used:1 – Buyer in a repo2 – Seller in a repo3 – Lender in a securities lending4 – Borrower in a securities lending |
| C0130 | Near leg amount | Represents the following amounts:Buyer in a repo: amount received at the contract inceptionSeller in a repo: amount ceded at the contract inceptionLender in a securities lending: amount received as guarantee at the contract inceptionBorrower in a securities lending: amount or market value of the securities received at the contract inception |
| C0140 | Far leg amount | This item is only applicable for repos and represents the following amounts:Buyer in a repo: amount ceded at the contract maturitySeller in a repo: amount received at the contract maturity |
| C0150 | Start date | Identify the ISO 8601 (yyyy–mm–dd) code of the contract start date. The contract start date refers to the date when obligations under the contract come into effect. |
| C0160 | Maturity date | Identify the ISO 8601 (yyyy–mm–dd) code of the contract closing date. Even if the contract is on an open call basis, there is usually a date when the contract expires. In these cases this date must be reported, if no call occurs before.An agreement is considered closed when it has matured, a call occurs or the agreement is cancelled.For contracts with no defined maturity date report ‘9999–12–31’. |
| C0170 | Solvency II Value | This item is only applicable for contracts that are still open at the reporting date.Value of the repo or securities lending contract, following Article 75 of Directive 2009/138/EC rules for valuation of contracts.This value can be positive, negative or zero. |
S.11.01 – Assets held as collateral
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;
—Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;
—The assets held directly (i.e. not on a look–through basis) as collateral by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
—The assets held directly (i.e. not on a look-through basis) as collateral by participating insurance and reinsurance undertakings or insurance holding companies or mixed-financial holding companies under method 2 shall be reported item by item;
—The assets held directly (i.e. not on a look–through basis) as collateral by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
—The assets held directly (i.e. not on a look–through basis) as collateral by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
—The assets held directly (i.e. not on a look–through basis) as collateral by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;
—The assets held directly (i.e. not on a look–through basis) as collateral by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item by undertaking;
—The assets held directly (i.e. not on a look–through basis) as collateral by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;
—The assets held directly (i.e. not on a look–through basis) as collateral by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries under method 2 (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item by undertaking;
—The assets held as collateral by other related undertakings shall not be included.
—The assets held as collateral by other related undertakings shall not be included.
—The assets held as collateral by other related undertakings shall not be included.
—The assets held as collateral by other related undertakings under method 2 shall not be included.
General comments:
This section relates to the annual submission of information for groups.
This template shall be reported annually when the ratio of the value of assets held as collateral to total balance sheet exceeds 10 %.
The pool of assets that secure the investment (e.g. the pool of asset that are a collateral for covered bonds) shall not be reported in this template. The collateral covering reinsurance receivables shall be reported in S.11.01 template.
This template contains an item–by–item list of off–balance sheet assets held as collateral for covering balance sheet at the end of the reporting period. Collaterals are considered ‘held’ when the undertakings included in the scope described below or one of undertakings that are part of the group has the ‘right of direct access to the collateral’, so the collateral has been committed to the entity and it is individually identifiable.
It consists of detailed information from the perspective of the assets held as collateral and not from the perspective of the collateral arrangement.
If there is a pool of collaterals or a collateral arrangement comprising multiple assets, as many rows as the assets in the pool or arrangement shall be reported.
This template comprises two tables: Information on positions held and Information on assets.
On the table Information on positions held, each asset held as collateral shall be reported separately in as many rows as needed in order to properly fill in all variables requested in that table. If for the same asset two values can be attributed to one variable, then this asset needs to be reported in more than one line. Real estate held as collateral of the mortgages related to individuals shall be reported in one single line.
On the table Information on assets, each asset held as collateral shall be reported separately, with one row for each asset, filling in all variables requested in that table.
All items except items ‘Type of asset for which the collateral is held’ (C0140), ‘Name of the counterparty pledging the collateral’ (C0060) and ‘Name of the group of the counterparty pledging the collateral’ (C0070) relate to information on the assets held as collateral. Item C0140 relates to the asset on the balance sheet for which the collateral is held while items C0060 and C0070 relate to the counterparty pledging the collateral.
The asset categories referred to in this template are the ones defined in Annex IV – Assets Categories of this Regulation and references to CIC codes refer to Annex VI – CIC table of this Regulation.
Template S.11.01 includes the off-balance sheet assets held as collateral for covering balance sheet assets held directly by the undertaking and these amounts shall in fact be also reported in S.03.01 in C0020/R0100 to R0130.
The template is applicable for method 1 (Accounting consolidation–based method), method 2 (Deduction and aggregation method) and a combination of methods 1 and 2.
Where method 1 is used exclusively, the reporting shall reflect the consolidated position of the assets held as collateral within the scope of group supervision net of intra–group transactions. The reporting shall be made as follows:
Where method 2 is used exclusively, the reporting shall include the detailed list of the assets held as collateral by the participating undertakings, the insurance holding companies and subsidiaries, regardless of the proportional share used. The reporting shall be made as follows:
Where a combination of methods 1 and 2 is used, one part of the reporting shall reflect the consolidated position of the assets held as collateral within the scope of group supervision, net of intra–group transactions, which must be reported and the other part of the reporting shall include the detailed list of the assets held as collateral by the participating undertakings, the insurance holding companies or mixed–financial holding companies and subsidiaries, regardless of the proportional share used.
The first part of the reporting shall be made as follows:
The second part of the reporting shall be made as follows:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Information on positions held | ||
| C0010 | Legal name of the undertaking | Identify the legal name of the undertaking within the scope of group supervision that holds the asset as collateral.This item shall be filled in only when it relates to assets held as collateral by participating undertakings, insurance holding companies, mixed–financial holding companies and subsidiaries under deduction and aggregation method. |
| C0020 | Identification code of the undertaking | Identification code by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non–EEA undertakings and non–regulated undertakings within the scope of group supervision, identification code will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, the group should comply with the following format in a consistent manner:identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits |
| C0030 | Type of code of the ID of the undertaking | Type of ID Code used for the ‘Identification code of the undertaking’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0040 | Asset ID Code | Asset ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available, and must be consistent over timeWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code + EUR’ |
| C0050 | Asset ID Code Type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO/6166 for ISIN2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertakingWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘99/1’. |
| C0060 | Name of the counterparty pledging the collateral | The name of the counterpart that is pledging the collateral. When available, this item corresponds to the entity name in the LEI database. When this is not available corresponds to the legal name.When the assets on the balance sheet for which the collateral is held are loans on policies, ‘Policyholder’ shall be reported. |
| C0070 | Name of the group of the counterparty pledging the collateral | Identify the economic group of the counterpart pledging the collateral. When available, this item corresponds to the entity name in the LEI database. When this is not available corresponds to the legal name.This item is not applicable when the assets on the balance sheet for which the collateral is held are loans on policies. |
| C0080 | Country of custody | ISO 3166–1 alpha–2 code of the country where undertaking assets are held in custody. For identifying international custodians, such as Euroclear, the country of custody will be the one where the custody service was contractually defined.In case of the same asset being held in custody in more than one country, each asset shall be reported separately in as many rows as needed in order to properly identify all countries of custody.This item is not applicable for collateral with CIC category 8 – Mortgages and Loans, CIC 71, CIC 75 and for CIC 95 – Plant and equipment.Regarding CIC Category 9, excluding CIC 95 – Plant and equipment (for own use), the issuer country is assessed by the address of the property. |
| C0090 | Quantity | Number of assets, for all assets if relevant.This item shall not be reported if item Par amount (C0100) is reported. |
| C0100 | Par amount | Amount outstanding measured at par amount, for all assets where this item is relevant, and at nominal amount for CIC = 72, 73, 74, 75, 79 and 8. This item is not applicable for CIC category 71 and 9. This item shall not be reported if item Quantity (C0090) is reported. |
| C0110 | Valuation method | Identify the valuation method used when valuing assets. One of the options in the following closed list shall be used:1 – quoted market price in active markets for the same assets2 – quoted market price in active markets for similar assets3 – alternative valuation methods:4 – adjusted equity methods (applicable for the valuation of participations)5 – IFRS equity methods (applicable for the valuation of participations6 – Market valuation according to Article 9(4) of Delegated Regulation (EU) 2015/35 |
| C0120 | Total amount | Value calculated as defined by Article 75 of Directive 2009/138/EC, which corresponds to:the multiplication of Par amount (principal amount outstanding measured at par amount or nominal amount) by Unit percentage of par amount Solvency II price plus Accrued interest, for assets where the first two items are relevant;the multiplication of Quantity by Unit Solvency II price, for assets where these two items are relevant;Solvency II value of the asset for assets classifiable under asset categories 71 and 9. |
| C0130 | Accrued interest | Quantify the amount of accrued interest after the last coupon date for interest bearing securities. Note that this value is also part of item Total amount. |
| C0140 | Type of asset for which the collateral is held | Identify the type of asset for which the collateral is held.One of the options in the following closed list shall be used:1 – Government bonds2 – Corporate bonds3 – Equities4 – Collective Investment Undertakings5 – Structured notes6 – Collateralised securities7 – Cash and deposits8 – Mortgages and loans9 – Properties0 – Other investments (including receivables)X – DerivativesE.g. option ‘0 – Other investments’ shall be chosen for the collateral covering reinsurance receivables |
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Information on assets | ||
| C0040 | Asset ID Code | Asset ID code using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available, and must be consistent over timeWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code+EUR’ |
| C0050 | Asset ID Code Type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO/6166 for ISIN2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertakingWhen the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘99/1’. |
| C0150 | Item Title | Identify the reported item by filling the name of the asset (or the address in case of property), with the detail settled by the undertaking.The following shall be considered:Regarding CIC category 8 – Mortgages and Loans, when relating to mortgage and loans to natural persons, this item shall contain Loans to AMSB members or Loans to other natural persons, according to its nature, as those assets are not required to be individualised. Loans to other than natural persons shall be reported line–by–line.This item is not applicable for CIC 95 – Plant and equipment (for own use) as those assets are not required to be individualised, CIC 71 and CIC 75.When the collateral comprises insurance policies (regarding loans collateralised by insurance policies) those policies do not need to be individualised and this item is not applicable.For property the country ISO Alpha-2 + postal code + city + street name + street number) of the property held or the latitude & longitude or the CRESTA/NUTS region of the property investment shall be reported: administrative boundaries (e.g. province or county boundaries, e.g. NUTS3 level) or merged postal code areas (e.g. first-two-digit postal code areas, similar to CRESTA 2019[2] low resolution zones). |
| C0160 | Issuer Name | Name of the issuer, defined as entity that issues assets to investors, representing part of its capital, part of its debt, derivatives, etc.When available, this item corresponds to the entity name in the LEI database. When not available, corresponds to the legal name.The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the issuer name is the name of the fund manager;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer name is the name of the depositary entityRegarding CIC category 8 – Mortgages and Loans, when relating to mortgage and loans to natural persons, this item shall contain Loans to AMSB members or Loans to other natural persons, according to its nature, as those assets are not required to be individualised;Regarding CIC 8 – Mortgages and Loans, other than mortgage and loans to natural persons the information shall relate to the borrower;This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property. |
| C0170 | Issuer Code | Identification code of the issuer code using the LEI if available.The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the issuer code is the code of the fund manager;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer code is the code of the depositary entityRegarding CIC category 8 – Mortgages and Loans, other than mortgage and loans to natural persons the information shall relate to the borrower;This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property;This item is not applicable to CIC category 8 – Mortgages and Loans, when relating to mortgage and loans to natural persons. |
| C0180 | Type of issuer code | Identification of the code used for the ‘Issuer Code’ item. One of the options in the following closed list shall be used:1 – LEI9 – NoneThis item is not applicable to CIC category 8 – Mortgages and Loans, when relating to mortgage and loans to natural persons.This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property. |
| C0190 | Issuer Sector | Identify the economic sector of issuer based on the latest version of NACE code (as published in an EC Regulation). For NACE sections A to N full four-digit reporting of the NACE codes is required, i.e. the letter identifying the Section followed by the 4 digits code for the class shall be used (e.g. ‘K6411’). For the remaining sections the letter reference of the NACE code identifying the Section shall be used as a minimum for identifying sectors (e.g. ‘P’ or ‘P8501’ would be acceptable)The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the issuer sector is the sector of the fund manager;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer sector is the sector of the depositary entityRegarding CIC category 8 – Mortgages and Loans, other than mortgage and loans to natural persons the information shall relate to the borrower;This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 – Property;This item is not applicable to CIC category 8 – Mortgages and Loans, when relating to mortgage and loans to natural persons. |
| C0200 | Issuer Group Name | Name of issuer’s ultimate parent entity.When available, this item corresponds to the entity name in the LEI database. When not available, corresponds to the legal name.The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the group relation relates to the fund manager;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the group relation relates to the depositary entityRegarding CIC category 8 – Mortgages and Loans, other than mortgage and loans to natural persons the group relation relates to the borrower;This item is not applicable for CIC category 8 – Mortgages and Loans (for mortgages and loans to natural persons)This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property. |
| C0210 | Issuer Group Code | Issuer group identification code using the LEI if available.If none is available this item shall not be reported.The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the group relation relates to the fund manager;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the group relation relates to the depositary entityRegarding CIC 8 – Mortgages and Loans, other than mortgage and loans to natural persons the group relation relates to the borrower;This item is not applicable for CIC category 8 – Mortgages and Loans (for mortgages and loans to natural persons)This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property. |
| C0220 | Type of issuer group code | Identification of the code used for the ‘Issuer Group Code’ item. One of the options in the following closed list shall be used:1 – LEI9 – NoneThis item is not applicable to CIC category 8 – Mortgages and Loans, when relating to mortgage and loans to natural persons.This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property. |
| C0230 | Issuer Country | ISO 3166–1 alpha–2 code of the country of localisation of the issuer.The localisation of the issuer is assessed by the address of the entity issuing the asset.The following shall be considered:Regarding CIC category 4 – Collective Investments Undertakings, the issuer country is the country is relative to the fund manager;Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer country is the country of the depositary entityRegarding CIC category 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the information shall relate to the borrower;This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 – Property;One of the options shall be used:ISO 3166–1 alpha–2 codeXA: Supranational issuersEU: European Union Institutions |
| C0240 | Currency | Identify the ISO 4217 alphabetic code of the currency of the issue.The following shall be considered:This item is not applicable for CIC category 8 – Mortgages and Loans (for mortgages and loans to natural persons, as those assets are not required to be individualised), CIC 75 and for CIC 95 – Plant and equipment (for own use) for the same reason.Regarding CIC Category 9, excluding CIC 95 – Plant and equipment (for own use), the currency corresponds to the currency in which the investment was made. |
| C0250 | CIC | Complementary Identification Code used to classify assets, as set out in Annex VI – CIC table of this Regulation. When classifying an asset using the CIC table, undertakings shall take into consideration the most representative risk to which the asset is exposed to. |
| C0260 | Unit price | Unit price of the asset, if relevant.This item shall not be reported if item Unit percentage of par amount Solvency II price (C0270) is reported. |
| C0270 | Unit percentage of par amount Solvency II price | Amount in percentage of par value, clean price without accrued interest, for the asset, if relevant.This item shall be reported if a ‘par amount’ information (C0100) has been provided in the first part of the template (‘Information on positions held’) except for CIC category 71 and 9.This item shall not be reported if item Unit Solvency II price (C0260) is reported. |
| C0280 | Maturity date | Only applicable for CIC categories 1, 2, 5, 6 and 8, and CIC 74 and CIC 79.Identify the ISO 8601 (yyyy–mm–dd) code of the maturity date.Corresponds always to the maturity date, even for callable securities. The following shall be considered:For perpetual securities use 9999–12–31For CIC category 8, regarding loans and mortgages to individuals, the weighted (based on the loan amount) remaining maturity is to be reported. |
S.22.01 – Impact of long-term guarantees measures and transitionals
General comments:
This section relates to the annual submission of information for groups.
This template is relevant when at least one long-term guarantee measure or transitional is used by any undertaking within the scope of group supervision.
This template shall reflect the impact on the financial positions when no transitional is used and each LTG measures or transitional is set to zero. For that purpose, a step–by–step approach should be followed taking out each transitional and LTG measure one by one and without recalculating the impact of the remaining measures after each step. As it is possible within a group for both types of transitional measure to be applied the template follows a cumulative step by step approach.
The impacts need to be reported positive if they increase the amount of the item being reported and negative if they decrease the amount of the item (e.g. if amount of SCR increases or if amount of Own Funds increases then positive values shall be reported).
The amounts reported in this template shall be net of Intra Group Transactions.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010/R0010 | Amount with LTG measures and transitionals – Technical Provisions | Total amount of gross technical provisions including long-term guarantee measures and transitional measures |
| C0020/R0010 | Without transitional on technical provisions – Technical Provisions | Total amount of gross technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping adjustments due to the volatility adjustment and the matching adjustment.If transitional deduction to technical provisions is not applicable report the same amount as in C0010. |
| C0030/R0010 | Impact of transitional on technical provisions – Technical provisions | Amount of the adjustment to the gross technical provisions due to the application of the transitional deduction to technical provisions.It shall be the difference between the technical provisions without transitional deduction to technical provisions and the technical provisions with LTG and transitional measures. |
| C0040/R0010 | Without transitional on interest rate – Technical Provisions | Total amount of gross technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping adjustments due to the volatility adjustment and the matching adjustment.If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020. |
| C0050/R0010 | Impact of transitional on interest rate – Technical provisions | Amount of the adjustment to the gross technical provisions due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.It shall be the difference between the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the technical provisions with LTG and transitional measures. |
| C0060/R0010 | Without volatility adjustment and without other transitional measures – Technical Provisions | Total amount of gross technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping adjustments due to the matching adjustment, if any.If volatility adjustment is not applicable report the same amount as in C0040. |
| C0070/R0010 | Impact of volatility adjustment set to zero – Technical provisions | Amount of the adjustment to the gross technical provisions due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.It shall be the difference between the technical provisions without volatility adjustment and without other transitional measures and the maximum between the technical provisions reported under C0010, C0020 and C0040. |
| C0080/R0010 | Without matching adjustment and without all the others – Technical Provisions | Total amount of gross technical provisions without any LTG measure.If matching adjustment is not applicable report the same amount as in C0060. |
| C0090/R0010 | Impact of matching adjustment set to zero – Technical Provisions | Amount of the adjustment to the gross technical provisions due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.It shall be the difference between the technical provisions without matching adjustment and without all the other transitional measures and the maximum between the technical provisions reported under C0010, C0020, C0040 and C0060. |
| C0100/R0010 | Impact of all LTG measures and transitionals – Technical Provisions | Amount of the adjustment to the gross technical provisions due to the application of the LTG measures and transitionals. |
| C0010/R0020 | Amount with LTG measures and transitionals – Basic own funds | Total amount of basic own funds calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures. |
| C0020/R0020 | Without transitional on technical provisions – Basic own funds | Total amount of basic own funds calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional deduction to technical provisions is not applicable report the same amount as in C0010. |
| C0030/R0020 | Impact of transitional on technical provisions – Basic own funds | Amount of the adjustment to the Basic own funds due to the application of the transitional deduction to technical provisions.It shall be the difference between the basic own funds calculated considering the technical provisions without transitional deduction to technical provisions and the basic own funds calculated with the technical provisions with LTG and transitional measures. |
| C0040/R0020 | Without transitional on interest rate – Basic own funds | Total amount of basic own funds calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020. |
| C0050/R0020 | Impact of transitional on interest rate – Basic own funds | Amount of the adjustment to the basic own funds due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.It shall be the difference between the basic own funds calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the basic own funds calculated with the technical provisions reported under C0020. |
| C0060/R0020 | Without volatility adjustment and without other transitional measures – Basic own funds | Total amount of basic own funds calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment.If volatility adjustment is not applicable report the same amount as in C0040. |
| C0070/R0020 | Impact of volatility adjustment set to zero – Basic own funds | Amount of the adjustment to the Basic own funds due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.It shall be the difference between the basic own funds calculated considering the technical provisions without volatility adjustment and without other transitional measures and the basic own funds calculated with the technical provisions reported under C0040. |
| C0080/R0020 | Without matching adjustment and without all the others – Basic own funds | Total amount of basic own funds calculated considering technical provisions without any LTG measure.If matching adjustment is not applicable report the same amount as in C0060. |
| C0090/R0020 | Impact of matching adjustment set to zero – Basic own funds | Amount of the adjustment to the basic own funds due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.It shall be the difference between the basic own funds calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the basic own funds calculated with the technical provisions reported under C0060. |
| C0100/R0020 | Impact of all LTG measures and transitionals – Basic own funds | Amount of the adjustment to the basic own funds due to the application of the LTG measures and transitionals. |
| C0010/R0030 | Amount with LTG measures and transitionals – Basic own funds – Excess of assets over liabilities | Total amount of excess of assets over liabilities calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures. |
| C0020/R0030 | Without transitional on technical provisions – Basic own funds – Excess of assets over liabilities | Total amount of excess of assets over liabilities calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional deduction to technical provisions is not applicable report the same amount as in C0010. |
| C0030/R0030 | Impact of transitional on technical provisions – Basic own funds – Excess of assets over liabilities | Amount of the adjustment to the excess of assets over liabilities due to the application of the transitional deduction to technical provisions.It shall be the difference between the excess of assets over liabilities calculated considering the technical provisions without transitional deduction to technical provisions and the excess of assets over liabilities calculated with the technical provisions with LTG and transitional measures. |
| C0040/R0030 | Without transitional on interest rate – Basic own funds – Excess of assets over liabilities | Total amount of excess of assets over liabilities calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020. |
| C0050/R0030 | Impact of transitional on interest rate – Basic own funds – Excess of assets over liabilities | Amount of the adjustment to the excess of assets over liabilities due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.It shall be the difference between the excess of assets over liabilities calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the excess of assets over liabilities calculated with the technical provisions reported under C0020. |
| C0060/R0030 | Without volatility adjustment and without other transitional measures – Basic own funds – Excess of assets over liabilities | Total amount of excess of assets over liabilities calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment.If volatility adjustment is not applicable report the same amount as in C0040. |
| C0070/R0030 | Impact of volatility adjustment set to zero – Basic own funds – Excess of assets over liabilities | Amount of the adjustment to the excess of assets over liabilities due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.It shall be the difference between the excess of assets over liabilities calculated considering the technical provisions without volatility adjustment and without other transitional measures and the excess of assets over liabilities calculated with the technical provisions reported under C0040. |
| C0080/R0030 | Without matching adjustment and without all the others – Basic own funds – Excess of assets over liabilities | Total amount of excess of assets over liabilities calculated considering Technical provisions without any LTG measure.If matching adjustment is not applicable report the same amount as in C0060. |
| C0090/R0030 | Impact of matching adjustment set to zero – Basic own funds – Excess of assets over liabilities | Amount of the adjustment to the excess of assets over liabilities due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.It shall be the difference between the excess of assets over liabilities calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the excess of assets over liabilities calculated with the technical provisions reported under C0060. |
| C0100/R0030 | Impact of all LTG measures and transitionals – Basic own funds – Excess of assets over liabilities | Amount of the adjustment to the excess of assets over liabilities due to the application of the LTG measures and transitionals. |
| C0010/R0040 | Amount with LTG measures and transitionals – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio | Total amount of restricted own funds due to ring–fencing calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures. |
| C0020/R0040 | Without transitional on technical provisions – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio | Total amount of restricted own funds due to ring–fencing calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional deduction to technical provisions is not applicable report the same amount as in C0010. |
| C0030/R0040 | Impact of transitional on technical provisions – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio | Amount of the adjustment to the restricted own funds due to ring–fencing due to the application of the transitional deduction to technical provisions.It shall be the difference between the restricted own funds due to ring–fencing calculated considering the technical provisions without transitional deduction to technical provisions and the restricted own funds due to ring–fencing calculated with the technical provisions with LTG and transitional measures. |
| C0040/R0040 | Without transitional on interest rate – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio | Total amount of restricted own funds due to ring–fencing calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020. |
| C0050/R0040 | Impact of transitional on interest rate – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio | Amount of the adjustment to the restricted own funds due to ring–fencing due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.It shall be the difference between the restricted own funds due to ring–fencing calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the restricted own funds due to ring–fencing calculated with the technical provisions reported under C0020. |
| C0060/R0040 | Without volatility adjustment and without other transitional measures – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio | Total amount of restricted own funds due to ring–fencing calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment.If volatility adjustment is not applicable report the same amount as in C0040. |
| C0070/R0040 | Impact of volatility adjustment set to zero – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio | Amount of the adjustment to the restricted own funds due to ring–fencing due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.It shall be the difference between the restricted own funds due to ring–fencing calculated considering the technical provisions without volatility adjustment and without other transitional measures and the restricted own funds due to ring–fencing calculated with the technical provisions reported under C0040. |
| C0080/R0040 | Without matching adjustment and without all the others – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio | Total amount of restricted own funds due to ring–fencing calculated considering technical provisions without any LTG measure.If matching adjustment is not applicable report the same amount as in C0060. |
| C0090/R0040 | Impact of matching adjustment set to zero – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio | Amount of the adjustment to the restricted own funds due to ring–fencing due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.It shall be the difference between the restricted own funds due to ring–fencing calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the restricted own funds due to ring–fencing calculated with the technical provisions reported under C0060. |
| C0100/R0040 | Impact of all LTG measures and transitionals – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio | Amount of the adjustment to the restricted own funds due to ring–fencing due to the application of the LTG measures and transitionals. |
| C0010/R0050 | Amount with LTG measures and transitionals – Eligible own funds to meet SCR | Total amount of eligible own funds to meet SCR calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures. |
| C0020/R0050 | Without transitional on technical provisions – Eligible own funds to meet SCR | Total amount of eligible own funds to meet SCR calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional deduction to technical provisions is not applicable report the same amount as in C0010. |
| C0030/R0050 | Impact of transitional on technical provisions – Eligible own funds to meet SCR | Amount of the adjustment to the eligible own funds to meet SCR due to the application of the transitional deduction to technical provisions.It shall be the difference between the eligible own funds to meet SCR calculated considering the technical provisions without transitional deduction to technical provisions and the eligible own funds to meet SCR calculated with the technical provisions with LTG and transitional measures. |
| C0040/R0050 | Without transitional on interest rate – Eligible own funds to meet SCR | Total amount of eligible own funds to meet SCR calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020. |
| C0050/R0050 | Impact of transitional on interest rate – Eligible own funds to meet SCR | Amount of the adjustment to the eligible own funds to meet SCR due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.It shall be the difference between the eligible own funds to meet SCR calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the eligible own funds to meet SCR calculated with the technical provisions reported under C0020. |
| C0060/R0050 | Without volatility adjustment and without other transitional measures – Eligible own funds to meet SCR | Total amount of eligible own funds to meet SCR calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment.If volatility adjustment is not applicable report the same amount as in C0040. |
| C0070/R0050 | Impact of volatility adjustment set to zero – Eligible own funds to meet SCR | Amount of the adjustment to the eligible own funds to meet SCR due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.It shall be the difference between the eligible own funds to meet SCR calculated considering the technical provisions without volatility adjustment and without other transitional measures and the eligible own funds to meet SCR calculated with the technical provisions reported under C0040. |
| C0080/R0050 | Without matching adjustment and without all the others – Eligible own funds to meet SCR | Total amount of eligible own funds to meet SCR calculated considering technical provisions without any LTG measure.If matching adjustment is not applicable report the same amount as in C0060. |
| C0090/R0050 | Impact of matching adjustment set to zero – Eligible own funds to meet SCR | Amount of the adjustment to the eligible own funds to meet SCR due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.It shall be the difference between the eligible own funds to meet SCR calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the eligible own funds to meet SCR calculated with the technical provisions reported under C0060. |
| C0100/R0050 | Impact of all LTG measures and transitionals – Eligible own funds to meet SCR | Amount of the adjustment to the eligible own funds to meet SCR due to the application of the LTG measures and transitionals. |
| C0010/R0060 | Amount with LTG measures and transitionals – Eligible own funds to meet SCR–Tier 1 | Total amount of eligible own funds to meet SCR–Tier 1 calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures. |
| C0020/R0060 | Without transitional on technical provisions – Eligible own funds to meet SCR–Tier 1 | Total amount of eligible own funds to meet SCR–Tier 1 calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional deduction to technical provisions is not applicable report the same amount as in C0010. |
| C0030/R0060 | Impact of transitional on technical provisions – Eligible own funds to meet SCR–Tier 1 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 1 due to the application of the transitional deduction to technical provisions.It shall be the difference between the eligible own funds to meet SCR–Tier 1 calculated considering the technical provisions without transitional deduction to technical provisions and the eligible own funds to meet SCR–Tier 1 calculated with the technical provisions with LTG and transitional measures. |
| C0040/R0060 | Without transitional on interest rate – Eligible own funds to meet SCR–Tier 1 | Total amount of eligible own funds to meet SCR–Tier 1 calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020. |
| C0050/R0060 | Impact of transitional on interest rate – Eligible own funds to meet SCR–Tier 1 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 1 due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.It shall be the difference between the eligible own funds to meet SCR–Tier 1 calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the eligible own funds to meet SCR–Tier 1 calculated with the technical provisions reported under C0020. |
| C0060/R0060 | Without volatility adjustment and without other transitional measures – Eligible own funds to meet SCR–Tier 1 | Total amount of eligible own funds to meet SCR–Tier 1 calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment.If volatility adjustment is not applicable report the same amount as in C0040. |
| C0070/R0060 | Impact of volatility adjustment set to zero – Eligible own funds to meet SCR–Tier 1 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 1 due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.It shall be the difference between the eligible own funds to meet SCR–Tier 1 calculated considering the technical provisions without volatility adjustment and without other transitional measures and the eligible own funds to meet SCR–Tier 1 calculated with the technical provisions reported under C0040. |
| C0080/R0060 | Without matching adjustment and without all the others – Eligible own funds to meet SCR–Tier 1 | Total amount of eligible own funds to meet SCR–Tier 1 calculated considering technical provisions without any LTG measure.If matching adjustment is not applicable report the same amount as in C0060. |
| C0090/R0060 | Impact of matching adjustment set to zero – Eligible own funds to meet SCR–Tier 1 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 1 due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.It shall be the difference between the eligible own funds to meet SCR–Tier 1 calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the eligible own funds to meet SCR–Tier 1 calculated with the technical provisions reported under C0060. |
| C0100/R0060 | Impact of all LTG measures and transitionals – Eligible own funds to meet SCR–Tier 1 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 1 due to the application of the LTG measures and transitionals. |
| C0010/R0070 | Amount with LTG measures and transitionals – Eligible own funds to meet SCR–Tier 2 | Total amount of eligible own funds to meet SCR–Tier 2 calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures. |
| C0020/R0070 | Without transitional on technical provisions – Eligible own funds to meet SCR–Tier 2 | Total amount of eligible own funds to meet SCR–Tier 2 calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional deduction to technical provisions is not applicable report the same amount as in C0010. |
| C0030/R0070 | Impact of transitional on technical provisions – Eligible own funds to meet SCR–Tier 2 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 2 due to the application of the transitional deduction to technical provisions.It shall be the difference between the eligible own funds to meet SCR–Tier 2 calculated considering the technical provisions without transitional deduction to technical provisions and the eligible own funds to meet SCR–Tier 2 calculated with the technical provisions with LTG and transitional measures. |
| C0040/R0070 | Without transitional on interest rate – Eligible own funds to meet SCR–Tier 2 | Total amount of eligible own funds to meet SCR–Tier 2 calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020. |
| C0050/R0070 | Impact of transitional on interest rate – Eligible own funds to meet SCR–Tier 2 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 2 due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.It shall be the difference between the eligible own funds to meet SCR–Tier 2 calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the eligible own funds to meet SCR–Tier 2 calculated with the technical provisions reported under C0020. |
| C0060/R0070 | Without volatility adjustment and without other transitional measures – Eligible own funds to meet SCR–Tier 2 | Total amount of eligible own funds to meet SCR–Tier 2 calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment.If volatility adjustment is not applicable report the same amount as in C0040. |
| C0070/R0070 | Impact of volatility adjustment set to zero – Eligible own funds to meet SCR–Tier 2 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 2 due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.It shall be the difference between the eligible own funds to meet SCR–Tier 2 calculated considering the technical provisions without volatility adjustment and without other transitional measures and the eligible own funds to meet SCR–Tier 2 calculated with the technical provisions reported under C0040. |
| C0080/R0070 | Without matching adjustment and without all the others – Eligible own funds to meet SCR–Tier 2 | Total amount of eligible own funds to meet SCR–Tier 2 calculated considering technical provisions without any LTG measure.If matching adjustment is not applicable report the same amount as in C0060. |
| C0090/R0070 | Impact of matching adjustment set to zero – Eligible own funds to meet SCR–Tier 2 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 2 due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.It shall be the difference between the eligible own funds to meet SCR–Tier 2 calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the eligible own funds to meet SCR–Tier 2 calculated with the technical provisions reported under C0060. |
| C0100/R0070 | Impact of all LTG measures and transitionals – Eligible own funds to meet SCR–Tier 2 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 2 due to the application of the LTG measures and transitionals. |
| C0010/R0080 | Amount with LTG measures and transitionals – Eligible own funds to meet SCR–Tier 3 | Total amount of eligible own funds to meet SCR–Tier 3 calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures. |
| C0020/R0080 | Without transitional on technical provisions – Eligible own funds to meet SCR–Tier 3 | Total amount of eligible own funds to meet SCR–Tier 3 calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional deduction to technical provisions is not applicable report the same amount as in C0010. |
| C0030/R0080 | Impact of transitional on technical provisions – Eligible own funds to meet SCR–Tier 3 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 3 due to the application of the transitional deduction to technical provisions.It shall be the difference between the eligible own funds to meet SCR–Tier 3 calculated considering the technical provisions without transitional deduction to technical provisions and the eligible own funds to meet SCR–Tier 3 calculated with the technical provisions with LTG and transitional measures. |
| C0040/R0080 | Without transitional on interest rate – Eligible own funds to meet SCR–Tier 3 | Total amount of eligible own funds to meet SCR–Tier 3 calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020. |
| C0050/R0080 | Impact of transitional on interest rate – Eligible own funds to meet SCR–Tier 3 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 3 due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.It shall be the difference between the eligible own funds to meet SCR–Tier 3 calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the eligible own funds to meet SCR–Tier 3 calculated with the technical provisions reported under C0020. |
| C0060/R0080 | Without volatility adjustment and without other transitional measures – Eligible own funds to meet SCR–Tier 3 | Total amount of eligible own funds to meet SCR–Tier 3 calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment.If volatility adjustment is not applicable report the same amount as in C0040. |
| C0070/R0080 | Impact of volatility adjustment set to zero – Eligible own funds to meet SCR–Tier 3 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 3 due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.It shall be the difference between the eligible own funds to meet SCR–Tier 3 calculated considering the technical provisions without volatility adjustment and without other transitional measures and the eligible own funds to meet SCR–Tier 3 calculated with the technical provisions reported under C0040. |
| C0080/R0080 | Without matching adjustment and without all the others – Eligible own funds to meet SCR–Tier 3 | Total amount of eligible own funds to meet SCR–Tier 3 calculated considering technical provisions without any LTG measure.If matching adjustment is not applicable report the same amount as in C0060. |
| C0090/R0080 | Impact of matching adjustment set to zero – Eligible own funds to meet SCR–Tier 3 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 3 due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.It shall be the difference between the eligible own funds to meet SCR–Tier 3 calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the eligible own funds to meet SCR–Tier 3 calculated with the technical provisions reported under C0060. |
| C0100/R0080 | Impact of all LTG measures and transitionals – Eligible own funds to meet SCR–Tier 3 | Amount of the adjustment to the eligible own funds to meet SCR–Tier 3 due to the application of the LTG measures and transitionals. |
| C0010/R0090 | Amount with LTG measures and transitionals – SCR | Total amount of SCR calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures |
| C0020/R0090 | Without transitional on technical provisions – SCR | Total amount of SCR calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional deduction to technical provisions is not applicable report the same amount as in C0010. |
| C0030/R0090 | Impact of transitional on technical provisions – SCR | Amount of the adjustment to the SCR due to the application of the transitional deduction to technical provisions.It shall be the difference between the SCR calculated considering the technical provisions without transitional deduction to technical provisions and the SCR calculated with the technical provisions with LTG and transitional measures. |
| C0040/R0090 | Without transitional on interest rate – SCR | Total amount of SCR calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment.If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020. |
| C0050/R0090 | Impact of transitional on interest rate – SCR | Amount of the adjustment to the SCR due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.It shall be the difference between the SCR calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the SCR calculated with the technical provisions reported under C0020. |
| C0060/R0090 | Without volatility adjustment and without other transitional measures – SCR | Total amount of SCR calculated considering Technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment.If volatility adjustment is not applicable report the same amount as in C0040. |
| C0070/R0090 | Impact of volatility adjustment set to zero – SCR | Amount of the adjustment to the SCR due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.It shall be the difference between the SCR calculated considering the technical provisions without volatility adjustment and without other transitional measures and the SCR calculated with the technical provisions reported under C0040. |
| C0080/R0090 | Without matching adjustment and without all the others – SCR | Total amount of SCR calculated considering Technical provisions without any LTG measure.If matching adjustment is not applicable report the same amount as in C0060. |
| C0090/R0090 | Impact of matching adjustment set to zero – SCR | Amount of the adjustment to the SCR due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.It shall be the difference between the SCR calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the SCR calculated with the technical provisions reported under C0060. |
| C0100/R0090 | Impact of all LTG measures and transitionals – SCR | Amount of the adjustment to the SCR due to the application of the LTG measures and transitionals. |
| C0010-C0100/R0120 | With LTG measures and transitionals – Solvency Capital Requirement Ratio | Solvency Capital Requirement ratio calculated considering technical provisions as reported in R0010 of each columnTotal amount of eligible own funds to meet SCR (R0050) divided by the total amount of SCR (R0090) of each column. |
| C0010-C0100/R0130 | Amount with Long Term Guarantee measures and transitionals – Minimum Capital Requirement Ratio | Minimum Capital Requirement ratio calculated considering technical provisions as reported in R0010 of each column.Total amount of eligible own funds to meet MCR (R0100) divided by the total amount of MCR (R0110) of each column. |
S.23.01 – Own Funds
General comments:
This section relates to the quarterly and annual submission for groups.
The template is applicable under all three calculation methods for group solvency capital requirement. Since most of the items are applicable to the part of the group that is covered by method 1 (Accounting consolidation-based method), the items applicable when method 2 (Deduction and Aggregation method or D&A method) is used, exclusively or in combination with method 1, are clearly identified in the instructions.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Basic own funds before deduction for participations in other financial sector | ||
| R0010/C0010 | Ordinary share capital (gross of own shares) – total | This is the total ordinary share capital, both held directly and indirectly (before deduction of own shares). This is the total ordinary share capital of the group that fully satisfies the criteria for Tier 1 or Tier 2 items. Any ordinary share capital that does not fully satisfy the criteria shall be treated as preference shares capital and classified accordingly notwithstanding their description or designation. |
| R0010/C0020 | Ordinary share capital (gross of own shares) – tier 1 unrestricted | This is the amount of paid up ordinary share capital that meets unrestricted Tier 1– criteria. |
| R0010/C0040 | Ordinary share capital (gross of own shares) – tier 2 | This is the amount of called up ordinary share capital that meets the criteria for Tier 2. |
| R0020/C0010 | Non–available called but not paid in ordinary share capital to be deducted at group level – total | This is the total amount of called but not paid in ordinary share capital which is deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC, to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0020/C0020 | Non–available called but not paid in ordinary share capital to be deducted at group level – tier 1 unrestricted | This is the total amount of called but not paid in ordinary share capital which is deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meets tier 1 unrestricted criteria and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0020/C0040 | Non–available called but not paid in ordinary share capital to be deducted at group level – tier 2 | This is the amount of called but not paid in ordinary share capital which is deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC which meets the criteria for Tier 2 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0030/C0010 | Share premium account related to ordinary share capital – total | The total share premium account related to ordinary share capital that fully satisfies the criteria for Tier 1 or Tier 2 items. |
| R0030/C0020 | Share premium account related to ordinary share capital – tier 1 unrestricted | This is the amount of the share premium account related to ordinary shares that meets the criteria for Tier 1 unrestricted because it relates to ordinary share capital treated as unrestricted Tier 1. |
| R0030/C0040 | Share premium account related to ordinary share capital – tier 2 | This is the amount of the share premium account related to ordinary shares that meets the criteria for Tier 2 because it relates to ordinary share capital treated as Tier 2. |
| R0040/C0010 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings – total | The initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings that fully satisfies the criteria for Tier 1 or Tier 2 items. |
| R0040/C0020 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings – tier 1 unrestricted | This is the amount of the initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings that meets the criteria for Tier 1 unrestricted. |
| R0040/C0040 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings – tier 2 | This is the amount of the initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings that meets Tier 2 criteria. |
| R0050/C0010 | Subordinated mutual member accounts – total | This is the total amount of subordinated mutual member accounts that fully satisfy the criteria for Tier 1 restricted, Tier 2 or Tier 3 items. |
| R0050/C0030 | Subordinated mutual member accounts – tier 1 restricted | This is the amount of subordinated mutual member accounts that meet the criteria for Tier 1 restricted. |
| R0050/C0040 | Subordinated mutual member accounts – tier 2 | This is the amount of subordinated mutual member accounts that meet the criteria for Tier 2. |
| R0050/C0050 | Subordinated mutual member accounts – tier 3 | This is the amount of subordinated mutual member accounts that meet the criteria for Tier 3. |
| R0060/C0010 | Non–available subordinated mutual member accounts to be deducted at group level – total | This is the total amount of subordinated mutual member accounts which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0060/C0030 | Non–available subordinated mutual member accounts to be deducted at group level – tier 1 restricted | This is the amount of subordinated mutual member accounts which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 1 restricted and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0060/C0040 | Non–available subordinated mutual member accounts to be deducted at group level – tier 2 | This is the amount of subordinated mutual member accounts which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 2 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0060/C0050 | Non–available subordinated mutual member accounts to be deducted at group level – tier 3 | This is the amount of subordinated mutual member accounts which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 3 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0070/C0010 | Surplus funds – total | This is the total amount of surplus funds that fall under Article 91(2) of Directive 2009/138/EC. |
| R0070/C0020 | Surplus funds – tier 1 unrestricted | These are the surplus funds that fall under Article 91(2) of the Directive 2009/138/EC and that meet the criteria for Tier 1 unrestricted items. |
| R0080/C0010 | Non–available surplus funds to be deducted at group level –total | This is the total amount of surplus funds which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0080/C0020 | Non–available surplus funds to be deducted at group level – tier 1 unrestricted | This is the amount of surplus funds that are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 1 unrestricted items and has to be deducted as per Article 330 of the Delegated Regulation (EU) 2015/35. |
| R0090/C0010 | Preference shares – total | This is the total amount of preference shares issued that fully satisfy the criteria for Tier 1 restricted, Tier 2 or Tier 3 items. |
| R0090/C0030 | Preference shares – tier 1 restricted | This is the amount of the preference shares issued that meet the criteria for Tier 1 restricted. |
| R0090/C0040 | Preference shares – tier 2 | This is the amount of the preference shares issued that meet the criteria for Tier 2. |
| R0090/C0050 | Preference shares – tier 3 | This is the amount of the preference shares issued that meet the criteria for Tier 3. |
| R0100/C0010 | Non–available preference shares to be deducted at group level – total | This is the total amount of preference shares which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0100/C0030 | Non–available preference shares at group level to be deducted – tier 1 Restricted | This is the amount of preference shares which are deemed non – available as defined in Article 222(2)–(5) of Directive 2009/138/EC and which meet the criteria for Tier 1 restricted items and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0100/C0040 | Non–available preference shares to be deducted at group level – tier 2 | This is the amount of preference shares which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC and which meet the criteria for Tier 2 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0100/C0050 | Non–available preference shares to be deducted at group level – tier 3 | This is the amount of preference shares which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC and which meet the criteria for Tier 3 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0110/C0010 | Share premium account related to preference shares – total | The total share premium account related to preference shares capital that fully satisfies the criteria for Tier 1 restricted, Tier 2 or Tier 3 items. |
| R0110/C0030 | Share premium account related to preference shares – tier 1 restricted | This is the amount of the share premium account that relates to preference shares that meets the criteria for Tier 1 restricted items because it relates to preference shares treated as Tier 1 restricted items. |
| R0110/C0040 | Share premium account related to preference shares – tier 2 | This is the amount of the share premium account that relates to preference shares that meets the criteria for Tier 2 because it relates to preference shares treated as Tier 2. |
| R0110/C0050 | Share premium account related to preference shares – tier 3 | This is the amount of the share premium account that relates to preference shares that meets the criteria for Tier 3 because it relates to preference shares treated as Tier 3. |
| R0120/C0010 | Non–available share premium account related to preference shares to be deducted at group level – total | This is the total amount of the share premium account relating to preference shares that is deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC. |
| R0120/C0030 | Non–available share premium account related to preference shares to be deducted at group level – tier 1 restricted | This is the amount of the share premium account relating to preference shares that is deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC and which meets the criteria for Tier 1 restricted items and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0120/C0040 | Non–available share premium account related to preference shares to be deducted at group level – tier 2 | This is the amount of the share premium account relating to preference shares that is deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC and which meets the criteria for Tier 2 and has to be deducted as per Article 330 of the Delegated Regulation (EU) 2015/35. |
| R0120/C0050 | Non–available share premium account related to preference shares to be deducted at group level – tier 3 | This is the amount of the share premium account relating to preference shares that is deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC and which meets the criteria for Tier 3 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0130/C0010 | Reconciliation reserve – total | The total reconciliation reserve represents reserves (e.g. retained earnings), net of adjustments (e.g. ring–fenced funds). It results mainly from differences between accounting valuation and valuation in accordance with Article 75 of Directive 2009/138/EC. |
| R0130/C0020 | Reconciliation reserve – tier 1 unrestricted | The reconciliation reserve represents reserves (e.g. retained earnings), net of adjustments (e.g. ring–fenced funds). It results mainly from differences between accounting valuation and valuation in accordance with Directive 2009/138/EC. |
| R0140/C0010 | Subordinated liabilities – total | This is the total amount of subordinated liabilities. |
| R0140/C0030 | Subordinated liabilities – tier 1 restricted | This is the amount of subordinated liabilities that meet the criteria for Tier 1 restricted items. |
| R0140/C0040 | Subordinated liabilities – tier 2 | This is the amount of subordinated liabilities that meet the criteria for Tier 2. |
| R0140/C0050 | Subordinated liabilities – tier 3 | This is the amount of subordinated liabilities that meet the criteria for Tier 3. |
| R0150/C0010 | Non–available subordinated liabilities to be deducted at group level – total | This is the total amount of subordinated liabilities that are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC. |
| R0150/C0030 | Non–available subordinated liabilities to be deducted at group level – tier 1 restricted | This is the amount of subordinated liabilities that are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 1 restricted items. |
| R0150/C0040 | Non–available subordinated liabilities to be deducted at group level – tier 2 | This is the amount of subordinated liabilities that are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 2 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0150/C0050 | Non–available subordinated liabilities to be deducted at group level – tier 3 | This is the amount of subordinated liabilities that are deemed non–available as defined in Article 222(2)–(5) of the Directive 2009/138/EC that meet the criteria for Tier 3 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0160/C0010 | An amount equal to the value of net deferred tax assets – total | This is the total amount of net deferred tax assets. |
| R0160/C0050 | An amount equal to the value of net deferred tax assets – tier 3 | This is the amount of net deferred tax assets that meet the tier 3 classification criteria. |
| R0170/C0010 | The amount equal to the value of net deferred tax assets not available to be deducted at group level –total | This is the total amount of net deferred tax assets which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0170/C0050 | The amount equal to the value of net deferred tax assets not available to be deducted at group level – Tier 3 | This is the amount of net deferred tax assets which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 3 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0180/C0010 | Other own fund items approved by the supervisory authority as basic own funds not specified above – total | This is the total of basic own fund items not identified above and that received supervisory approval. |
| R0180/C0020 | Other own fund items approved by the supervisory authority as basic own funds not specified above – tier 1 unrestricted | This is the amount of basic own fund items not identified above that meet Tier 1 unrestricted criteria and that received supervisory approval. |
| R0180/C0030 | Other own fund items approved by the supervisory authority as basic own funds not specified above – Tier 1 restricted | This is the amount of basic own fund items not identified above which meet the criteria for Tier 1, restricted items and that received supervisory approval. |
| R0180/C0040 | Other own fund items approved by the supervisory authority as basic own funds not specified above – tier 2 | This is the amount of basic own fund items not identified above that meet the criteria for Tier 2 and that received supervisory approval. |
| R0180/C0050 | Other own fund items approved by the supervisory authority as basic own funds not specified above – tier 3 | This is the amount of basic own fund items not identified above that meet the criteria for Tier 3 and that received supervisory approval. |
| R0190/C0010 | Non–available own funds related to other own funds items approved by supervisory authority to be deducted – total | This is the total amount of own fund items related to other items approved by supervisory authority as basic own funds not specified above which are deemed non–available, as defined in Article 222(2)–(5) of Directive 2009/138/EC and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0190/C0020 | Non–available own funds related to other own funds items approved by supervisory authority to be deducted – tier 1 unrestricted items | This is the amount of own fund items related to other items approved by supervisory authority as basic own funds not specified above which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 1 unrestricted items and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0190/C0030 | Non–available own funds related to other own funds items approved by supervisory authority to be deducted – tier 1 restricted items | This is the amount of own fund items related to other items approved by supervisory authority as basic own funds not specified above which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 1 restricted items and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0190/C0040 | Non–available own funds related to other own funds items approved by supervisory authority to be deducted – tier 2 | This is the amount of own fund items related to other items approved by supervisory authority as basic own funds not specified above which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 2 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0190/C0050 | Non–available own funds related to other own funds items approved by supervisory authority to be deducted – tier 3 | This is the amount of own fund items related to other items approved by supervisory authority as basic own funds not specified above which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 3 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0200/C0010 | Minority interests at group level– total | This is the total of minority interests in the group being reported upon. |
| R0200/C0020 | Minority interests at group level– tier 1 unrestricted | The amount of minority interests in the group being reported upon that meet the criteria for Tier 1 unrestricted items. |
| R0200/C0030 | Minority interests at group level– tier 1 restricted | The amount of minority interests in the group being reported upon that meet the criteria for Tier 1 restricted items. |
| R0200/C0040 | Minority interests at group level– tier 2 | The amount of minority interests in the group being reported upon that meet the criteria for Tier 2. |
| R0200/C0050 | Minority interests at group level– tier 3 | The amount of minority interests in the group being reported upon that meet the criteria for Tier 3. |
| R0210/C0010 | Non-available minority interests to be deducted at group level – total | This is the total amount of minority interests which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC, and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0210/C0020 | Non-available minority interests to be deducted at group level – tier 1 unrestricted | This is the amount of minority interests which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 1 unrestricted, and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0210/C0030 | Non-available minority interests to be deducted at group level – tier 1 restricted | This is the amount of minority interests which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 1 restricted, and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0210/C0040 | Non-available minority interests to be deducted at group level – tier 2 | This is the amount of minority interests which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 2, and to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0210/C0050 | Non-available minority interests to be deducted at group level – tier 3 | This is the amount of minority interests which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 3, and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds | ||
| R0220/C0010 | Own funds from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds – total | This is the total amount of own fund items from financial statements that are not represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds.These own fund items are either:i) items that appear in the lists of own fund items, but fail to meet the classification criteria or the transitional provisions; orii) items intended to perform the role of own funds that are not on the list of own fund items and have not been approved by the supervisory authority, and do not appear on the balance sheet as liabilities.Subordinated liabilities which do not count as basic own funds shall not be reported here, but on the balance sheet (template S.02.01) as subordinated liabilities that do not count as basic own funds. |
| Deductions | ||
| R0230/C0010 | Deductions of participations in other financial undertakings, including non–regulated undertakings carrying out financial activities – total | This is the total deduction for participations in credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies, institutions for occupational retirement provisions, non–regulated undertakings carrying out financial activities, including the participations that are deducted in accordance with Article 228, paragraph 2 of Directive 2009/138/EC.Those participations are deducted from basic own funds and added back as own funds in accordance with the relevant sectoral rules in the rows from R0410 to R0440. |
| R0230/C0020 | Deductions of participations in other financial undertakings, including non–regulated undertakings carrying out financial activities – tier 1 unrestricted | This is the deduction of the participations in credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies, institutions for occupational retirement provisions, non–regulated undertakings carrying out financial activities, including the participations that are deducted in accordance with Article 228, paragraph 2 of Directive 2009/138/EC (to be showed separately in the row R0240).Those participations are deducted from basic own funds and added back as own funds in accordance with the relevant sectoral rules in the rows from R0410 to R0440 – tier 1 unrestricted items. |
| R0230/C0030 | Deductions of participations in other financial undertakings, including non–regulated undertakings carrying out financial activities – tier 1 restricted | This is the deduction of the participations in credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies, institutions for occupational retirement provisions, non–regulated undertakings carrying out financial activities, including the participations that are deducted in accordance with Article 228, paragraph 2 of Directive 2009/138/EC.Those participations are deducted from basic own funds and added back as own funds in accordance with the relevant sectoral rules in the rows from R0410 to R0440— tier 1 restricted items. |
| R0230/C0040 | Deductions of participations in other financial undertakings, including non–regulated undertakings carrying out financial activities – tier 2 | This is the deduction of the participations in credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies, institutions for occupational retirement provisions, non–regulated undertakings carrying out financial activities, including the participations that are deducted in accordance with Article 228, paragraph 2 of the Directive 2009/138/EC.Those participations are deducted from basic own funds and added back as own funds in accordance with the relevant sectoral rules in the rows from R0410 to R0440 – tier 2. |
| R0230/C0050 | Deductions of participations in other financial undertakings, including non–regulated undertakings carrying out financial activities – Tier 3 | This is the deduction of the participations in credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies, institutions for occupational retirement provisions, non–regulated undertakings carrying out financial activities, including the participations that are deducted in accordance with Article 228, paragraph 2 of Directive 2009/138/EC.Those participations are deducted from basic own funds and added back as own funds in accordance with the relevant sectoral rules in the rows from R0410 to R0440 – Tier 3. |
| R0240/C0010 | whereof deducted according to art 228 of the Directive 2009/138/EC– total | This is the total value of participations deducted in accordance with Article 228, paragraph 2 of Directive 2009/138/EC, as part of the value reported in row R0230 – total |
| R0240/C0020 | whereof deducted according to art 228 of the Directive 2009/138/EC – tier 1 unrestricted | This is the value of participations that are deducted in accordance with Article 228, paragraph 2 of Directive 2009/138/EC, as part of the value reported in row R0230 – tier 1 unrestricted |
| R0240/C0030 | whereof deducted according to art 228 of the Directive 2009/138/EC – tier 1 restricted | This is the value of participations deducted in accordance with Article 228, paragraph 2 of Directive 2009/138/EC, as part of the value reported in row R0230 – tier 1 restricted |
| R0240/C0040 | whereof deducted according to art 228 of the Directive 2009/138/EC – tier 2 | This is the value of participations deducted in accordance with Article 228, paragraph 2 of Directive 2009/138/EC, as part of the value reported in row R0230 – tier 2 |
| R0250/C0010 | Deductions of participations where there is non–availability of information (Article 229) – total | This is the total deduction of the participations in related undertakings when the information necessary for calculating the group solvency is not available, in accordance with Article 229 of Directive 2009/138/EC. |
| R0250/C0020 | Deductions of participations where there is non–availability of information (Article 229) – tier 1 unrestricted | This is the deduction of the participations in related undertakings when the information necessary for calculating the group solvency is not available, in accordance with Article 229 of Directive 2009/138/EC – tier 1 unrestricted. |
| R0250/C0030 | Deductions of participations where there is non–availability of information (Article 229) – tier 1 restricted | This is the deduction of the participations in related undertakings when the information necessary for calculating the group solvency is not available, in accordance with Article 229 of Directive 2009/138/EC – tier 1 restricted. |
| R0250/C0040 | Deductions of participations where there is non–availability of information (Article 229) – tier 2 | This is the deduction of the participations in related undertakings when the information necessary for calculating the group solvency is not available, in accordance with Article 229 of Directive 2009/138/EC, Tier 2. |
| R0250/C0050 | Deductions of participations where there is non–availability of information (Article 229) – tier 3 | This is the deduction of the participations in related undertakings when the information necessary for calculating the group solvency is not available, in accordance with Article 229 of Directive 2009/138/EC, Tier 3. |
| R0260/C0010 | Deduction for participations included via Deduction and Aggregation method when the combination of methods is used – total | This is the total deduction of the participations in related undertakings included with the Deduction and Aggregation method when the combination of methods is used. |
| R0260/C0020 | Deduction for participations included with Deduction and Aggregation method when the combination of methods is used – tier 1 unrestricted | This is the deduction of the participations in related undertakings included with the Deduction and Aggregation method when the combination of methods is used – tier 1 unrestricted. |
| R0260/C0030 | Deduction for participations included with Deduction and Aggregation method when the combination of methods is used – tier 1 restricted | This is the deduction of the participations in related undertakings included with the Deduction and Aggregation method when a combination of methods is used – tier 1 restricted. |
| R0260/C0040 | Deduction for participations included with Deduction and Aggregation method when the combination of methods is used – tier 2 | This is the deduction of the participations in related undertakings included with the Deduction and Aggregation method when the combination of methods is used – tier 2. |
| R0260/C0050 | Deduction for participations included with Deduction and Aggregation method when combination of methods is used – tier 3 | This is the deduction of the participations in related undertakings included with the Deduction and Aggregation method when the combination of methods is used – tier 3. |
| R0270/C0010 | Total of non–available own fund items to be deducted – total | This is the total of non– available own fund items and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0270/C0020 | Total of non–available own fund items to be deducted – tier 1 unrestricted | This is the non– available own fund items in Tier 1 unrestricted items and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0270/C0030 | Total of non–available own fund items to be deducted – tier 1 restricted | This is the non–available own fund items – tier 1 restricted items and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0270/C0040 | Total of non–available own fund items to be deducted – tier 2 | This is the non–available own fund items – tier 2 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0270/C0050 | Total of non–available own fund items to be deducted – tier 3 | This is the non–available own fund items – tier 3 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35. |
| R0280/C0010 | Total deductions – total | This is the total amount of deductions not included in the reconciliation reserves. |
| R0280/C0020 | Total deductions – tier 1 unrestricted | This is the amount of deductions from tier 1 unrestricted not included in the reconciliation reserves. |
| R0280/C0030 | Total deductions – tier 1 restricted | This is the amount of deductions from tier 1 restricted not included in the reconciliation reserves. |
| R0280/C0040 | Total deductions – tier 2 | This is the amount of deductions from tier 2 not included in the reconciliation reserves. |
| R0280/C0050 | Total deductions – tier 3 | This is the amount of deductions from tier 3 not included in the reconciliation reserves. |
| Total basic own funds after deductions | ||
| R0290/C0010 | Total basic own funds after deductions | This is the total amount of basic own fund items after deductions. |
| R0290/C0020 | Total basic own funds after deductions – tier 1 unrestricted | This is the amount of basic own fund items after deductions that meet the criteria for Tier 1 unrestricted items. |
| R0290/C0030 | Total basic own funds after deductions – tier 1 restricted | This is the amount of basic own fund items after deductions that meet the criteria for Tier 1 restricted items. |
| R0290/C0040 | Total basic own funds after deductions – tier 2 | This is the amount of basic own fund items after deductions that meet the criteria for Tier 2. |
| R0290/C0050 | Total basic own funds after deductions – tier 3 | This is the amount of basic own fund items after deductions that meet the criteria for Tier 3. |
| Ancillary own funds | ||
| R0300/C0010 | Unpaid and uncalled ordinary share capital callable on demand – total | This is the total amount of issued ordinary share capital that has not been called up or paid up but that is callable on demand. |
| R0300/C0040 | Unpaid and uncalled ordinary share capital callable on demand – tier 2 | This is the amount of issued ordinary share capital that has not been called up or paid up but that is callable on demand that meets the criteria for Tier 2. |
| R0310/C0010 | Unpaid and uncalled initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual – type undertakings, callable on demand – total | This is the total amount of initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings that has not been called up or paid up but that is callable on demand. |
| R0310/C0040 | Unpaid and uncalled initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings, callable on demand – tier 2 | This is the amount of initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings that has not been called up or paid up but that is callable on demand that meets the criteria for Tier 2. |
| R0320/C0010 | Unpaid and uncalled preference shares callable on demand – total | This is the total amount of preference shares that have not been called up or paid up but that are callable on demand. |
| R0320/C0040 | Unpaid and uncalled preference shares callable on demand – tier 2 | This is the amount of preference shares that have not been called up or paid up but that are callable on demand that meet the criteria for Tier 2. |
| R0320/C0050 | Unpaid and uncalled preference shares callable on demand – tier 3 | This is the amount of preference shares that have not been called up or paid up but that are callable on demand that meet the criteria for Tier 3 |
| R0330/C0010 | A legally binding commitment to subscribe and pay for subordinated liabilities on demand – total | This is the total amount of legally binding commitments to subscribe and pay for subordinated liabilities on demand. |
| R0330/C0040 | A legally binding commitment to subscribe and pay for subordinated liabilities on demand – tier 2 | This is the amount of legally binding commitments to subscribe and pay for subordinated liabilities on demand that meet the criteria for Tier 2. |
| R0330/C0050 | A legally binding commitment to subscribe and pay for subordinated liabilities on demand – tier 3 | This is the amount of legally binding commitments to subscribe and pay for subordinated liabilities on demand that meet the criteria for Tier 3. |
| R0340/C0010 | Letters of credit and guarantees under Article 96(2) of Directive 2009/138/EC – total | This is the total amount of letters of credit and guarantees that are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC. |
| R0340/C0040 | Letters of credit and guarantees under Article 96(2) of Directive 2009/138/EC – tier 2 | This is the amount of letters of credit and guarantees that are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC that meet the criteria for Tier 2. |
| R0350/C0010 | Letters of credit and guarantees other than under Article 96(2) of Directive 2009/138/EC – total | This is the total amount of letters of credit and guarantees that satisfy criteria for Tier 2 or Tier 3, other than those that are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC. |
| R0350/C0040 | Letters of credit and guarantees other than under Article 96(2) of Directive 2009/138/EC – tier 2 | This is the amount of letters of credit and guarantees that meet the criteria for Tier 2, other than those which are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC. |
| R0350/C0050 | Letters of credit and guarantees other than under Article 96(2) of Directive 2009/138/EC– tier 3 | This is the amount of letters of credit and guarantees that meet the criteria for Tier 3, other than those which are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC. |
| R0360/C0010 | Supplementary members calls under first subparagraph of Article 96(3) of Directive 2009/138/EC – total | This is the total amount of any future claims which mutual or mutual–type associations of ship owners with variable contributions solely insuring risks listed in classes 6, 12 and 17 in Part A of Annex I may have against their members by way of a call for supplementary contributions, within the following 12 months. |
| R0360/C0040 | Supplementary members calls under first subparagraph of Article 96(3) of Directive 2009/138/EC – tier 2 | This is the amount of any future claims which mutual or mutual–type associations of ship owners with variable contributions solely insuring risks listed in classes 6, 12 and 17 in Part A of Annex I may have against their members by way of a call for supplementary contributions, within the following 12 months. |
| R0370/C0010 | Supplementary members calls – other than under first subparagraph of Article 96(3) of Directive 2009/138/EC – total | This is the total amount of any future claims which mutual or mutual–type associations with variable contributions may have against their members by way of a call for supplementary contributions, within the following 12 months, other than those described in the first subparagraph of Article 96(3) of the Directive 2009/138/EC. |
| R0370/C0040 | Supplementary members calls – other than under first subparagraph of Article 96(3) of Directive 2009/138/EC – tier 2 | This is the amount of any future claims which mutual or mutual–type associations of with variable contributions may have against their members by way of a call for supplementary contributions within the following 12 months, other than those described in the first subparagraph of Article 96(3) of Directive 2009/138/EC that meet the criteria for Tier 2. |
| R0370/C0050 | Supplementary members calls – other than under first subparagraph of Article 96(3) of Directive 2009/138/EC – tier 3 | This is the amount of any future claims which mutual or mutual–type associations with variable contributions may have against their members by way of a call for supplementary contributions within the following 12 months, other than those described in the first subparagraph of Article 96(3) of the Framework Directive 2009/138/EC that meet the criteria for Tier 3. |
| R0380/C0010 | Non available ancillary own funds at group level to be deducted— total | This is the total amount of ancillary own funds which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC. |
| R0380/C0040 | Non available ancillary own funds at group level to be deducted – tier 2 | This is the amount of ancillary own funds which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 2. |
| R0380/C0050 | Non available ancillary own funds at group level to be deducted – tier 3 | This is the amount of ancillary own funds which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 3. |
| R0390/C0010 | Other ancillary own funds – total | This is the total amount of other ancillary own funds. |
| R0390/C0040 | Other ancillary own funds – tier 2 | This is the amount of other ancillary own funds that meet criteria for Tier 2. |
| R0390/C0050 | Other ancillary own funds – tier 3 | This is the amount of other ancillary own funds that meet criteria for Tier 3. |
| R0400/C0010 | Total ancillary own funds | This is the total amount of ancillary own fund items. |
| R0400/C0040 | Total ancillary own funds tier 2 | This is the amount of ancillary own fund items that meet the criteria for Tier 2. |
| R0400/C0050 | Total ancillary own funds – tier 3 | This is the amount of ancillary own fund items that meet the criteria for Tier 3. |
| Own funds of other financial sectors | ||
| The following items are applicable also in case of D&A method and combination of methods | ||
| R0410/C0010 | Credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies – total | Total of own funds in credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies already net of any relevant Intragroup Transaction. The inclusion of other financial sectors follow Article 329 of Delegated Regulation (EU) 2015/35, if not deducted in accordance with Article 228, paragraph 2 of Directive 2009/138/EC. |
| R0410/C0020 | Credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies – Tier 1 unrestricted | Own funds in credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies already net of any relevant Intragroup Transaction – tier 1 unrestricted.Those items should be also deducted of any non–available own funds according to the relevant sectoral rules and deducted of own funds in accordance with Article 228, paragraph 2 of Directive 2009/138/EC. |
| R0410/C0030 | Credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies – Tier 1 restricted | Own funds in credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies already net of any relevant Intragroup Transaction – tier 1 restricted.Those items should be also deducted of any non–available own funds according to the relevant sectoral rules and deducted of own funds in accordance with Article 228, paragraph 2 of Directive 2009/138/EC. |
| R0410/C0040 | Credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies – Tier 2 | Own funds in credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies already net of any relevant Intragroup Transaction – tier 2.Those items should be also deducted of any non–available own funds according to the relevant sectoral rules and deducted of own funds in accordance with Article 228, paragraph 2 of Directive 2009/138/EC. |
| R0420/C0010 | Institutions for occupational retirement provision – total | Total of own funds in institutions for occupational retirement provision, already net of any relevant Intragroup Transaction. Those items should be also deducted of any non–available own funds according to the relevant sectoral rules. |
| R0420/C0020 | Institutions for occupational retirement provision – tier 1 unrestricted | Own funds in institutions for occupational retirement provision, already net of any relevant Intragroup Transaction– tier 1 unrestricted.Those items should be also deducted of any non–available own funds according to the relevant sectoral rules |
| R0420/C0030 | Institutions for occupational retirement provision – tier 1 restricted | Own funds in institutions for occupational retirement provision, already net of any relevant Intragroup Transaction– tier 1 restricted.Those items should be also deducted of any non–available own funds according to the relevant sectoral rules |
| R0420/C0040 | Institutions for occupational retirement provision – tier 2 | Own funds in institutions for occupational retirement provision, already net of any relevant Intragroup Transaction– tier 2.Those items should be also deducted of any non–available own funds according to the relevant sectoral rules |
| R0420/C0050 | Institutions for occupational retirement provision – tier 3 | Own funds in institutions for occupational retirement provision, already net of any relevant Intragroup Transaction– tier 3.Those items should be also deducted of any non–available own funds according to the relevant sectoral rules |
| R0430/C0010 | Non–regulated undertakings carrying out financial activities – total | Total of own funds in non–regulated entities carrying out financial activities, already net of any relevant Intragroup Transaction. Those items should be also deducted of any non–available own funds according to the relevant sectoral rules and deducted of own funds in accordance with Article 228, paragraph 2 of Directive 2009/138/EC. |
| R0430/C0020 | Non–regulated undertakings carrying out financial activities – tier 1 unrestricted | Own funds in non–regulated entities carrying out financial activities, already net of any relevant Intragroup Transaction – tier 1 unrestricted.Those items should be also deducted of any non–available own funds according to the relevant sectoral rules and deducted of own funds in accordance with Article 228, paragraph 2 of Directive 2009/138/EC. |
| R0430/C0030 | Non–regulated undertakings carrying out financial activities – tier 1 restricted | Own funds in non–regulated entities carrying out financial activities, already net of any relevant Intragroup Transaction – tier 1 restricted.Those items should be also deducted of any non–available own funds according to the relevant sectoral rules and deducted of own funds in accordance with Article 228, paragraph 2 of Directive 2009/138/EC. |
| R0430/C0040 | Non–regulated undertakings carrying out financial activities – tier 2 | Own funds in non–regulated entities carrying out financial activities, already net of any relevant Intragroup Transaction – tier 2.Those items should be also deducted of any non–available own funds according to the relevant sectoral rules and deducted of own funds in accordance with Article 228, paragraph 2 of Directive 2009/138/EC. |
| R0440/C0010 | Total own funds of other financial sectors – total | Total of own funds in other financial sectors.The value of the participation in the other financial sectors is deducted in R0230, and the own funds according to the own sectoral rule of own funds of such undertakings are reported in R0440. |
| R0440/C0020 | Total own funds of other financial sectors – tier 1 unrestricted | Total of own funds in other financial sectors – tier 1 unrestricted.The value of the participation in the other financial sectors is deducted in R0230, and the own funds according to the own sectoral rule of own funds of such undertakings are reported in R0440. |
| R0440/C0030 | Total own funds of other financial sectors – tier 1 restricted | Total of own funds in other financial sectors – tier 1 restricted.The value of the participation in the other financial sectors is deducted in R0230, and the own funds according to the own sectoral rule of own funds of such undertakings are reported in R0440. |
| R0440/C0040 | Total own funds of other financial sectors – tier 2 | Total of own funds in other financial sectors – tier 2.The value of the participation in the other financial sectors is deducted in R0230, and the own funds according to the own sectoral rule of own funds of such undertakings are reported in R0440. |
| R0440/C0050 | Total own funds of other financial sectors – Tier 3 | Total of own funds in other financial sectors – Tier 3.The value of the participation in the other financial sectors is deducted in R0230, and the own funds according to the own sectoral rule of own funds of such undertakings are reported in R0440. |
| Own funds when using the Deduction and Aggregation method (D&A) exclusively, or in combination with method 1 | ||
| R0450/C0010 | Own funds aggregated when using the Deduction and Aggregation method or combination of methods – Total | These are the total eligible own funds of the related undertakings that have to be added for the calculation of the aggregated own funds when using the Deduction and aggregation method or a combination of methods; after the deduction of non–available own funds at group level. |
| R0450/C0020 | Own funds aggregated when using the Deduction and Aggregation method or combination of methods – Tier 1 unrestricted | These are the eligible own funds of the related undertakings that have to be added for the calculation of the aggregated own funds when using the Deduction and aggregation method or a combination of methods, classified as Tier 1 unrestricted after the deduction of non–available own funds at group level |
| R0450/C0030 | Own funds aggregated when using the Deduction and Aggregation method, and combination of method – Tier 1 restricted | These are the eligible own funds of the related undertakings that have to be added for the calculation of the aggregated own funds when using the Deduction and aggregation method or a combination of methods, classified as Tier 1 restricted after the deduction of non-available own funds at group level |
| R0450/C0040 | Own funds aggregated when using the Deduction and Aggregation method and combination of method – Tier 2 | These are the eligible own funds of the related undertakings that have to be added for the calculation of the aggregated own funds when using the Deduction and aggregation method or a combination of methods, classified as Tier 2 after the deduction of non-available own funds at group level. |
| R0450/C0050 | Own funds aggregated when using the Deduction and Aggregation method and combination of method – Tier 3 | These are the eligible own funds of the related undertakings that have to be added for the calculation of the aggregated own funds when using the Deduction and aggregation method or a combination of methods, classified as Tier 3 after the deduction of non-available own funds at group level. |
| R0460/C0010 | Own funds aggregated when using the Deduction and Aggregation method, and combination of method net of IGT – Total | These are the total eligible own funds after the elimination of the intra–group transactions for the calculation of the aggregated group eligible own funds.The own funds figure reported here shall be net of non-available own funds and net of IGTs. |
| R0460/C0020 | Own funds aggregated when using the Deduction and Aggregation method, and combination of method net of IGT – Tier 1 unrestricted | These are the eligible own funds after the elimination of the intra–group transactions for the calculation of the aggregated group eligible own funds, classified as Tier 1 unrestricted items.The own funds figure reported here shall be net of non-available own funds and net of IGTs. |
| R0460/C0030 | Own funds aggregated when using the Deduction and Aggregation method, and combination of method net of IGT – Tier 1 restricted | These are the eligible own funds after the elimination of the intra–group transactions for the calculation of the aggregated group eligible own funds, classified as Tier 1 restricted. The own funds figure reported here shall be net of non-available own funds and net of IGTs. |
| R0460/C0040 | Own funds aggregated when using the Deduction and Aggregation method, and combination of method net of IGT – Tier 2 | These are the eligible own funds after the elimination of the intra–group transactions for the calculation of the aggregated group eligible own funds, classified as Tier 2. The own funds figure reported here shall be net of non-available own funds and net of IGTs. |
| R0460/C0050 | Own funds aggregated when using the Deduction and Aggregation method,and combination of method net of IGT – Tier 3 | These are the eligible own funds after the elimination of the intra–group transactions for the calculation of the aggregated group eligible own funds, classified as Tier 3. The own funds figure reported here shall be net of non-available own funds and net of IGTs. |
| R0520/C0010 | Total available own funds to meet the consolidated part of the group SCR (excluding own funds from other financial sectors and own funds from undertakings included via D&A method) –total | This is the total own funds of the undertaking, comprising basic own funds after deductions, plus ancillary own funds, that are available to meet the consolidated part of the group SCR but excluding the own funds from other financial sectors, and the own funds from the undertakings included via Deduction and aggregation method (D&A). |
| R0520/C0020 | Total available own funds to meet the consolidated part of the group SCR (excluding own funds from other financial sectors and own funds from undertakings included via D&A method) – tier 1 unrestricted | This is the own funds of the undertaking, comprising basic own funds after deductions, that are available to meet the consolidated part of the group SCR but excluding the own funds from other financial sectors, and the own funds from the undertakings included via Deduction and aggregation method and meet the criteria to be included in Tier 1 unrestricted items. |
| R0520/C0030 | Total available own funds to meet the consolidated part of the group SCR (excluding own funds from other financial sectors and own funds from undertakings included via D&A method) – tier 1 restricted | This is the own funds of the undertaking, comprising basic own funds after deductions, that are available to meet the consolidated part of the group SCR but excluding the own funds from other financial sectors, and own funds from the undertakings included via Deduction and aggregation method and that meet the criteria to be included in Tier 1 restricted items. |
| R0520/C0040 | Total available own funds to meet the consolidated part of the group SCR (excluding own funds from other financial sectors and own funds from undertakings included via D&A method) – tier 2 | This is the own funds of the undertaking, comprising basic own funds after deductions, plus ancillary own funds, that are available to meet the consolidated part of the group SCR but excluding the own funds from other financial sectors, and own funds from the undertakings included via Deduction and aggregation method and that meet the criteria to be included in Tier 2. |
| R0520/C0050 | Total available own funds to meet the consolidated part of the group SCR (excluding own funds from other financial sectors and own funds from undertakings included via D&A method) – tier 3 | This is the own funds of the undertaking, comprising basic own funds after deductions, plus ancillary own funds, that are available to meet the consolidated part of the group SCR but excluding the own funds from other financial sectors, and own funds from the undertakings included via Deduction and aggregation method and that meet the criteria to be included in Tier 3. |
| R0560/C0010 | Total eligible own funds to meet the consolidated part of the group SCR (excluding own funds from other financial sectors, and own funds from undertakings included via D&A method) – total | This is the total group own funds which are eligible to cover the consolidated part of the group SCR (excluding own funds from other financial sectors, and from the undertakings included via Deduction and aggregation method) under the limitsFor the purpose of the eligibility of those own fund items the consolidated group SCR shall not include the capital requirements from other financial sectors (Article 336 (c) of Delegated Regulation (EU) 2015/35) consistently |
| R0560/C0020 | Total eligible own funds to meet the consolidated part of the group SCR (excluding own funds from other financial sectors, and own funds from undertakings included via D&A method) – tier 1 unrestricted | This is the group own funds which are eligible under the limits set out to meet the consolidated part of the group SCR (excluding own funds from other financial sectors, and from the undertakings included via Deduction and aggregation method), that meet the criteria for Tier 1 unrestricted items. |
| R0560/C0030 | Total eligible own funds to meet the consolidated part of the group SCR (excluding own funds from other financial sectors, and own funds from undertakings included via D&A method) – tier 1 Restricted | This is the own funds which are eligible under the limits set out to meet the consolidated part of the group SCR (excluding own funds from other financial sectors, and from the undertakings included via Deduction and aggregation method), that meet the criteria for Tier 1 restricted items. |
| R0560/C0040 | Total eligible own funds to meet the consolidated part of the group SCR (excluding own funds from other financial sectors and own funds from undertakings included via D&A method) – tier 2 | This is the own funds which are eligible under the limits set out to meet the consolidated part of the group SCR (excluding own funds from other financial sectors, and own funds from the undertakings included via Deduction and aggregation method), that meet the criteria for Tier 2. |
| R0560/C0050 | Total eligible own funds to meet the consolidated part of the group SCR (excluding own funds from other financial sectors and own funds from undertakings included via D&A method) – tier 3 | This is the own funds which are eligible under the limits set out to meet the consolidated part of the group SCR (excluding own funds from other financial sectors, and own funds from the undertakings included via Deduction and aggregation method), that meet the criteria for Tier 3. |
| R0530/C0010 | Total available own funds to meet the minimum consolidated group SCR – total | This is the total own funds of the group, comprising basic own funds after deductions, that are available to meet the minimum consolidated group SCR, excluding the own funds from other financial sectors, and own funds from the undertakings included via Deduction and aggregation method. |
| R0530/C0020 | Total available own funds to meet the minimum consolidated group SCR– tier 1 unrestricted | This is the own funds of the group, comprising basic own funds after deductions, that are available to meet the minimum consolidated group SCR, excluding the own funds from other financial sectors, and own funds from the undertakings included via Deduction and aggregation method, and that meet the criteria to be included in Tier 1 unrestricted. |
| R0530/C0030 | Total available own funds to meet the minimum consolidated group SCR – tier 1 restricted | This is the own funds of the group, comprising basic own funds after deductions, that are available to meet the minimum consolidated group SCR, excluding the own funds from other financial sectors, and own funds from the undertakings included via Deduction and aggregation method, and that meet the criteria to be included in Tier 1 restricted items. |
| R0530/C0040 | Total available own funds to meet the minimum consolidated group SCR – tier 2 | This is the own funds of the group, comprising basic own funds after deductions, that are available to meet the minimum consolidated group SCR, excluding the own funds from other financial sectors and own funds from the undertakings included via Deduction and aggregation method, and that meet the criteria to be included in Tier 2. |
| R0570/C0010 | Total eligible own funds to meet the minimum consolidated group SCR – total | This is the total eligible own funds to meet the minimum consolidated group SCR excluding the own funds from other financial sectors and own funds from the undertakings included via Deduction and aggregation method. |
| R0570/C0020 | Total eligible own funds to meet the minimum consolidated group SCR – tier 1 unrestricted | This is the eligible own funds of the group, that are available to meet the minimum consolidated group SCR excluding the own funds from other financial sectors and own funds from the undertakings included via Deduction and aggregation method, that meet the criteria to be included in Tier 1 unrestricted items. |
| R0570/C0030 | Total eligible e own funds to meet the minimum consolidated group SCR – tier 1 restricted | This is the eligible own funds of the group, that are available to meet the minimum consolidated group SCR excluding the own funds from other financial sectors and own funds from the undertakings included via Deduction and aggregation method, that meet the criteria to be included in Tier 1 restricted items. |
| R0570/C0040 | Total eligible own funds to meet the minimum consolidated group SCR – tier 2 | This is the eligible own funds of the group, that are available to meet the minimum consolidated group SCR, excluding the own funds from other financial sectors and own funds from the undertakings included via Deduction and aggregation method, that meet the criteria to be included in Tier 2. |
| R0800/C0010 | Total eligible own funds to meet the consolidated group SCR (including own funds from other financial sectors, excluding own funds from undertakings included via D&A method) – Total | This is total eligible own funds that are available to meet the consolidated group SCR (including own funds from other financial sectors, excluding own funds from undertakings included via Deduction and aggregation method) – Total |
| R0800/C0020 | Total eligible own funds to meet the consolidated group SCR (including own funds from other financial sectors, excluding own funds from undertakings included via D&A method) – tier 1 unrestricted | This is total eligible own funds that are available to meet the consolidated group SCR (i.e. including own funds from other financial sectors, excluding own funds from undertakings included via Deduction and Aggregation method) that meet the criteria to be included in Tier 1 unrestricted items. |
| R0800/C0030 | Total eligible own funds to meet the consolidated group SCR (including own funds from other financial sectors, excluding own funds from undertakings included via D&A method) – tier 1 restricted | This is total eligible own funds that are available to meet the consolidated group SCR (i.e. including own funds from other financial sectors, excluding own funds from undertakings included via Deduction and Aggregation method) that meet the criteria to be included in Tier 1 restricted items. |
| R0800/C0040 | Total eligible own funds to meet the consolidated group SCR (including own funds from other financial sectors, excluding own funds from undertakings included via D&A method) – tier 2 | This is total eligible own funds that are available to meet the consolidated group SCR (i.e. including own funds from other financial sectors, excluding own funds from undertakings included via Deduction and Aggregation method) that meet the criteria to be included in Tier 2. |
| R0800/C0050 | Total eligible own funds to meet the consolidated group SCR (including own funds from other financial sectors, excluding own funds from undertakings included via D&A method method) – tier 3 | This is total eligible own funds that are available to meet the consolidated group SCR (i.e. including own funds from other financial sectors, excluding own funds from undertakings included via Deduction and Aggregation method) that meet the criteria to be included in Tier 3. |
| R0810/C0010 | Total eligible own funds to meet the group SCR (excluding own funds from other financial sectors, including own funds from undertakings included via D&A method) – total | Total eligible own funds to meet the group SCR (excluding own funds from other financial sectors, including own funds from the undertakings included via Deduction and Aggregation method) – Total |
| R0810/C0020 | Total eligible own funds to meet the group SCR (excluding own funds from other financial sectors, including own funds from undertakings included via D&A method) – tier 1 unrestricted | Total eligible own funds to meet the group SCR (excluding own funds from other financial sectors, including own funds from the undertakings included via Deduction and Aggregation method) – that meet the criteria to be included in Tier 1 unrestricted items |
| R0810/C0030 | Total eligible own funds to meet the group SCR (excluding own funds from other financial sectors, including own funds from undertakings included via D&A method) – tier 1 restricted | Total eligible own funds to meet the group SCR (excluding own funds from other financial sectors, including own funds from the undertakings included via Deduction and Aggregation method) – that meet the criteria to be included in Tier 1 restricted items |
| R0810/C0040 | Total eligible own funds to meet the group SCR (excluding own funds from other financial sectors, including own funds from undertakings included via D&A method) – tier 2 | Total eligible own funds to meet the group SCR (excluding own funds from other financial sectors, including own funds from the undertakings included via Deduction and Aggregation method) – that meet the criteria to be included in Tier 2 |
| R0810/C0050 | Total eligible own funds to meet the group SCR (excluding own funds from other financial sectors, including own funds from undertakings included via D&A method) – tier 3 | Total eligible own funds to meet the group SCR (excluding own funds from other financial sectors, including own funds from the undertakings included via Deduction and Aggregation method) – that meet the criteria to be included in Tier 3 |
| R0660/C0010 | Total eligible own funds to meet the Total group SCR (including own funds from other financial sectors and own funds from undertakings included via D&A method) – total | This is the total eligible own funds, including the own funds from the other financial sectors, and own funds from the undertakings included via Deduction and aggregation method, to meet the total group SCR. |
| R0660/C0020 | Total eligible own funds to meet the Total group SCR (including own funds from other financial sectors and own funds from undertakings included via D&A method) – tier 1 unrestricted | This is the eligible own funds, including the own funds from the other financial sectors, and own funds from the undertakings included via Deduction and aggregation method, to meet the total group SCR that meet the criteria to be included in Tier 1 unrestricted |
| R0660/C0030 | Total eligible own funds to meet the Total group SCR (including own funds from other financial sectors and own funds from undertakings included via D&A method) – tier 1 restricted | This is the eligible own funds, including the own funds from the other financial sectors, and own funds from the undertakings included via Deduction and aggregation method to meet the total group SCR that meet the criteria to be included in Tier 1 restricted |
| R0660/C0040 | Total eligible own funds to meet the Total group SCR (including own funds from other financial sectors and own funds from undertakings included via D&A method) tier 2 | This is the eligible own funds, including the own funds from the other financial sectors, and own funds from the undertakings included via Deduction and aggregation method to meet the total group SCR that meet the criteria to be included in Tier 2 |
| R0660/C0050 | Total eligible own funds to meet the Total group SCR (including own funds from other financial sectors and own funds from undertakings included via D&A method) – tier 3 | This is the eligible available own funds, including the own funds from the other financial sectors, and own funds from the undertakings included via Deduction and aggregation method to meet the total group SCR that meet the criteria to be included in Tier 3 |
| R0820/C0010 | Consolidated part of the Group SCR (excluding CR for other financial sectors and SCR for undertakings included via D&A method) – total | Consolidated part of Group SCR, excluding CR for other financial sectors and SCR for undertakings included via Deduction and aggregation method.This is the SCR based on art 336 (a), (b), (d) and (e) of Delegated Regulation (EU) 2015/35 including any capital add-onFor quarterly reporting this is the latest SCR to be calculated and reported, either the annual one or a more recent one in case the SCR has been recalculated (e.g. due to a change in risk profile), including capital add on. |
| R0610/C0010 | Minimum consolidated Group SCR | Minimum consolidated group SCR calculated for the consolidated data (method 1) as per Article 230 of Directive 2009/138/EC. |
| R0860/C0010 | Capital requirements (CR) for other financial sectors | This is the total capital requirements for related undertakings belonging to other financial sectors, as calculated according to the sectoral rules |
| R0590/C0010 | Consolidated Group SCR (including CR for other financial sectors, excluding SCR for undertakings included via D&A method) | Consolidated group SCR calculated for the consolidated data under method 1 in accordance with Article 336, (a), (b), (c), (d) and (e) of Delegated Regulation (EU) 2015/35. Including any capital add-on.In case the minimum consolidated Group SCR (R0610/C0010) is higher than the sum of R0820/C0010 and R0860/C0010, that minimum (R0610/C0010) shall be reportedFor quarterly reporting this is the latest SCR to be calculated and reported, either the annual one or a more recent one in case the SCR has been recalculated (e.g. due to a change in risk profile), including capital add on. |
| R0670/C0010 | SCR for undertakings included via D&A method | This is the total of solvency capital requirements for related undertakings included with Deduction and Aggregation method. This cell shall include sum of the proportional share of the SCR for undertakings included via Deduction and aggregation method. It is only relevant in case of Deduction and aggregation method and combination of methods. |
| R0830/C0010 | Group SCR (excluding CR for other financial sectors, including SCR for undertakings included via D&A method) | The group SCR is the sum of the consolidated part of the group SCR calculated in accordance with Article 336, (a), (b), (d) and (e) of Delegated Regulation (EU) 2015/35 and any capital-add on (R0820/C0010) and the SCR for undertakings included via Deduction and aggregation method (R0670/C0010).In case the minimum consolidated Group SCR (R0610/C0010) is higher than the amount reported on R0820/C0100, then the group SCR is the sum of R0610/C0010 and R0670/C0010.The group SCR shall not include the capital requirements from other financial sectors (Article 336 (c) of Delegated Regulation (EU) 2015/35). |
| R0680/C0010 | Total Group SCR (including CR for other financial sectors and SCR for undertakings included via D&A method) | The total group SCR is the sum of the consolidated group SCR (R0590/C0010)and the SCR for undertakings included via Deduction and aggregation method (R0670/C0010). |
| R0630/C0010 | Ratio of Eligible own funds (R0560) to the consolidated part of the group SCR (R0820) – ratio excluding other financial sectors, and undertakings included via D&A method | This is the solvency ratio calculated as the total of eligible own funds to meet the consolidated part of the group SCR divided by the consolidated part of the group SCR, excluding own funds and capital requirements from other financial sectors and own funds and solvency capital requirements from undertakings included via Deduction and aggregation method. |
| R0650/C0010 | Ratio of Eligible own funds (R0570) to Minimum Consolidated Group SCR (R0610) | This is the minimum solvency ratio calculated as the total of eligible own funds to meet the Minimum Consolidated group SCR divided by the Minimum Consolidated group SCR (excluding other financial sectors and the undertakings included via Deduction and aggregation method). |
| R0840/C0010 | Ratio of Eligible own funds (R0800) to the Consolidated group SCR(R0590) – ratio including other financial sectors but excluding undertakings included via D&A method | This is the solvency ratio calculated as the total of eligible own funds to meet the Consolidated group SCR divided by the Consolidated group SCR, including capital requirements and own funds from other financial sectors but excluding SCR and own funds from the undertakings included via Deduction and aggregation method. |
| R0850/C0010 | Ratio of Eligible own funds (R0810) to the Group SCR (R0830) – ratio excluding other financial sectors, including undertakings included via D&A method | This is the solvency ratio calculated as the total eligible own funds to meet the consolidated part of the group SCR divided by the Consolidated group SCR excluding own funds and CR from the other financial sectors but including own funds and SCR from the undertakings included via Deduction and Aggregation method. |
| R0690/C0010 | Ratio of Total Eligible own funds (R0660) to the Total group SCR (R0680) – ratio including other financial sectors and undertakings included via D&A method | This is solvency ratio calculated as the Total of eligible own funds to meet the Total group SCR divided by the total group SCR, including other financial sectors, and undertakings included via Deduction and aggregation method. |
| Reconciliation Reserve | ||
| R0700/C0060 | Excess of assets over liabilities | This is the excess of assets over liabilities as reported in the Solvency 2 balance sheet. |
| R0710/C0060 | Own shares (held directly and indirectly) | This is the amount of own shares held by the participating insurance or reinsurance undertaking, the insurance holding company or the mixed financial holding company and the related undertakings, both directly and indirectly. |
| R0720/C0060 | Foreseeable dividends, distributions and charges | These are the dividends, distributions and charges foreseeable from the group. |
| R0730/C0060 | Other basic own fund items | These are the basic own fund items included in points (a)(i) to (v) of Article 69, Article 72(a) and Article 76(a), as well as those basic own fund items approved by the supervisory authority in accordance with Article 79 of Delegated Regulation (EU) 2015/35. |
| R0740/C0060 | Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring-fenced funds | This is the total amount of the adjustment to the reconciliation reserve due to the existence of restricted own fund items in respect of ring–fenced funds and matching portfolios at group level. |
| R0750/C0060 | Other non-available own funds | These are other non-available own funds such as those of related undertakings according to Article 335(1)(d) and (f) of Delegated Regulation (EU) 2015/35. |
| R0760/C0060 | Reconciliation reserve – total | This is the reconciliation reserve of the group. |
| R0770/C0060 | Expected profits included in future premiums (EPIFP) – Life business | The reconciliation reserve includes an amount of the excess of assets over liabilities that corresponds to the expected profit in future premiums (EPIFP). This cell represents that amount for the life business of the group. |
| R0780/C0060 | Expected profits included in future premiums (EPIFP) – Non– life business | The reconciliation reserve includes an amount of the excess of assets over liabilities that corresponds to the expected profit in future premiums (EPIFP). This cell represents that amount for the non–life business of the group. |
| R0790/C0060 | Total Expected profits included in future premiums (EPIFP) | This is the total amount calculated as expected profits included in future premiums. |
S.23.02 – Detailed information by tiers on own funds
General comments:
This section relates to the annual submission for groups when method 1 is used, either exclusively or in combination with method 2.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| R0010/C0010 | Ordinary share capital –Paid in – total | This is the total of paid in ordinary share capital, including own shares. |
| R0010/C0020 | Ordinary share capital – Paid in – tier 1 | This is the total of paid in ordinary share capital that meets the criteria for Tier 1, including own shares. |
| R0020/C0010 | Ordinary share capital –Called up but not yet paid in – total | This is the total amount of ordinary shares that have been called up but not yet paid in, including own shares. |
| R0020/C0040 | Ordinary share capital –Called up but not yet paid in – tier 2 | This is the amount of ordinary shares that have been called up but not yet paid in that meet the criteria for Tier 2, including own shares. |
| R0030/C0010 | Own shares held – total | This is the total amount of own shares held by the undertaking. |
| R0030/C0020 | Own shares held – tier 1 | This is the total amount of own shares held by the undertaking, that meet the criteria for Tier 1. |
| R0100/C0010 | Total ordinary share capital | This is the total of ordinary share capital. Note that own shares held will be included in either paid in or called up but not yet paid in. |
| R0100/C0020 | Total ordinary share capital – tier 1 | This is the total of ordinary share capital that meets the criteria for Tier 1. Note that own shares held will be included in either paid in or called up but not yet paid in. |
| R0100/C0040 | Total ordinary share capital – tier 2 | This is the total of ordinary share capital that meets the criteria for Tier 2. |
| R0110/C0010 | Initial funds, members’ contributions or the equivalent basic own–fund items for mutual and mutual–type undertaking –Paid in – total | This is the total of paid in initial funds, members’ contributions or the equivalent basic own–fund item for mutual and mutual–type undertaking. |
| R0110/C0020 | Initial funds, members’ contributions or the equivalent basic own–fund items for mutual and mutual–type undertaking –Paid in – tier 1 | This is the total of initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking that meets the criteria for Tier 1. |
| R0120/C0010 | Initial funds, members’ contributions or the equivalent basic own–fund items for mutual and mutual–type undertaking –Called up but not yet paid in – total | This is the total of called up but not yet paid in initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking |
| R0120/C0040 | Initial funds, members’ contributions or the equivalent basic own–fund items for mutual and mutual–type undertaking –Called up but not yet paid in – tier 2 | This is the total of initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking that meets the criteria for Tier 2. |
| R0200/C0010 | Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking | This is the total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking. |
| R0200/C0020 | Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking – tier 1 | This is the total of the initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking that meets the criteria for Tier 1. |
| R0200/C0040 | Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking – tier 2 | This is the total of the initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking that meets the criteria for Tier 2. |
| R0210/C0010 | Subordinated mutual member accounts – Dated subordinated – total | This is the total amount of dated subordinated mutual member accounts. |
| R0210/C0020 | Subordinated mutual member accounts – Dated subordinated – tier 1 | This is the total amount of dated subordinated mutual member accounts that meet the criteria for Tier 1. |
| R0210/C0030 | Subordinated mutual member accounts – Dated subordinated – tier 1 of which counted under transitionals | This is the total amount of dated subordinated mutual member accounts that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0210/C0040 | Subordinated mutual member accounts – Dated subordinated – tier 2 | This is the total amount of dated subordinated mutual member accounts that meet the criteria for Tier 2. |
| R0210/C0050 | Subordinated mutual member accounts – Dated subordinated – tier 2 of which counted under transitionals | This is the total amount of dated subordinated mutual member accounts that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0210/C0060 | Subordinated mutual member accounts – Dated subordinated – tier 3 | This is the total amount of dated subordinated mutual member accounts that meet the criteria for Tier 3. |
| R0220/C0010 | Subordinated mutual member accounts – Undated subordinated with a call option – total | This is the total of undated subordinated mutual member accounts with a call option. |
| R0220/C0020 | Subordinated mutual member accounts – Undated subordinated with a call option – tier 1 | This is the total of undated subordinated mutual member accounts with a call option that meet the criteria for Tier 1. |
| R0220/C0030 | Subordinated mutual member accounts – Undated subordinated with a call option – tier 1 of which counted under transitionals | This is the total of undated subordinated mutual member accounts with a call option that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0220/C0040 | Subordinated mutual member accounts – Undated subordinated with a call option – tier 2 | This is the total of undated subordinated mutual member accounts with a call option that meet the criteria for Tier 2. |
| R0220/C0050 | Subordinated mutual member accounts – Undated subordinated with a call option – tier 2 of which counted under transitionals | This is the total of undated subordinated mutual member accounts with a call option that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0220/C0060 | Subordinated mutual member accounts – Undated subordinated with a call option – tier 3 | This is the total of undated subordinated mutual member accounts with a call option that meet the criteria for Tier 3. |
| R0230/C0010 | Subordinated mutual member accounts – Undated subordinated with no contractual opportunity to redeem – total | This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem. |
| R0230/C0020 | Subordinated mutual member accounts – Undated subordinated with no contractual opportunity to redeem – tier 1 | This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem that meet the criteria for Tier 1. |
| R0230/C0030 | Subordinated mutual member accounts – Undated subordinated with no contractual opportunity to redeem – tier 1 of which counted under transitionals | This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0230/C0040 | Subordinated mutual member accounts – Undated subordinated with no contractual opportunity to redeem – tier 2 | This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem that meet the criteria for Tier 2. |
| R0230/C0050 | Subordinated mutual member accounts – Undated subordinated with no contractual opportunity to redeem – tier 2 of which counted under transitionals | This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0230/C0060 | Subordinated mutual member accounts – Undated subordinated with no contractual opportunity to redeem – tier 3 | This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem that meet the criteria for Tier 3. |
| R0300/C0010 | Total subordinated mutual member accounts | This is the total subordinated mutual member accounts. |
| R0300/C0020 | Total subordinated mutual member accounts – tier 1 | This is the total of the subordinated mutual member accounts that meet the criteria for Tier 1. |
| R0300/C0030 | Total subordinated mutual member accounts – tier 1 of which counted under transitionals | This is the total of the subordinated mutual member accounts that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0300/C0040 | Total subordinated mutual member accounts – tier 2 | This is the total of the subordinated mutual member accounts that meet the criteria for Tier 2. |
| R0300/C0050 | Total subordinated mutual member accounts – tier 2 of which counted under transitionals | This is the total of the subordinated mutual member accounts that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0300/C0060 | Total subordinated mutual member accounts – tier 3 | This is the total of the subordinated mutual member accounts that meet the criteria for Tier 3. |
| R0310/C0010 | Dated preference shares – total | This is the total dated preference shares. |
| R0310/C0020 | Dated preference shares – tier 1 | This is the total of dated preference shares that meet the criteria for Tier 1. |
| R0310/C0030 | Dated preference shares – tier 1 of which counted under transitionals | This is the total of dated preference shares that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0310/C0040 | Dated preference shares – tier 2 | This is the total of dated preference shares that meet the criteria for Tier 2. |
| R0310/C0050 | Dated preference shares – tier 2 of which counted under transitionals | This is the total of dated preference shares that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0310/C0060 | Dated preference shares – tier 3 | This is the total of dated preference shares that meet the criteria for Tier 3. |
| R0320/C0010 | Undated preference shares with a call option – total | This is the total undated preference shares with a call option. |
| R0320/C0020 | Undated preference shares with a call option – tier 1 | This is the total of undated preference shares with a call option that meet the criteria for Tier 1. |
| R0320/C0030 | Undated preference shares with a call option – tier 1 of which counted under transitionals | This is the total of undated preference shares with a call option that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0320/C0040 | Undated preference shares with a call option – tier 2 | This is the total of undated preference shares with a call option that meet the criteria for Tier 2. |
| R0320/C0050 | Undated preference shares with a call option – tier 2 of which counted under transitionals | This is the total of undated preference shares with a call option that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0320/C0060 | Undated preference shares with a call option – tier 3 | This is the total of undated preference shares with a call option that meet the criteria for Tier 3. |
| R0330/C0010 | Undated preference shares with no contractual opportunity to redeem – total | This is the total undated preference shares with no contractual opportunity to redeem. |
| R0330/C0020 | Undated preference shares with no contractual opportunity to redeem – tier 1 | This is the total of undated preference shares with no contractual opportunity to redeem that meet the criteria for Tier 1. |
| R0330/C0030 | Undated preference shares with no contractual opportunity to redeem – tier 1 of which counted under transitionals | This is the total of undated preference shares with no contractual opportunity to redeem that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0330/C0040 | Undated preference shares with no contractual opportunity to redeem – tier 2 | This is the total of undated preference shares with no contractual opportunity to redeem that meet the criteria for Tier 2. |
| R0330/C0050 | Undated preference shares with no contractual opportunity to redeem – tier 2 of which counted under transitionals | This is the total of undated preference shares with no contractual opportunity to redeem that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0330/C0060 | Undated preference shares with no contractual opportunity to redeem – tier 3 | This is the total of undated preference shares with no contractual opportunity to redeem that meet the criteria for Tier 3. |
| R0400/C0010 | Total preference shares | This is the total preference shares. |
| R0400/C0020 | Total preference shares – tier 1 | This is the total of preference shares that meet the criteria for Tier 1. |
| R0400/C0030 | Total preference shares – tier 1 of which counted under transitionals | This is the total of preference shares that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0400/C0040 | Total preference shares – tier 2 | This is the total of preference shares that meet the criteria for Tier 2. |
| R0400/C0050 | Total preference shares – tier 2 of which counted under transitionals | This is the total of preference shares that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0400/C0060 | Total preference shares – tier 3 | This is the total of preference shares that meet the criteria for Tier 3. |
| R0410/C0010 | Dated subordinated liabilities – total | This is the total of dated subordinated liabilities. |
| R0410/C0020 | Dated subordinated liabilities– tier 1 | This is the amount of dated subordinated liabilities that meet the criteria for Tier 1. |
| R0410/C0030 | Dated subordinated liabilities – tier 1 of which counted under transitionals | This is the amount of dated subordinated liabilities that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0410/C0040 | Dated subordinated liabilities– tier 2 | This is the amount of dated subordinated liabilities that meet the criteria for Tier 2. |
| R0410/C0050 | Dated subordinated liabilities– tier 2 of which counted under transitionals | This is the amount of dated subordinated liabilities that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0410/C0060 | Dated subordinated liabilities– tier 3 | This is the amount of dated subordinated liabilities that meet the criteria for Tier 3. |
| R0420/C0010 | Undated subordinated liabilities with a contractual opportunity to redeem – total | This is the total of undated subordinated liabilities that have a contractual opportunity to redeem. |
| R0420/C0020 | Undated subordinated liabilities with a contractual opportunity to redeem – tier 1 | This is the amount of undated subordinated liabilities with contractual opportunity to redeem that meet the criteria for Tier 1. |
| R0420/C0030 | Undated subordinated liabilities with a contractual opportunity to redeem – tier 1 of which counted under transitionals | This is the amount of undated subordinated liabilities with a contractual opportunity to redeem that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0420/C0040 | Undated subordinated liabilities with a contractual opportunity to redeem – tier 2 | This is the amount of undated subordinated liabilities with a contractual opportunity to redeem that meet the criteria for Tier 2. |
| R0420/C0050 | Undated subordinated liabilities with a contractual opportunity to redeem – tier 2 of which counted under transitionals | This is the amount of undated subordinated liabilities with contractual opportunity to redeem that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0420/C0060 | Undated subordinated liabilities with a contractual opportunity to redeem – tier 3 | This is the amount of undated subordinated liabilities with contractual opportunity to redeem that meet the criteria for Tier 3. |
| R0430/C0010 | Undated subordinated liabilities with no contractual opportunity to redeem – total | This is the total of undated subordinated liabilities with no contractual opportunity to redeem. |
| R0430/C0020 | Undated subordinated liabilities with no contractual opportunity to redeem – tier 1 | This is the amount of undated subordinated liabilities with no contractual opportunity to redeem that meet the criteria for Tier 1. |
| R0430/C0030 | Undated subordinated liabilities with no contractual opportunity to redeem – tier 1 of which counted under transitionals | This is the amount of undated subordinated liabilities with no contractual opportunity to redeem that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0430/C0040 | Undated subordinated liabilities with no contractual opportunity to redeem – tier 2 | This is the amount of undated subordinated liabilities with no contractual opportunity to redeem that meet the criteria for Tier 2. |
| R0430/C0050 | Undated subordinated liabilities with no contractual opportunity to redeem – tier 2 of which counted under transitionals | This is the amount of undated subordinated liabilities with no contractual opportunity to redeem that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0430/C0060 | Undated subordinated liabilities with no contractual opportunity to redeem – tier 3 | This is the amount of undated subordinated liabilities with no contractual opportunity to redeem that meet the criteria for Tier 3. |
| R0500/C0010 | Total subordinated liabilities – total | This is the total of subordinated liabilities. |
| R0500/C0020 | Total subordinated liabilities – tier 1 | This is the total of subordinated liabilities that meet the criteria for Tier 1. |
| R0500/C0030 | Total subordinated liabilities – tier 1 of which counted under transitionals | This is the total of subordinated liabilities that meet the criteria for Tier 1 that are counted under the transitional provisions. |
| R0500/C0040 | Total subordinated liabilities – tier 2 | This is the amount of subordinated liabilities that meet the criteria for Tier 2. |
| R0500/C0050 | Total subordinated liabilities – tier 2 of which counted under transitionals | This is the amount of subordinated liabilities that meet the criteria for Tier 2 that are counted under the transitional provisions. |
| R0500/C0060 | Total subordinated liabilities – tier 3 | This is the amount of subordinated liabilities that meet the criteria for Tier 3. |
| R0510/C0070 | Ancillary own fund items for which an amount was approved – tier 2 initial amounts approved | This the initial amount approved for ancillary own funds for which an amount was approved under Tier 2. |
| R0510/C0080 | Ancillary own fund items for which an amount was approved – tier 2 current amounts | This is the current amount for ancillary own funds for which an amount was approved under Tier 2. |
| R0510/C0090 | Ancillary own fund items for which an amount was approved – tier 3 initial amounts approved | This the initial amount approved for ancillary own funds for which an amount was approved under Tier 3. |
| R0510/C0100 | Ancillary own fund items for which an amount was approved – tier 3 current amounts | This is the current amount for ancillary own funds for which an amount was approved under Tier 3. |
| R0520/C0080 | Ancillary own fund items for which a method was approved – tier 2 current amounts | This is the current amount for ancillary own funds for which a method was approved under Tier 2. |
| R0520/C0100 | Ancillary own fund items for which a method was approved – tier 3 current amounts | This is the current amount for ancillary own funds for which a method was approved under Tier 3. |
| R0600/C0110 | Excess of assets over liabilities – attribution of valuation differences –Difference in the valuation of assets | This is the difference in the valuation of assets. |
| R0610/C0110 | Excess of assets over liabilities – attribution of valuation differences – Difference in the valuation of technical provisions | This is the difference in the valuation of technical provisions. |
| R0620/C0110 | Excess of assets over liabilities – attribution of valuation differences –Difference in the valuation of other liabilities | This is the difference in the valuation of other liabilities. |
| R0630/C0110 | Total of reserves and retained earnings from financial statements | This is total reserves and retained earnings taken from the financial statements. |
| R0640/C0110 | Other, please explain why you need to use this line. | This is the amount of any other items not already identified. When reporting a value in R0640/C0110, the value in R0640/C0120 shall provide an explanation and details of such items. |
| R0640/C0120 | Other, please explain why you need to use this line | This is the explanation of other items reported in R0640/C0110. |
| R0650/C0110 | Reserves from financial statements adjusted for Solvency II valuation differences | This is the total of reserves from the financial statements after adjustment for valuation differences.This item shall include values from financial statement such as retained earnings, reserve capital, net profit, profits from previous years, revaluation capital (fund), other reserve capital. |
| R0660/C0110 | Excess of assets over liabilities attributable to basic own fund items (excluding the reconciliation reserve) | This is the excess of assets over liabilities attributable to basic own funds, excluding reconciliation reserve. |
| R0700/C0110 | Excess of assets over liabilities | This is the amount of excess of assets over liabilities. |
S.23.03 – Annual movements on own funds
General comments:
This template shall be reported if the amount of the own funds for any tier change more than 5 % compared to the previous year calculated as below.
% change T; T-1:Available Own funds in tier i to cover SCR in TAvailable Own funds in tier i to cover SCR in T 1
This section relates to annual submission for groups when method 1 is used, either exclusively or in combination with method 2.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Ordinary share capital – movements in the reporting period | ||
| R0010/C0010 | Ordinary share capital –Paid in – balance brought forward | This is the balance of paid in ordinary share capital brought forward from the previous reporting period. |
| R0010/C0020 | Ordinary share capital –Paid in – increase | This is the increase in paid in ordinary share capital over the reporting period. |
| R0010/C0030 | Ordinary share capital –Paid in – reduction | This is the reduction in paid in ordinary share capital over the reporting period. |
| R0010/C0060 | Ordinary share capital –Paid in – balance carried forward | This is the balance of paid in ordinary share capital carried forward to the next reporting period. |
| R0020/C0010 | Ordinary share capital –Called up but not yet paid in – balance brought forward | This is the balance of called up but not yet paid in ordinary share capital brought forward from the previous reporting period. |
| R0020/C0020 | Ordinary share capital –Called up but not yet paid in – increase | This is the increase in called up but not yet paid in ordinary share capital over the reporting period. |
| R0020/C0030 | Ordinary share capital –Called up but not yet paid in – reduction | This is the reduction in called up but not yet paid in ordinary share capital over the reporting period. |
| R0020/C0060 | Ordinary share capital –Called up but not yet paid in – balance carried forward | This is the balance of called up but not yet paid in ordinary share capital carried forward to the next reporting period. |
| R0030/C0010 | Own shares held – balance brought forward | This is the balance of own shares held, brought forward from the previous reporting period. |
| R0030/C0020 | Own shares held – increase | This is the increase in own shares held, brought over the reporting period. |
| R0030/C0030 | Own shares held – reduction | This is the reduction in own shares held, brought over the reporting period. |
| R0030/C0060 | Own shares held – balance carried forward | This is the balance of own shares held carried forward to the next reporting period. |
| R0100/C0010 | Total ordinary share capital – balance brought forward | This is the balance of total ordinary share capital brought forward from the previous reporting period. R0100/C0010 includes own shares held. |
| R0100/C0020 | Total ordinary share capital – increase | This is the increase in total ordinary share capital over the reporting period. |
| R0100/C0030 | Total ordinary share capital – reduction | This is the reduction in total ordinary share capital over the reporting period. |
| R0100/C0060 | Total ordinary share capital – balance carried forward | This is the balance of total ordinary share capital carried forward to the next reporting period. |
| Share premium account related to ordinary share capital – movements in the reporting period | ||
| R0110/C0010 | Share premium account related to ordinary share capital – Tier 1 – balance brought forward | This is the balance of the share premium account related to ordinary share capital that is tier 1 brought forward from the previous reporting period. |
| R0110/C0020 | Share premium account related to ordinary share capital – Tier 1 – increase | This is the increase in the share premium account related to ordinary share capital that is tier 1 over the reporting period. |
| R0110/C0030 | Share premium account related to ordinary share capital – Tier 1 – reduction | This is the reduction in the share premium account related to ordinary share capital that is tier 1 over the reporting period. |
| R0110/C0060 | Share premium account related to ordinary share capital – Tier 1 – balance carried forward | This is the balance of the share premium account related to ordinary share capital that is tier 1 carried forward to the next reporting period. |
| R0120/C0010 | Share premium account related to ordinary share capital – Tier 2 – balance brought forward | This is the balance of the share premium account related to ordinary share capital that is tier 2 brought forward from the previous reporting period. |
| R0120/C0020 | Share premium account related to ordinary share capital – Tier 2 – increase | This is the increase in the share premium account related to ordinary share capital that is tier 2 over the reporting period. |
| R0120/C0030 | Share premium account related to ordinary share capital – Tier 2 – reduction | This is the reduction in the share premium account related to ordinary share capital that is tier 2 over the reporting period. |
| R0120/C0060 | Share premium account related to ordinary share capital – Tier 2 – balance carried forward | This is the balance of the share premium account related to ordinary share capital that is tier 2 carried forward to the next reporting period. |
| R0200/C0010 | Share premium account related to ordinary share capital –Total – balance brought forward | This is the total balance of the share premium account related to ordinary share capital brought forward from the previous reporting period. |
| R0200/C0020 | Share premium account related to ordinary share capital –Total – increase | This is the increase in the total share premium account related to ordinary share capital over the reporting period. |
| R0200/C0030 | Share premium account related to ordinary share capital –Total – reduction | This is the reduction in the total share premium account related to ordinary share capital over the reporting period. |
| R0200/C0060 | Share premium account related to ordinary share capital –Total – balance carried forward | This is the balance of the share premium account related to ordinary share capital carried forward to the next reporting period. |
| Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings – movements in the reporting period | ||
| R0210/C0010 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings —Paid in – balance brought forward | This is the balance of the paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings brought forward from the previous reporting period. |
| R0210/C0020 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Paid in – increase | This is the increase in the paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings over the reporting period. |
| R0210/C0030 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Paid in – reduction | This is the reduction in the paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings over the reporting period. |
| R0210/C0060 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Paid in – balance carried forward | This is the balance of the paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings carried forward to the next reporting period. |
| R0220/C0010 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Called up but not yet paid in – balance brought forward | This is the balance of the called up but not yet paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings brought forward from the previous reporting period. |
| R0220/C0020 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Called up but not yet paid in – increase | This is the increase in the called up but not yet paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings over the reporting period. |
| R0220/C0030 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Called up but not yet paid in – reduction | This is the reduction in the called up but not yet paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings over the reporting period. |
| R0220/C0060 | Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Called up but not yet paid in – balance carried forward | This is the balance of the called up but not yet paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings carried forward to the next reporting period. |
| R0300/C0010 | Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings – balance brought forward | This is the balance of the total initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings brought forward from the previous reporting period. |
| R0300/C0020 | Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings – increase | This is the increase in the total initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings over the reporting period. |
| R0300/C0030 | Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings – reduction | This is the decrease in the total initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings over the reporting period. |
| R0300/C0060 | Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings – balance carried forward | This is the balance of the total initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings carried forward to the next reporting period. |
| Subordinated mutual member accounts – movements in the reporting period | ||
| R0310/C0010 | Subordinated mutual member accounts – Tier 1 – balance brought forward | This is the balance of tier 1 subordinated mutual member accounts brought forward from the previous reporting period. |
| R0310/C0070 | Subordinated mutual member accounts – Tier 1 – issued | This is the amount of tier 1 subordinated mutual member accounts issued over the reporting period. |
| R0310/C0080 | Subordinated mutual member accounts – Tier 1 – redeemed | This is the amount of tier 1 subordinated mutual member accounts redeemed over the reporting period. |
| R0310/C0090 | Subordinated mutual member accounts – Tier 1 – movements in valuation | This is the amount reflecting movement in valuation tier 1 subordinated mutual member accounts over the reporting period. |
| R0310/C0100 | Subordinated mutual member accounts – Tier 1 – regulatory action | This is the amount reflecting an increase/decrease in tier 1 subordinated mutual member accounts due to regulatory action over the reporting period. |
| R0310/C0060 | Subordinated mutual member accounts – Tier 1 – balance carried forward | This is the balance of tier 1 subordinated mutual member accounts carried forward to the next reporting period. |
| R0320/C0010 | Subordinated mutual member accounts – Tier 2 – balance brought forward | This is the balance of tier 2 subordinated mutual member accounts brought forward from the previous reporting period. |
| R0320/C0070 | Subordinated mutual member accounts – Tier 2 – issued | This is the amount of tier 2 subordinated mutual member accounts issued over the reporting period. |
| R0320/C0080 | Subordinated mutual member accounts – Tier 2 – redeemed | This is the amount of tier 2 subordinated mutual member accounts redeemed over the reporting period. |
| R0320/C0090 | Subordinated mutual member accounts – Tier 2 – movements in valuation | This is the amount reflecting movement in valuation tier 2 subordinated mutual member accounts over the reporting period. |
| R0320/C0100 | Subordinated mutual member accounts – Tier 2 – regulatory action | This is the amount reflecting an increase/decrease in tier 2 subordinated mutual member accounts due to regulatory action over the reporting period. |
| R0320/C0060 | Subordinated mutual member accounts – Tier 2 – balance carried forward | This is the balance of tier 2 subordinated mutual member accounts carried forward to the next reporting period. |
| R0330/C0010 | Subordinated mutual member accounts – Tier 3 – balance brought forward | This is the balance of tier 3 subordinated mutual member accounts brought forward from the previous reporting period. |
| R0330/C0070 | Subordinated mutual member accounts – Tier 3 – issued | This is the amount of tier 3 subordinated mutual member accounts issued over the reporting period. |
| R0330/C0080 | Subordinated mutual member accounts – Tier 3 – redeemed | This is the amount of tier 3 subordinated mutual member accounts redeemed over the reporting period. |
| R0330/C0090 | Subordinated mutual member accounts – Tier 3 – movements in valuation | This is the amount reflecting movement in valuation tier 3 subordinated mutual member accounts over the reporting period. |
| R0330/C0100 | Subordinated mutual member accounts – Tier 3 – regulatory action | This is the amount reflecting an increase/decrease in tier 3 subordinated mutual member accounts due to regulatory action over the reporting period. |
| R0330/C0060 | Subordinated mutual member accounts – Tier 3 – balance carried forward | This is the balance of tier 3 subordinated mutual member accounts carried forward to the next reporting period. |
| R0400/C0010 | Total subordinated mutual member accounts — balance brought forward | This is the total balance of subordinated mutual member accounts brought forward from the previous reporting period. |
| R0400/C0070 | Total subordinated mutual member accounts – issued | This is the total amount of subordinated mutual member accounts issued over the reporting period. |
| R0400/C0080 | Total subordinated mutual member accounts – redeemed | This is the total amount of subordinated mutual member accounts redeemed over the reporting period. |
| R0400/C0090 | Total subordinated mutual member accounts– movements in valuation | This is the amount reflecting the total movement in valuation subordinated mutual member accounts over the reporting period. |
| R0400/C0100 | Total subordinated mutual member accounts – regulatory action | This is the amount reflecting the total increase/decrease in subordinated mutual member accounts due to regulatory action over the reporting period. |
| R0400/C0060 | Total subordinated mutual member accounts – balance carried forward | This is the total balance of subordinated mutual member accounts carried forward to the next reporting period. |
| Surplus funds | ||
| R0500/C0010 | Surplus funds –Balance brought forward | This is the balance of surplus funds brought forward from the previous reporting period. |
| R0500/C0060 | Surplus funds –Balance carried forward | This is the balance of surplus funds carried forward to the next reporting period. |
| Preference shares – movements in the reporting period | ||
| R0510/C0010 | Preference shares – Tier 1 – balance brought forward | This is the balance of Tier 1 preference shares brought forward from the previous reporting period. |
| R0510/C0020 | Preference shares – Tier 1 – increase | This is the increase in Tier 1 preference shares over the reporting period. |
| R0510/C0030 | Preference shares – Tier 1 – reduction | This is the reduction in Tier 1 preference shares over the reporting period. |
| R0510/C0060 | Preference shares – Tier 1 – balance carried forward | This is the balance of Tier 1 preference shares carried forward to the next reporting period. |
| R0520/C0010 | Preference shares – Tier 2 – balance brought forward | This is the balance of Tier 2 preference shares brought forward from the previous reporting period. |
| R0520/C0020 | Preference shares – Tier 2 – increase | This is the increase in Tier 2 preference shares over the reporting period. |
| R0520/C0030 | Preference shares – Tier 2 – reduction | This is the reduction in Tier 2 preference shares over the reporting period. |
| R0520/C0060 | Preference shares – Tier 2 – balance carried forward | This is the balance of Tier 2 preference shares carried forward to the next reporting period. |
| R0530/C0010 | Preference shares – Tier 3 – balance brought forward | This is the balance of Tier 3 preference shares brought forward from the previous reporting period. |
| R0530/C0020 | Preference shares – Tier 3 – increase | This is the increase in Tier 3 preference shares over the reporting period. |
| R0530/C0030 | Preference shares – Tier 3 – reduction | This is the reduction in Tier 3 preference shares over the reporting period. |
| R0530/C0060 | Preference shares – Tier 3 – balance carried forward | This is the balance of Tier 3 preference shares carried forward to the next reporting period. |
| R0600/C0010 | Total preference shares – balance brought forward | This is the balance of total preference shares brought forward from the previous reporting period. |
| R0600/C0020 | Total preference shares – increase | This is the increase in total preference shares over the reporting period. |
| R0600/C0030 | Total preference shares – reduction | This is the reduction in total preference shares over the reporting period. |
| R0600/C0060 | Total preference shares – balance carried forward | This is the balance of total preference shares carried forward to the next reporting period. |
| Share premium relating to preference shares | ||
| R0610/C0010 | Share premium relating to preference shares – Tier 1 – balance brought forward | This is the balance of the share premium account relating to preference shares that is tier 1 brought forward from the previous reporting period. |
| R0610/C0020 | Share premium relating to preference shares – Tier 1 – increase | This is the increase in the share premium account relating to preference shares that is tier 1 over the reporting period. |
| R0610/C0030 | Share premium relating to preference shares – Tier 1 – reduction | This is the reduction in the share premium account relating to preference shares that is tier 1 over the reporting period. |
| R0610/C0060 | Share premium relating to preference shares – Tier 1 – balance carried forward | This is the balance of the share premium account relating to preference shares that is tier 1 carried forward to the next reporting period. |
| R0620/C0010 | Share premium relating to preference shares – Tier 2 – balance brought forward | This is the balance of the share premium account relating to preference shares that is tier 2 brought forward from the previous reporting period. |
| R0620/C0020 | Share premium relating to preference shares – Tier 2– increase | This is the increase in the share premium account relating to preference shares that is tier 2 over the reporting period. |
| R0620/C0030 | Share premium relating to preference shares – Tier 2 – reduction | This is the reduction in the share premium account relating to preference shares that is tier 2 over the reporting period. |
| R0620/C0060 | Share premium relating to preference shares – Tier 2 – balance carried forward | This is the balance of the share premium account relating to preference shares that is tier 2 carried forward to the next reporting period. |
| R0630/C0010 | Share premium relating to preference shares – Tier 3 – balance brought forward | This is the balance of the share premium account relating to preference shares that is tier 3 brought forward from the previous reporting period. |
| R0630/C0020 | Share premium relating to preference shares – Tier 3 – increase | This is the increase in the share premium account relating to preference shares that is tier 3 over the reporting period. |
| R0630/C0030 | Share premium relating to preference shares – Tier 3 – reduction | This is the reduction in the share premium account relating to preference shares that is tier 3 over the reporting period. |
| R0630/C0060 | Share premium relating to preference shares – Tier 3 – balance carried forward | This is the balance of the share premium account relating to preference shares that is tier 3 carried forward to the next reporting period. |
| R0700/C0010 | Share premium relating to preference shares –Total – balance brought forward | This is the balance of the total share premium account relating to preference shares that is brought forward from the previous reporting period. |
| R0700/C0020 | Share premium relating to preference shares –Total – increase | This is the increase in the total share premium account relating to preference shares over the reporting period. |
| R0700/C0030 | Share premium relating to preference shares –Total – reduction | This is the reduction in the total share premium account relating to preference shares over the reporting period. |
| R0700/C0060 | Share premium relating to preference shares –Total – balance carried forward | This is the balance of the total share premium account relating to preference shares that is carried forward to the next reporting period. |
| Subordinated liabilities – movements in the reporting period | ||
| R0710/C0010 | Subordinated liabilities – Tier 1 – balance brought forward | This is the balance of Tier 1 subordinated liabilities brought forward from the previous reporting period. |
| R0710/C0070 | Subordinated liabilities – Tier 1 – issued | This is the amount of Tier 1 subordinated liabilities issued over the reporting period. |
| R0710/C0080 | Subordinated liabilities – Tier 1 – redeemed | This is the amount of Tier 1 subordinated liabilities redeemed over the reporting period. |
| R0710/C0090 | Subordinated liabilities – Tier 1 – movements in valuation | This is an amount reflecting the movements in valuation of Tier 1 subordinated liabilities over the reporting period. |
| R0710/C0100 | Subordinated liabilities – Tier 1 – regulatory action | This is an amount reflecting change to Tier 1 subordinated liabilities due to regulatory action. |
| R0710/C0060 | Subordinated liabilities – Tier 1 – balance carried forward | This is the balance of Tier 1 subordinated liabilities carried forward to the next reporting period. |
| R0720/C0010 | Subordinated liabilities – Tier 2 – balance brought forward | This is the balance of Tier 2 subordinated liabilities brought forward from the previous reporting period. |
| R0720/C0070 | Subordinated liabilities – Tier 2 – issued | This is the amount of Tier 2 subordinated liabilities issued over the reporting period. |
| R0720/C0080 | Subordinated liabilities – Tier 2 – redeemed | This is the amount of Tier 2 subordinated liabilities redeemed over the reporting period. |
| R0720/C0090 | Subordinated liabilities – Tier 2 – movements in valuation | This is an amount reflecting the movements in valuation of Tier 2 subordinated liabilities over the reporting period. |
| R0720/C0100 | Subordinated liabilities – Tier 2 – regulatory action | This is an amount reflecting change to Tier 2 subordinated liabilities due to regulatory action. |
| R0720/C0060 | Subordinated liabilities – Tier 2 – balance carried forward | This is the balance of Tier 2 subordinated liabilities carried forward to the next reporting period. |
| R0730/C0010 | Subordinated liabilities – Tier 3– balance brought forward | This is the balance of Tier 3 subordinated liabilities brought forward from the previous reporting period. |
| R0730/C0070 | Subordinated liabilities – Tier 3 – issued | This is the amount of Tier 3 subordinated liabilities issued over the reporting period. |
| R0730/C0080 | Subordinated liabilities – Tier 3 – redeemed | This is the amount of Tier 3 subordinated liabilities redeemed over the reporting period. |
| R0730/C0090 | Subordinated liabilities – Tier 3 – movements in valuation | This is an amount reflecting the movements in valuation of Tier 3 subordinated liabilities over the reporting period. |
| R0730/C0100 | Subordinated liabilities – Tier 3 – regulatory action | This is an amount reflecting change to Tier 3 subordinated liabilities due to regulatory action. |
| R0730/C0060 | Subordinated liabilities – Tier 3 – balance carried forward | This is the balance of Tier 3 subordinated liabilities carried forward to the next reporting period. |
| R0800/C0010 | Total subordinated liabilities – balance brought forward | This is the balance of total subordinated liabilities brought forward from the previous reporting period. |
| R0800/C0070 | Total subordinated liabilities – issued | This is the amount of total subordinated liabilities issued over the reporting period. |
| R0800/C0080 | Total subordinated liabilities – redeemed | This is the amount of total subordinated liabilities redeemed over the reporting period. |
| R0800/C0090 | Total subordinated liabilities – movements in valuation | This is an amount reflecting the movements in valuation of total subordinated liabilities over the reporting period. |
| R0800/C0100 | Total subordinated liabilities – regulatory action | This is an amount reflecting change to total subordinated liabilities due to regulatory action. |
| R0800/C0060 | Total subordinated liabilities – balance carried forward | This is the balance of total subordinated liabilities carried forward to the next reporting period. |
| An amount equal to the value of deferred tax assets | ||
| R0900/C0010 | An amount equal to the value of net deferred tax assets –Balance brought forward | This is the balance of an amount equal to the value of deferred tax assets brought forward from the previous reporting period. |
| R0900/C0060 | An amount equal to the value of net deferred tax assets –Balance carried forward | This is the balance of an amount equal to the value of deferred tax assets carried forward to the next reporting period. |
| Other items approved by supervisory authority as basic own funds not specified above – movements in the reporting period | ||
| R1000/C0010 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 unrestricted items – balance brought forward | This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as unrestricted items brought forward from the previous reporting period. |
| R1000/C0070 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as unrestricted items – issued | This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as unrestricted items issued over the reporting period. |
| R1000/C0080 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as unrestricted items – redeemed | This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as unrestricted items redeemed over the reporting period |
| R1000/C0090 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as unrestricted items – movements in valuation | This is an amount reflecting movements in valuation of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as unrestricted items. |
| R1000/C0060 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as unrestricted items – balance carried forward | This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as unrestricted items carried forward to the next reporting period. |
| R1010/C0010 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as restricted items — balance brought forward | This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as restricted items brought forward from the previous reporting period. |
| R1010/C0070 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as restricted items — issued | This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as restricted items issued over the reporting period. |
| R1010/C0080 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as restricted items — redeemed | This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as restricted items redeemed over the reporting period |
| R1010/C0090 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as restricted items — movements in valuation | This is an amount reflecting movements in valuation of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as restricted items. |
| R1010/C0060 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as restricted items — balance carried forward | This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as restricted items carried forward to the next reporting period. |
| R1020/C0010 | Other items approved by supervisory authority as basic own funds not specified above – Tier 2 – balance brought forward | This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 2 brought forward from the previous reporting period. |
| R1020/C0070 | Other items approved by supervisory authority as basic own funds not specified above – Tier 2 – issued | This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 2 issued over the reporting period. |
| R1020/C0080 | Other items approved by supervisory authority as basic own funds not specified above – Tier 2 – redeemed | This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 2 redeemed over the reporting period |
| R1020/C0090 | Other items approved by supervisory authority as basic own funds not specified above – Tier 2 – movements in valuation | This is an amount reflecting movements in valuation of other items approved by supervisory authority as basic own funds not specified above that are Tier 2. |
| R1020/C0060 | Other items approved by supervisory authority as basic own funds not specified above – Tier 2– balance carried forward | This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 2 carried forward to the next reporting period. |
| R1030/C0010 | Other items approved by supervisory authority as basic own funds not specified above – Tier 3 – balance brought forward | This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 3 brought forward from the previous reporting period. |
| R1030/C0070 | Other items approved by supervisory authority as basic own funds not specified above – Tier 3 – issued | This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 3 issued over the reporting period. |
| R1030/C0080 | Other items approved by supervisory authority as basic own funds not specified above – Tier 3 – redeemed | This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 3 redeemed over the reporting period. |
| R1030/C0090 | Other items approved by supervisory authority as basic own funds not specified above – Tier 3 – movements in valuation | This is an amount reflecting movements in valuation of other items approved by supervisory authority as basic own funds not specified above that are Tier 3. |
| R1030/C0060 | Other items approved by supervisory authority as basic own funds not specified above – Tier 3 – balance carried forward | This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 3 carried forward to the next reporting period. |
| R1100/C0010 | Total of other items approved by supervisory authority as basic own fund items not specified above – balance brought forward | This is the balance of total other items approved by supervisory authority as basic own funds not specified above brought forward from the previous reporting period. |
| R1100/C0070 | Total of other items approved by supervisory authority as basic own fund items not specified above – issued | This is the amount of total other items approved by supervisory authority as basic own funds not specified above issued over the reporting period. |
| R1100/C0080 | Total of other items approved by supervisory authority as basic own fund items not specified above redeemed | This is the amount of total other items approved by supervisory authority as basic own funds not specified above that are redeemed over the reporting period. |
| R1100/C0090 | Total of other items approved by supervisory authority as basic own fund items not specified above – movements in valuation | This is an amount reflecting movements in valuation of total other items approved by supervisory authority as basic own funds not specified above. |
| R1100/C0060 | Total of other items approved by supervisory authority as basic own fund items not specified above – balance carried forward | This is the balance of total other items approved by supervisory authority as basic own funds not specified above carried forward to the next reporting period. |
| Ancillary own funds – movements in the reporting period | ||
| R1110/C0010 | Ancillary own funds – Tier 2 – balance brought forward | This is the balance of Tier 2 ancillary own funds brought forward from the previous reporting period. |
| R1110/C0110 | Ancillary own funds – Tier 2 – new amount made available | This is the new amount of Tier 2 ancillary own funds to be made available over the reporting period. |
| R1110/C0120 | Ancillary own funds – Tier 2 – reduction to amount available | This is the reduction to the amount available Tier 2 ancillary own funds over the reporting period. |
| R1110/C0130 | Ancillary own funds – Tier 2 – called up to basic own fund | This is the amount of Tier 2 ancillary own funds that are called up to a basic own fund item over the reporting period. |
| R1110/C0060 | Ancillary own funds – Tier 2 – balance carried forward | This is the balance of Tier 2 ancillary own funds carried forward to the next reporting period. |
| R1120/C0010 | Ancillary own funds – Tier 3 – balance brought forward | This is the balance of Tier 3 ancillary own funds brought forward from the previous reporting period. |
| R1120/C0110 | Ancillary own funds – Tier 3– new amount made available | This is the new amount of Tier 3 ancillary own funds to be made available over the reporting period. |
| R1120/C0120 | Ancillary own funds – Tier 3 – reduction to amount available | This is the reduction to the amount available Tier 3 ancillary own funds over the reporting period. |
| R1120/C0130 | Ancillary own funds – Tier 3 – called up to basic own fund | This is the amount of Tier 3 ancillary own funds that are called up to a basic own fund item over the reporting period. |
| R1120/C0060 | Ancillary own funds – Tier 3– balance carried forward | This is the balance of Tier 3 ancillary own funds carried forward to the next reporting period. |
| R1200/C0010 | Total ancillary own funds – balance brought forward | This is the balance of total ancillary own funds brought forward from the previous reporting period. |
| R1200/C0110 | Total ancillary own funds – new amount made available | This is the new amount of Tier 2 ancillary own funds to be made available over the reporting period. |
| R1200/C0120 | Total ancillary own funds – reduction to amount available | This is the reduction to the amount available total ancillary own funds over the reporting period. |
| R1200/C0130 | Total ancillary own funds – called up to basic own fund | This is the amount of total ancillary own funds that are called up to a basic own fund item over the reporting period. |
| R1200/C0060 | Total ancillary own funds – balance carried forward | This is the balance of total ancillary own funds carried forward to the next reporting period. |
S.23.04 – List of items on own funds
General comments:
This section relates to the annual submission for groups regardless of the method used for the calculation of the group solvency.
This template shall be reported if the amount of the own funds for any tier change more than 5 % compared to the previous year calculated as below
% change T; T-1:Available Own funds in tier i to cover SCR in TAvailable Own funds in tier i to cover SCR in T 1
In case of non-available OF items, the threshold doesn’t apply and the whole template is to be reported.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Description of subordinated mutual member accounts | This shall list subordinated mutual member accounts for a group. |
| C0020 | Subordinated mutual member accounts – Amount (in reporting currency) | This is the amount of individual subordinated mutual member accounts. |
| C0030 | Subordinated mutual member accounts – Tier | This shall indicate the tier of the subordinated mutual member accounts.One of the options in the following closed list shall be used:1 – Tier 12 – Tier 1 – unrestricted3 – Tier 1 – restricted4 – Tier 25 – Tier 3 |
| C0040 | Subordinated mutual member accounts – Currency Code | Identify the ISO 4217 alphabetic code of the currency. This is the original currency. |
| C0050 | Subordinated mutual member accounts –issuing entity | This shall indicate whether the issuing entity of the subordinated mutual member accounts is within the group in the meaning of Article 212(1)(c) of Directive 2009/138/EC. The following closed list shall be used:1 – Belonging to the same group2 – Not belonging to the same group |
| C0060 | Subordinated mutual member accounts – Lender (if specific) | Indicate the lender of the mutual member accounts. |
| C0070 | Subordinated mutual member accounts – Counted under transitionals? | This shall indicate whether the subordinated mutual member accounts are counted under the transitional provisions.One of the options in the following closed list shall be used:1 – Counted under transitionals2 – Not counted under transitionals |
| C0080 | Subordinated mutual member accounts – Counterparty (if specific) | This shall list the counterparty of the subordinated mutual member accounts |
| C0090 | Subordinated mutual member accounts – Issue date | This is the issue date of the subordinated mutual member accounts. This shall be in ISO8601 format (yyyy–mm–dd). |
| C0100 | Subordinated mutual member accounts – Maturity date | This is the maturity date of the subordinated mutual member accounts. This shall be in ISO8601 format (yyyy–mm–dd). |
| C0110 | Subordinated mutual member accounts – First call date | This is the first call date of the subordinated mutual member accounts. This shall be in ISO8601 format (yyyy–mm–dd). |
| C0120 | Subordinated mutual member accounts – Details of further call dates | These are the further call dates of the subordinated mutual member accounts. |
| C0130 | Subordinated mutual member accounts – Details of incentives to redeem | These are the incentives to redeem the subordinated mutual member accounts. |
| C0140 | Subordinated mutual member accounts – Notice period | This is the notice of the subordinated mutual member accounts. The date shall be entered here, using ISO8601 format (yyyy–mm–dd). |
| C0150 | Subordinated mutual member account – Name of supervisory authority having given authorisation | This is the name of the supervisory authority which has issued the authorisation, with country in parenthesis. |
| C0160 | Subordinated mutual member account – Buy back during the year | Explanation if the item has been bought back during the year. |
| C0170 | Subordinated mutual member accounts – % of the issue held by entities in the group | This is the % of the issue of subordinated mutual member accounts held by entities within the group in the meaning of Article 212(1)(c) of Directive 2009/138/EC. |
| C0180 | Subordinated mutual member accounts – Contribution to group subordinated mutual member accounts | This is the contribution of the mutual member accounts to total group subordinated mutual member accounts. |
| C0190 | Description of preference shares | This shall list individual preference shares |
| C0200 | Preference shares – Amount | This is the amount of the preference shares. |
| C0210 | Preference shares – Counted under transitionals? | This shall indicate whether the preference shares are counted under the transitional provisions.One of the options in the following closed list shall be used:1 – Counted under transitionals2 – Not counted under transitionals |
| C0220 | Preference shares – Counterparty (if specific) | This shall list the holder of the preference shares if limited to a single party. If the shares are broadly issued, no data is required. |
| C0230 | Preference shares – Issue date | This is the issue date of the preference share. This shall be in ISO 8601 format (yyyy–mm–dd). |
| C0240 | Preference shares – First call date | This is the first call date of the preference share. This shall be in ISO 8601 format (yyyy–mm–dd). |
| C0250 | Preference shares – Details of further call dates | These are the further call dates of the preference shares. |
| C0260 | Preference shares – Details of incentives to redeem | These are the incentives to redeem the preference share. |
| C0270 | Description of subordinated liabilities | This shall list the individual subordinated liabilities for a group. |
| C0280 | Subordinated liabilities –Amount | This is the amount of individual subordinated liabilities. |
| C0290 | Subordinated liabilities – Tier | This shall indicate the tier of the subordinated liabilities. |
| C0300 | Subordinated liabilities – Currency Code | Identify the ISO 4217 alphabetic code of the currency. |
| C0311 | Subordinated liabilities – Issuing entity | This shall indicate the code of the issuing entity of the subordinated liabilities belonging to the group in the meaning of Article 212(1)(c) of Directive 2009/138/EC. |
| C0320 | Subordinated liabilities – Lender (if specific) | This shall list the lender of the subordinated liabilities if specific. If not specific this item shall not be reported. |
| C0330 | Subordinated liabilities – Counted under transitionals? | This shall indicate whether the subordinated liability is counted under the transitional provisions.One of the options in the following closed list shall be used:1 – Counted under transitionals2 – Not counted under transitionals |
| C0340 | Subordinated liabilities – Counterparty of subordinated liabilities – (if specific) | This shall list the counterparty of the subordinated liabilities belonging to the group in the meaning of Article 212(1)(c) of Directive 2009/138/EC, if any. If not specific this item shall not be reported. This column is kept for the internal lenders, if any. |
| C0350 | Subordinated liabilities – Issue date | This is the issue date of the subordinated liabilities. This shall be in ISO 8601 format (yyyy–mm–dd). |
| C0360 | Subordinated liabilities – Maturity date | This is the maturity date of the subordinated liabilities. This shall be in ISO 8601 format (yyyy–mm–dd). |
| C0370 | Subordinated liabilities – First call date | This is the first future call date of the subordinated liabilities. This shall be in ISO 8601 format (yyyy–mm–dd). |
| C0380 | Subordinated liabilities – Further call dates | These are the further call dates of the subordinated liabilities. |
| C0390 | Subordinated liabilities – Details of incentives to redeem | These are the details about the incentives to redeem the subordinated liabilities. |
| C0400 | Subordinated liabilities – Notice period | This is the notice of the subordinated liabilities. The date shall be entered here, using ISO8601 format (yyyy–mm–dd). |
| C0430 | Subordinated liabilities – % of the issue held by entities in the group | This is the % of the issue held by any counterparty belonging to the group in the meaning of Article 212(1)(c) of Directive 2009/138/EC. |
| C0440 | Subordinated liabilities – Contribution to group subordinated liabilities | This is the value of the subordinated liabilities that is included in the total group subordinated liabilities and that contributes to group own funds. |
| C0450 | Other items approved by supervisory authority as basic own funds not specified above | This shall list the other individual items approved by the supervisory authority for an individual undertaking. |
| C0460 | Other items approved by supervisory authority as basic own funds not specified above –Amount | This is the amount of other individual items approved by the supervisory authority. |
| C0470 | Other items approved by supervisory authority as basic own funds not specified above –Currency code | Identify the ISO 4217 alphabetic code of the currency. |
| C0480 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 | This is the amount of other individual items approved by the supervisory authority that meet the criteria for Tier 1. |
| C0490 | Other items approved by supervisory authority as basic own funds not specified above – Tier 2 | This is the amount of other individual items approved by the supervisory authority that meet the criteria for Tier 2. |
| C0500 | Other items approved by supervisory authority as basic own funds not specified above – Tier 3 | This is the amount of other individual items approved by the supervisory authority that meet the criteria for Tier 3. |
| C0510 | Other items approved by supervisory authority as basic own funds not specified above –Date of authorisation | This is the date of authorisation of other individual items approved by the supervisory authority. It shall be in ISO8601 format (yyyy–mm–dd). |
| C0520 | Other items approved by supervisory authority as basic own funds not specified above –Name of supervisory authority having given authorisation for other basic own fund items not specified above | This is the name of the supervisory authority which has issued the authorisation, with country in parenthesis. |
| C0530 | Other items approved by supervisory authority as basic own funds not specified above – Name of entity concerned | This is the name of the entity concerned. |
| C0540 | Other items approved by supervisory authority as basic own funds not specified above –Buy back during the year | Explanation if the item has been bought back. |
| C0550 | Other items approved by supervisory authority as basic own funds not specified above –% of the issue held by entities in the group | This is the % of the issue held by entities within the group in the meaning of Article 212(1)(c) of Directive 2009/138/EC. |
| C0560 | Other items approved by supervisory authority as basic own funds not specified above –Contribution to group other basic own funds | This is the contribution of the other individual items approved by the supervisory authority to group other basic own funds. |
| C0570 | Own funds– from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds – Description of item | This cell shall contain a description of the own fund items from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds. |
| C0580 | Own funds from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds – Total amount | This is the total amount of the own fund items from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds. |
| C0590 | Ancillary own funds –Description of ancillary own funds | This is details of each ancillary own fund for an individual undertaking. |
| C0600 | Ancillary own funds – Amount | This is the amount for each ancillary own fund. |
| C0610 | Ancillary own funds – Counterpart | This is the counterpart of each ancillary own fund. |
| C0620 | Ancillary own funds – Issue date | This is the issue date of each ancillary own fund. This shall be in ISO8601 format (yyyy–mm–dd). |
| C0630 | Ancillary own fund – Date of authorisation | This is the date of authorisation of each ancillary own fund. This shall be in 1SO8601 format (yyyy–mm–dd). |
| C0640 | Ancillary own fund – Name of supervisory authority having given authorisation | This is the name of the supervisory authority which has issued the authorisation, with country in parenthesis. |
| C0650 | Ancillary own fund – Name of entity concerned | This is the name of the entity concerned by the ancillary own fund. |
| Adjustment for ring fenced funds and matching adjustment portfolios | ||
| C0660 | Ring–fenced fund/matching adjustment portfolio – Number | Identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates. |
| C0670 | Ring–fenced fund/matching adjustment portfolio – Notional SCR | This is the notional SCR of each ring–fenced fund/each matching adjustment portfolio. |
| C0680 | Ring–fenced fund/matching adjustment portfolio – Notional SCR (negative results set to zero) | This is the notional SCR. When the value is negative zero shall be reported. |
| C0690 | Ring–fenced fund/matching adjustment portfolio – Excess of assets over liabilities | This is the amount of excess of assets over liabilities of each ring–fenced fund/matching adjustment portfolio. This value shall reflect any deduction of future transfers attributable to shareholders. |
| C0700 | Ring–fenced fund/matching adjustment portfolio – Future transfers attributable to shareholders | Value of future transfers attributable to shareholders in accordance with Article 80(2) of Delegated Regulation (EU) 2015/35. |
| C0710 | Ring fenced funds/matching adjustment portfolio – Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring-fenced funds | This is the deduction for each ring–fenced fund/matching adjustment portfolio in accordance with Article 81 of Delegated Regulation (EU) 2015/35. |
| RFF/matching adjustment portfolios deduction | ||
| C0970/R0010 | Ring fenced funds/matching adjustment portfolio – Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring-fenced funds | This is the total deduction for ring–fenced funds and matching adjustment portfolios reported in C0710. |
| Calculation of non available own funds at group level (such a calculation has to be done undertaking by undertaking) | ||
| Non available own funds at group level – exceeding the contribution of solo SCR to group SCR | ||
| C0720 | Related (Re)insurance undertakings, Insurance Holding Company, Mixed Financial Holding Company, Ancillary services undertakings and SPV included in the scope of the group calculation | Name of undertaking |
| C0730 | Country | ISO 3166–1 alpha–2 code of the country where the entity has its head office |
| C0740 | Contribution of solo SCR to Group SCR | Contribution of solo SCR to group SCRIf the method 1 is applied, the contribution of a subsidiary undertaking to the group shall be calculated according to the formula:Contrj SCRj SCRfully consolidated diversifiediSCRisoloWhere:SCRisolo is the solo SCR of the parent undertaking and each insurance, reinsurance and intermediate insurance holding and mixed financial holding company over which a dominant influence is exercised and that are included in the SCR fully consolidatedSCRj is the solo SCR of the entity jthe ratio is the proportional adjustment due to the recognition of diversification effects in the part fully consolidated,the value of the ratio is capped to 1.The assessment of non-available own funds shall be made also for own funds in non controlled undertakings taking into account the proportionality principle.For method 2 the contribution of the related undertaking to the group SCR is the proportional share of the individual SCR. |
| C0760 | Non available own funds related to other own fund items approved by supervisory authority | Non available own funds related to other own fund items approved by supervisory authority. |
| C0770 | Non available surplus funds | Non available surplus funds at group level both in EEA and non–EEA (re)insurance undertakings (Article 222(2) to (5) of Directive 2009/138/EC and Article 330 of Delegated Regulation (EU) 2015/35) |
| C0780 | Non available called up but not yet paid in capital | Non available called up but not yet paid in capital at group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330 of Delegated Regulation (EU) 2015/35) |
| C0790 | Non available ancillary own funds | Non available ancillary own funds at group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330(3) of Delegated Regulation (EU) 2015/35) |
| C0800 | Non available subordinated mutual member accounts | Non available subordinated mutual member accounts at group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330(3) of Delegated Regulation (EU) 2015/35) |
| C0810 | Non available preference shares | Non available preference shares at group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330(3) of Delegated Regulation (EU) 2015/35) |
| C0820 | Non available Subordinated Liabilities | Non available Subordinated Liabilities at group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330(3) of Delegated Regulation (EU) 2015/35) |
| C0830 | An amount equal to the value of non available net deferred tax assets | An amount equal to the value of non available net deferred tax assets at the group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330(3) of Delegated Regulation (EU) 2015/35) |
| C0840 | Non available share premium account related to preference shares | Non available share premium account related to preference shares at group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330(3) of Delegated Regulation (EU) 2015/35) |
| C0841 | Non-available own funds in the reconciliation reserve | Non-available own funds related to own-funds in the reconciliation reserve |
| C0842 | Total non-available own funds | Total of non-available own funds identified after the availability assessment at group level, in accordance with Article 222(4) of Directive 2009/138/EC, the total non available own funds is calculated, undertaking by undertaking, by adding up own funds indicated in Article 222(2) of Directive 2009/138/EC (i.e. surplus funds and any subscribed but not paid–up capital) and in Article 330 of Delegated Regulation (EU) 2015/35 (e.g. ancillary own funds, preferences shares, subordinated mutual member account, subordinated liabilities and the value of net deferred tax assets). |
| C0850 | Total non available own funds to be deducted | Total non-available own funds to be deducted at group level.In accordance with Article 222(4) of Directive 2009/138/EC, the total non available own funds is calculated, undertaking by undertaking, by adding up own funds indicated in Article 222(2) of Directive 2009/138/EC (i.e. surplus funds and any subscribed but not paid–up capital) and in Article 330 of Delegated Regulation (EU) 2015/35 (e.g. ancillary own funds, preferences shares, subordinated mutual member account, subordinated liabilities and the value of net deferred tax assets).The part of such own funds that exceeds the contribution of the related undertaking to the group SCR cannot be considered as available for covering the group SCR.If the total amount of such own funds in C0842 does not exceed the contribution of the related undertaking to the group SCR, this deduction in C0850 is not needed as part of the calculation. |
| C0851 | Non-Available Minority interests | Minority interest at group level when method 1 is applied, in subsidiary EEA and non-EEA (re)insurance undertakings, insurance holding companies, mixed financial holding companies or ancillary services undertakings (Article 330(4) of Delegated Regulation (EU) 2015/35) |
| C0750 | Non-Available Minority interests to be deducted from the group own funds | Non available minority interests to be deducted from the group own funds, when the method 1 is applied, that is any minority interests in the eligible own funds (after considering the deduction of non available own funds in C0850) of (re) insurance subsidiary exceeding the contribution of the solo SCR to the group SCR. (Article 330(4) of Delegated Regulation (EU) 2015/35) |
| C0870 | Non-available own funds related to other own fund items approved by supervisory authority | This is the total amount for non-available own funds related to other own fund items approved by supervisory authority at group level |
| C0880 | Non-available surplus funds | This is the overall total amount of non-available surplus funds at group level. |
| C0890 | Non-available called but not paid in capital | This is the total overall amount of non-available called but not paid in capital at group level. |
| C0900 | Non-available ancillary own funds | This is the total overall amount of non-available ancillary own funds at group level. |
| C0910 | Non-available subordinated mutual member accounts | This is the total overall amount of non-available subordinated mutual member accounts at group level |
| C0920 | Non-available preference shares | This is the total overall amount of non-available preference shares at group level. |
| C0930 | Non available Subordinated Liabilities | This is the total overall amount of non-available subordinated liabilities at group level. |
| C0940 | An amount equal to the value of non-available net deferred tax assets | This is the total overall amount equal to the value of non-available net deferred tax assets at the group level |
| C0950 | Non-available share premium account related to preference shares | This is the total overall amount of non-available share premium account related to preference shares at group level |
| C0951 | Non-available own funds in the reconciliation reserve | This is the total of non-available own funds related to own funds in the reconciliation reserve at group level. |
| C0962 | Total non-available own funds | Total of non-available own funds identified after the availability assessment at group level, in accordance with Article 222(4) of Directive 2009/138/EC, the total non available own funds is calculated, undertaking by undertaking, by adding up own funds indicated in Article 222(2) of Directive 2009/138/EC (i.e. surplus funds and any subscribed but not paid–up capital) and in Article 330 of Delegated Regulation (EU) 2015/35 (e.g. ancillary own funds, preferences shares, subordinated mutual member account, subordinated liabilities and the value of net deferred tax assets). |
| C0960 | Total non-available own funds to be deducted | This is the total overall amount of non-available own funds to be deducted from the group own funds.In accordance with Article 222(4) of Directive 2009/138/EC, the total non available own funds is calculated, undertaking by undertaking, by adding up own funds indicated in Article 222(2) of Directive 2009/138/EC (i.e. surplus funds and any subscribed but not paid–up capital) and in Article 330 of Delegated Regulation (EU) 2015/35 (e.g. ancillary own funds, preferences shares, subordinated mutual member account, subordinated liabilities and the value of net deferred tax assets).The part of such own funds that exceeds the contribution of the related undertaking to the group SCR cannot be considered as available for covering the group SCR.If the total amount of such own funds in C0842 does not exceed the contribution of the related undertaking to the group SCR, this deduction in C0850 is not needed as part of the calculation. |
| C0861 | Minority interests | This is the overall total amount of minority interests at group level |
| C0860 | Minority interests to be deducted from the group own funds | This is the overall total amount of minority interests to be deducted at group level. |
S.25.01 – Solvency Capital Requirement – for groups on Standard Formula
a)The information until R0460 is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;
b)When combination method is being used, the information until R0460 is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC.
—Where the undertaking applies the full adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level the nSCR is calculated as if no loss of diversification exists and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part;
—Multiplication of this ‘q factor’ by the nSCR of each relevant risk module (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non–life underwriting risk)
—Where the undertaking applies the Simplification at risk sub–module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR is calculated considering a direct summation at sub–module level method and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part;
—Where the undertaking applies the simplification at risk module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR is calculated considering a direct summation at module level method and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part.
General comments:
This section relates to the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.25.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of template S.01.03.
Template SR.25.01 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).
Where the entity has MAP or RFF (except those under the scope of Article 304 of Directive 2009/138/EC) when reporting at the level of the whole undertaking, the notional Solvency Capital Requirement (‘nSCR’) at risk module level and the loss–absorbing capacity (LAC) of technical provisions and deferred taxes to be reported shall be calculated as follows:
The adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level shall be allocated (C0050) to the relevant risk modules (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non–life underwriting risk). The amount to be allocated to each relevant risk module shall be calculated as follows:
Calculation of q factor adjustmentBSCR′ nSCRint
where
| — | adjustment | = | Adjustment calculated according to one of the three methods referred above |
| — | BSCR’ | = | Basic solvency capital requirement calculated according to the information reported in this template (C0040/R0100) |
| — | nSCRint | = | nSCR for intangible assets risk according to the information reported in this template (C0040/R0070) |
For group reporting the following specific requirements shall be met:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Article 112 | Identifies whether the reported figures have been requested under Article 112(7) of Solvency II, to provide an estimate of the SCR using standard formula.One of the options in the following closed list shall be used:1 – Article 112(7) reporting2 – Regular reporting |
| Z0020 | Ring–fenced fund, matching adjustment portfolio or remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking within the scope of group supervision and must be consistent over time and with the fund/portfolio number reported in other templates. |
| R0010–R0050/C0030 | Net solvency capital requirement | Amount of the net capital charge for each risk module, as calculated using the standard formula.The difference between the net and the gross SCR is the consideration of the future discretionary benefits in accordance with Article 205 of Delegated Regulation (EU) 2015/35.This amount shall fully consider diversification effects in accordance with Article 304 of Directive 2009/138/EC where applicable.These cells do not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level. These figures represent the SCR as if there was no loss of diversification. |
| R0010–R0050/C0040 | Gross solvency capital requirement | Amount of the gross capital charge for each risk module, as calculated using the standard formula.The difference between the net and the gross SCR is the consideration of the future discretionary benefits as laid down in Article 206 of Delegated Regulation (EU) 2015/35.This amount shall fully consider diversification effects as laid down in Article 304 of Directive 2009/138/EC where applicable.These cells do not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level. These figures represent the SCR as if there was no loss of diversification. |
| R0010–R0050/C0050 | Allocation of RFF adjustment due to RFF and Matching adjustments portfolios | Part of the adjustment allocated to each risk module according to the procedure described in the general comments.This amount shall be positive. |
| R0060/C0030 | Net solvency capital requirement – Diversification | Amount of the diversification effects between Basic SCR of net risk modules, including diversification within each risk module, due to the application of the correlation matrix defined in Annex IV of Directive 2009/138/EC.This amount shall be reported as a negative value. |
| R0060/C0040 | Gross solvency capital requirement – Diversification | Amount of the diversification effects between Basic SCR of gross risk modules, including diversification within each risk module, due to the application of the correlation matrix defined in Annex IV of Directive 2009/138/EC.This amount shall be reported as a negative value. |
| R0070/C0030 | Net solvency capital requirement – Intangible asset risk | Amount of the capital charge, after the adjustment for the loss–absorbing capacity of technical provisions, for intangible assets risk, as calculated using the standard formula. |
| R0070/C0040 | Gross solvency capital requirement – Intangible assets risk | The future discretionary benefits in accordance with Article 205 of Delegated Regulation (EU) 2015/35 for intangible assets risk is zero under standard formula hence R0070/C0040 equals R0070/C0030. |
| R0100/C0030 | Net solvency capital requirement – Basic Solvency Capital Requirement | Amount of the basic capital requirements, after the consideration of future discretionary benefits as laid down in Article 206 of Delegated Regulation (EU) 2015/35, as calculated using the standard formula.This amount shall fully consider the diversification effects referred to in Article 304 of Directive 2009/138/EC where applicable.This cell does not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level. These figures represent the SCR as if there was no loss of diversification.This amount shall be calculated as a sum of the net capital charges for each risk module within the standard formula, including adjustment for diversification effect within standard formula. |
| R0100/C0040 | Gross solvency capital requirement – Basic Solvency Capital Requirement | Amount of the basic capital requirements, before the consideration of future discretionary benefits referred to in Article 205 of Delegated Regulation (EU) 2015/35, as calculated using the standard formula.This amount shall fully consider diversification effects as laid down in Article 304 of Directive 2009/138/EC where applicable.This cell does not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level. These figures represent the SCR as if there was no loss of diversification.This amount shall be calculated as a sum of the gross capital charges for each risk module within the standard formula, including adjustment for diversification effect within standard formula |
| Calculation of Solvency Capital Requirement | ||
| R0120/C0100 | Adjustment due to RFF/MAP nSCR aggregation | Adjustment to correct the bias on SCR calculation due to aggregation of RFF/MAP nSCR at risk module level.This amount shall be positive. |
| R0130/C0100 | Operational risk | Amount of the capital requirements for operational risk module as calculated using the standard formula. |
| R0140/C0100 | Loss–absorbing capacity of technical provisions | Amount of the adjustment for loss–absorbing capacity of technical provisions calculated in accordance with the standard formula.This amount shall be reported as a negative value.At RFF/MAP level and at entity level where there are no RFF (other than those under Article 304 of Directive 2009/138/EC) nor MAP it is the maximum between zero and the amount corresponding to the minimum between the amount of technical provisions without risk margin in relation to future discretionary benefits net of reinsurance and the difference between gross and net basic solvency capital requirement.Where there are RFF (other than those under Article 304 of Directive 2009/138/EC) or MAP, this amount shall be calculated as the sum of the loss–absorbing capacity of technical provisions of each RFF/MAP and remaining part, taking into account the net future discretionary benefits as a top limit. |
| R0150/C0100 | Loss–absorbing capacity of deferred taxes | Amount of the adjustment for loss–absorbing capacity of deferred taxes calculated according to the standard formula.This amount shall be negative. |
| R0160/C0100 | Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC | Amount of the capital requirement, calculated in accordance with the rules stated in Article 17 of Directive 2003/41/EC, for ring–fenced funds relating to pension business operated under Article 4 of Directive 2003/41/EC to which transitional measures are applied. This item is to be reported only during the transitional period. |
| R0200/C0100 | Solvency Capital Requirement calculated on the basis of Art. 336 (a) of Delegated Regulation (EU) 2015/35, excluding capital add–on | Amount of the SCR, before any capital add–on, calculated in accordance with Article 336 (a), i.e. on the basis of consolidated data as referred to in Article 335(1) points (a), (b) and (c) of the Delegated Regulation (EU) 2015/35 including data of controlled collective investment undertakings and investments packaged as funds. |
| R0210/C0100 | Capital add-ons already set | Amount of capital add–on that had been set at the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority. |
| R0211/C0100 | of which, capital add–ons already set – Article 37(1) Type a | Amount of capital add–on that had been set at the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data. |
| R0212/C0100 | of which, capital add–ons already set – Article 37(1) Type b | Amount of capital add–on that had been set at the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data. |
| R0213/C0100 | of which, capital add–ons already set – Article 37(1) Type c | Amount of capital add–on that had been set at the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data. |
| R0214/C0100 | of which, capital add–ons already set – Article 37(1) Type d | Amount of capital add–on that had been set at the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data. |
| R0220/C0100 | Consolidated Group SCR | Amount of the Solvency Capital Requirement for undertakings under method 1 as defined in Article 230 of Directive 2009/138/EC.It shall include all components of the consolidated group SCR; SCR calculated on the basis of consolidated data (R0200), including capital add-ons (R0210), and including capital requirements of undertakings from other financial sectors (R0500), capital requirement for non-controlled participation requirements (R0540), capital requirement for residual undertakings (R0550) and capital requirements for collective investment undertakings or investments packaged as funds (R0555). |
| Other information on SCR | ||
| R0400/C0100 | Capital requirement for duration–based equity risk sub–module | Amount of the capital requirement for duration–based equity risk sub–module. |
| R0410/C0100 | Total amount of notional Solvency Capital Requirements for remaining part | Amount of the notional SCRs of remaining part when group has RFF. |
| R0420/C0100 | Total amount of notional Solvency Capital Requirements for ring–fenced funds | Amount of the sum of notional SCRs of all ring-fenced funds when group has RFF (other than those related to business operated in accordance with Article 4 of Directive 2003/41/EC (transitional)). |
| R0430/C0100 | Total amount of Notional Solvency Capital Requirements for matching adjustment portfolios | Amount of the sum of notional SCRs of all matching adjustment portfolios. |
| R0440/C0100 | Diversification effects due to RFF nSCR aggregation for Article 304 | Amount of the adjustment for a diversification effect between ring–fenced funds under Article 304 of Directive 2009/138/EC and the remaining part where applicable. |
| R0450/C0100 | Method used to calculate the adjustment due to RFF/MAP nSCR aggregation | Method used to calculate the adjustment due to RFF nSCR aggregation. One of the options in the following closed list shall be used:1 – Full recalculation2 – Simplification at risk sub–module level3 – Simplification at risk module level4 – No adjustmentWhen the group has no RFF (or have only RFF under Article 304 of Directive 2009/138/EC) it shall select option 4. |
| R0460/C0100 | Net future discretionary benefits | Amount of technical provisions without risk margin in relation to future discretionary benefits net of reinsurance. |
| R0470/C0100 | Minimum consolidated group solvency capital requirement | Amount of the minimum consolidated group Solvency Capital Requirement as stated in Article 230 of Directive 2009/138/EC. |
| R0500/C0100 | Capital requirement for other financial sectors (Non–insurance capital requirements) | Amount of capital requirement for other financial sectors.R0500 is expected to be equal to the sum of R0510, R0520 and R0530.This item is only applicable to group reporting where the group includes an undertaking which is subject to non–insurance capital requirements, such as a bank, and is the capital requirement calculated in accordance with the appropriate requirements. |
| R0510/C0100 | Capital requirement for other financial sectors (Non–insurance capital requirements) – Credit institutions, investment firms and financial institutions, alternative investment funds managers, UCITS management companies | Amount of capital requirement for credit institutions, investment firms and financial institutions.This item is only applicable to group reporting where the group includes undertakings which are credit institutions, investment firms and financial institutions, alternative investment funds managers, UCITS management companies and they are subject to capital requirements, calculated in accordance with the relevant sectoral rules. |
| R0520/C0100 | Capital requirement for other financial sectors (Non–insurance capital requirements) – Institutions for occupational retirement provisions | Amount of capital requirement for institutions for occupational retirement provisions.This item is only applicable to group reporting where the group includes undertaking which are institutions for occupational retirement provision and subject to non–insurance capital requirements calculated in accordance with the relevant sectoral rules. |
| R0530/C0100 | Capital requirement for other financial sectors (Non–insurance capital requirements) – Capital requirement for non–regulated undertakings carrying out financial activities | Amount of capital requirement for non-regulated undertakings carrying out financial activities. This figure represents a notional solvency requirement, calculated if the relevant sectoral rules were to be applied.This item is only applicable to group reporting where the group includes undertakings which are non – regulated undertakings carrying out financial activities. |
| R0540/C0100 | Capital requirement for non–controlled participations | Amount of the proportional share of the Solvency Capital Requirements of the related insurance and reinsurance undertakings and insurance holding companies or mixed financial holding companies which are not subsidiaries, in accordance with Article 336(1)(b) of Delegated Regulation (EU) 2015/35. This item is only applicable to group reporting and corresponds, for those entities which are not subsidiaries, to the capital requirement calculated in accordance with Solvency 2. |
| R0550/C0100 | Capital requirement for residual undertakings | Amount determined in accordance with Article 336(1)(d) of Delegated Regulation (EU) 2015/35. |
| R0555/C0100 | Capital requirement for collective investment undertakings or investments packaged as funds | Amount determined in accordance with Article 336(1)(e) of Delegated Regulation (EU) 2015/35. |
| R0560/C0100 | SCR for undertakings included via D&A method | Amount of the Solvency Capital Requirement for undertakings included under method 2 as defined in Article 233 of Directive 2009/138/EC when the combination of methods is used. |
| R0570/C0100 | Total group Solvency capital requirement | Overall SCR for all undertakings regardless of the method used.The total group solvency capital requirement is expected to be equal to the sum of R0220 and R0560.In case the minimum consolidated group SCR (R0470) is higher than the Consolidated group SCR (R0220), then the total group solvency capital requirement is expected to be equal to the sum of R0470 and R0560. |
S.25.05 – Solvency Capital Requirement – for groups using an internal model (partial or full)
a)The information until R0470 (S.25.05.04.02) is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;
b)When combination method is being used, the information until R0470 (S.25.05.04.02) is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC.
—Where the undertaking applies the full adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level: the nSCR is calculated as if no RFF and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part;
—Calculation of ‘q factor’adjustmentBSCR′ nSCRint, where—adjustmentAdjustment calculated according to one of the three methods referred above—BSCR'Basic solvency capital requirement calculated according to the information reported in this template—nSCRintnSCR for intangible assets risk according to the information reported in this template
—Where the undertaking applies the Simplification at risk sub-module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR and LAC are calculated considering a direct summation at sub-module level method,
—Multiplication of this ‘q factor’ by the nSCR of each relevant risk module (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non-life underwriting risk)
—Where the undertaking applies the Simplification at risk module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR and LAC are calculated considering a direct summation at module level method.
General comments:
This Annex contains additional instructions in relation to the templates included in Annex I of this Regulation. The first column of the next table identifies the items to be reported by identifying the columns and lines as showed in the template in Annex I.
This annex relates to opening and annual submission of information for groups, ring fenced-funds, matching adjustment portfolios and remaining part.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and groups.
The purpose of this template is to collect data on an aggregate level and show diversification benefits between separate risk modules. All values should be reported before any tax effects unless otherwise stated.
For group reporting the following specific requirements shall be met:
Template SR.25.05 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).
Partial internal model:
All rows for C0010 refer to the amount of the capital charge for each component regardless of the method of calculation (either standard formula or partial internal model), after the adjustments for loss-absorbing capacity of technical provision and/or deferred taxes when they are embedded in the component calculation.
For the components Loss absorbing capacity of technical provisions and/or deferred taxes when reported as a separate component it should be the amount of the loss-absorbing capacity (these amounts should be reported as negative values)
For components calculated using the standard formula this cell represents the gross nSCR. For components calculated using the partial internal model, this represents the value considering the future management actions with are embedded in the calculation, but not whose which are modelled as a separate component.
These amounts shall fully consider diversification effects according to Article 304 of Directive 2009/138/EC where applicable.
When applicable, these cells do not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level.
Template SR.25.05 shall be reported by ring-fenced fund, matching adjustment portfolio and the remaining part for every group under a partial internal model. This includes undertakings where a partial internal model is applied to a full ring-fenced fund and/or matching adjustment portfolio while the other ring-fenced funds and/or matching adjustment portfolios are under the standard formula. This template should be reported for all sub-funds of a material RFF/MAP as identified in the second table of S.01.03.
For those groups under a partial internal model to which the adjustment due to the aggregation of the nSCR of RFF/MAP is applicable, where the entity has MAP or RFF (except those under the scope of Article 304 of Directive 2009/138/EC) when reporting at the level of the whole undertaking, the nSCR at risk module level and the loss-absorbing capacity (LAC) of technical provisions and deferred taxes to be reported shall be calculated as follows:
The adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level shall be allocated (C0050) to the relevant risk modules (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non-life underwriting risk) when calculated according to the standard formula. The amount to be allocated to each relevant risk module shall be calculated as follows:
Full internal model:
Template SR.25.05 has to be filled in for each ring-fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part for every group under a full internal model. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template should be reported for all sub-funds of a material RFF/MAP as identified in the second table of S.01.03.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0020 | Ring-fenced fund, matching adjustment portfolio or Remaining Part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates.When item Z0020 = 2, then report ‘0’ |
| C0010/R0020 | Total diversification | Amount of the diversification effects between risk modules.This amount should be reported as a negative value. |
| C0010/R0030 | Total diversified risk before tax | Amount of diversified capital charges before tax.Same as S.26.08.04 C0010/R0030. |
| C0010/R0040 | Total diversified risk after tax | Amount of diversified capital charges after tax.Same as S.26.08.04 C0010/R0040. |
| C0010/R0070 | Total market & credit risk | Same as S.26.08.04 C0010/R0070. |
| C0010/R0080 | Market & Credit risk – diversified | Same as S.26.08.04 C0010/R0080. |
| C0010/R0190 | Credit event risk not covered in market & credit risk | Same as S.26.08.04 C0010/R0190. |
| C0010/R0200 | Credit event risk not covered in market & credit risk – diversified | Same as S.26.08.04 C0010/R0200. |
| C0010/R0270 | Total Business risk | Same as S.26.08.04 C0010/R0270. |
| C0010/R0280 | Total Business risk – diversified | Same as S.26.08.04 C0010/R0280. |
| C0010/R0310 | Total Net Non-life underwriting risk | Same as S.26.08.04 C0010/R0310. |
| C0010/R0320 | Total Net Non-life underwriting risk – diversified | Same as S.26.08.04 C0010/R0320. |
| C0010/R0400 | Total Life & Health underwriting risk | Same as S.26.08.04 C0010/R0400. |
| C0010/R0410 | Total Life & Health underwriting risk – diversified | Same as S.26.08.04 C0010/R0410. |
| C0010/R0480 | Total Operational risk | Same as S.26.08.04 C0010/R0480. |
| C0010/R0490 | Total Operational risk – diversified | Same as S.26.08.04 C0010/R0490. |
| C0010/R0500 | Other risk | Same as S.26.08.04 C0010/R0500. |
| C0050/R0020-R0530 | Allocation from adjustments due to RFF and Matching adjustment portfolios | Where applicable, part of the adjustment allocated to each risk module and submodule according to the procedure described in the general comments. This amount shall be positive.Applicable only for partial internal models. |
| C0060/R0020-R0530 | Consideration of the future management actions regarding technical provisions and/or deferred taxes | To identify if the future management actions relating to the loss absorbing capacity of technical provisions and/or deferred taxes are embedded in the calculation. The following closed list of options shall be used:1 – Future management actions regarding the loss-absorbing capacity of technical provisions embedded within the component2 – Future management actions regarding the loss-absorbing capacity of deferred taxes embedded within the component3 – Future management actions regarding the loss-absorbing capacity of technical provisions and deferred taxes embedded within the component4 – No embedded consideration of future management actions. |
| C0070/R0020-R0530 | Amount modelled | For each component, this cell represents the amount calculated according to the partial internal model.Applicable only for partial internal models. |
| R0110/C0100 | Total undiversified components | Sum of all components. |
| R0060/C0100 | Diversification | The total amount of the diversification among components reported in C0030.This amount does not include diversification effects inside each component, which shall be embedded in the values reported in C0030.This amount should be reported as negative value. |
| R0120/C0100 | Adjustment due to RFF/MAP nSCR aggregation | When applicable, adjustment to correct the bias on SCR calculation due to aggregation of RFF/MAP nSCR at risk module level.Applicable only for partial internal models. |
| R0160/C0100 | Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC | Amount of the capital requirement, calculated in accordance with the rules stated in Article 17 of Directive 2003/41/EC, for ring-fenced funds relating to pension business operated under Article 4 of Directive 2003/41/EC to which transitional measures are applied. This item is to be reported only during the transitional period. |
| R0200/C0100 | Solvency Capital Requirement calculated on the basis of Art. 336 (a) of Delegated Regulation (EU) 2015/35, excluding capital add–on | Amount of the SCR, before any capital add–on, calculated in accordance with Article 336 (a), i.e. on the basis of consolidated data as referred to in Article 335(1) points (a), (b) and (c) of the Delegated Regulation (EU) 2015/35 including data of controlled collective investment undertakings and investments packaged as funds. |
| R0210/C0100 | Capital add–ons already set | Amount of capital add–on that had been set at the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority. |
| R0211/C0100 | Of which, capital add-ons already set – Article 37(1) Type a | Amount of type (a) capital add-on in accordance with Article 37(1) of Directive 2009/138/EC (2014/51/EU) that had been set at the reporting reference date. It does not include capital add-ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data. |
| R0212/C0100 | Of which, capital add-ons already set – Article 37(1) Type b | Amount of type (b) capital add-on in accordance with Article 37(1) of Directive 2009/138/EC (2014/51/EU) that had been set at the reporting reference date. It doesnot include capital add-ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data. |
| R0213/C0100 | Of which, capital add-ons already set – Article 37(1) Type c | Amount of type (c) capital add-on in accordance with Article 37(1) of Directive 2009/138/EC (2014/51/EU) that had been set at the reporting reference date. It doesnot include capital add-ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data. |
| R0214/C0100 | Of which, capital add-ons already set – Article 37(1) Type d | Amount of type (d) capital add-on in accordance with Article 37(1) of Directive 2009/138/EC (2014/51/EU) that had been set at the reporting reference date. It doesnot include capital add-ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data. |
| R0220/C0100 | Consolidated Group SCR | Overall capital requirement including capital add-ons for undertakings under method 1 as defined in Article 230 of Directive 2009/138/EC. It shall include all components of the consolidated SCR, including capital requirements of undertakings from other financial sectors, capital requirement for non-controlled participation, capital requirement for residual undertakings and capital requirement for collective investment undertakings or investments packaged as funds. |
| Other information on SCR | ||
| R0300/C0100 | Amount/estimate of the overall loss-absorbing capacity of technical provisions | Amount/Estimate of the overall adjustment for loss-absorbing capacity of technical provisions, including the part embedded in the components and the part reported as a single component. This amount shall be reported as a negative amount. |
| R0310/C0100 | Amount/estimate of the loss absorbing capacity for deferred taxes | Amount/Estimate of the overall adjustment for deferred taxes, including the part embedded in the components and the part reported as a single component. This amount shall be reported as a negative amount. |
| R0400/C0100 | Capital requirement for duration-based equity risk sub-module | Amount of the capital requirement for duration-based equity risk sub-module.Applicable only for partial internal models. |
| R0410/C0100 | Total amount of notional Solvency Capital Requirements for remaining part | Amount of the notional SCRs of remaining part when undertaking has RFF. |
| R0420/C0100 | Total amount of Notional Solvency Capital Requirements for ring-fenced funds | Amount of the sum of notional SCRs of all ring-fenced funds when undertaking has RFF (other than those related to business operated in accordance with Article 4 of Directive 2003/41/EC (transitional)). |
| R0430/C0100 | Total amount of Notional Solvency Capital Requirements for matching adjustment portfolios | Amount of the sum of notional SCRs of all matching adjustment portfoliosThis item does not have to be reported when reporting SCR calculation at RFF or matching adjustment portfolio level. |
| R0440/C0100 | Diversification effects due to RFF nSCR aggregation for Article 304 | Amount of the adjustment for a diversification effect between ring fenced funds under Article 304 of Directive 2009/138/EC and the remaining part where applicable.It shall be equal to the difference between the sum of the nSCR for each RFF/MAP/RP and the SCR reported in R0200/C0100. |
| R0450/C0100 | Method used to calculate the adjustment due to RFF nSCR aggregation | Method used to calculate the adjustment due to RFF nSCR aggregation. One of the following options shall be used:1 – Full recalculation2 – Simplification at risk sub-module level3 – Simplification at risk module level4 – No adjustmentWhen the undertaking has no RFF (or have only RFF under Article 304 of Directive 2009/138/EC) it shall select option 4.Applicable only for partial internal models. |
| R0460/C0100 | Net future discretionary benefits | Amount of technical provisions without risk margin in relation to future discretionary benefits net of reinsurance. |
| R0470/C0100 | Minimum consolidated group solvency capital requirement | Amount of the minimum consolidated group Solvency Capital Requirement as stated in art. 230 of Directive 2009/138/EC. This item is applicable to group reporting only. |
| R0500/C0100 | Capital requirement for other financial sectors (Non-insurance capital requirements) | Amount of capital requirement for other financial sectors.This item is only applicable to group reporting where the group includes an undertaking which is subject to non-insurance capital requirements, such as a bank, and is the capital requirement calculated in accordance with the appropriate requirements. |
| R0510/C0100 | Capital requirement for other financial sectors (Non-insurance capital requirements) – Credit institutions, investment firms and financial institutions, alternative investment funds managers, UCITS management companies | Amount of capital requirement for credit institutions, investment firms and financial institutions.This item is only applicable to group reporting where the group includes undertakings which are credit institutions, investment firms and financial institutions, alternative investment funds managers, UCITS management companies and they are subject to capital requirements, calculated in accordance with the relevant sectoral rules. |
| R0520/C0100 | Capital requirement for other financial sectors (Non-insurance capital requirements) – Institutions for occupational retirement provisions | Amount of capital requirement for institutions for occupational retirement provisions.This item is only applicable to group reporting where the group includes undertaking which are institutions for occupational retirement provision and subject to non-insurance capital requirements calculated in accordance with the relevant sectoral rules. |
| R0530/C0100 | Capital requirement for other financial sectors (Non-insurance capital requirements) – Capital requirement for non-regulated undertakings carrying out financial activities | Amount of capital requirement for non-regulated undertakings carrying out financial activities. This figure represents a notional solvency requirement, calculated if the relevant sectoral rules were to be applied.This item is only applicable to group reporting where the group includes undertakings which are non-regulated entities carrying out financial activities. |
| R0540/C0100 | Capital requirement for non-controlled participation | Amount of the proportional share of the Solvency Capital Requirements of the related insurance and reinsurance undertakings and insurance holding companies or mixed financial holding companies which are not subsidiaries. |
| R0550/C0100 | Capital requirement for residual undertakings | Amount determined in accordance with Article 336(1)(d) of Delegated Regulation (EU) 2015/35. |
| R0555/C0100 | Capital requirement for collective investment undertakings or investments packaged as funds | Amount determined in accordance with Article 336(1)(e) of Delegated Regulation (EU) 2015/35. |
| R0560/C0100 | SCR for undertakings included via D&A method | Amount of the Solvency Capital Requirement for undertakings included under method 2 as defined in Article 233 of Directive 2009/138/EC when the combination of methods is used. |
| R0570/C0100 | Total group Solvency capital requirement | Overall SCR for all undertakings regardless of the method used.The total group solvency capital requirement is expected to be equal to the sum of R0220 and R0560.In case the minimum consolidated group SCR (R0470) is higher than the Consolidated group SCR (R0220), then the total group solvency capital requirement is expected to be equal to the sum of R0470 and R0560. |
S.26.01 – Solvency Capital Requirement – Market risk
a)This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;
b)When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;
c)This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.
General comments:
This section relates to the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.
The template S.26.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
Template S.26.01 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).
Amounts before and after shock shall be filled in with the amount of assets and liabilities sensitive to that shock. For the liabilities the assessment shall be done at the most granular level available between contract and homogeneous risk group. This means that if a contract/HRG is sensitive to a shock the amount of liabilities associated to that contract/HRG shall be reported as amount sensitive to that shock.
For group reporting the following specific requirements shall be met:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Article 112 | Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:1 – Article 112(7) reporting2 – Regular reporting |
| Z0020 | Ring–fenced fund, matching adjustment portfolio or remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking within the scope of group supervision and must be consistent over time and with the fund/portfolio number reported in other templates. |
| R0012/C0010 | Simplifications spread risk – bonds and loans | The options in the following closed list shall be used:1 – Simplification for the purposes of Article 1042 – Simplifications for the purposes of Article 105a9 – Simplifications not usedOptions 1 and 2 may be used simultaneously.If R0012/C0010 = 1, only C0060 and C0080 shall be filled in for R0410 |
| R0014/C0010 | Simplifications market risk concentration– simplifications used | One of the options in the following closed list shall be used:1 – Simplifications for the purposes of Article 105a9 – Simplifications not used |
| R0020/C0010 | Captives simplifications – interest rate risk | Identify whether a captive undertaking within the scope of group supervision used simplifications for the calculation of interest rate risk. The following options shall be used:1 – Simplifications used2 – Simplifications not usedWhere R0020/C0010 = 1, only C0060 and C0080 shall be filled in for R0100–R0120 |
| R0030/C0010 | Captives simplifications – spread risk on bonds and loans | Identify whether a captive undertaking within the scope of group supervision used simplifications for the calculation of spread risk with regard to bonds and loans. The following options shall be used:1 – Simplifications used2 – Simplifications not used |
| R0040/C0010 | Captives simplifications – market risk concentration | Identify whether a captive undertaking within the scope of group supervision used simplifications for the calculation of market risk concentration. The following options shall be used:1 – Simplifications used2 – Simplifications not used |
| Interest rate risk | ||
| R0100/C0060 | Absolute value after shock – Net solvency capital requirement – interest rate risk | This is the net capital charge for interest rate risk, i.e. after adjustment for the loss absorbing capacity of technical provisions.If R0020/C0010 = 1, this item represents the net capital charge for interest rate risk calculated using simplified calculations for captive undertakings within the scope of group supervision. |
| R0100/C0080 | Absolute value after shock – Gross solvency capital requirement – interest rate risk | This is the gross capital charge for interest rate risk, i.e. before the loss absorbing capacity of technical provisions.If R0020/C0010 = 1, this item represents the gross capital charge for interest rate risk calculated using simplified calculations for captive undertakings within the scope of group supervision. |
| R0110–R0120/C0020 | Initial absolute values before shock – Assets – Interest rate risk – interest rate down/up shock | This is the total value of the assets sensitive to interest rate down/up risk, before shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0110–R0120/C0030 | Initial absolute values before shock – Liabilities – Interest rate risk – interest rate down/up shock | This is the total value of the liabilities sensitive to interest rate down/up risk, before shock.The amount of technical provisions (‘TP’) shall be net of reinsurance and SPV recoverables. |
| R0110–R0120/C0040 | Absolute values after shock – Assets – Interest rate risk – interest rate down/up shock | This is the absolute value of assets sensitive to interest rate down/up risks after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0110–R0120/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Interest rate risk– interest rate down/up shock | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to interest rate down/up risks after the shock.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0110–R0120/C0060 | Absolute value after shock – Net solvency capital requirement – interest rate risk– interest rate down/up shock | This is the net capital charge for interest rate down/up risk, after adjustment for the loss absorbing capacity of technical provisions.If R0020/C0010 = 1, this item represents the net capital charge for interest rate down/up risk calculated using simplifications. |
| R0110–R0120/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Interest rate risk – Interest rate down/up shock | This is the absolute value of liabilities (before the loss absorbing capacity of technical provisions) sensitive to interest rate down/up risks after the shock.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0110–R0120/C0080 | Absolute value after shock – Gross solvency capital requirement – interest rate risk – interest rate down/up shock | This is the gross capital charge for the interest rate down/up risk, i.e. before the loss absorbing capacity of Technical provisionsIf R0020/C0010 = 1, this item represents the gross capital charge for interest rate down/up risk calculated using simplifications. |
| Equity risk | ||
| R0200/C0060 | Absolute value after shock – Net solvency capital requirement – equity risk | This is the net capital charge for equity risk, i.e. after adjustment for the loss absorbing capacity of technical provisions. |
| R0200/C0080 | Absolute value after shock – Gross solvency capital requirement – equity risk | This is the gross capital charge for equity risk, i.e. before the loss absorbing capacity of technical provisions. |
| R0210/C0020 | Initial absolute values before shock – Assets – equity risk – type 1 equities | This is the initial absolute value of the assets sensitive to the equity risk charge related to type 1 equitiesRecoverables from reinsurance and SPVs shall not be included in this cell. |
| R0210/C0030 | Initial absolute values before shock – Liabilities – equity risk – type 1 equities | This is the initial absolute value of the liabilities sensitive to equity risk related to type 1 equities.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0210/C0040 | Absolute values after shock – Assets – Equity risk – type 1 equities | This is the absolute value of the assets sensitive to the equity risk charge related to type 1 equities category, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0210/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Equity risk – type 1 equities | This is the absolute value of the liabilities sensitive to equity risk charge related to type 1 equities, after the shock and after the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0210/C0060 | Absolute value after shock – Net solvency capital requirement – equity risk – type 1 equities | This is the net capital charge for equity risk (for type 1 equities), after adjustment for the loss absorbing capacity of technical provisions. |
| R0210/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – equity risk – type 1 equities | This is the absolute value of the liabilities sensitive to equity risk charge related to type 1 equities, after the shock but before the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0210/C0080 | Absolute value after shock – Gross solvency capital requirement – Equity risk – type 1 equities | This is the gross capital charge for equity risk for type 1 equities, i.e. before the loss absorbing capacity of technical provisions. |
| R0221, R0230, R0231, R0240/C0020 | Initial absolute values before shock – Assets – equity risk – type 1 equities | This is the initial absolute value of the assets sensitive to the equity risk (for each kind of type 1 equity).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0221, R0230, R0231, R0240/C0040 | Absolute values after shock – Assets – equity risk – type 1 equities | This is the absolute value of the assets sensitive the equity risk charge, (for each kind of type 1 equity), after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0250/C0020 | Initial absolute values before shock – Assets – equity risk – type 2 equities | This is the initial absolute value of the assets sensitive to the equity risk for type 2 equities.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0250/C0030 | Initial absolute values before shock – Liabilities – equity risk – type 2 equities | This is the initial absolute value of liabilities sensitive to the equity risk for type 2 equities.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0250/C0040 | Absolute values after shock – Assets – Equity risk – type 2 equities | This is the absolute value of the assets sensitive to equity risk charge for type 2 equities, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0250/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Equity risk – type 2 equities | This is the absolute value of liabilities sensitive to equity risk (for type 2 equities), after the shock and after the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0250/C0060 | Absolute value after shock – Net solvency capital requirement – equity risk – type 2 equities | This is the net capital charge for equity risk (for type 2 equities) after adjustment for the loss absorbing capacity of technical provisions. |
| R0250/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) equity risk – type 2 equities | This is the absolute value of the liabilities sensitive to equity risk (for type 2 equities), after the shock but before the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0250/C0080 | Absolute value after shock – Gross solvency capital requirement – Equity risk – type 2 equities | This is the gross capital charge for equity risk for type 2 equities, i.e. before the loss absorbing capacity of technical provisions |
| R0261, R0270, R0271, R0280/C0020 | Initial absolute values before shock – Assets – equity risk – type 2 equities | This is the value of the assets sensitive to the equity risk (for each kind of type 2 equities)Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0261, R0270, R0271,R0280/C0040 | Absolute values after shock – Assets – equity risk – type 2 equities | This is the absolute value of the assets sensitive to equity risk (for each kind of type 2 equities), after the equity shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0291/C0020, R0293-R0295/C0020 | Initial absolute values before shock – Assets – Equity risk –qualifying infrastructure corporate equities | This is the initial absolute value of the assets sensitive to the equity risk for each kind of qualifying infrastructure corporate equity.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0291/C0030 | Initial absolute values before shock – Liabilities – Equity risk – qualifying infrastructure corporate equities | This is the initial absolute value of liabilities sensitive to the equity risk for each kind of qualifying infrastructure corporate equity.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0291/C0040, R0293-R0295/C0040 | Absolute values after shock – Assets – Equity risk – qualifying infrastructure corporate equities | This is the absolute value of the assets sensitive to equity risk for each kind of qualifying infrastructure corporate equity, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0291/C0050 | Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – Equity risk – qualifying infrastructure corporate equities | This is the absolute value of liabilities sensitive to equity risk (for each kind of qualifying infrastructure corporate equity), after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0291/C0060 | Absolute value after shock – Net solvency capital requirement – Equity risk –qualifying infrastructure corporate equities | This is the net capital charge for equity risk (for each kind of qualifying infrastructure corporate equity), after the application of the adjustment for the loss-absorbing capacity of technical provisions. |
| R0291/C0070 | Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions) – Equity risk – qualifying infrastructure corporate equities | This is the absolute value of the liabilities sensitive to equity risk (for each kind of qualifying infrastructure corporate equity), after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0291/C0080 | Absolute value after shock – Gross solvency capital requirement – Equity risk – qualifying infrastructure corporate equities | This is the gross capital charge for equity risk for each kind of qualifying infrastructure corporate equity, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions. |
| R0292/C0020, R0296-R0298/C0020 | Initial absolute values before shock – Assets – Equity risk – qualifying infrastructure equities other than corporate equities | This is the initial absolute value of the assets sensitive to the equity risk for each kind of qualifying infrastructure equity, other than corporate equities.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0292/C0030 | Initial absolute values before shock – Liabilities – Equity risk – qualifying infrastructure equities other than corporate equities | This is the initial absolute value of liabilities sensitive to the equity risk for each kind of qualifying infrastructure equity, other than corporate equities.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0292/C0040, R0296-R0298/C0040 | Absolute values after shock – Assets – Equity risk – qualifying infrastructure equities other than corporate equities | This is the absolute value of the assets sensitive to equity risk for each kind of qualifying infrastructure equity, other than corporate equities, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0292/C0050 | Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – Equity risk – qualifying infrastructure equities other than corporate equities | This is the absolute value of liabilities sensitive to equity risk (for each kind of qualifying infrastructure equity, other than corporate equities), after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0292/C0060 | Absolute value after shock – Net solvency capital requirement – Equity risk –qualifying infrastructure equities other than corporate equities | This is the net capital charge for equity risk (for each kind of qualifying infrastructure equity other than corporate equities), after the application of the adjustment for the loss-absorbing capacity of technical provisions. |
| R0292/C0070 | Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions) – Equity risk – qualifying infrastructure equities other than corporate equities | This is the absolute value of the liabilities sensitive to equity risk (for each kind of qualifying infrastructure equity other than corporate equities), after the shock, but before the application of the adjustment for the loss-absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0292/C0080 | Absolute value after shock – Gross solvency capital requirement – Equity risk – qualifying infrastructure equities other than corporate equities | This is the gross capital charge for equity risk for each kind of qualifying infrastructure equity, other than corporate equities, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions. |
| Property risk | ||
| R0300/C0020 | Initial absolute values before shock – Assets – Property risk | This is the absolute value of the assets sensitive to the property risk.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0300/C0030 | Initial absolute values before shock – Liabilities – Property risk | This is the value of the liabilities sensitive to the property risk.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0300/C0040 | Absolute values after shock – Assets – Property risk | This is the absolute value of the assets sensitive to property risk charge, after the property shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0300/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Property risk | This is the absolute value of the liabilities underlying property risk charge, after the property shock and after the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0300/C0060 | Absolute value after shock – Net solvency capital requirement – property risk | This is the net capital charge for property risk, after adjustment for the loss absorbing capacity of technical provisions. |
| R0300/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – property risk | This is the absolute value of the liabilities underlying property risk charge, after the property shock but before the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0300/C0080 | Absolute value after shock – Gross solvency capital requirement – Property risk | This is the gross capital charge for property risk, i.e. before the loss absorbing capacity of technical provisions. |
| Spread risk | ||
| R0400/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk | This is the net capital charge for spread risk, after adjustment for the loss absorbing capacity of technical provisions. |
| R0400/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk | This is the gross capital charge for spread risk, before the loss absorbing capacity of technical provisions. |
| R0410/C0020 | Initial absolute values before shock – Assets – spread risk – bonds and loans | This is the absolute value of the assets sensitive to the spread risk on bonds and loans.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0410/C0030 | Initial absolute values before shock – Liabilities – spread risk – bonds and loans | This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0410/C0040 | Absolute values after shock – Assets – spread risk – bonds and loans | This is the absolute value of the assets sensitive to the spread risk on bonds and loans, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0410/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – spread risk – bonds and loans | This is the absolute value of the liabilities underlying the spread risk charge for bonds and loans, after the shock and after the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0410/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – bonds and loans | This is the net capital charge for spread risk on bonds and loans, after adjustment for the loss absorbing capacity of technical provisions.If R0012/C0010 = 1 and/or 2, this item represents the net solvency capital requirement for spread risk – bonds and loans, calculated using simplifications |
| R0410/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions)– spread risk – bonds and loans | This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans, after the shock but before the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0410/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – bonds and loans | This is the gross capital charge for spread risk on bonds and loans, i.e. before the loss absorbing capacity of technical provisions.If R0012/C0010 = 1 and/or 2, this item represents gross solvency capital requirement for spread risk – bonds and loans calculated using simplifications. |
| R0412/C0020 | Initial absolute values before shock – Assets – Spread risk – bonds and loans (other than qualifying infrastructure investment) | This is the initial absolute value of the assets sensitive to the spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0412/C0030 | Initial absolute values before shock – Liabilities – Spread risk – bonds and loans (other than qualifying infrastructure investment) | This is the initial absolute value of the liabilities sensitive to the spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0412/C0040 | Absolute values after shock – Assets – Spread risk – bonds and loans (other than qualifying infrastructure investment) | This is the absolute value of the assets sensitive to the spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0412/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (other than qualifying infrastructure investment) | This is the absolute value of the liabilities underlying the spread risk charge for bonds and loans other than qualifying infrastructure investment and infrastructure corporate, after the shock and after the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0412/C0060 | Absolute value after shock – Net solvency capital requirement – Spread risk – bonds and loans (other than qualifying infrastructure investment) | This is the net capital charge for spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate, after adjustment for the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.If R0012/C0010 = 1 and/or 2, this item shall not be reported. |
| R0412/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (other than qualifying infrastructure investment) | This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate, after the shock but before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0412/C0080 | Absolute value after shock – Gross solvency capital requirement – Spread risk – bonds and loans (other than qualifying infrastructure investment) | This is the gross capital charge for spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate, i.e. before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.If R0012/C0010 = 1 and/or 2, this item shall not be reported. |
| R0413/C0020 | Initial absolute values before shock – Assets – Spread risk – bonds and loans (qualifying infrastructure investment) | This is the initial absolute value of the assets sensitive to the spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0413/C0030 | Initial absolute values before shock – Liabilities – Spread risk – bonds and loans (qualifying infrastructure investment) | This is the initial absolute value of the liabilities sensitive to the spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. If splitting is not possible, only R0410 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0413/C0040 | Absolute values after shock – Assets – Spread risk – bonds and loans (qualifying infrastructure investment) | This is the absolute value of the assets sensitive to the spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0413/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (qualifying infrastructure investment) | This is the absolute value of the liabilities underlying the spread risk charge for bonds and loans that are qualifying infrastructure investment other than infrastructure corporate, after the shock and after the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0413/C0060 | Absolute value after shock – Net solvency capital requirement – Spread risk – bonds and loans (qualifying infrastructure investment) | This is the net capital charge for spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate, after adjustment for the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.If R0012/C0010 = 1 and/or 2, this item shall not be reported. |
| R0413/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (qualifying infrastructure investment) | This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate, after the shock but before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0413/C0080 | Absolute value after shock – Gross solvency capital requirement – Spread risk – bonds and loans (qualifying infrastructure investment) | This is the gross capital charge for spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate, i.e. before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.If R0012/C0010 = 1 and/or 2, this item shall not be reported. |
| R0414/C0020 | Initial absolute values before shock – Assets – Spread risk – bonds and loans (qualifying infrastructure corporate investment) | This is the initial absolute value of the assets sensitive to the spread risk on bonds and loans that are qualifying infrastructure corporate investment.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0414/C0030 | Initial absolute values before shock – Liabilities – Spread risk – bonds and loans (qualifying infrastructure corporate investment) | This is the initial absolute value of the liabilities sensitive to the spread risk on bonds and loans that are qualifying infrastructure corporate investment. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0414/C0040 | Absolute values after shock – Assets – Spread risk – bonds and loans (qualifying infrastructure corporate investment) | This is the absolute value of the assets sensitive to the spread risk on bonds and loans that are qualifying infrastructure corporate investment, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0414/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (qualifying infrastructure corporate investment) | This is the absolute value of the liabilities underlying the spread risk charge for bonds and loans that are qualifying infrastructure corporate investment, after the shock and after the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0414/C0060 | Absolute value after shock – Net solvency capital requirement – Spread risk – bonds and loans (qualifying infrastructure corporate investment) | This is the net capital charge for spread risk on bonds and loans that are qualifying infrastructure corporate investment, after adjustment for the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.If R0012/C0010 = 1 and/or 2, this item shall not be reported. |
| R0414/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (qualifying infrastructure corporate investment) | This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans that are qualifying infrastructure corporate investment, after the shock but before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0414/C0080 | Absolute value after shock – Gross solvency capital requirement – Spread risk – bonds and loans (qualifying infrastructure corporate investment) | This is the gross capital charge for spread risk on bonds and loans that are qualifying infrastructure corporate investment, i.e. before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.If R0012/C0010 = 1 and/or 2, this item shall not be reported. |
| R0420/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – credit derivatives | This is the net capital charge for spread risk on credit derivatives, after adjustment for the loss absorbing capacity of technical provisions. |
| R0420/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – credit derivatives | This is the gross capital charge for spread risk on credit derivatives, i.e. before the loss absorbing capacity of technical provisions. |
| R0430–R0440/C0020 | Initial absolute values before shock – Assets – spread risk – credit derivatives – downward/upward shock on credit derivatives | This is the absolute value of assets sensitive to the downward/upward shock in respect to the spread risk on credit derivatives.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0430–R0440/C0030 | Initial absolute values before shock – Liabilities – spread risk – credit derivatives – downward/upward shock on credit derivatives | This is the absolute value of the liabilities sensitive to the downward/upward shock in respect to spread risk on credit derivatives.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0430–R0440/C0040 | Absolute values after shock – Assets – spread risk – credit derivatives – downward/upward shock on credit derivatives | This is the absolute value of the assets sensitive the downward/upward shock for spread risk on credit derivatives, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0430–R0440/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – spread risk –credit derivatives – downward/upward shock on credit derivatives | This is the absolute value of the liabilities sensitive to the downward/upward shock for spread risk on credit derivatives, after the shock and after the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0430–R0440/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – credit derivatives – downward/upward shock on credit derivatives | This is the net capital charge for the downward/upward shock for spread risk on credit derivatives, after adjustment for the loss absorbing capacity of technical provisions. |
| R0430–R0440/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions)– spread risk –credit derivatives – downward/upward shock on credit derivatives | This is the absolute value of the liabilities sensitive to the downward/upward shock for spread risk on credit derivatives, after the shock but before the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0430–R0440/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – credit derivatives – downward/upward shock on credit derivatives | This is the gross capital charge for the downward/upward shock for spread risk on credit derivatives, i.e. before the loss absorbing capacity of technical provisions. |
| R0450/C0020 | Initial absolute values before shock – Assets – spread risk – securitisation positions | This is the absolute value of the assets sensitive to the spread risk on securitisation positions.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0450/C0030 | Initial absolute values before shock – Liabilities – spread risk – securitisation positions | This is the absolute value of the liabilities sensitive to the spread risk on securitisation positions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0450/C0040 | Absolute values after shock – Assets – spread risk – securitisation positions | This is the absolute value of the assets sensitive to the spread risk on securitisation positions, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0450/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – spread risk – securitisation positions | This is the absolute value of the liabilities sensitive to the spread risk on securitisation positions, after the shock and after the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0450/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions | This is the net capital charge for spread risk on securitisation positions, after adjustment for the loss absorbing capacity of technical provisions. |
| R0450/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – spread risk – securitisation positions | This is the absolute value of the liabilities sensitive to the spread risk on securitisation positions, after the shock but before the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0450/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions | This is the gross capital charge for spread risk on securitisation positions, i.e. before the loss absorbing capacity of technical provisions. |
| R0461/C0020 | Initial absolute values before shock – Assets – spread risk – securitisation positions – senior STS securitisation | This is the absolute value of the assets sensitive to the spread risk on senior STS securitisation positions.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0461/C0030 | Initial absolute values before shock – Liabilities – spread risk – securitisation positions – senior STS securitisation | This is the absolute value of the liabilities sensitive to the spread risk on senior STS securitisation positions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0461/C0040 | Absolute values after shock – Assets – spread risk – securitisation positions – senior STS securitisation | This is the absolute value of the assets sensitive to the spread risk on senior STS securitisation positions, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0461/C0050 | Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – spread risk – securitisation positions – senior STS securitisation) | This is the absolute value of the liabilities sensitive to the spread risk on senior STS securitisation positions, after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0461/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – senior STS securitisation | This is the net capital charge for spread risk on senior STS securitisation positions, after the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. |
| R0461/C0070 | Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions)– spread risk – securitisation positions – senior STS securitisation | This is the absolute value of the liabilities sensitive to the spread risk on senior STS securitisation positions, after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0461/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – senior STS securitisation | This is the gross capital charge for spread risk on senior STS securitisation positions, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. |
| R0462/C0020 | Initial absolute values before shock – Assets – spread risk – securitisation positions – non-senior STS securitisation | This is the absolute value of the assets sensitive to the spread risk on non-senior STS securitisation positions.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0462/C0030 | Initial absolute values before shock – Liabilities – spread risk – securitisation positions – non-senior STS securitisation | This is the absolute value of the liabilities sensitive to the spread risk on non-senior STS securitisation positions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0462/C0040 | Absolute values after shock – Assets – spread risk – securitisation positions – non-senior STS securitisation | This is the absolute value of the assets sensitive to the spread risk on non-senior STS securitisation positions, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0462/C0050 | Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – spread risk – securitisation positions – non-senior STS securitisation) | This is the absolute value of the liabilities sensitive to the spread risk on non-senior STS securitisation positions, after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0462/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – non-senior STS securitisation | This is the net capital charge for spread risk on non-senior STS securitisation positions, after the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. |
| R0462/C0070 | Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions)– spread risk – securitisation positions – non-senior STS securitisation | This is the absolute value of the liabilities sensitive to the spread risk on non-senior STS securitisation positions, after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0462/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – non-senior STS securitisation | This is the gross capital charge for spread risk on non-senior STS securitisation positions, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. |
| R0480/C0020 | Initial absolute values before shock – Assets – spread risk – securitisation positions – resecuritisation | This is the absolute value of the assets sensitive to the spread risk on resecuritisation positions.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0480/C0030 | Initial absolute values before shock – Liabilities – spread risk – securitisation positions – resecuritisation | This is the absolute value of the liabilities sensitive to the spread risk on resecuritisation positions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0480/C0040 | Absolute values after shock – Assets – spread risk – securitisation positions – resecuritisation | This is the absolute value of the assets sensitive to the spread risk on resecuritisation positions, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0480/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – spread risk – securitisation positions – resecuritisation) | This is the absolute value of the liabilities sensitive to the spread risk on resecuritisation positions, after the shock and after the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0480/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – resecuritisation | This is the net capital charge for spread risk on resecuritisation positions, after adjustment for the loss absorbing capacity of technical provisions. |
| R0480/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – spread risk – securitisation positions – resecuritisation | This is the absolute value of the liabilities sensitive to the spread risk on resecuritisation positions, after the shock but before the loss absorbing capacity of technical provisions.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0480/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – resecuritisation | This is the gross capital charge for spread risk on resecuritisation positions, i.e. before the loss absorbing capacity of technical provisions. |
| R0481/C0020 | Initial absolute values before shock – Assets – spread risk – securitisation positions – other securitisation | This is the absolute value of the assets sensitive to the spread risk on other securitisation positions.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0481/C0030 | Initial absolute values before shock – Liabilities – spread risk – securitisation positions – other securitisation | This is the absolute value of the liabilities sensitive to the spread risk on other securitisation positions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0481/C0040 | Absolute values after shock – Assets – spread risk – securitisation positions – other securitisation | This is the absolute value of the assets sensitive to the spread risk on other securitisation positions, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0481/C0050 | Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – spread risk – securitisation positions – other securitisation) | This is the absolute value of the liabilities sensitive to the spread risk on other securitisation positions, after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0481/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – other securitisation | This is the net capital charge for spread risk on other securitisation positions, after the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. |
| R0481/C0070 | Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions)– spread risk – securitisation positions – other securitisation | This is the absolute value of the liabilities sensitive to the spread risk on other securitisation positions, after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall be reported only where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0481/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – other securitisation | This is the gross capital charge for spread risk on other securitisation positions, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall be reported only where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. |
| R0482/C0020 | Initial absolute values before shock – Assets – spread risk – securitisation positions – transitional type 1 securitisation | This is the absolute value of the assets sensitive to the spread risk on transitional type 1 securitisation positions.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0482/C0030 | Initial absolute values before shock – Liabilities – spread risk – securitisation positions – transitional type 1 securitisation | This is the absolute value of the liabilities sensitive to the spread risk on transitional type 1 securitisation positions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0482/C0040 | Absolute values after shock – Assets – spread risk – securitisation positions – transitional type 1 securitisation | This is the absolute value of the assets sensitive to the spread risk on transitional type 1 securitisation positions, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0482/C0050 | Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – spread risk – securitisation positions – transitional type 1 securitisation) | This is the absolute value of the liabilities sensitive to the spread risk on transitional type 1 securitisation positions, after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0482/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – transitional type 1 securitisation | This is the net capital charge for spread risk on transitional type 1 securitisation positions, after application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. |
| R0482/C0070 | Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions)– spread risk – securitisation positions – transitional type 1 securitisation | This is the absolute value of the liabilities sensitive to the spread risk on transitional type 1 securitisation positions, after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0482/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – transitional type 1 securitisation | This is the gross capital charge for spread risk on transitional type 1 securitisation positions, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. |
| R0483/C0020 | Initial absolute values before shock – Assets – spread risk – securitisation positions – guaranteed STS securitisation | This is the absolute value of the assets sensitive to the spread risk on guaranteed STS securitisation positions.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0483/C0030 | Initial absolute values before shock – Liabilities – spread risk – securitisation positions – guaranteed STS securitisation | This is the absolute value of the liabilities sensitive to the spread risk on guaranteed STS securitisation positions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0483/C0040 | Absolute values after shock – Assets – spread risk – securitisation positions – guaranteed STS securitisation | This is the absolute value of the assets sensitive to the spread risk on guaranteed STS securitisation positions, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0483/C0050 | Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – spread risk – securitisation positions – guaranteed STS securitisation | This is the absolute value of the liabilities sensitive to the spread risk on guaranteed STS securitisation positions, after the shock and after application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0483/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – guaranteed STS securitisation | This is the net capital charge for spread risk on guaranteed STS securitisation positions, after the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. |
| R0483/C0070 | Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions)– spread risk – securitisation positions – guaranteed STS securitisation | This is the absolute value of the liabilities sensitive to the spread risk on guaranteed STS securitisation positions, after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0483/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – guaranteed STS securitisation | This is the gross capital charge for spread risk on guaranteed STS securitisation positions, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions.This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. |
| Concentration risk | ||
| R0500/C0020 | Initial absolute values before shock – Assets – market risk concentrations | This is the absolute value of the asset sensitive to the market risk concentrationsFor captive undertakings within the scope of group supervision, if R0040/C0010 = 1, this item represents the absolute value of the assets sensitive to the market risk concentration, after taking into account simplifications allowed for captives.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0500/C0060 | Absolute value after shock – Net solvency capital requirement – market risk concentrations | This is the net capital charge for market risk concentrations, after adjustment for the loss absorbing capacity of technical provisions, aggregated for each single name exposure.For captive undertakings within the scope of group supervision, if cell R0040/C0010 = 1, this item represents net capital charge for market risk concentration, calculated using simplified calculation. |
| R0500/C0080 | Absolute value after shock – Gross solvency capital requirement – market risk concentrations | This is the gross capital charge for market risk concentrations, aggregated for each single name exposure, i.e. before the loss absorbing capacity of technical provisions. |
| Currency risk | ||
| R0600/C0060 | Absolute value after shock – Net solvency capital requirement (after the loss absorbing capacity of technical provisions) – currency risk | This is the sum for the different currencies of:the capital requirement (including after the loss absorbing capacity of technical provisions) for an increase in value of the foreign currency against the local currency;the capital requirement (including after the loss absorbing capacity of technical provisions) for a decrease in value of the foreign currency against the local currency. |
| R0600/C0080 | Absolute value after shock – Gross solvency capital requirement – currency risk | This is the sum for the different currencies of:the capital requirement (before the loss absorbing capacity of technical provisions) for an increase in value of the foreign currency against the local currency;the capital requirement (before the loss absorbing capacity of technical provisions) for a decrease in value of the foreign currency against the local currency. |
| R0610–R0620/C0020 | Initial absolute values before shock – Assets – Currency risk – increase/decrease in the value of the foreign currency | This is the total value of the assets sensitive to currency increase/decrease risk, before shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0610–R0620/C0030 | Initial absolute values before shock – Liabilities – Currency risk – increase/decrease in the value of the foreign currency | This is the total value of the liabilities sensitive to currency increase/decrease risk, before shock.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0610–R0620/C0040 | Absolute values after shock – Assets – Currency risk – increase/decrease in the value of the foreign currency | This is the absolute value of assets sensitive to currency increase/decrease risk after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0610–R0620/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Currency risk – increase/decrease in the value of the foreign currency | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to currency increase/decrease risk after the shock.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0610–R0620/C0060 | Absolute value after shock – Net solvency capital requirement (after the loss absorbing capacity of technical provisions) – Currency risk – increase/decrease in the value of the foreign currency | This is the net capital charge for currency increase/decrease risk, after adjustment for the loss absorbing capacity of technical provisions. In R0610 only the currencies where the increase shock is the largest shall be reported and in R0620 only the currencies where the decrease shock is the largest shall be reported. |
| R0610–R0620/C0070 | Absolute values after shock (before the loss–absorbing capacity of technical provisions) – Currency risk – increase/decrease in the value of the foreign currency | This is the absolute value of liabilities (before the loss absorbing capacity of technical provisions) sensitive to currency increase/decrease risk after the shock.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0610–R0620/C0080 | Absolute value after shock – Gross solvency capital requirement (excluding the loss–absorbing capacity of technical provisions) – Currency risk – increase/decrease in the value of the foreign currency | This is the gross capital charge for the currency increase/decrease risk, i.e. excluding the loss absorbing capacity of Technical provisions. In R0610 only the currencies where the increase shock is the largest shall be reported and in R0620 only the currencies where the decrease shock is the largest shall be reported. |
| Diversification within market risk module | ||
| R0700/C0060 | Diversification within market risk module –net | This is the diversification effect within the market risk module as a result of the aggregation of the net capital requirements (after loss absorbing capacity of technical provisions) of the single risk sub–modules.Diversification shall be reported as a negative value when it reduces the capital requirement. |
| R0700/C0080 | Diversification within market risk module – gross | This is the diversification effect within the market risk module as a result of the aggregation of the gross capital requirements (before loss absorbing capacity of technical provisions) of the single risk sub–modules.Diversification shall be reported as a negative value when it reduces the capital requirement. |
| Total solvency capital requirement for market risk | ||
| R0800/C0060 | Total market risk – Net solvency capital requirement | This is the total net capital charge for all market risks, after loss absorbing capacity of technical provisions, calculated using the standard formula. |
| R0800/C0080 | Gross solvency capital for market risk | This is the total gross capital charge for all market risks, excluding loss absorbing capacity of technical provisions, calculated using the standard formula. |
| Currency used as a reference to calculate the currency risk | ||
| R0810/C0090 | Currency used as a reference to calculate the currency risk | Identify the ISO 4217 alphabetic code of the currency that is used as a reference to calculate the currency risk |
S.26.02 – Solvency Capital Requirement – Counterparty default risk
a)This information is applicable when method 1 as defined in Article 230 of Solvency II Directive is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;
b)When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;
c)This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.
General comments
This section relates to the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.02 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
Template SR.26.02 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).
For group reporting the following specific requirements shall be met:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Article 112 | Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:1 – Article 112(7) reporting2 – Regular reporting |
| Z0020 | Ring Fenced Fund/Matching adjustment portfolios/Remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring fenced fund or matching adjustment portfolio. This number is attributed by the undertaking within the scope of group supervision and must be consistent over time and with the fund/portfolio number reported in other templates. |
| R0010/C0010 | Simplifications | Identify whether an undertaking used simplifications for the calculation of counter party default risk. The options in the following closed list shall be used:3 – Simplification pooling arrangements, for the purposes of Article 1094 – Simplification grouping single name exposures, for the purposes of Article 1105 – Simplification of the LGD for reinsurance arrangements, for the purposes of Article 112a6 – Simplification for type 1 exposures, for the purposes of Article 112b7 – Simplification for the risk-mitigating effect of reinsurance arrangements, for the purposes of Article 1119 – Simplifications not usedOptions 3 to 7 may be used simultaneously.Where R0010/C0010 = 4 or 6, for Type 1 exposures, only R0100/C0080 shall be filed in for R0100 |
| R0100/C0080 | Type 1 exposures – Gross solvency capital requirement | This is the gross capital charge (before the application of the adjustment for the loss–absorbency capacity of technical provisions) for counterparty default risk arising from all Type 1 exposures.Where R0010/C0010 = 4 or 6, this item shall represent the Gross solvency capital requirement using simplifications. |
| R0110–R0200/C0020 | Name of single name exposure | Describe the name of the 10 largest single exposures. |
| R0110–R0200/C0030 | Code of single name exposure | Identification code using the Legal Entity Identifier (LEI) if available.If not available this item shall not be reported |
| R0110–R0200/C0040 | Type of code of the single name exposure | Identification of the code used in item ‘Code of single name exposure’. One of the options in the following closed list shall be used:1 – LEI9 – None |
| R0110–R0200/C0050 | Type 1 exposures – Single name exposure X – Loss Given Default | The value of the Loss Given Default for each of the 10 largest single name exposure. |
| R0110–R0200/C0060 | Type 1 exposures – Single name exposure X – Probability of Default | The Probability of Default for each of the 10 largest single name exposure. |
| R0300/C0080 | Type 2 exposures – Gross solvency capital requirement | This is the gross capital charge (before the loss–absorbency capacity of technical provisions) for counterparty default risk arising from all Type 2 exposures, as defined for Solvency II purposes |
| R0310/C0050 | Type 2 exposures – Receivables from Intermediaries due for more than 3 months – Loss Given Default | This is the value of Loss Given Default for Type 2 counterparty risk arising from intermediaries due for more than 3 months. |
| R0320/C0050 | Type 2 exposures – All type 2 exposures other than receivables from Intermediaries due for more than 3 months – Loss Given Default | This is the value of Loss Given Default for Type 2 counterparty risk arising from all type 2 exposures other than receivables from Intermediaries due for more than 3 months. |
| R0330/C0080 | Diversification within counterparty default risk module – gross solvency capital requirement | This is the amount of gross diversification effects allowed in aggregation of capital requirements for counterparty default risk for Type 1 and Type 2 exposures. |
| R0400/C0070 | Total net solvency capital requirement for counterparty default risk | This is the total amount of the net capital charge (after the loss–absorbency capacity of technical provisions) for counterparty default risk. |
| R0400/C0080 | Total gross solvency capital requirement for counterparty default risk | This is the total amount of the gross capital charge (before the loss–absorbency capacity of technical provisions) for counterparty default risk. |
| Further details on mortgages | ||
| R0500/C0090 | Losses stemming from type 2 mortgage loans | Amount of the overall losses stemming from mortgage loans that has been classified as type 2 exposures according to Article 191(13) of Delegated Regulation (EU) 2015/35. |
| R0510/C0090 | Overall losses stemming from mortgage loans | Amount of the overall losses stemming from mortgage loans according to Article 191(13) of Delegated Regulation (EU) 2015/35. |
S.26.03 – Solvency Capital Requirements – Life underwriting risk
a)This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;
b)When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;
c)This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.
General comments:
This section relates to the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.03 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
Template SR.26.03 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).
All values shall be reported net of reinsurance and other risk mitigating techniques.
Amounts before and after shock shall be filled in with the amount of assets and liabilities sensitive to that shock. For the liabilities the assessment shall be done at the most granular level available between contract and homogeneous risk group. This means that if a contract/HRG is sensitive to a shock the amount of liabilities associated to that contract/HRG shall be reported as amount sensitive to that shock.
For group reporting the following specific requirements shall be met:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Article 112 | Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:1 – Article 112(7) reporting2 – Regular reporting |
| Z0020 | Ring–fenced fund, matching adjustment portfolio or remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring fenced fund or matching adjustment portfolio. This number is attributed by the undertaking within the scope of group supervision and must be consistent over time and with the fund/portfolio number reported in other templates. |
| R0010/C0010 | Simplifications used: mortality risk | Identify whether an undertaking within the scope of group supervision used simplifications for a calculation of mortality risk. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0010/C0010 = 1, only C0060 and C0080 shall be filled in for R0100. |
| R0020/C0010 | Simplifications used – longevity | Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of longevity risk. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0020/C0010 = 1, only C0060 and C0080 shall be filled in for R0200. |
| R0030/C0010 | Simplifications used: disability– morbidity risk | Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of disability – morbidity risk. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0030/C0010 = 1, only C0060 and C0080 shall be filled in for R0300. |
| R0040/C0010 | Simplifications used – life lapse risk | Identify whether an undertaking within the scope of group for the SCR calculation used simplifications for the calculation of lapse risk. The following options shall be used:1 – Simplification for the purposes of Article 952 – Simplification for the purposes of Article 95a9 – Simplifications not usedOptions 1 and 2 may be used simultaneously.Where R0040/C0010 = 1, only C0060 and C0080 shall be filled in for R0400 to R0420. |
| R0050/C0010 | Simplifications used: life expense risk | Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of life expense risk. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0050/C0010 = 1, only C0060 and C0080 shall be filled in for R0500. |
| R0060/C0010 | Simplifications used: life catastrophe risk | Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of life catastrophe risk. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0060/C0010 = 1, only C0060 and C0080 shall be filled in for R0700. |
| Life underwriting risk | ||
| R0100/C0020 | Initial absolute values before shock – Assets – Mortality risk | This is the absolute value of the assets sensitive to mortality risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0100/C0030 | Initial absolute values before shock – Liabilities – Mortality risk | This is the absolute value of liabilities sensitive to mortality risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0100/C0040 | Absolute values after shock – Assets – Mortality risk | This is the absolute value of the assets sensitive to mortality risk after the shock (i.e. permanent increase in mortality rates).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0100/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Mortality risk | This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to risk, after the shock (i.e. permanent increase in mortality rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0100/C0060 | Absolute value after shock – Net solvency capital requirement – Mortality risk | This is the net capital charge for mortality risk after the shock (after adjustment for the loss absorbing capacity of technical provisions).If R0010/C0010 = 1, this item represents net capital charge for mortality risk calculated using simplifications. |
| R0100/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Mortality risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to mortality risk, after the shock (permanent increase in mortality rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0100/C0080 | Absolute value after shock – Gross solvency capital requirement – Mortality risk | This is the gross capital charge for mortality risk. (before the loss absorbing capacity of technical provisions)If R0010/C0010 = 1, this item represents gross capital charge for mortality risk calculated using simplifications. |
| R0200/C0020 | Initial absolute values before shock – Assets – Longevity risk | This is the absolute value of the assets sensitive to longevity risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0200/C0030 | Initial absolute values before shock – Liabilities – Longevity risk | This is the absolute value of liabilities sensitive to longevity risk charge, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0200/C0040 | Absolute values after shock – Assets – Longevity risk | This is the absolute value of the assets sensitive to longevity risk, after the shock (i.e. permanent decrease in mortality rates).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0200/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Longevity risk | This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions sensitive to longevity risk, after the shock (i.e. permanent decrease in mortality rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0200/C0060 | Absolute value after shock – Net solvency capital requirement – Longevity risk | This is the net capital charge for longevity risk after the shock (after adjustment for the loss absorbing capacity of technical provisions).If R0020/C0010 = 1, this item represents net capital charge for longevity risk calculated using simplifications |
| R0200/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Longevity risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to longevity risk charge, after the shock (permanent decrease in mortality rates.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0200/C0080 | Absolute value after shock – Gross solvency capital requirement – Longevity risk | This is the gross capital charge for longevity risk (before the loss absorbing capacity of technical provisions).If R0020/C0010 = 1, this item represents gross capital charge for longevity risk calculated using simplifications. |
| R0300/C0020 | Initial absolute values before shock – Assets – Disability – morbidity risk | This is the absolute value of the assets sensitive to disability – morbidity risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0300/C0030 | Initial absolute values before shock – Liabilities – Disability– morbidity risk | This is the absolute value of liabilities sensitive to disability – morbidity risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0300/C0040 | Absolute values after shock – Assets – Disability – morbidity risk | This is the absolute value of the assets sensitive to disability – morbidity risk, after the shock (i.e. as prescribed by standard formula: an increase in disability and morbidity rates which are used in calculation of technical provisions to reflect the disability and morbidity experience in the next following 12 months, and for all months after the following 12 months and a decrease in the disability and morbidity rates recovery rates used in the calculation of technical provisions in respect of next 12 months and for all year thereafter.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0300/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Disability – morbidity risk | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to disability – morbidity risk, after the shock (i.e. as prescribed by standard formula, see description provided in definition to cell R0300/C0040).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0300/C0060 | Absolute value after shock – Net solvency capital requirement – Disability – morbidity risk | This is the net capital charge for disability – morbidity risk, after adjustment for the loss absorbing capacity of technical provisions.If R0030/C0010 = 1, this item represents net capital charge for disability and morbidity risk calculated using simplifications. |
| R0300/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Disability – morbidity risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to disability – morbidity risk, after the shock (i.e. as prescribed by standard formula, see description provided in definition to cell R0300/C0040).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0300/C0080 | Absolute value after shock – Gross solvency capital requirement – Disability – morbidity risk | This is the gross capital charge for disability – morbidity risk (before the loss absorbing capacity of technical provisions).If R0030/C0010 = 1, this item represents gross capital charge for disability and morbidity risk calculated using simplifications. |
| R0400/C0060 | Absolute value after shock – Net solvency capital requirement – Lapse risk | This is the overall net capital charge for lapse risk, after adjustment for the loss absorbing capacity of technical provisions.If R0040/C0010 = 1, this item represents net capital charge for lapse risk calculated using simplifications. |
| R0400/C0080 | Absolute value after shock – Gross solvency capital requirement – Lapse risk | This is the overall gross capital charge (before the loss–absorbing capacity of technical provisions) for lapse risk.If R0040/C0010 = 1, this item represents gross capital charge for lapse risk calculated using simplifications. |
| R0410/C0020 | Initial absolute values before shock – Assets – Lapse risk– risk of increase in lapse rates | This is the absolute value of the assets sensitive to the risk of an increase in lapse rates, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0410/C0030 | Initial absolute values before shock – Liabilities – Lapse risk – risk of increase in lapse rates | This is the absolute value of liabilities sensitive to the risk of an increase in lapse rates, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0410/C0040 | Absolute values after shock – Assets – Lapse risk –risk of increase in lapse rates | This is the absolute value of the assets sensitive to the risk of an increase in lapse rates, after the shock (i.e. permanent increase in the lapse rates).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0410/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Lapse risk – risk of increase in lapse rates | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to the risk of an increase in lapse rates, after the shock (i.e. permanent increase in the lapse rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0410/C0060 | Absolute value after shock – Net solvency capital requirement – Lapse risk – risk of increase in lapse rates | This is the net capital charge for the risk of a permanent increase in lapse rates, after adjustment for the loss absorbing capacity of technical provisions.If R0040/C0010 = 1, this item represents net capital charge for a permanent increase in lapse rates, calculated using simplified calculation for lapse rate. |
| R0410/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions – Lapse risk – risk of increase in lapse rates) | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to the risk of a permanent increase in lapse rates, after the shock (permanent increase in lapse rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0410/C0080 | Absolute value after shock – Gross solvency capital requirement – Lapse risk – risk of increase lapse rates | This is the gross capital charge (before the loss–absorbing capacity of technical provisions) for the risk of a permanent increase in lapse rates.If R0040/C0010 = 1, this item represents gross capital charge for a permanent increase in lapse rates, calculated using simplified calculation for lapse rate. |
| R0420/C0020 | Initial absolute values before shock – Assets – Lapse risk – risk of decrease in lapse rates | This is the absolute value of the assets sensitive to the risk of a permanent decrease in lapse rates, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0420/C0030 | Initial absolute values before shock – Liabilities – Lapse risk – risk of decrease in lapse rates | This is the absolute value of liabilities sensitive to the risk of a permanent decrease in lapse rates, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0420/C0040 | Absolute values after shock – Assets – Lapse risk – risk of decrease in lapse rates | This is the absolute value of the assets sensitive to the risk of a permanent decrease in lapse rates, after the shock (i.e. permanent decrease in the rates of lapse rates).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0420/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Lapse risk – risk of decrease in lapse rates | This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to the risk of a permanent decrease in lapse rates, after the shock (i.e. permanent decrease of the rates of lapse rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0420/C0060 | Absolute value after shock – Net solvency capital requirement – Lapse risk – risk of decrease in lapse rates | This is the net capital charge for the risk of a permanent decrease in lapse rates, after adjustment for the loss absorbing capacity of technical provisions.If R0040/C0010 = 1, this item represents net capital charge for a permanent decrease in lapse rates, calculated using simplified calculation for lapse rate. |
| R0420/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions)– Lapse risk – risk of decrease in lapse rates | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to the risk of a permanent decrease in lapse rates, after the shock (permanent decrease in lapse rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0420/C0080 | Absolute value after shock – Gross solvency capital requirement – Lapse risk – risk of decrease in lapse rates | This is the gross capital charge for the risk of a decrease in lapse rates as used to compute the risk (before the loss absorbing capacity of technical provisions).If R0040/C0010 = 1 and/or 2, this item represents gross capital charge for a permanent decrease in lapse rates, calculated using simplified calculation for lapse rate |
| R0430/C0020 | Initial absolute values before shock – Assets – Lapse risk– mass lapse risk | This is the absolute value of the assets sensitive to mass lapse risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0430/C0030 | Initial absolute values before shock – Liabilities – Lapse risk –mass lapse risk | This is the absolute value of liabilities sensitive to mass lapse risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0430/C0040 | Absolute values after shock – Assets – Lapse risk – mass lapse risk | This is the absolute value of the assets sensitive to mass lapse risk charge, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0430/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Lapse risk – mass lapse risk | This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to mass lapse risk charge, after the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0430/C0060 | Absolute value after shock – Net solvency capital requirement – Lapse risk – mass lapse risk | This is the net capital charge for mass lapse risk, after adjustment for the loss absorbing capacity of technical provisions. |
| R0430/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Lapse risk – mass lapse risk | This is the absolute value of the liabilities sensitive to mass lapse risk charge, after the shock (before the loss absorbing capacity of technical provisions).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0430/C0080 | Absolute value after shock – Gross solvency capital requirement – Lapse risk – mass lapse risk | This is the gross capital charge for mass lapse risk, after the shock (before the loss absorbing capacity of technical provisions). |
| R0500/C0020 | Initial absolute values before shock – Assets – Life – expense risk | This is the absolute value of the assets sensitive to life – expense risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0500/C0030 | Initial absolute values before shock – Liabilities – Life – expense risk | This is the absolute value of liabilities sensitive to life –expense risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0500/C0040 | Absolute values after shock – Assets – Life – expense risk | This is the absolute value of the assets sensitive to life expense risk, after the shock (i.e. shock as prescribed by standard formula: a 10 % increase the amount of expenses taken into account in the calculation of technical provisions and increase in 1 percentage point to the expense inflation rate (expressed as a percentage) used for the calculation of technical provision).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0500/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Life – expense risk | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to expense risk, after the shock (i.e. a shock. as prescribed by standard formula, refer to description provided within definition to cell R0500/C0040).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0500/C0060 | Absolute value after shock – Net solvency capital requirement – Life expense risk | This is the net capital charge for expense risk, including adjustment for the loss absorbing capacity of technical provisions.If R0050 = 1, this cell represents net capital charge for life expense risk calculated using simplified calculation. |
| R0500/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Life – expense risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to expense risk, after the shock (i.e. shock as prescribed by standard formula, refer to description provided within definition to cell R0500/C0040).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0500/C0080 | Absolute value after shock – Gross solvency capital requirement – Life –expense risk | This is the gross capital charge for expense risk (before the loss absorbing capacity of technical provisions).If R0050/C0010 = 1, this cell represents gross capital charge for life expense risk calculated using simplified calculations. |
| R0600/C0020 | Initial absolute values before shock – Assets – Revision risk | This is the absolute value of the assets sensitive to revision risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0600/C0030 | Initial absolute values before shock – Liabilities – Revision risk | This is the absolute value of liabilities sensitive to revision risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0600/C0040 | Absolute values after shock – Assets – Revision risk | This is the absolute value of the assets sensitive to revision risk, after the shock (i.e. shock as prescribed by standard formula: a % increase in the amount of annuity benefits taken into account in the calculation of technical provisions.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0600/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Revision risk | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to revision risk charge, after the shock (i.e. as prescribed by standard formula, refer to a definition in item R0600/C0040).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0600/C0060 | Absolute value after shock – Net solvency capital requirement – Revision risk | This is the net capital charge for revision risk after adjustment for the loss absorbing capacity of technical provisions. |
| R0600/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Revision risk | This is the absolute value of the liabilities (excluding the loss–absorbing capacity of technical provisions) underlying revision risk charge, after the shock ((i.e. shock as prescribed by standard formula, refer to a definition provided in item R0600/C0040), as used to compute the risk.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0600/C0080 | Absolute value after shock – Gross solvency capital requirement – Revision risk | This is the gross capital charge (before the loss–absorbing capacity of technical provisions) for revision risk. |
| R0700/C0020 | Initial absolute values before shock – Assets – Life Catastrophe risk | This is the absolute value of the assets sensitive to life catastrophe risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0700/C0030 | Initial absolute values before shock – Liabilities – Life Catastrophe risk | This is the absolute value of liabilities sensitive to life catastrophe risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0700/C0040 | Absolute values after shock – Assets – Life Catastrophe risk | This is the absolute value of the assets sensitive to life catastrophe risk, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0700/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Life catastrophe risk | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to life catastrophe risk charge, after the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0700/C0060 | Absolute value after shock – Net solvency capital requirement – life catastrophe risk | This is the net capital charge for life catastrophe risk after adjustment for the loss absorbing capacity of technical provisions.If R0060/C0010 = 1, this item represents net capital charge for life catastrophe risk calculated using simplified calculations. |
| R0700/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – life catastrophe risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to life catastrophe risk, after the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0700/C0080 | Absolute value after shock – Gross solvency capital requirement – life catastrophe risk | This is the gross capital charge for life catastrophe risk (before the loss absorbing capacity of technical provisions).If R0060/C0010 = 1, this item represents gross capital charge for life catastrophe risk calculated using simplified calculations. |
| R0800/C0060 | Diversification within life underwriting risk module – Net | This is the diversification effect within the life underwriting risk module as a result of the aggregation of the net capital requirements (after adjustment for the loss absorbing capacity of technical provisions) of the single risk sub–modules.Diversification shall be reported as a negative value if they reduce the capital requirement. |
| R0800/C0080 | Diversification within life underwriting risk module – Gross | This is the diversification effect within the life underwriting risk module as a result of the aggregation of the gross capital requirements (before the loss absorbing capacity of technical provisions) of the single risk sub–modules.Diversification shall be reported as a negative value if they reduce the capital requirement. |
| R0900/C0060 | Total net solvency capital requirement for life underwriting risk | This is the total net capital charge for life underwriting risk, after adjustment for the loss absorbing capacity of technical provisions. |
| R0900/C0080 | Total gross solvency capital requirement for life underwriting risk | This is the total gross capital charge for life underwriting risk, before the loss absorbing capacity of technical provisions. |
| Further details on revision risk | ||
| R1000/C0090 | USP – Factors applied for the revision risk shock | Revision shock – group specific parameter (‘USP’) as calculated by the group and approved by the supervisory authority.This item is not reported where no group specific parameter is used. |
S.26.04 – Solvency Capital Requirement – Health underwriting risk
a)This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;
b)When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;
c)This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.
General Comments:
This section relates to the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.04 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where a RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
Template SR.26.04 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).
All values shall be reported net of reinsurance and other risk mitigating techniques.
Amounts before and after shock shall be filled in with the amount of assets and liabilities sensitive to that shock. For the liabilities the assessment shall be done at the most granular level available between contract and homogeneous risk group. This means that if a contract/HRG is sensitive to a shock the amount of liabilities associated to that contract/HRG shall be reported as amount sensitive to that shock.
For group reporting the following specific requirements shall be met:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Article 112 | Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:1 – Article 112(7) reporting2 – Regular reporting |
| Z0020 | Ring–fenced fund, matching adjustment portfolio or remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking within the scope of group supervision and must be consistent over time and with the fund/portfolio number reported in other templates. |
| R0010/C0010 | Simplifications used – health mortality risk | Identify whether an undertakings within the scope of group supervision used simplifications for the calculation of health mortality risk. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0010/C0010 = 1, only C0060 and C0080 shall be filled in for R0100. |
| R0020/C0010 | Simplifications used – health longevity risk | Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of health longevity risk. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0020/C0010 = 1, only C0060 and C0080 shall be filled in for R0200. |
| R0030/C0010 | Simplifications used: health disability– morbidity risk – Medical expense | Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of health disability morbidity risk – Medical expense. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0030/C0010 = 1, only C0060/R0310 and C0080/R0310 shall be filled in. |
| R0040/C0010 | Simplifications used: health disability– morbidity risk – Income protection | Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of health disability morbidity risk – Income protection. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0040/C0010 = 1, only C0060 and C0080 shall be filled in for R0340. |
| R0050/C0010 | Simplifications used: SLT lapse risk | Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of lapse risk. The following options shall be used:1 – Simplification for the purposes of Article 1022 – Simplification for the purposes of Article 102a9 – Simplifications not usedOptions 1 and 2 may be used simultaneously.Where R0050/C0010 = 1, only C0060 and C0080 shall be filled in for R0400 to R0420. |
| R0051/C0010 | Simplifications – NSLT lapse risk | Identify whether an undertaking within the scope of group for the SCR calculation used simplifications for the calculation of lapse risk. The following options shall be used:1 – Simplification for the purposes of Article 96a9 – Simplifications not used |
| R0060/C0010 | Simplifications used: health expense risk | Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of health expense risk. The following options shall be used:1 – Simplifications used2 – Simplifications not usedIf R0060/C0010 = 1, only C0060 and C0080 shall be filled in for R0500. |
| SLT health underwriting risk | ||
| R0100/C0020 | Initial absolute values before shock – Assets – Health mortality risk | This is the absolute value of the assets sensitive to health mortality risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0100/C0030 | Initial absolute values before shock – Liabilities – Health mortality risk | This is the absolute value of liabilities sensitive to health mortality risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0100/C0040 | Absolute values after shock – Assets – Health mortality risk | This is the absolute value of the assets sensitive to health mortality risk charge, after the shock (i.e. permanent increase in mortality rates).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0100/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Health mortality risk | This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to health mortality risk charge, after the shock (i.e. permanent increase in mortality rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0100/C0060 | Absolute value after shock – Net solvency capital requirement – Health mortality risk | This is the net capital charge for health mortality risk, after adjustment for the loss absorbing capacity of technical provisions.If R0010/C0010 = 1, this item represents net capital charge for health mortality risk calculated using simplifications. |
| R0100/C0070 | Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health mortality risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to health mortality risk charge, after the shock (permanent increase in mortality rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0100/C0080 | Absolute value after shock – Gross solvency capital requirement – Health mortality risk | This is the gross capital charge (before the loss absorbing capacity of technical provisions) for health mortality risk.If R0010/C0010 = 1, this item represents gross capital charge for health mortality risk calculated using simplifications. |
| R0200/C0020 | Initial absolute values before shock – Assets – Health longevity risk | This is the absolute value of the assets sensitive to health longevity risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0200/C0030 | Initial absolute values before shock – Liabilities – Health longevity risk | This is the absolute value of liabilities sensitive to health longevity risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0200/C0040 | Absolute values after shock – Assets – Health longevity risk | This is the absolute value of the assets sensitive to health longevity risk after the shock (i.e. permanent decrease in mortality rates).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0200/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Health longevity risk | This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to health longevity risk, after the shock (i.e. permanent decrease in mortality rates.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0200/C0060 | Absolute value after shock – Net solvency capital requirement – Health longevity risk | This is the net capital charge for health longevity risk, after adjustment for the loss absorbing capacity of technical provisions.If R0020/C0010 = 1, this item represents net capital charge for health longevity risk calculated using simplifications. |
| R0200/C0070 | Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health longevity risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to health longevity risk, after the shock (permanent decrease in mortality rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0200/C0080 | Absolute value after shock – Gross solvency capital requirement – Health longevity risk | This is the gross capital charge (before the loss absorbing capacity of technical provisions) for health longevity risk.If R0020/C0010 = 1, this item represents gross capital charge for health longevity risk calculated using simplifications. |
| R0300/C0060 | Absolute value after shock – Net solvency capital requirement –Health disability – morbidity risk | This is the net capital charge for health disability – morbidity risk, after adjustment for the loss absorbing capacity of technical provisions. |
| R0300/C0080 | Absolute value after shock – Gross solvency capital requirement – Health disability – morbidity risk | This is the gross capital charge (before the loss absorbing capacity of technical provisions) for health disability – morbidity risk. |
| R0310/C0060 | Absolute value after shock – Net solvency capital requirement –Health disability – morbidity risk – Medical expense | This is the net capital charge for health disability – morbidity risk – Medical expense, after adjustment for the loss absorbing capacity of technical provisions.If R0030/C0010 = 1, this item represents net capital charge for health disability – morbidity risk – Medical expense calculated using simplifications. |
| R0310/C0080 | Absolute value after shock – Gross solvency capital requirement – Health disability – morbidity risk – Medical expense | This is the gross capital charge (before the loss absorbing capacity of technical provisions) for health disability – morbidity risk – Medical expense.If R0030/C0010 = 1, this item represents gross capital charge for health disability – morbidity risk – Medical expense calculated using simplifications. |
| R0320/C0020 | Initial absolute values before shock – Assets – Health disability – morbidity risk – Medical expense – increase of medical payments | This is the absolute value of the assets sensitive to health disability – morbidity risk – Medical expense charge due to an increase of medical payments, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell.If R0030/C0010 = 1, this row shall not be filled in. |
| R0320/C0030 | Initial absolute values before shock – Liabilities – Health disability – morbidity risk – Medical expense – increase of medical payments | This is the absolute value of liabilities sensitive to health disability – morbidity risk – Medical expense charge due to an increase of medical payments, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.If R0030/C0010 = 1, this row shall not be filled in. |
| R0320/C0040 | Absolute values after shock – Assets – Health disability – morbidity risk – Medical expense – increase of medical payments | This is the absolute value of the assets sensitive to health disability – morbidity risk – Medical expense charge due to an increase of medical payments, after the shock (i.e. as prescribed by standard formula).Recoverables from reinsurance and SPVs shall not be included in this cell.If R0030/C0010 = 1, this row shall not be filled in. |
| R0320/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Health disability – morbidity risk – Medical expense – increase of medical payments | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to health disability – morbidity risk – Medical expense charge due to an increase of medical payments, after the shock (i.e. as prescribed by standard formula).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.If R0030/C0010 = 1, this row shall not be filled in. |
| R0320/C0060 | Absolute value after shock – Net solvency capital requirement –Health disability – morbidity risk – Medical expense – increase of medical payments | This is the net capital charge for health disability – morbidity risk – Medical expense – increase of medical payments, after adjustment for the loss absorbing capacity of technical provisions. If R0030/C0010 = 1, this row shall not be filled in. |
| R0320/C0070 | Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health disability – morbidity risk – Medical expense – increase of medical payments | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) underlying health disability – morbidity risk – Medical expense charge expenses – increase of medical payments, after the shock (i.e. as prescribed by standard formula) as used to compute the risk.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.If R0030/C0010 = 1, this row shall not be filled in. |
| R0320/C0080 | Absolute value after shock – Gross solvency capital requirement – Health disability – morbidity risk – Medical expense – increase of medical payments | This is the gross capital charge (before the loss absorbing capacity of technical provisions) for health disability – morbidity risk – Medical expense – increase of medical payments.If R0030/C0010 = 1, this row shall not be filled in. |
| R0330/C0020 | Initial absolute values before shock – Assets – Health disability – morbidity risk – Medical expense – decrease of medical payments | This is the absolute value of the assets sensitive to health disability – morbidity risk – Medical expense charge due to an decrease of medical payments, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell.If R0030/C0010 = 1, this row shall not be filled in. |
| R0330/C0030 | Initial absolute values before shock – Liabilities – Health disability – morbidity risk – Medical expense – decrease of medical payments | This is the absolute value of liabilities sensitive to health disability – morbidity risk – Medical expense charge due to an decrease of medical payments, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.If R0030/C0010 = 1, this row shall not be filled in. |
| R0330/C0040 | Absolute values after shock – Assets – Health disability – morbidity risk – Medical expense – decrease of medical payments | This is the absolute value of the assets sensitive to health disability – morbidity risk – Medical expense charge due to an decrease of medical payments, after the shock (i.e. as prescribed by standard formula).Recoverables from reinsurance and SPVs shall not be included in this cell.If R0030/C0010 = 1, this row shall not be filled in. |
| R0330/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Health disability – morbidity risk – Medical expense – decrease of medical payments | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to health disability – morbidity risk – Medical expense charge due to an decrease of medical payments, after the shock (i.e. as prescribed by standard formula).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.If R0030/C0010 = 1, this row shall not be filled in. |
| R0330/C0060 | Absolute value after shock – Net solvency capital requirement –Health disability – morbidity risk – Medical expense – decrease of medical payments | This is the net capital charge for health disability – morbidity risk – Medical expense – decrease of medical payments, after adjustment for the loss absorbing capacity of technical provisions.If R0030/C0010 = 1, this row shall not be filled in. |
| R0330/C0070 | Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health disability – morbidity risk – Medical expense – decrease of medical payments | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) underlying health disability – morbidity risk – Medical expense charge – decrease of medical payments, after the shock (i.e. as prescribed by standard formula) as used to compute the risk.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.If R0030/C0010 = 1, this row shall not be filled in. |
| R0330/C0080 | Absolute value after shock – Gross solvency capital requirement – Health disability – morbidity risk – Medical expense – increase of medical payments | This is the gross capital charge (before the loss absorbing capacity of technical provisions) for health disability – morbidity risk – Medical expense – decrease of medical payments.If R0030/C0010 = 1, this row shall not be filled in. |
| R0340/C0020 | Initial absolute values before shock – Assets – Health disability – morbidity risk – Income protection | This is the absolute value of the assets sensitive to health disability – morbidity risk – Income protection, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0340/C0030 | Initial absolute values before shock – Liabilities – Health disability – morbidity risk – Income protection | This is the absolute value of liabilities sensitive to health disability – morbidity risk – Income protection charge, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0340/C0040 | Absolute values after shock – Assets – Health disability – morbidity risk – Income protection | This is the absolute value of the assets sensitive to health disability – morbidity risk – Income protection charge, after the shock (i.e. as prescribed by standard formula).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0340/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Health disability – morbidity risk – Income protection | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to health disability – morbidity risk – Income protection, after the shock (i.e. as prescribed by standard formula).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0340/C0060 | Absolute value after shock – Net solvency capital requirement –Health disability – morbidity risk – Income protection | This is the net capital charge for health disability – morbidity risk – Income protection, after adjustment for the loss absorbing capacity of technical provisions.If R0040/C0010 = 1, this item represents net capital charge for health disability – morbidity risk – Income protection calculated using simplifications. |
| R0340/C0070 | Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health disability – morbidity risk – Income protection | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) underlying health disability – morbidity risk – Income protection charge, after the shock (i.e. as prescribed by standard formula) as used to compute the risk.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0340/C0080 | Absolute value after shock – Gross solvency capital requirement – Health disability – morbidity risk – Income protection | This is the gross capital charge (before the loss absorbing capacity of technical provisions) for health disability – morbidity risk – Income protection.If R0040/C0010 = 1, this item represents gross capital charge for health disability – morbidity risk – Income protection calculated using simplifications. |
| R0400/C0060 | Absolute value after shock – Net solvency capital requirement – SLT Health lapse risk | This is the overall net capital charge for SLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, after adjustment for the loss absorbing capacity of technical provisions. |
| R0400/C0080 | Absolute value after shock – Gross solvency capital requirement – SLT Health lapse risk | This is the overall gross capital charge (before the loss absorbing capacity for technical provisions) for SLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35. |
| R0410/C0020 | Initial absolute values before shock – Assets – SLT health lapse risk– risk of increase in lapse | This is the absolute value of the assets sensitive to the risk of an increase in lapse rates, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0410/C0030 | Initial absolute values before shock – Liabilities – SLT health lapse risk – risk of increase in lapse | This is the absolute value of liabilities sensitive to the risk of an increase in lapse rates, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0410/C0040 | Absolute values after shock – Assets – SLT health lapse risk –risk of increase in lapse | This is the absolute value of the assets sensitive to the risk of an increase in lapse rates after the shock (i.e. permanent increase in the rates of lapse).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0410/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – SLT health lapse risk –risk of increase in lapse | This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to the risk of an increase in lapse rates, after the shock (i.e. permanent increase of the rates of lapse).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0410/C0060 | Absolute value after shock – Net solvency capital requirement – SLT health lapse risk –risk of increase in lapse | This is the net capital charge for the risk of a permanent increase in lapse rates, after adjustment for the loss absorbing capacity of technical provisions.If R0050/C0010 = 1, this item represents net capital charge for a permanent increase in SLT health lapse rates referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, calculated using simplified calculation for SLT health lapse rate |
| R0410/C0070 | Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – SLT health lapse risk – risk of increase in lapse | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) underlying the risk of a permanent increase in lapse rates, after the shock (permanent increase in lapse rates) as used to compute the risk.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0410/C0080 | Absolute value after shock – Gross solvency capital requirement – SLT health lapse risk –risk of increase in lapse | This is the gross capital charge (excluding the loss absorbing capacity for technical provisions) for the risk of a permanent increase in lapse rates.If R0050/C0010 = 1, this item represents gross capital charge for a permanent increase in lapse rates, calculated using simplified calculation for SLT health lapse rate referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35. |
| R0420/C0020 | Initial absolute values before shock – Assets – SLT health lapse risk– risk of decrease in lapse | This is the absolute value of the assets sensitive to the risk of a permanent decrease in lapse rates, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0420/C0030 | Initial absolute values before shock – Liabilities – SLT health lapse risk – risk of decrease in lapse | This is the absolute value of liabilities sensitive to the risk of a permanent decrease in lapse rates, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0420/C0040 | Absolute values after shock – Assets – SLT health lapse risk –risk of decrease in lapse | This is the absolute value of the assets sensitive to the risk of a permanent decrease in lapse rates, after the shock (i.e. permanent decrease in the rates of lapse).Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0420/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – SLT health lapse risk –risk of decrease in lapse | This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to the risk of a permanent decrease in lapse rates, after the shock (i.e. permanent decrease of the rates of lapse).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0420/C0060 | Absolute value after shock – Net solvency capital requirement – SLT health lapse risk –risk of decrease in lapse | This is the net capital charge for the risk of a permanent decrease in lapse rates, after adjustment for the loss absorbing capacity of technical provisions.If R0050/C0010 = 1, this item represents net capital charge for a permanent decrease in SLT health rates referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, calculated using simplified calculation for SLT health lapse rate |
| R0420/C0070 | Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – SLT health lapse risk –risk of decrease in lapse | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to the risk of a permanent decrease in lapse rates, after the shock (permanent decrease in lapse rates).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0420/C0080 | Absolute value after shock – Gross solvency capital requirement – SLT health lapse risk –risk of decrease in lapse | This is the gross capital charge (before the loss absorbing capacity for technical provisions) for the risk of a permanent decrease in lapse ratesIf R0050/C0010 = 1, this item represents gross capital charge for a permanent decrease in SLT health rates referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, calculated using simplified calculation for SLT health lapse rate. |
| R0430/C0020 | Initial absolute values before shock – Assets – SLT health lapse risk– mass lapse risk | This is the absolute value of the assets sensitive to mass lapse risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0430/C0030 | Initial absolute values before shock – Liabilities – SLT health lapse risk –mass lapse risk | This is the absolute value of liabilities sensitive to mass lapse risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0430/C0040 | Absolute values after shock – Assets – SLT health lapse risk – mass lapse risk | This is the absolute value of the assets sensitive to mass lapse risk, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0430/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – SLT health lapse risk – mass lapse risk | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to mass lapse risk, after the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0430/C0060 | Absolute value after shock – Net solvency capital requirement – SLT health lapse risk – mass lapse risk | This is the net capital charge for SLT health lapse risk – mass lapse risk, referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, after adjustment for the loss absorbing capacity of technical provisions. |
| R0430/C0070 | Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health lapse risk – mass lapse risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to mass lapse risk, after the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0430/C0080 | Absolute value after shock – Gross solvency capital requirement – SLT health lapse risk – mass lapse risk | This is the gross capital charge (excluding the loss absorbing capacity for technical provisions) for SLT health lapse risk – mass lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35. |
| R0500/C0020 | Initial absolute values before shock – Assets – Health expense risk | This is the absolute value of the assets sensitive to expense risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0500/C0030 | Initial absolute values before shock – Liabilities – Health expense risk | This is the absolute value of liabilities sensitive to expense risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0500/C0040 | Absolute values after shock – Assets – Health expense risk | This is the absolute value of the assets sensitive to health expense risk, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0500/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Health expense risk | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to health expense risk, after the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0500/C0060 | Absolute value after shock – Net solvency capital requirement – Health expense risk | This is the net capital charge for health expense risk, after adjustment for the loss absorbing capacity of technical provisions.If R0060/C0010 = 1, this item represents net capital charge for health expense risk calculated using simplified calculations. |
| R0500/C0070 | Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health expense risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to expense risk charge, after the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0500/C0080 | Absolute value after shock – Gross solvency capital requirement – Health expense risk | This is the gross capital charge (excluding the loss absorbing capacity of technical provisions) for health expense risk.If R0060/C0010 = 1, this item represents gross capital charge for health expense risk calculated using simplified calculations. |
| R0600/C0020 | Initial absolute values before shock – Assets – Health revision risk | This is the absolute value of the assets sensitive to health revision risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0600/C0030 | Initial absolute values before shock – Liabilities –Health revision risk | This is the absolute value of liabilities sensitive to health revision risk charge, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0600/C0040 | Absolute values after shock – Assets – Health revision risk | This is the absolute value of the assets sensitive to health revision risk, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0600/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Health revision risk | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to health revision risk, after the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0600/C0060 | Absolute value after shock – Net solvency capital requirement – Health revision risk | This is the net capital charge for health revision risk, after adjustment for the loss absorbing capacity of technical provisions. |
| R0600/C0070 | Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health revision risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to health revision risk charge, after the shock (i.e. as prescribed by standard formula, a % increase in the annual amount payable for annuities exposed to revision risk).The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0600/C0080 | Absolute value after shock – Gross solvency capital requirement – Health revision risk | This is the gross capital charge (before the loss absorbing capacity of technical provisions) for health revision risk. |
| R0700/C0060 | Diversification within SLT health underwriting risk module – Net | This is the diversification effect within the SLT health underwriting risk module referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, as a result of the aggregation of the net capital requirements (after adjustment for the loss absorbing capacity of technical provisions) of the single risk sub–modules.Diversification shall be reported as a negative value if they reduce the capital requirement. |
| R0700/C0080 | Diversification within SLT health underwriting risk module – Gross | This is the diversification effect within the SLT health underwriting risk module referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, as a result of the aggregation of the gross capital requirements (before the loss absorbing capacity of technical provisions) of the single risk sub–modules.Diversification shall be reported as a negative value if they reduce the capital requirement. |
| R0800/C0060 | Net solvency capital requirements – SLT health underwriting risk | This is the total net capital charge for SLT health underwriting risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, after adjustment of the loss absorbing capacity of technical provisions. |
| R0800/C0080 | Gross solvency capital – SLT health underwriting risk | This is the total gross capital charge for SLT health underwriting risk, before adjustment of the loss absorbing capacity of technical provisions. |
| Further details on revision risk | ||
| R0900/C0090 | Revision shock USP | Revision shock – group specific parameter as calculated by the group and approved by the supervisory authority.This item is not reported where no group specific parameter is used. |
| NSLT health premium and reserve risk | ||
| R1000–R1030/C0100 | Standard deviation for premium risk – USP | This is the group specific standard deviation for premium risk for each lines of business and its proportional reinsurance as calculated by the group and approved or prescribed by the supervisory authority.This item is not reported where no group specific parameter is used. |
| R1000–R1030/C0110 | USP Standard Deviation gross/net | Identify if the USP standard Deviation was applied gross or net. One of the options in the following closed list shall be used:1 – USP gross2 – USP net |
| R1000–R1030/C0120 | Standard deviation for premium risk – USP – Adjustment factor for non – proportional reinsurance | This is the group specific adjustment factor for non–proportional reinsurance of each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, which allows groups to take into account the risk–mitigating effect of particular per risk excess of loss reinsurance – as calculated by the group and approved or prescribed by the supervisory authorityWhere no group specific parameter is used, this cell shall be left blank. |
| R1000–R1030/C0130 | Standard deviation for reserve risk – USP | This is the group specific standard deviation for reserve risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance as calculated by the group and approved or prescribed by the supervisory authority.This item is not reported where no group specific parameter is used. |
| R1000–R1030/C0140 | Volume measure for premium and reserve risk – volume measure for premium risk: Vprem | The volume measure for premium risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance |
| R1000–R1030/C0150 | Volume measure for premium and reserve risk –Volume measure reserve risk: Vres | The volume measure for reserve risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance |
| R1000–R1030/C0160 | Volume measure for premium and reserve risk – Geographical Diversification | This represents the geographical diversification to be used for the volume measure for premium and reserve risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance.If the factor for geographical diversification is not calculated, then this item is set to the default value of 1. |
| R1000–R1030/C0170 | Volume measure for premium and reserve risk – V | The volume measure for NSLT health premium and reserve risk referred to in Title I Chapter V Sections 4 and 12 of Delegated Regulation (EU) 2015/35, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance. |
| R1040/C0170 | Total Volume measure for premium and reserve risk – V | The total volume measure for premium and reserve risk, equal to the sum of the volume measures for premium and reserve risk for all lines of business. |
| R1050/C0100 | Combined standard deviation | This is the combined standard deviation for premium and reserve risk for all segments. |
| R1100/C0180 | Solvency capital requirement – NSLT health premium and reserve risk | This is the total capital charge for the NSLT health premium and reserve risk sub module referred to in Title I Chapter V Sections 4 and 12 of Delegated Regulation (EU) 2015/35. |
| R1200/C0190 | Initial absolute values before shock – Assets – Lapse risk | This is the absolute value of the assets sensitive to the NSLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R1200/C0200 | Initial absolute values before shock – Liabilities – Lapse risk | This is the absolute value of liabilities sensitive to the NSLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, before the shock.The amount of TP shall be net of reinsurance and SPV recoverables. |
| R1200/C0210 | Absolute values after shock – Assets – Lapse risk | This is the absolute value of the assets sensitive to the NSLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R1200/C0220 | Absolute values after shock Liabilities – Lapse risk | This is the absolute value of the liabilities sensitive to lapse risk, after the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R1200/C0230 | Absolute value after shock– Solvency capital requirement – Lapse risk | This is the capital charge for NSLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35. |
| R1300/C0240 | Diversification within NSLT health underwriting risk – gross | This is the diversification effect within the NSLT health underwriting risk sub–module referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, as a result of the aggregation of the capital requirements for NSLT health premium and reserve risk and NSLT health lapse risk.Diversification shall be reported as a negative value if they reduce the capital requirement. |
| R1400/C0240 | Total solvency capital requirement for NSLT health underwriting | This is the total capital charge for the NSLT health underwriting risk sub module referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35. |
| Health catastrophe risk | ||
| R1500/C0250 | Net solvency capital requirement for health catastrophe risks – Mass accident risk sub module | The net solvency capital requirement for the mass risk sub–module calculated after loss absorbing capacity of technical provisions |
| R1500/C0260 | Gross solvency capital requirement for health catastrophe risks – Mass accident risk sub module | The gross solvency capital requirement for the mass risk sub–module, calculated before loss absorbing capacity of technical provisions. |
| R1510/C0250 | Net solvency capital requirement for health catastrophe risks – Accident concentration risk | The net solvency capital requirement for the accident concentration risk sub–module, calculated after loss absorbing capacity of technical provisions |
| R1510/C0260 | Gross solvency capital requirement for health catastrophe risks– Accident concentration risk | The gross solvency capital requirement for the accident concentration risk sub–module calculated before loss absorbing capacity of technical provisions. |
| R1520/C0250 | Net solvency capital requirement for health catastrophe risks – Pandemic risk | The net solvency capital requirement for the pandemic risk sub–module, calculated after loss absorbing capacity of technical provisions. |
| R1520/C0260 | Gross solvency capital requirement for health catastrophe risks – Pandemic risk | The gross solvency capital requirement for the pandemic risk sub–module is calculated before loss absorbing capacity of technical provisions. |
| R1530/C0250 | Diversification within health catastrophe risk – Net | This is the diversification effect within the health catastrophe risk sub–module as a result of the aggregation of the capital requirements for the risks of a mass accident, accident concentration and pandemic risk, calculated after loss absorbing capacity of technical provisions |
| R1530/C0260 | Diversification within health catastrophe risk – Gross | This is the diversification effect within the health catastrophe risk sub–module as a result of the aggregation of the capital requirements for the risks of a mass accident, accident concentration and pandemic risk, calculated after loss absorbing capacity of technical provisions. |
| R1540/C0250 | Total net solvency capital requirement for health catastrophe risk | This is the total net capital charge (after loss absorbing capacity of technical provisions) for the health catastrophe risk sub–module |
| R1540/C0260 | Total gross solvency capital requirement for health catastrophe risk | This is the total gross capital charge for the health catastrophe risk sub – module (before loss absorbing capacity of technical provisions) |
| Total health underwriting risk | ||
| R1600/C0270 | Diversification within health underwriting risk module – Net | This is the diversification effect within the health underwriting risk sub–module as a result of the aggregation of the capital requirements SLT health underwriting risk sub–module, NSLT health underwriting risk sub–module and health catastrophe risk sub–module, referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, calculated after loss absorbing capacity of technical provision. |
| R1600/C0280 | Diversification within health underwriting risk module – Gross | This is the diversification effect within the health underwriting risk sub–module as a result of the aggregation of the capital requirements SLT health underwriting risk sub–module, NSLT health underwriting risk sub–module and health catastrophe risk sub–module, referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, calculated before loss absorbing capacity of technical provisions. |
| R1700/C0270 | Total net solvency capital requirement for health underwriting risk | This is the total net solvency capital requirement for the health underwriting risk module. |
| R1700/C0280 | Total gross solvency capital requirement for health underwriting risk | This is the total gross solvency capital requirement for the health underwriting risk module. |
S.26.05 – Solvency Capital Requirement – Non–Life underwriting risk
a)This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;
b)When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;
c)This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.
General comments:
This section relates to the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.05 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
Template SR.26.05 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).
All values shall be reported net of reinsurance and other risk mitigating techniques.
Amounts before and after shock shall be filled in with the amount of assets and liabilities sensitive to that shock. For the liabilities the assessment shall be done at the most granular level available between contract and homogeneous risk group. This means that if a contract/HRG is sensitive to a shock the amount of liabilities associated to that contract/HRG shall be reported as amount sensitive to that shock.
For group reporting the following specific requirements shall be met:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Article 112 | Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:1 – Article 112(7) reporting2 – Regular reporting |
| Z0020 | Ring–fenced fund, matching adjustment portfolio or remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring fenced fund or matching adjustment portfolio. This number is attributed by the undertaking within the scope of group supervision and must be consistent over time and with the fund/portfolio number reported in other templates. |
| R0010/C0010 | Captives simplifications – non life premium and reserve risk | Identify whether a captive undertaking within the scope of group supervision used simplifications for the calculation of non–life premium and reserve risk. One of the options in the following closed list shall be used:1 – Simplifications used2 – Simplifications not usedIf R0010/C0010 = 1, only C0060, C0070 and C0090 shall be filled in for R0100 – R0230. |
| R0011/C0010 | Simplifications used – non-life lapse risk | Identify whether an undertaking within the scope of group for the SCR calculation used simplifications for the calculation of non-life underwriting risk. The following options shall be used:1 – Simplification for the purposes of Article 90a9 – Simplification not used |
| Non–life premium and Reserve Risk | ||
| R0100–R0210/C0020 | Standard deviation for premium risk – USP Standard Deviation | This is the group specific standard deviation for premium risk for each segment as calculated by the group and approved or prescribed by the supervisory authority.This item is not reported where no group specific parameter is used. |
| R0100–R0210/C0030 | USP Standard Deviation gross/net | Identify if the USP standard Deviation was applied gross or net. One of the options in the following closed list shall be used:1 – USP gross2 – USP net |
| R0100–R0210/C0040 | Standard deviation for premium risk – USP – Adjustment factor for non – proportional reinsurance | This is the group specific adjustment factor for non – proportional reinsurance of each segment allows groups to take into account the risk – mitigating effect of particular per risk excess of loss reinsurance – as calculated by the group and approved or prescribed by the supervisory authority.This item is not reported where no group specific parameter is used. |
| R0100–R0210/C0050 | Standard deviation for reserve risk – USP | This is the group specific standard deviation for reserve risk each segment as calculated by the group and approved or prescribed by the supervisory authority.This item is not reported where no group specific parameter is used. |
| R0100–R0210/C0060 | Volume measure for premium and reserve risk – volume measure for premium risk: Vprem | The volume measure for premium risk for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35. |
| R0100–R0210/C0070 | Volume measure for premium and reserve risk –Volume measure reserve risk: Vres | The volume measure for reserve risk for each segment, equal to the best estimate for the provisions for claims outstanding for the segment, after deduction of the amount recoverable from reinsurance contracts and special purpose vehicles. |
| R0100–R0210/C0080 | Volume measure for premium and reserve risk – Geographical Diversification — | Geographical diversification used for the volume measure for each segmentIf the factor for geographical diversification is not calculated, then this item is set to the default value of 1. |
| R0100–R0210/C0090 | Volume measure for premium and reserve risk – V | The volume measure for non – life premium and reserve risk for each segmentIf R0010/C0010 = 1, this item shall represent the capital requirement for non – life premium and reserve risk of particular segment calculated using simplifications |
| R0220/C0090 | Total Volume measure for premium and reserve risk | The total volume measure for premium and reserve risk, equal to the sum of the volume measures for premium and reserve risk for all segments. |
| R0230/C0020 | Combined standard deviation | This is the combined standard deviation for premium and reserve risk for all segments. |
| R0300/C0100 | Total solvency capital requirement for non – life premium and reserve risk | This is the total solvency capital charge for the non–life premium and reserve risk sub module. |
| Non–life lapse risk | ||
| R0400/C0110 | Initial absolute values before shock – Assets – Non–life underwriting risk – Lapse risk | This is the absolute value of the assets sensitive to the non–life lapse risk, before the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0400/C0120 | Initial absolute values before shock – Liabilities – Non–life underwriting risk – Lapse risk | This is the absolute value of liabilities sensitive to the non–life lapse risk, before the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0400/C0130 | Absolute values after shock – Assets – Non–life underwriting risk – Lapse risk | This is the absolute value of the assets sensitive to non–life lapse risk, after the shock.Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0400/C0140 | Absolute values after shock – Liabilities – Non–life underwriting risk – Lapse risk | This is the absolute value of the liabilities sensitive to non–life lapse risk, after the shock.The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0400/C0150 | Solvency capital requirement – Non–life underwriting risk – Lapse risk | This is the capital charge for non–life underwriting lapse risk. |
| Non–life catastrophe risk | ||
| R0500/C0160 | Solvency capital requirement for non–life catastrophe risk | This is the total non–life catastrophe risk capital requirement. |
| Total non–life underwriting risk | ||
| R0600/C0160 | Diversification within non–life underwriting risk module | This is the diversification effect within the non–life underwriting risk sub–module as a result of the aggregation of the capital requirements premium and reserve risk, catastrophe risk and lapse risk.Diversification shall be reported as a negative value if they reduce the capital requirement. |
| R0700/C0160 | Total capital requirement for non–life underwriting risk | This is the solvency capital requirement for non–life underwriting risk sub module. |
S.26.06 – Solvency Capital Requirements – Operational risk
a)This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;
b)When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;
c)This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.
General comments:
This section relates to the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.06 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
Template SR.26.06 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).
For group reporting the following specific requirements shall be met:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Article 112 | Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:1 – Article 112(7) reporting2 – Regular reporting |
| Z0020 | Ring–fenced fund, matching adjustment portfolio or remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking within the scope of group supervision and must be consistent over time and with the fund/portfolio number reported in other templates. |
| R0100/C0020 | Life gross technical provisions (excluding risk margin) (other than unit-linked or index-linked) | This is technical provisions for life insurance obligations, excluding unit-linked. For these purposes, technical provisions shall not include the risk margin, and shall be without deduction of recoverables from reinsurance contracts and special purpose vehicles. |
| R0110/C0020 | Life gross technical provisions unit–linked (excluding risk margin) | This is technical provisions for life insurance obligations where the investment risk is borne by the policyholders. For these purposes, technical provisions shall not include the risk margin, and shall be without deduction of recoverables from reinsurance contracts and special purpose vehicles. |
| R0120/C0020 | Non–life gross technical provisions (excluding risk margin) | This is technical provisions for non–life insurance obligations. For these purposes, technical provisions shall not include the risk margin, and shall be without deduction of recoverables from reinsurance contracts and special purpose vehicles. |
| R0130/C0020 | Capital requirement for operational risk based on technical provisions | This is the capital requirement for operational risk based on technical provisions |
| R0200/C0020 | Earned life gross premiums (previous 12 months) (other than unit-linked or index-linked) | Premium earned during the previous 12 months for life insurance obligations, excluding unit-linked without deducting premium ceded to reinsurance |
| R0210/C0020 | Earned life gross premiums unit–linked (previous 12 months) | Premium earned during the previous 12 months for life insurance obligations where the investment risk is borne by the policyholders without deducting premium ceded to reinsurance |
| R0220/C0020 | Earned non–life gross premiums (previous 12 months) | Premium earned during the previous 12 months for non–life insurance obligations, without deducting premiums ceded to reinsurance |
| R0230/C0020 | Earned life gross premiums (12 months prior to the previous 12 months) (other than unit-linked or index-linked) | Premium earned during the 12 months prior to the previous 12 months for life insurance obligations, excluding unit-linked without deducting premium ceded to reinsurance |
| R0240/C0020 | Earned life gross premiums unit–linked (12 months prior to the previous 12 months) | Premium earned during the 12 months prior to the previous 12 months for life insurance obligations where the investment risk is borne by the policy holders without deducting premium ceded to reinsurance. |
| R0250/C0020 | Earned non–life gross premiums (12 months prior to the previous 12 months) | Premium earned during the 12 months prior to the previous 12 months for non–life insurance obligations, without deducting premiums ceded to reinsurance |
| R0260/C0020 | Capital requirement for operational risk based on earned premiums | This is the capital requirement for operational risks based on earned premiums. |
| R0300/C0020 | Capital requirement for operational risk before capping | This is the capital requirement for operational risk before capping adjustment |
| R0310/C0020 | Cap based on Basic Solvency Capital Requirement | This is the result of the cap percentage applied to the Basic SCR. |
| R0320/C0020 | Capital requirement for operational risk after capping | This is the capital requirement for operational risk after capping adjustment. |
| R0330/C0020 | Expenses incurred in respect of unit linked business (previous 12 months) | This is the amount of expenses incurred in the previous 12 months in respect of life insurance where the investment risk is borne by the policyholders. |
| R0340/C0020 | Total capital requirement for operational risk | This is the capital charge for operational risk. |
S.26.07 – Solvency Capital Requirement – Simplifications
a)This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;
b)When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;
c)This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.
General comments:
This section relates to the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.07 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
Template SR.26.07 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).
For group reporting the following specific requirements shall be met:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Article 112 | Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:1 – Article 112(7) reporting2 – Regular reporting |
| Z0020 | Ring–fenced fund, matching adjustment portfolio or remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring fenced fund or matching adjustment portfolio. This number is attributed by the undertaking within the scope of group supervision and must be consistent over time and with the fund/portfolio number reported in other templates. |
| Z0040 | Currency for interest rate risk (captives) | Identify the ISO 4217 alphabetic code of the currency of issue. Each currency shall be reported in a different line. |
| Market risk (including captives) | ||
| R0010/C0010–C0070 | Spread risk (bonds and loans) – Market value – by credit quality step | Market value of the assets subject to a capital requirement for spread risk on bonds and loans for each credit quality step where a credit assessment by a nominated ECAI is available. |
| R0010/C0080 | Spread risk (bonds and loans) – Market value – No rating available | Market value of the assets subject to a capital requirement for spread risk on bonds and loans where no credit assessment by a nominated ECAI is available. |
| R0020/C0010–C0070 | Spread risk (bonds and loans) – Modified duration – by credit quality step | Modified duration in years of the assets subject to a capital requirement for spread risk on bonds and loans for each credit quality step where a credit assessment by a nominated ECAI is available. |
| R0020/C0080 | Spread risk (bonds and loans) – Modified duration – No rating available | Modified duration in years of the assets subject to a capital requirement for spread risk on bonds and loans where no credit assessment by a nominated ECAI is available. |
| R0030/C0090 | Spread risk (bonds and loans) – Increase in unit–linked and index–linked technical provisions | Increase in the technical provisions less risk margin for policies where the policyholders bear the investment risk with embedded options and guarantees that would result from an instantaneous decrease in the value of the assets subject to the capital requirement for spread risk on bonds according to the simplified calculation. |
| Interest rate risk (captives) | ||
| R0040/C0100 | Interest rate risk (captives) – Capital requirement – Interest rate up – by currency | Capital requirement for the risk of an increase in the term structure of interest rates according to the captive simplified calculation for each currency reported. |
| R0040/C0110 | Interest rate risk (Captives) – Capital requirement – Interest rate down – by currency | Capital requirement for the risk of a decrease in the term structure of interest rates according to the captive simplified calculation for each currency reported. |
| Life underwriting risk | ||
| R0100/C0120 | Mortality risk – Capital at risk | Sum of positive capitals at risk as defined in Article 91 of Delegated Regulation (EU) 2015/35 for all obligations subject to mortality risk. |
| R0100/C0160 | Mortality risk – Average rate t+1 | Average mortality rate during the following 12 (t + 1) months weighted by sum insured for policies with a positive capital at risk. |
| R0100/C0180 | Mortality risk – Modified duration | Modified duration in years of all payments payable on death included in the best estimate for policies with a positive capital at risk. |
| R0110/C0150 | Longevity risk – Best estimate | Best estimate of obligations subject to longevity risk. |
| R0110/C0160 | Longevity risk – Average rate t+1 | Average mortality rate during the following 12 months (t+1) weighted by sum insured for policies where a decrease in the mortality rate leads to an increase in technical provisions. |
| R0110/C0190 | Longevity risk – Modified duration | Modified duration in years of all payments to beneficiaries included in the best estimate for policies where a decrease in the mortality rate leads to an increase in technical provisions. |
| R0120/C0120 | Disability–morbidity risk – Capital at risk | Sum of positive capitals at risk as defined in Article 93 of Delegated Regulation (EU) 2015/35 for all obligations subject to disability–morbidity risk. |
| R0120/C0130 | Disability–morbidity risk – Capital at risk t+1 | Capital at risk as defined in R0120/C0120 after 12 months. |
| R0120/C0150 | Disability–morbidity risk – Best estimate | Best estimate of obligations subject to disability–morbidity risk. |
| R0120/C0160 | Disability–morbidity risk – Average rate t+1 | Average disability–morbidity rate during the following 12 months (t+1) weighted by sum insured for policies with a positive capital at risk. |
| R0120/C0170 | Disability–morbidity risk – Average rate t+2 | Average disability–morbidity rate during the 12 months after the following 12 months (t+2) weighted by sum insured for policies with a positive capital at risk. |
| R0120/C0180 | Disability–morbidity risk – Modified duration | Modified duration in years of all payments on disability–morbidity included in the best estimate for policies with a positive capital at risk. |
| R0120/C0200 | Disability–morbidity risk – Termination rates | Expected termination rates during the following 12 months (t+1) for policies with a positive capital at risk. |
| R0130/C0140 | Lapse risk (up) – Surrender strain | Sum of all positive surrender strains as defined in Article 95 of Delegated Regulation (EU) 2015/35. |
| R0130/C0160 | Lapse risk (up) – Average rate t+1 | Average lapse rate for policies with positive surrender strains. |
| R0130/C0190 | Lapse risk (up) – Average run off period | Average period in years over which the policies with a positive surrender strain run off. |
| R0140/C0140 | Lapse risk (down) – Surrender strain | Sum of all negative surrender strains as defined in Article 95 of Delegated Regulation (EU) 2015/35. |
| R0140/C0160 | Lapse risk (down) – Average rate t+1 | Average lapse rate for policies with negative surrender strains. |
| R0140/C0190 | Lapse risk (down) – Average run off period | Average period in years over which the policies with a negative surrender strain run off. |
| R0150/C0180 | Life expense risk – Modified duration | Modified duration in years of the cash flows included in the best estimate of life insurance and reinsurance obligations. |
| R0150/C0210 | Life expense risk – Payments | Expenses paid related to life insurance and reinsurance during the last 12 months. |
| R0150/C0220 | Life expense risk – Average inflation rate | Weighted average inflation rate included in the calculation of the best estimate of those obligations, where the weights are based on the present value of expenses included in the calculation of the best estimate for servicing existing life obligations. |
| R0160/C0120 | Life catastrophe risk – Capital at risk | Sum of positive capitals at risk as defined in Article 96 of Delegated Regulation (EU) 2015/35. |
| Health underwriting risk | ||
| R0200/C0120 | Health mortality risk – Capital at risk | Sum of positive capitals at risk as defined in Article 97 of Delegated Regulation (EU) 2015/35 for all obligations subject to health mortality risk. |
| R0200/C0160 | Health mortality risk – Average rate t+1 | Average mortality rate during the following 12 months (t+1) weighted by sum insured for policies with a positive capital at risk. |
| R0200/C0180 | Health mortality risk – Modified duration | Modified duration in years of all payments payable on death included in the best estimate for policies with a positive capital at risk. |
| R0210/C0150 | Health longevity risk – Best estimate | Best estimate of obligations subject to health longevity risk. |
| R0210/C0160 | Health longevity risk – Average rate t+1 | Average mortality rate during the following 12 months (t+1) weighted by sum insured for policies where a decrease in the mortality rate leads to an increase in technical provisions. |
| R0210/C0180 | Health longevity risk – Modified duration | Modified duration in years of all payments to beneficiaries included in the best estimate for policies where a decrease in the mortality rate leads to an increase in technical provisions. |
| R0220/C0180 | Health disability–morbidity risk (medical expense) – Modified duration | Modified duration in years of the cash flows included in the best estimate of medical expense insurance and reinsurance obligations. |
| R0220/C0210 | Health disability–morbidity risk (medical expense) – Payments | Expenses paid related to medical expense insurance and reinsurance during the last 12 months. |
| R0220/C0220 | Health disability–morbidity risk (medical expense) – Average inflation rate | Weighted average rate of inflation on medical payments included in the calculation of the best estimate of those obligations, where the weights are based on the present value of medical payments included in the calculation of the best estimate of those obligations. |
| R0230/C0120 | Health disability–morbidity risk (income protection) – Capital at risk | Sum of positive capitals at risk as defined in Article 100 of Delegated Regulation (EU) 2015/35 for all obligations subject to disability–morbidity risk (income protection). |
| R0230/C0130 | Health disability–morbidity risk (income protection) – Capital at risk t+1 | Capital at risk as defined in R0230/C0120 after 12 months. |
| R0230/C0150 | Health disability–morbidity risk (income protection) – Best estimate | Best estimate of obligations subject to disability–morbidity risk. |
| R0230/C0160 | Health disability–morbidity risk (income protection) – Average rate t+1 | Average disability–morbidity rate during the following 12 months (t+1) weighted by sum insured for policies with a positive capital at risk. |
| R0230/C0170 | Health disability–morbidity risk (income protection) – Average rate t+2 | Average disability–morbidity rate during the 12 months after the following 12 months (t+2) weighted by sum insured for policies with a positive capital at risk. |
| R0230/C0180 | Health disability–morbidity risk (income protection) – Modified duration | Modified duration in years of all payments on disability–morbidity included in the best estimate for policies with a positive capital at risk. |
| R0230/C0200 | Health disability–morbidity risk (income protection) – Termination rates | Expected termination rates during the following 12 months for policies with a positive capital at risk. |
| R0240/C0140 | Health SLT lapse risk (up) – Surrender strain | Sum of all positive surrender strains as defined in Article 102 of Delegated Regulation (EU) 2015/35. |
| R0240/C0160 | Health SLT lapse risk (up) – Average rate t+1 | Average lapse rate for policies with positive surrender strains. |
| R0240/C0190 | Health SLT lapse risk (up) – Average run off period | Average period in years over which the policies with a positive surrender strain run off. |
| R0250/C0140 | Health SLT lapse risk (down) – Surrender strain | Sum of all negative surrender strains as defined in Article 102 of Delegated Regulation (EU) 2015/35. |
| R0250/C0160 | Health SLT lapse risk (down) – Average rate t+1 | Average lapse rate for policies with negative surrender strains. |
| R0250/C0190 | Health SLT lapse risk (down) – Average run off period | Average period in years over which the policies with a negative surrender strain run off. |
| R0260/C0180 | Health expense risk – Modified duration | Modified duration in years of the cash flows included in the best estimate of health insurance and reinsurance obligations. |
| R0260/C0210 | Health expense risk – Payments | Expenses paid related to health insurance and reinsurance during the last 12 months. |
| R0260/C0220 | Health expense risk – Average inflation rate | Weighted average inflation rate included in the calculation of the best estimate of these obligations, weighted by the present value of expenses included in the calculation of the best estimate for servicing existing health obligations. |
| Market risk – Market risk concentrations | ||
| R0300/C0300 | Debt portfolio share | The share of the debt portfolio for which a simplified SCR calculation has been made.To be reported only in case undertaking is exempted from reporting template S.06.02 |
| NAT CAT simplifications | ||
| R0400/C0330 | Windstorm – sum of exposures subject to the NAT CAT simplifications | Include sum of exposures subject to windstorm simplifications |
| R0410/C0330 | Hail – sum of exposures subject to the NAT CAT simplifications | Include sum of exposures subject to hail simplifications |
| R0420/C0330 | Earthquake – sum of exposures subject to the NAT CAT simplifications | Include sum of exposures subject to earthquake simplifications |
| R0430/C0330 | Flood – sum of exposures subject to the NAT CAT simplifications | Include sum of exposures subject to flood simplifications |
| R0440/C0330 | Subsidence – sum of exposures subject to the NAT CAT simplifications | Include sum of exposures subject to subsidence simplifications |
S.26.08 – Solvency Capital Requirement – for groups using an internal model (partial or full)
—Where the undertaking applies the full adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level: the nSCR is calculated as if no RFF and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part,
—Calculation of ‘q factor’adjustmentBSCR′ nSCRint, where—Adjustmentcalculated according to one of the three methods referred above—BSCR′Basic solvency capital requirement calculated according to the information reported in this template—nSCRintnSCR for intangible assets risk according to the information reported in this template
—Where the undertaking applies the Simplification at risk sub-module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR and LAC are calculated considering a direct summation at sub-module level method,
—Multiplication of this ‘q factor’ by the nSCR of each relevant risk module (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non-life underwriting risk)
—Where the undertaking applies the Simplification at risk module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR and LAC are calculated considering a direct summation at module level method.
General comments:
This section relates to the annual submission of information for groups, ring fenced-funds, matching adjustment portfolios and remaining part.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and groups.
The purpose of this template is to collect data on an aggregate level and show diversification benefits between separate risk modules. Some entries are taken from other templates but are indicated below. From a technical perspective these are not duplicated as they are essentially the same datapoints. Therefore, by filling data in one template it automatically appears in the other one.
Partial internal models:
All rows for C0010 refer to the amount of the capital charge for each component regardless of the method of calculation (either standard formula or partial internal model), after the adjustments for loss-absorbing capacity of technical provision and/or deferred taxes when they are embedded in the component calculation.
For the components Loss absorbing capacity of technical provisions and/or deferred taxes when reported as a separate component it should be the amount of the loss-absorbing capacity (these amounts should be reported as negative values)
For components calculated using the standard formula this cell represents the gross nSCR. For components calculated using the partial internal model, this represents the value considering the future management actions with are embedded in the calculation, but not whose which are modelled as a separate component.
These amounts shall fully consider diversification effects according to Article 304 of Directive 2009/138/EC where applicable.
When applicable, these cells do not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level.
Template SR.26.08 shall be reported by ring-fenced fund, matching adjustment portfolio and the remaining part for every undertaking under an internal model. For partial internal models, this includes undertakings where a partial internal model is applied to a full ring-fenced fund and/or matching adjustment portfolio while the other ring-fenced funds and/or matching adjustment portfolios are under the standard formula. This template should be reported for all sub-funds of a material RFF/MAP as identified in the second table of S.01.03.
The template is applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).
For those undertakings under a partial internal model to which the adjustment due to the aggregation of the nSCR of RFF/MAP is applicable, where the entity has MAP or RFF (except those under the scope of Article 304 of Directive 2009/138/EC) when reporting at the level of the whole undertaking, the nSCR at risk module level and the loss-absorbing capacity (LAC) of technical provisions and deferred taxes to be reported shall be calculated as follows:
The adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level shall be allocated (C0060) to the relevant risk modules (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non-life underwriting risk) when calculated according to the standard formula. The amount to be allocated to each relevant risk module shall be calculated as follows:
Full internal models:
Template SR.26.08 has to be filled in for each ring-fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part for every undertaking under a full internal model. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template should be reported for all sub-funds of a material RFF/MAP as identified in the second table of S.01.03.
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| Aggregation | ||
| Z0020 | Ring-fenced fund, matching adjustment portfolio or Remaining Part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates.When item Z0020 = 2, then report ‘0’ |
| C0010/R0010 | Total stand-alone risk | Sum of diversified capital charges for each risk module. Diversification between risk modules is not included.S.26.09.04 C0020/R0020 + S.26.11.04 C0110/R0210 + S.26.12.01 C0070/R0220 + S.26.13.01 C0450/R2120 + S.26.13.01 C0150/R1210 + S.26.14.01 C0320/R0630 + S.26.15.01 C0220/R0070 + the part calculated using the Standard formula for groups using a partial internal model where relevant |
| C0010/R0020 | Total diversification | Amount of the diversification effects between risk modules.This amount should be reported as a negative value. |
| C0010/R0030 | Total diversified risk before tax | Amount of diversified capital charges before tax. |
| C0010/R0040 | Total diversified risk after tax | Amount of diversified capital charges after tax. |
| C0010/R0050 | Loss absorbing capacity of deferred taxes | Amount of the adjustment for loss-absorbing capacity of deferred taxes.This amount should be reported as a negative value. |
| C0010/R0060 | Loss absorbing capacity of technical provisions | Amount of the adjustment for loss-absorbing capacity of technical provisions.This amount should be reported as a negative value. |
| C0010/R0070 | Total market & credit risk | Same as S.26.09.04 C0020/R0010 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0080 | Market & Credit risk – diversified | S.26.08.01 C0010/R0070 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus part of total diversification allocated to Market & Credit risk by the undertaking’s algorithm. |
| C0010/R0090 | Interest rate risk | Same as S.26.09.04 C0020/R0060 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0100 | Interest rate volatility risk | Same as S.26.09.04 C0020/R0070 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0110 | Inflation risk | Same as S.26.09.04 C0020/R0080 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0120 | Equity risk | Same as S.26.09.04 C0020/R0110 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0130 | Equity volatility risk | Same as S.26.09.04 C0020/R0120 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0140 | Property risk | Same as S.26.09.04 C0020/R0130 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0150 | Currency risk | Same as S.26.09.04 C0020/R0140 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0160 | Credit spread risk | Same as S.26.09.04 C0020/R0180 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0170 | Credit event risk (migration & default) | Same as S.26.09.04 C0020/R0170 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0180 | Credit risk sum (spread, migration & default) | Same as S.26.09.04 C0020/R0150 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0190 | Credit event risk not covered in market & credit risk | SCR allocated to credit event risk that is not covered by the market & credit risk module. |
| C0010/R0200 | Credit event risk not covered in market & credit risk – diversified | S.26.08.04 C0010/R0190 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus diversification allocated to credit event risk that is not covered by the market & credit risk module. |
| C0010/R0210 | Basis risk financial instruments | Capital charge allocated to basis risk for financial instruments (risk of imperfect hedges. Sum of price differences between asset and hedging instrument).To be reported only if undertaking models this explicitly in its own module and has indicated so in C0140/R0760. |
| C0010/R0220 | Derivatives risk | Capital charge allocated to derivatives risk (all derivatives not used for hedging purposes).To be reported only if undertaking models this explicitly in its own module and has indicated so in C0140/R0770. |
| C0010/R0230 | Participations | Capital charge allocated to participations.To be reported only if undertaking models this explicitly in its own module and has indicated so in C0140/R0720. |
| C0010/R0240 | Liquidity risk | Capital charge allocated to liquidity risk.To be reported only if undertaking models this explicitly in its own module and has indicated so in C0140/R0730. |
| C0010/R0250 | Pension risk | Capital charge allocated to pension risk.To be reported only if undertaking models this explicitly in its own module and has indicated so in C0140/R0740. |
| C0010/R0260 | Concentration risk | Capital charge allocated to concentration risk.For undertakings using a full internal model this shall be reported only if the undertaking models this explicitly in its own module and has indicated so in C0140/R0750. |
| C0010/R0270 | Total Business risk | Capital charge allocated to business risk.To be reported only if undertaking models this explicitly in its own module. |
| C0010/R0280 | Total Business risk – diversified | S.26.08.04 C0010/R0240 minus part of total diversification allocated to Business risk by the undertaking’s algorithm. |
| C0010/R0290 | Total underwriting risk | S.26.08.04 C0010/R0310 + S.26.08.04 C0010/R0400 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0300 | Total underwriting risk – diversified | S.26.08.04 C0010/R0290 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus part of total diversification allocated to underwriting risk by the undertaking’s algorithm. |
| C0010/R0310 | Total Net Non-life underwriting risk | Sum of S.26.08.04 C0010/R0360, R0370, R0380 + R0390 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0320 | Total Net Non-life underwriting risk – diversified | S.26.08.04 C0010/R0310 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus part of total diversification allocated to Non-Life underwriting risk by the undertaking’s algorithm. |
| C0010/R0330 | Net Nat-cat risk | S.26.13.04 C0430/R1690 + S.26.13.04 C0430/R1700 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0340 | Net Man-made risk | S.26.13.04 C0430/R1710 + S.26.13.04 C0430/R1720 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0350 | Gross reserve risk | Same as S.26.13.04 C0050/R0090 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0360 | Gross premium risk | Same as S.26.13.04 C0080/R0540 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0370 | Total Life & Health underwriting risk | Sum of S.26.08.04 C0010/R0420-R0480 + the part calculated using the Standard formula for undertakings using a partial internal model where relevantor sum of S.26.08.04 C0010/R0480-R0500 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0380 | Total Life & Health underwriting risk – diversified | S.26.08.04 C0010/R0400 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus part of total diversification allocated to Life & Health risk by the undertaking’s algorithm. |
| C0010/R0390 | Mortality risk | S.26.14.04 C0070/R0010 + S.26.14.04 C0070/R0310 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0400 | Longevity risk | S.26.14.04 C0070/R0050 + S.26.14.04 C0070/R0360 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0410 | Disability-Morbidity risk | S.26.14.04 C0070/R0110 + S.26.14.04 C0070/R0410 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0420 | Lapse | S.26.14.04 C0070/R0160 + S.26.14.04 C0070/R0470 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0430 | Expense risk | S.26.14.04 C0070/R0240 + S.26.14.04 C0070/R0550 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0440 | Revision risk | S.26.14.04 C0070/R0260 + S.26.14.04 C0070/R0570 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0450 | Catastrophe risk | Same as S.26.14.04 C0070/R0250 + S.26.14.04 C0070/R0560 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant or S.26.14.04 C0070/R0300 + S.26.14.04 C0070/R0600 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant depending on the model structure. |
| C0010/R0460 | Trend risk | Same as S.26.14.04 C0070/R0280 + S.26.14.04 C0070/R0580. |
| C0010/R0470 | Level risk | Same as S.26.14.04 C0070/R0290 + S.26.14.04 C0070/R0590. |
| C0010/R0480 | Total Operational risk | Same as S.26.15.04 C0220/R0070 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0490 | Total Operational risk – diversified | S.26.08.04 C0010/R0510 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus part of total diversification allocated to Operational risk by the undertaking’s algorithm. |
| C0010/R0500 | Other risk | Capital charge not allocated to the categories listed here + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0050/R0010-R0500 | Allocation from adjustments due to RFF and Matching adjustment portfolios | Where applicable, part of the adjustment allocated to each risk module according to the procedure described in the general comments. This amount shall be positive. |
| C0060/R0010-R0500 | Consideration of the future management actions regarding technical provisions and/or deferred taxes | To identify if the future management actions relating to the loss absorbing capacity of technical provisions and/or deferred taxes are embedded in the calculation, the following closed list of options shall be used:1 – Future management actions regarding the loss–absorbing capacity of technical provisions embedded within the component2 – Future management actions regarding the loss–absorbing capacity of deferred taxes embedded within the component3 – Future management actions regarding the loss–absorbing capacity of technical provisions and deferred taxes embedded within the component4 – No embedded consideration of future management actions. |
| C0070/R0010-R0500 | Amount modelled | For each component this cell represents the amount calculated according to the partial internal model. |
| C0080/R0510 | Memorandum item: Other risk description | Description of what is included in the capital charge of C0010/R0530 |
| Modelled Specific Risks – Multiple ‘Modelled’ are allowed for columns in each row if C0140 is ‘Not modelled’. | ||
| R0700-R0820/C0140 | Modelled explicitly in its own module | One of the options in the following closed list shall be used:1 – Modelled2 – Not modelledIf answer is ‘Modelled’ then refer to table at the beginning of the LOG file to see what shall be completed. If the answer is ‘Not modelled’ then C0150 to C0190 must be completed for each row depending on where this risk is covered. If it is not covered then all codes in the same row should be ‘Not modelled’. |
| R0700-R0770/C0150 | Market and Credit | One of the options in the following closed list shall be used:1 – Modelled2 – Not modelledIf the answer in C0140 is ‘Modelled’ then this must be set to ‘Not modelled’. Otherwise it should be set to ‘Modelled’ if the specified risk in each row is covered in the Market & Credit risk module. |
| R0700-R0770/C0160 | Non-life | One of the options in the following closed list shall be used:1 – Modelled2 – Not modelledIf the answer in C0140 is ‘Modelled’ then this must be set to ‘Not modelled’. Otherwise it should be set to ‘Modelled’ if the specified risk in each row is covered in the Non-Life risk module. |
| R0700-R0770/C0170 | Life & Health | One of the options in the following closed list shall be used:1 – Modelled2 – Not modelledIf the answer in C0140 is ‘Modelled’ then this must be set to ‘Not modelled’. Otherwise it should be set to ‘Modelled’ if the specified risk in each row is covered in the Life & Health risk module. |
| R0700-R0770/C0180 | Operational | One of the options in the following closed list shall be used:1 – Modelled2 – Not modelledIf the answer in C0140 is ‘Modelled’ then this must be set to ‘Not modelled’. Otherwise it should be set to ‘Modelled’ if the specified risk in each row is covered in the Operational risk module. |
| R0700-R0770/C0190 | Other | One of the options in the following closed list shall be used:1 – Modelled2 – Not modelledIf the answer in C0140 is ‘Modelled’ then this must be set to ‘Not modelled’. Otherwise it should be set to ‘Modelled’ if the specified risk in each row is covered in another risk module not mentioned here. |
S.26.09 – Internal model: Market & Credit risk – for financial instruments
1.‘General information’ on few key aspects of the modelling approach
2.‘Stand-alone capital requirements for market & credit risk and supplementing distribution data’
3.‘Sensitivities and exposure data’
I.‘SCR’ like figures under variation of the allowance for ‘long-term guarantee measures’ similar to the QRT S.22 ‘LTGM impacts’:These figures should be associated with the 99,5 % VaR under the risk measure used for the calculation of the Solvency Capital Requirement (SCR). Broadly speaking, you are expected to apply your modelled ‘SCR definition’ to the basic own funds without eligibility restrictions and without the loss absorbing capacity of deferred taxes. Hence requested figure might differ from the 0,5 % sample quantile on the simulated impacts (with negative sign), owing to the statistical estimator for the 0,5 percentile (e.g. including any interpolation or smoothing scheme).For the purpose of these reporting requirements this value is called the ‘modelled VaR’ (mVaR) for the 99,50 % of basic own funds.You are requested to provide this ‘mVaR 99,50 %’ for the following variations of the ‘long-term guarantee measures’ (LTGM):
—mVaR 99,50 % including all LTGM you regularly apply
—mVaR 99,50 % without transitional on technical provisions
—mVaR 99,50 % without transitional on interest rates
—mVaR 99,50 % without volatility adjustment (VA) and without transitionals
—mVaR 99,50 % without matching adjustment (MA) and without all the other LTGMs
II.Basic statistical data from the ‘marginal distribution’From the distribution for the marginal risk under consideration provide the impacts associated with the following data. These values should be directly taken from the distribution, i.e. in case the mVaR would be different from the 99,50 % quantile, please provide the figures without allowing for features from your statistical estimator:
—Mean
—Standard deviation
—Impacts corresponding to the mVaR for the identified quantiles
—Assets
—Liabilities
—Assets minus Liabilities
—Assets excl. Unit-linked
—Liabilities excl. Unit-linked
—Assets excl. Unit-linked minus Liabilities excl. Unit-linked
General comments:
This section relates to the annual submission of information for groups.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and groups.
If not indicated differently, ‘Solvency II values’ shall be used, i.e. applying the valuation principles set out in the Directive2009/138/EC, Delegated Regulation (EU) 2015/35, Solvency 2 Technical Standards and Guidelines.
This part of the reporting requirements covers the market and credit risk arising from the level or volatility of market prices of financial instruments, which have an impact upon the value of assets and liabilities of the undertaking or the group. Credit risk covers the usual three facets ‘spread’, ‘migration’ and ‘default’.
The figures shall include the impact on assets and liabilities including any impacts on the options and guarantees and on future discretionary benefits for policyholders (‘loss absorbing capacity of technical provisions’).
The figures shall not include the loss absorbing capacity of deferred taxes.
The template consists of three main building blocks:
S.26.09.04.01: General information
Regarding market and credit risk models two facts on the modelling approach and scope are requested here, as these are important for the analysis of data, namely: Whether the model includes ‘ageing effects’ and if non-financial instruments are covered in credit risk. For further details see below.
S.26.09.04.02: Stand-alone capital requirements for market & credit risk and supplementing distribution data
Based on the requirements of Article 228 of Delegated Regulation (EU) 2015/35, the probability distribution forecast underlying the internal model shall assign probabilities to changes in either the amount of basic own funds of the insurance or reinsurance undertaking or to other monetary amounts, such as profit and loss, provided that those monetary amounts can be used to determine the changes in basic own funds. The exhaustive set of mutually exclusive future events, referred to in Article 13(38) of Directive 2009/138/EC, shall contain a sufficient number of events to reflect the risk profile of the undertaking.
In template S.26.09.04.02, internal model users are requested to provide certain basic statistical values from the distribution of own funds impacts associated with the ‘probability distribution forecast’ when restricting the events to those associated with a certain type of risk only (‘stand-alone risk’ or ‘marginal risk’). For example, the ‘marginal risk’ for interest rates would especially cover changes in the level of the interest rate, but, inter alia, the value of equity would typically not be changed in the simulations.
S.26.09.04.02 covers the typical sub-risks of market and credit risk and requires figures in two subsets:
S.26.09.04.03: Sensitivities and exposure data
In template S.26.09.04.03, data is requested which should support the analysis of results and risk profile, namely ‘sensitivities’ of the own funds and ‘exposure’ information with respect to market and credit risk for financial instruments.
S.26.09.04.03 for each of the sub-risks covered by S.26.09.01.02 asks for exposure data in the base case and under certain stressed scenarios. Exposure data is the Solvency II value of the following items but only for those entries under these items, which are subject to the respective risk:
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| General information | ||
| C0010/R0020 | Type of shock model for market risk | For market & credit risk, internal models regarding the 1-year-time-horizon of Solvency II roughly follow two approaches. Instantaneous shock models or a projection over 1 year, at the end of which e.g. a bond with two years maturity at the beginning of the projection would have a maturity of one year. The undertaking is asked to answer the question for ‘market risk’.One of the options in the following closed list shall be used:1 – Instantaneous shock model2 – Projection model |
| C0010/R0030 | Type of shock model for credit risk | For market & credit risk, internal models regarding the 1-year-time-horizon of Solvency II roughly follow two approaches. Instantaneous shock models or a projection over 1 year, at the end of which e.g. a bond with two years maturity at the beginning of the projection would have a maturity of one year. The answer should be given for ‘credit risk’.One of the options in the following closed list shall be used:1 – Instantaneous shock model2 – Projection model |
| C0010/R0040 | Coverage of non-financial instruments | Identifies whether credit risk for non-financial instruments is covered in the tables 2 and 3 and to which extent. One of the options in the following closed list shall be used:1 – No2 – Fully3 – PartialThe choice relates mainly to the approach of modelling ‘credit event’ risk, i.e. ‘migration’ and ‘default’. Especially so called ‘credit portfolio models’ cover not only investments but for example also reinsurance, receivables and also off-balance sheet items.The corresponding information is relevant for the interpretation of credit risk related line R12 to R17 in table 2 (‘marginal risks’, S.26.09 R0150 to R0200) and for table 3 (‘combined risks’, to S.26.09 R0010 to R0030). |
| STAND ALONE MARKET AND CREDIT RISK: ‘SCR’ AND DISTRIBUTION DATA | ||
| C0020-C0060/R0040 | Interest rate risk sum | Sum of the respective values of C0020-C0060/R0060 and C0020-C0060/R0070. |
| C0020-C0300/R0050 | Interest rate risk sum of which: Interest rate risk diversified | Within the market & credit risk, the interest rate risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the term structure of interest rates, or in the volatility of interest rates. It does not comprise the sensitivity to any of the facets of credit risk.In this line, only diversification between changes in the term structure of interest rates and changes in the volatility of interest rates should be taken into account. |
| C0020-C0300/R0060 | Interest rate risk sum of which: Interest rate risk | This risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the term structure of interest rates, but neither changes in the volatility of interest rates nor any facets of credit risk. |
| C0020-C0300/R0070 | Interest rate risk sum of which: Interest rate volatility risk | This risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the volatility of interest rates but no facets of credit risk. |
| C0020-C0300/R0080 | Inflation risk | Within the market & credit risk, this risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the inflation.As inflation in certain internal models is also allowed for e.g. in the underwriting risk, please ensure, that there is no double-counting. |
| C0020-C0060/R0090 | Equity risk sum | Sum of the respective values of C0020-C0060/R0110 and C0020-C0060/R0120. |
| C0020-C0300/R0100 | Equity risk sum of which: Equity risk diversified | Within the market and credit risk, the equity risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the level, or in the volatility of market prices of equities.In this line, diversification between changes in the level and changes in the volatility of market prices should be taken into account. |
| C0020-C0300/R0110 | Equity risk sum of which: Equity risk | Equity risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the level of market prices of equities. |
| C0020-C0300/R0120 | Equity risk sum of which: Equity volatility risk | Equity volatility risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the volatility of market prices of equities. |
| C0020-C0300/R0130 | Property risk | Within the market & credit risk, the property risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the level, or in the volatility of market prices of real estate.Differently from e.g. equity risk no split in ‘level’ and ‘volatility’ is requested. |
| C0020-C0300/R0140 | Currency risk | Within the market & credit risk, the currency risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the level, or in the volatility of currency exchange rates.Differently from e.g. equity risk no split in ‘level’ and ‘volatility’ is requested. |
| C0020-C0060/R0150 | Credit risk sum | Sum of the respective following values:Credit Event Risk (migration and default) (R0170)Credit Spread risk Government and central banks (R0190)Credit Spread risk other (R0200)If the split in ‘Government and central banks’ (R0190) and ‘other’ (R0200) is not available in the model, please use ‘Credit Spread Risk’ (R0180) instead in the sum. |
| C0020-C0300/R0160 | Credit risk sum of which: Credit risk diversified | Within the market and credit risk, the credit risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the value of assets due to changes in credit spreads or credit migration or by credit default.In this line, diversification between changes in credit spreads or credit migration or credit default should be taken into account.Credit risk shall be given according to the scope as defined in the internal model and could cover only financial instruments or could cover any assets and also off-balance sheet items. |
| C0020-C0300/R0170 | Credit risk sum of which: Credit event risk (‘migration and default’) | Credit event risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the value of assets due to changes in credit migration or by credit default.Diversification between credit migration and credit default should be taken into account.Credit risk shall be given according to the scope as defined in the internal model and could cover only financial instruments or could cover any assets and also off-balance sheet items. |
| C0020-C0300/R0180 | Credit risk sum of which: Credit Spread risk | Credit spread risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the value of financial instruments due to changes in spreads over the risk-free term structure which are not owed to migration or (partial) default. |
| C0020-C0300/R0190 | Credit Spread risk – Spread risk ‘Government and central banks’ | Credit spread risk ‘Government and central banks’ comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the value of financial instruments issued by governments and central banks due to changes in spreads over the risk-free term structure which are not owed to migration or (partial) default.The following list enumerates the CIC codes of the asset classes that are attributed to government or central banks: 13, 14, 15, 16, 17, 19. The CIC codes 13 and 14 were used to identify bonds issued by Regional government and local authorities (RGLA). RGLA should be allocated to government portfolio if they are listed in the Commission Implementing Regulation (EU) 2015/2011 and otherwise to non-financial corporate portfolio according to their credit quality step. |
| C0020-C0300/R0200 | Credit Spread risk other | Credit spread risk ‘other’ comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the value of financial instruments not issued by governments and central banks due to changes in spreads over the risk-free term structure which are not owed to migration or (partial) default. |
| STAND ALONE MARKET AND CREDIT RISK: Combined market and credit risk | ||
| C0020-C0060/R0020 | Market and credit risk diversified | In this line, please provide data for the combined market & credit risk, i.e. the risk arising from the level or volatility of market prices of assets, which have an impact upon the value of assets and liabilities of the undertaking or the group. Credit risk covers the usual three facets ‘spread’, ‘migration’ and ‘default’.Credit risk shall be given according to the scope as defined in the internal model and could cover only financial instruments or could cover any assets and also off-balance sheet items. |
| C0020-C0060/R0010 | Market and credit risk sum (level 2 components) | Sum of the respective following values:Interest rate risk diversified (R0050)Inflation risk (R0080)Equity risk diversified (R0100)Property risk (R0130)Currency risk (R0140)Credit risk sum (R0150) |
| C0020-C0060/R0030 | Market and credit risk diversification | Amount corresponding to the difference between C0020-C0060/R0020 and C0020-C0060/R0010.This amount should be reported as a negative value. |
| STAND ALONE MARKET AND CREDIT RISK: Sensitivities & exposure data | ||
| C0310-C0360/R0210 | Exposure sensitive to interest rates – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to interest rate risk. |
| C0310-C0360/R0220 | Interest Rates (parallel shift all maturities) by – 100bps | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a parallel – 100 bps shift on interest rates for all maturities. This shift impacts all maturities not only those before the ‘last liquid point’ (LLP). |
| C0310-C0360/R0230 | Interest Rates (parallel shift all maturities) by + 100bps | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a parallel + 100 bps shift on interest rates for all maturities. Please note that this shift impacts all maturities not only those before the ‘last liquid point’ (LLP). |
| C0310-C0360/R0240 | Interest Rates (parallel shift all maturities) by – 50bps | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a parallel – 50 bps shift on interest rates for all maturities. Please note that this shift impacts all maturities not only those before the ‘last liquid point’ (LLP). |
| C0310-C0360/R0250 | Interest Rates (parallel shift all maturities) by + 50bps | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a parallel + 50 bps shift on interest rates for all maturities. Please note that this shift impacts all maturities not only those before the ‘last liquid point’ (LLP). |
| C0310-C0360/R0260 | Exposure sensitive to inflation rates – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to inflation risk. |
| C0310-C0360/R0270 | Inflation rates – 100bps | Solvency II value of the exposure subject to inflation risk as specified above but under the scenario of a decrease of – 100 bps on inflation rates.This sensitivity should be applied in line with the internal models definition and allocation of inflation risk. |
| C0310-C0360/R0280 | Inflation rates + 100bps | Solvency II value of the exposure subject to inflation risk as specified above but under the scenario of an increase of + 100 bps on inflation rates.This sensitivity should be applied in line with the internal models definition and allocation of inflation risk. |
| C0310-C0360/R0290 | Exposure sensitive to credit spreads – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to credit spread risk. |
| C0310-C0360/R0300 | Spread (uniform shift all maturities and assets) – 100 bps | Solvency II value of the exposure subject to credit spread risk as specified above but under the scenario of uniform shift in credit spreads for all maturities and assets by – 100 bps. |
| C0310-C0360/R0310 | Spread (uniform shift all maturities and assets) + 100 bps | Solvency II value of the exposure subject to credit spread risk as specified above but under the scenario of uniform shift in credit spreads for all maturities and assets by + 100 bps. |
| C0310-C0360/R0320 | Exposure sensitive to equity level risk – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to equity level risk. |
| C0310-C0360/R0330 | Equity (uniform shift in values) – 30 % | Solvency II value of the exposure subject to equity level risk as specified above but under the scenario of uniform decrease in values by – 30 %. |
| C0310-C0360/R0340 | Equity (uniform shift in values) + 30 % | Solvency II value of the exposure subject to equity level risk as specified above but under the scenario of uniform increase in values by + 30 %. |
| C0310-C0360/R0350 | Exposure sensitive to Property risk – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to property risk. |
| C0310-C0360/R0360 | Property (uniform shift in values) – 30 % | Solvency II value of the exposure subject to property risk as specified above but under the scenario of uniform decrease in values by – 30 %. |
| C0310-C0360/R0370 | Property (uniform shift in values) + 30 % | Solvency II value of the exposure subject to property risk as specified above but under the scenario of uniform increase in values by + 30 %. |
| C0310-C0360/R0380 | Exposure sensitive to Currency risk – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to currency risk. |
| C0310-C0360/R0390 | Currency (uniform shift in exchange rates) – 10 % | Solvency II value of the exposure subject to currency risk as specified above but under the scenario of uniform decrease in exchange rates by – 10 %. |
| C0310-C0360/R0400 | Currency (uniform shift in exchange rates) + 10 % | Solvency II value of the exposure subject to currency risk as specified above but under the scenario of uniform increase in exchange rates by + 10 %. |
| C0310-C0360/R0410 | Exposure sensitive to interest rate volatility – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to interest rate volatility risk. |
| C0310-C0360/R0420 | Interest rate volatility down – 25 % | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a decrease of interest rate volatility by – 25 %.This shift is a parallel shift of the whole volatility surface for log-normal and normal vols.Only one of the rows R0420 or R0430 may be reported. |
| C0310-C0360/R0430 | Interest rate volatility down – 20bp for normal vols | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a decrease of interest rate volatility by – 20 bp for normal vols.This shift is a parallel shift of the whole volatility surface for log-normal and normal vols.Only one of the rows R0420 or R0430 may be reported. |
| C0310-C0360/R0440 | Interest rate volatility up + 25 % | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of an increase of interest rate volatility by + 25 %.This shift is a parallel shift of the whole volatility surface for log-normal and normal vols.Only one of the rows R0440 or R0450 may be reported. |
| C0310-C0360/R0450 | Interest rate volatility up + 20bp for normal vols | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of an increase of interest rate volatility by + 20 bp for normal vols.This shift is a parallel shift of the whole volatility surface for log-normal and normal vols.Only one of the rows R0440 or R0450 may be reported. |
| C0310-C0360/R0460 | Exposure sensitive to equity volatility – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to equity volatility risk. |
| C0310-C0360/R0470 | Equity volatility down – 25 % | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a decrease of equity volatility by – 25 %. |
| C0310-C0360/R0480 | Equity volatility up + 25 % | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of an increase of equity volatility by + 25 %. |
S.26.10 – Internal model: Credit event risk – portfolio view details
—Top 10 exposures in terms of impact on SCR
—‘group’, i.e. exposure ranking among groups of connected counterparties
—Top 10 exposures in terms of market value
—‘single’, i.e. counterparties stand alone
—Split by asset classes
—Split by credit quality steps (CQS)
General comments:
This section relates to the annual submission of information for groups.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and groups.
The following data requirements ask for six kinds of views on the asset portfolio which is subject to credit migration and credit default risk from a portfolio perspective. All kinds of exposures are covered, especially investments and reinsurance.
The four main views are:
Regarding the top 10 exposures these each are required in two metrics:
Example: An undertaking A has the following contractual relations with undertakings of an insurance group G. And A is not part of group G: (1) A has a reinsurance contract with undertaking R in group G, (2) A holds shares of the paid in capital for R and (3) A holds a loan issued by a life insurer L in group G in its asset portfolio. The blocks ‘group’ would show the three exposures combined. The blocks ‘single’ would show those separately: (1) and (2) combined for counterparty R and (3) for counterparty L.
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| Top 10 exposures in terms of impact on SCR (group) | ||
| C0010/R0030-R0120 | Name Group Exposure | Names of the top 10 exposures of groups of counterparties in terms of impact on the SCR.The impact on SCR is in the column ‘Credit Risk Contribution’, which should be the contribution to the credit SCR, i.e. incl. diversification and the sum of entries in the column gives the credit risk SCR. |
| C0020/R0010-R0130 | Market value | Market value in reporting currency according to the valuation used for solvency purposes ofin R0030 to R0120 for the top 10 exposuresin R0020 for the sum of these top 10 exposuresin R0130 for the remaining exposuresin R0010 for the sum of all exposures |
| C0030/R0010-R0130 | Exposure at default | Amount of the Exposure at default:in R0030 to R0120 for the top 10 exposuresin R0020 for the sum of these top 10 exposuresin R0130 for the remaining exposuresin R0010 for the sum of all exposures |
| C0040/R0010-R0130 | Credit Risk Contribution | Contribution to the credit SCR incl. diversification, i.e. the sum of entries in this column gives the credit risk SCR:in R0030 to R0120 for the top 10 exposuresin R0020 for the sum of these top 10 exposuresin R0130 for the remaining exposuresin R0010 for the sum of all exposures |
| C0050/R0020-R0120 | Average Probability of Default (in %) | Average 1Y probability of default in %in R0030 to R0120 for the top 10 exposuresin R0020 for the sum of these top 10 exposures |
| C0060/R0020-R0120 | Average Loss Given Default (in %) | Average loss given default in %in R0030 to R0120 for the top 10 exposuresin R0020 for the sum of these top 10 exposures |
| C0070/R0010-R0130 | Market value (% of total sum) | Share of the market value (in %) relative to the total sum of market values of exposures to credit event riskin R0030 to R0120 for the top 10 exposuresin R0020 for the sum of these top 10 exposuresin R0130 for the remaining exposuresin R0010 for the sum of all exposures (which should be 100 %) |
| C0080/R0010-R0130 | Credit Risk Contribution (% of total sum) | Share of the credit risk contribution (in %) relative to the total credit risk SCRin R0030 to R0120 for the top 10 exposuresin R0020 for the sum of these top 10 exposuresin R0130 for the remaining exposuresin R0010 for the sum of all exposures (which should be 100 %) |
| Top 10 exposures in terms of impact on SCR (single) | ||
| C0090/R0160-R0250 | Name of Exposure | Names of the top 10 exposures of single exposures in terms of impact on the SCR.The impact on SCR is in the column ‘Credit Risk Contribution’, which should be the contribution to the credit SCR, i.e. incl. diversification and the sum of entries in the column gives the credit risk SCR. |
| C0020/R0140-R0260 | Market value | Market value according to the valuation used for solvency purposes:in R0160 to R0250 for the top 10 exposuresin R0150 for the sum of these top 10 exposuresin R0260 for the remaining exposuresin R0140 for the sum of all exposures |
| C0030/R0140-R0260 | Exposure at default | Amount of Exposure at default:in R0160 to R0250 for the top 10 exposuresin R0150 for the sum of these top 10 exposuresin R0260 for the remaining exposuresin R0140 for the sum of all exposures |
| C0040/R0140-R0260 | Credit Risk Contribution | Contribution to the credit SCR incl. diversification, i.e. the sum of entries in this column gives the credit risk SCR:in R0160 to R0250 for the top 10 exposuresin R0150 for the sum of these top 10 exposuresin R0260 for the remaining exposuresin R0140 for the sum of all exposures |
| C0050/R0150-R0250 | Average Probability of Default (in %) | Average 1Y probability of default in %in R0160 to R0250 for the top 10 exposuresin R0150 for the sum of these top 10 exposures |
| C0060/R0150-R0250 | Average Loss Given Default (in %) | Average loss given default in %in R0160 to R0250 for the top 10 exposuresin R0150 for the sum of these top 10 exposures |
| C0070/R0140-R0260 | Market value (% of total sum) | Share of the market value (in %) relative to the total sum of market values of exposures to credit event riskin R0160 to R0250 for the top 10 exposuresin R0150 for the sum of these top 10 exposuresin R0260 for the remaining exposuresin R0140 for the sum of all exposures (which should be 100 %) |
| C0080/R0140-R0260 | Credit Risk Contribution (% of total sum) | Share of the credit risk contribution (in %) relative to the total credit risk SCRin R0160 to R0250 for the top 10 exposuresin R0150 for the sum of these top 10 exposuresin R0260 for the remaining exposuresin R0140 for the sum of all exposures (which should be 100 %) |
| Top 10 exposures in terms of market value (group) | ||
| C0010/R0290-R0380 | Name Group Exposure | Names of the top 10 exposures of groups of counterparties in terms of market value. |
| C0020/R0270-R0390 | Market value | Market value according to the valuation used for solvency purposes:in R0290 to R0380 for the top 10 exposuresin R0280 for the sum of these top 10 exposuresin R0390 for the remaining exposuresin R0270 for the sum of all exposures |
| C0030/R0270-R0390 | Exposure at default | Amount of Exposure at default:in R0290 to R0380 for the top 10 exposuresin R0280 for the sum of these top 10 exposuresin R0390 for the remaining exposuresin R0270 for the sum of all exposures |
| C0040/R0270-R0390 | Credit Risk Contribution | Contribution to the credit SCR ncl. diversification, i.e. the sum of entries in this column gives the credit risk SCR:in R0290 to R0380 for the top 10 exposuresin R0280 for the sum of these top 10 exposuresin R0390 for the remaining exposuresin R0270 for the sum of all exposures |
| C0050/R0280-R0380 | Average Probability of Default (in %) | Average 1Y probability of default in %in R0290 to R0380 for the top 10 exposuresin R0280 for the sum of these top 10 exposures |
| C0060/R0280-R0380 | Average Loss Given Default (in %) | Average loss given default in %in R0290 to R0380 for the top 10 exposuresin R0280 for the sum of these top 10 exposures |
| C0070/R0270-R0390 | Market value (% of total sum) | Share of the market value (in %) relative to the total sum of market values of exposures to credit event riskin R0290 to R0380 for the top 10 exposuresin R0280 for the sum of these top 10 exposuresin R0390 for the remaining exposuresin R0270 for the sum of all exposures (which should be 100 %) |
| C0080/R0270-R0390 | Credit Risk Contribution (% of total sum) | Share of the credit risk contribution (in %) relative to the total credit risk SCRin R0290 to R0380 for the top 10 exposuresin R0280 for the sum of these top 10 exposuresin R0390 for the remaining exposuresin R0270 for the sum of all exposures (which should be 100 %) |
| Top 10 exposures in terms of market value (single) | ||
| C0090/R0420-R0510 | Name of Exposure | Names of the top 10 exposures of single exposures in terms of impact on the SCR.The impact on SCR is in the column ‘Credit Risk Contribution’, which should be the contribution to the credit SCR, i.e. incl. diversification and the sum of entries in the column gives the credit risk SCR. |
| C0020/R0400-R0520 | Market value | Market value in reporting currency according to the valuation used for solvency purposes ofin R0420 to R0510 for the top 10 exposuresin R0410 for the sum of these top 10 exposuresin R0520 for the remaining exposuresin R0400 for the sum of all exposures |
| C0030/R0400-R0520 | Exposure at default | Exposure at default in reporting currency ofin R0420 to R0510 for the top 10 exposuresin R0410 for the sum of these top 10 exposuresin R0520 for the remaining exposuresin R0400 for the sum of all exposures |
| C0040/R0400-R0520 | Credit Risk Contribution | Contribution to the credit risk incl. diversification, i.e. the sum of entries in this column gives the credit risk SCR:in R0420 to R0510 for the top 10 exposuresin R0410 for the sum of these top 10 exposuresin R0520 for the remaining exposuresin R0400 for the sum of all exposures |
| C0050/R0410-R0510 | Average Probability of Default (in %) | Average 1Y probability of default in %in R0420 to R0510 for the top 10 exposuresin R0410 for the sum of these top 10 exposures |
| C0060/R0410-R0510 | Average Loss Given Default (in %) | Average loss given default in %in R0420 to R0510 for the top 10 exposuresin R0410 for the sum of these top 10 exposures |
| C0070/R0400-R0520 | Market value (% of total sum) | Share of the market value (in %) relative to the total sum of market values of exposures to credit event riskin R0420 to R0510 for the top 10 exposuresin R0410 for the sum of these top 10 exposuresin R0520 for the remaining exposuresin R0400 for the sum of all exposures (which should be 100 %) |
| C0080/R0400-R0520 | Credit Risk Contribution (% of total sum) | Share of the credit risk contribution (in %) relative to the total credit risk SCRin R0420 to R0510 for the top 10 exposuresin R0410 for the sum of these top 10 exposuresin R0520 for the remaining exposuresin R0400 for the sum of all exposures (which should be 100 %) |
| Split by asset class | ||
| C0020/R0530-R0640 | Market value | Market value according to the valuation used for solvency purposes split by asset class:Bond and loansCovered bondsSovereign bondsMortgagesAsset backedOtherCashReceivablesReinsurance and derivativesCredit insuranceOff BS and otherTotal |
| C0030/R0530-R0640 | Exposure at default | Exposure at default split by asset class:Bond and loansCovered bondsSovereign bondsMortgagesAsset backedOtherCashReceivablesReinsurance and derivativesCredit insuranceOff BS and otherTotal |
| C0040/R0530-R0640 | Credit Risk Contribution | Contribution to the credit SCR (in reporting currency) incl. diversification, i.e. the sum of entries in this column gives the credit risk SCR.Contribution split by asset class:Bond and loansCovered bondsSovereign bondsMortgagesAsset backedOtherCashReceivablesReinsurance and derivativesCredit insuranceOff BS and otherTotal |
| C0050/R0530-R0630 | Average Probability of Default (in %) | Average 1Y probability of default in % for the assets as sorted in the asset class split:Bond and loansCovered bondsSovereign bondsMortgagesAsset backedOtherCashReceivablesReinsurance and derivativesCredit insuranceOff BS and other |
| C0060/R0530-R0630 | Average Loss Given Default (in %) | Average loss given default in % for the assets as sorted in the asset class split:Bond and loansCovered bondsSovereign bondsMortgagesAsset backedOtherCashReceivablesReinsurance and derivativesCredit insuranceOff BS and other |
| C0070/R0530-R0640 | Market value (% of total sum) | Share of the market value (in %) relative to the total sum of market values of exposures to credit event risk split by asset classesBond and loansCovered bondsSovereign bondsMortgagesAsset backedOtherCashReceivablesReinsurance and derivativesCredit insuranceOff BS and otherTotal |
| C0080/R0530-R0640 | Credit Risk Contribution (% of total sum) | Share of the credit risk contribution (in %) relative to the total credit risk SCR split by asset classesBond and loansCovered bondsSovereign bondsMortgagesAsset backedOtherCashReceivablesReinsurance and derivativesCredit insuranceOff BS and otherTotal |
| Split by credit quality step (CQS) | ||
| C0020/R0650-R0730 | Market value | Market value in reporting currency according to the valuation used for solvency purposes split by credit quality step— |
| C0030/R0650-R0730 | Exposure at default | Exposure at default in reporting currency split by credit quality step. |
| C0040/R0650-R0730 | Credit Risk Contribution | Contribution to the credit SCR (in reporting currency) incl. diversification, i.e. the sum of entries in this column gives the credit risk SCR.— |
| C0050/R0650-R0720 | Average Probability of Default (in %) | Average 1Y probability of default in % for the assets as sorted in the credit quality steps. |
| C0060/R0650-R0720 | Average Loss Given Default (in %) | Average loss given default in % for the assets as sorted in the credit quality steps. |
| C0070/R0650-R0730 | Market value (% of total sum) | Share of the market value (in %) relative to the total sum of market values of exposures to credit event risk split by credit quality step. |
| C0080/R0650-R0730 | Credit Risk Contribution (% of total sum) | Share of the credit risk contribution (in %) relative to the total credit risk SCR split by credit quality step. |
| C0100/R0740 | Credit event risk (‘migration and default’) – 99,5 % | This is the total amount of the capital charge for credit event risk (‘migration and default’) for 99,5 % quantile. |
| C0100/R0750 | Expected loss – mean | This is the total amount of mean of the probability distribution of expected loss for credit event risk (‘migration and default’). |
S.26.11 – Internal model: Credit risk – details for financial instruments
General comments:
This section relates to the annual submission of information for groups.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and groups.
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| Exposure at Default | ||
| C0010-C0090/R0010 | Overall Exposure at Default | Exposure at Default for different Credit Quality Steps. |
| C0010-C0090/R0020-R0080 | Exposure at Default breakdown | Amount of Exposure at Default for different asset classes and different Credit Quality Steps. |
| Probability of Default – weighted average where the weight is Exposure at Default | ||
| R0100 | Overall Probability of Default | Probability of Default for different Credit Quality Steps. |
| C0010-C0090/R0110-R0170 | Probability of Default breakdown | Probability of Default for different asset classes and different Credit Quality Steps. |
| C0100/R0180 | Other description | Summary of content of Other category referred in rows R0080 and R0170 so materiality can be judged. |
| Solvency Capital Requirements | ||
| C0110/R0190 | Total undiversified credit risk | This is the total amount of the capital charge for credit risk before any diversification effects. |
| C0110/R0200 | Diversification:credit risk | This is the amount of gross diversification effects allowed in aggregation of capital requirements for credit risk.This amount should be reported as a negative value. |
| C0110/R0210 | Diversified risk:credit risk | This is the total amount of the capital charge for credit risk. |
S.26.12 – Internal model: Credit risk – for non-financial instruments
General comments:
This section relates to the annual submission of information for groups.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and groups.
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| Type 1 exposures in terms of impact on SCR | ||
| C0010/R0020-R0110 | Name of single name exposure | Describe the name of the 10 largest single exposures. |
| C0020/R0020-R0110 | Code of single name exposure | Identification code using the Legal Entity Identifier (LEI) if available.If not available this item should not be reported |
| C0030/R0010 | Sum of all Losses Given Default | The sum of the Loss Given Default for all Type 1 exposures. |
| C0030/R0020-R0110 | Type 1 exposures – Single name exposure X – Loss Given Default | The value of the Loss Given Default for each of the 10 largest single name exposures. |
| C0030/R0120 | Type 1 aggregate Loss Given Default excluding 10 largest single name exposures | Loss Given Default for all Type 1 exposures excluding 10 largest single name exposures. |
| C0040/R0010 | Sum of all Exposures at Default | The sum of the Exposure at Default for all Type 1 exposures. |
| C0040/R0020-R0110 | Type 1 exposures – Single name exposure X – Exposure at Default | The value of the Exposure at Default for each of the 10 largest single name exposures. |
| C0040/R0120 | Type 1 aggregate Exposure at Default excluding 10 largest single name exposures | The value of the Exposure at Default for all Type 1 exposures excluding 10 largest single name exposures. |
| C0050/R0010 | Weighted average Probability of Default for Type 1 exposures | Weighted average of Probability of Default for Type 1 exposures where the weight is Exposure at Default. |
| C0050/R0020-R0110 | Type 1 exposures – Single name exposure X – Probability of Default | The Probability of Default for each of the 10 largest single name exposures. |
| Type 2 exposures in terms of impact on SCR | ||
| C0030/R0130 | Sum of all Losses Given Default | The sum of the Loss Given Default for all Type 2 exposures. |
| C0030/R0140-R0180 | Type 2 exposures – Loss Given Default | Loss Given Default for the different exposures.For R0160 include the other highest main exposure excluding R0140–R0150.For R0170 include the other highest main exposure excluding R0140–R0160.For R0180 include the other highest main exposure excluding R0140–R0170. |
| C0030/R0190 | Type 2 aggregate Loss Given Default excluding R0140–R0180 | Loss Given Default for all Type 2 exposures excluding R0140–R0180. |
| C0040/R0130 | Sum of all Exposures at Default | The sum of the Exposure at Default for all Type 2 exposures. |
| C0040/R0140-R0180 | Type 2 exposures – Exposure at Default | Exposure at Default for the different exposures:For R0160 include the other highest main exposure excluding R0140–R0150.For R0170 include the other highest main exposure excluding R0140–R0160.For R0180 include the other highest main exposure excluding R0140–R0170. |
| C0040/R0190 | Type 2 aggregate Exposure at Default excluding R0140–R0180 | Exposure at Default for all Type 2 exposures excluding R0140–R0180. |
| C0050/R0130 | Weighted average Probability of Default for Type 2 exposures | Weighted average of Probability of Default for Type 2 exposures where the weight is Exposure at Default. |
| C0050/R0140-R0180 | Type 2 exposures – Probability of Default | The Probability of Default for each of R0140–R0180. For R0140 and R0150 it shall be the weighted average of the Probabilities of Default where the weight is Exposure at Default. |
| C0060/R0140-R0180 | Description of exposure | Short description of the Type 2 exposure.For R0160 include the other highest main exposure excluding R0140–R0150.For R0170 include the other highest main exposure excluding R0140–R0160.For R0180 include the other highest main exposure excluding R0140–R0170. |
| Solvency Capital Requirements | ||
| C0070/R0200 | Total undiversified counterparty default risk | This is the total amount of the capital charge for counterparty default risk before any diversification effects. |
| C0070/R0210 | Diversification:counterparty default risk | This is the amount of gross diversification effects allowed in aggregation of capital requirements for counterparty default risk for Type 1 and Type 2 exposures.This amount should be reported as a negative value. |
| C0070/R0220 | Diversified risk:counterparty default risk | This is the total amount of the capital charge for counterparty default risk. |
S.26.13 – Internal model: Non-Life & Health NSLT Underwriting risk
—Premium and Reserve Risk: Premium and Reserve Risk data including Cat.
—Monetary amounts of this template are discounted.
—Catastrophe Risk (Cat): Catastrophe Risk data.
—High percentiles represent adverse results for the undertaking since the underlying distribution is a loss distribution (i.e. 99.5 is used for the SCR calculation).
—Premium & Reserve Risk (Excluding explicit Cat): Premium and Reserve Risk data excluding explicit Cat.
—In general, it is expected that the requested figures are available at both granularities (internal or Solvency 2 LoBs) and consistently reported for each of these 2 granularities to the extent possible (means add up, etc.).
—Premium Risk: The premium risk distribution should be such that its mean reflects an expected profit or loss including the movement of Premium Provisions over the year. Results should exclude Cat.
—The word diversified is in this template used to differentiate between different levels of granularity (e.g. diversified reserve risk is the overall aggregated reserve risk in comparison to the sum of undiversified S2LoBs).
—Reserve Risk: The Reserve Risk distribution should be such that its mean is approximately zero, as there is no expected profit in a Best Estimate. Results should exclude Cat.
—Within Premium and Reserve Risk the following two segmentations are requested:
—Solvency 2 Lines of Business (S2LoB): As defined in Annex II of the Delegated Regulation, based on lines of business (LoBs) defined in Annex I.
—Internal Model Lines of Business (IntLoB): Is understood as the most granular level from the internal model direct outputs at which the probability distribution function of the losses and SCR are available. IntLoBs are expected to be used for internal reporting as well as the management of the capital positions by the undertaking. IntLoBs typically are close to the parameterisation level. They should enable an understanding of the internal model specific behaviour.
General comments:
This section relates to the annual submission of information for groups.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and groups.
This template collects information on Non-Life and Health NSLT underwriting risk in the following different risk granularities gross and net of reinsurancenote:
In case of co-Insurance on direct business, for leading insurance undertakings the full proportion of business is understood to be reported as gross direct business, whereby the proportion shared with non-leading insurers is considered to be treated as outward reinsurance.
Overall the following applies:
Because there are different ways of modelling these risks, undertakings are not requested to change their internal model to be able to follow the structure of the codes. So, if undertakings model the catastrophe risk together with the risk of premiums and/or reserves, then they should not fill in section ‘Distribution of losses from catastrophe perils’. In addition, if undertakings obtain a specific distribution of premium and reserve risks for Health NSLT underwriting risk and a separate one for non-life underwriting risk without aggregating the two together, the information will be included in ‘Overall Health NSLT gross of reinsirance’ – ‘Overall Health NSLT net of reinsurance’ sections and ‘Overall Non-Life gross of reinsurance’ – ‘Overall Non-Life net of reinsurance’ sections respectively. Otherwise, ‘Overall Non-Life gross of reinsurance’ – ‘Overall Non-Life net of reinsurance’ sections should not be reported.
The Occurrence Exceedance Probability (OEP) is the probability that the associated loss level will be exceeded by any event in any given year. It is used when the insurance program is written on an occurrence basis, or when the loss associated with one event is important.
The Aggregate Exceedance Probability (AEP) is the probability that the associated loss level will be exceeded by the aggregated losses in any given year and is used when the insurance program is written on an aggregate basis.
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| Risk model data | ||
| C0010/R0010 | Is SCR risk measure for Premium risk centred? | One of the options in the following closed list shall be used:Yes – SCR is measured as deviation from the expected result (Centred risk). Please describe in code C0010/R0020.No – SCR is measured as deviation from zero (Non-centred risk). Please describe in code C0010/R0020.Other – Please describe in code C0010/R0020. |
| C0010/R0020 | Short description of SCR risk measure used for Premium risk | Describe the way in which the Internal Model SCR risk measure for Premium risk is derived (e.g. from the ‘economic’ Profit and Loss distribution).Use as reference point the metric defined for the SCR in Article 101 of the Solvency II Directive and go through all aspects where your approach may differ (e.g. deviations from the VaR 1/200, the 1-year time horizon of risk, risk as deviation from the expected result, etc.).If the approved Internal Model risk measure complies with the risk measure as defined by Article 101 of the Solvency II Directive please confirm by inserting ‘Internal Model risk measure as defined in Article 101 of the Solvency II directive’. |
| C0010/R0030 | Is SCR risk measure for Reserve risk centred? | One of the options in the following closed list shall be used:Yes – Risk Capital includes a deviation from the expected result (centred risk). Please describe in code C0010/R0040.No – Risk Capital includes a deviation from zero (Non-centred risk). Please describe in code C0010/R0040.Other – Please describe in code C0010/R0040. |
| C0010/R0040 | Short description of SCR risk measure used for Reserve risk | Describe the way the in which Internal Model the SCR risk measure for Reserve risk is derived (e.g. from the economic Profit and Loss distribution).Use as reference point the standard metric used for the SCR under Solvency II Directive Section 4 Subsection 1 & 2 (Focus in particular on Article 101, 104, 105, 108) under Solvency II and go through all aspects where your approach may differ (e.g. deviations from the VaR 1/200, the 1-year time horizon of risk, risk as deviation from the expected result, going concern, etc.).If the approved Internal Model risk measure complies with all assumptions of Section 4 Subsection 2 please confirm by inserting ‘Internal Model risk measure in line with Standard Formula risk measure definition’ |
| C0010/R0050 | Is SCR risk measure for Catastrophe risk centred? | One of the options in the following closed list shall be used:Yes – Risk Capital includes a deviation from the expected result (centred risk). Please describe in code C0010/R0060.No – Risk Capital includes a deviation from zero (Non-centred risk). Please describe in code C0010/R0060.Other – Please describe in code C0010/R0060. |
| C0010/R0060 | Short description of SCR risk measure used for Catastrophe risk | Describe the way the in which the Internal Model SCR risk measure for Catastrophe risk is derived. (e.g. from the economic Profit and Loss distribution).Use as reference point the standard metric used for the SCR under Solvency II Directive Section 4 Subsection 1 & 2 (Focus in particular on Article 101, 104, 105, 108) under Solvency II and go through all aspects where your approach may differ (e.g. deviations from the VaR 1/200, the 1-year time horizon of risk, risk as deviation from the expected result, going concern, etc.).If the approved Internal Model risk measure complies with all assumptions of Section 4 Subsection 2 please confirm by inserting ‘Internal Model risk measure in line with Standard Formula risk measure definition’ |
| Internal LoB mapping | ||
| C0020 | Internal line of business | Name of internal line of business used in the internal model. It shall be consistent across the template. |
| C0030 | Solvency II line of business | Identification of the Non-Life line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:1 – Medical expense insurance2 – Income protection insurance3 – Workers’ compensation insurance4 – Motor vehicle liability insurance5 – Other motor insurance6 – Marine, aviation and transport insurance7 – Fire and other damage to property insurance8 – General liability insurance9 – Credit and suretyship insurance10 – Legal expenses insurance11 – Assistance12 – Miscellaneous financial loss13 – Proportional medical expense reinsurance14 – Proportional income protection reinsurance15 – Proportional workers’ compensation reinsurance16 – Proportional motor vehicle liability reinsurance17 – Proportional other motor reinsurance18 – Proportional marine, aviation and transport reinsurance19 – Proportional fire and other damage to property reinsurance20 – Proportional general liability reinsurance21 – Proportional credit and suretyship reinsurance22 – Proportional legal expenses reinsurance23 – Proportional assistance reinsurance24 – Proportional miscellaneous financial loss reinsurance25 – Non–proportional health reinsurance26 – Non–proportional casualty reinsurance27 – Non–proportional marine, aviation and transport reinsurance28 – Non–proportional property reinsuranceIt is expected the insurance and reinsurance undertakings indicate in which Solvency II LoB each internal LoB is included.If one Internal LoB maps to two or more Solvency II LoBs then C0040 reports the corresponding proportion (as a value between 0 and 1) of the internal LoB for each mapped Solvency II LoB. These values shall add up to 1 for each internal LoB that maps to two or more Solvency II LoBs. If there is a one-to-one mapping then C0040 shall be 1. |
| C0040 | Premium risk indicator | The following closed list shall be used:Assigned to premium riskNot assigned to premium risk |
| C0050 | Reserve risk indicator | The following closed list shall be used:Assigned to reserve riskNot assigned to reserve risk |
| C0060 | Proportion of Internal Line of Business allocated to SII Line of Business | Proportion of internal line of business allocated to SII line of business as a decimal number e.g. if it’s 10 % then use 0.1. |
| Gross Reserve risk model data | ||
| Z0010 | SII Line of Business | Identification of the Non-Life line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:1 – Medical expense insurance2 – Income protection insurance3 – Workers’ compensation insurance4 – Motor vehicle liability insurance5 – Other motor insurance6 – Marine, aviation and transport insurance7 – Fire and other damage to property insurance8 – General liability insurance9 – Credit and suretyship insurance10 – Legal expenses insurance11 – Assistance12 – Miscellaneous financial loss13 – Proportional medical expense reinsurance14 – Proportional income protection reinsurance15 – Proportional workers’ compensation reinsurance16 – Proportional motor vehicle liability reinsurance17 – Proportional other motor reinsurance18 – Proportional marine, aviation and transport reinsurance19 – Proportional fire and other damage to property reinsurance20 – Proportional general liability reinsurance21 – Proportional credit and suretyship reinsurance22 – Proportional legal expenses reinsurance23 – Proportional assistance reinsurance24 – Proportional miscellaneous financial loss reinsurance25 – Non–proportional health reinsurance26 – Non–proportional casualty reinsurance27 – Non–proportional marine, aviation and transport reinsurance28 – Non–proportional property reinsurance |
| Z0020 | Risk type | One of the options in the following closed list shall be used:1 – Non-life and NSLT health reserve risk aggregated jointly with implicit catastrophe risk2 – Non-life and NSLT health reserve risk aggregated jointly3 – Non-life underwriting reserve risk with implicit catastrophe risk4 – Non-life underwriting reserve risk |
| C0070 | Diversified reserve risk excluding explicit Catastrophe Risk | Aggregate reserve risk gross/net of reinsurance after applying diversification effects among different risks.It will include catastrophe risk if it is modelled jointly with the reserve risk, otherwise catastrophe risk will be reported using separate fields described in the ‘Distribution of losses from catastrophe perils’ section of this LOG file. |
| C0080 | SII Line of Business | Reserve risk gross/net of reinsurance for each Solvency II LoB.It will include catastrophe risk if it is modelled jointly with the reserve risk, otherwise catastrophe risk will be reported using separate fields described in the ‘Distribution of losses from catastrophe perils’ section of this LOG file. |
| C0090 | Internal Line of Business | Reserve risk gross/net of reinsurance for each internal LoB.It will include catastrophe risk if it is modelled jointly with the reserve risk, otherwise catastrophe risk will be reported using separate fields described in the ‘Distribution of losses from catastrophe perils’ section of this LOG file. |
| R0070 | Provision for claims outstanding – discounted | The best estimate of claims (gross of reinsurance) that have not been settled. It includes all claims not yet settled, reported and not reported. Based on Article 77 Solvency II Directive, the best estimate corresponds to the probability-weighted average of future cash-flows, taking account of the time value of money (expected present value of future cash-flows), using the relevant risk-free interest rate term structure. |
| R0080 | Premium Provision – discounted (only if premium provision allocated to reserve risk) | The discounted sum of future cash flows that comprise the premium provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance regarding direct and accepted business. This cell should be filled in if the premium provision at the reporting reference date is allocated to reserve risk. |
| R0090 | Solvency Capital Requirement | This is the amount of funds that insurance and reinsurance groups need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoB and aggregate level based on gross of reinsurance data.This cell represents the stand-alone risk of the respective granularity with the approved risk measure of the Internal Model. |
| R0100 | Simulated (output) mean | This is the mean of the profit and loss distribution forecast according to the approved model setup, i.e. as relevant for the calculation of the official SCR. It is the output obtained based on the simulation process (gross of reinsurance and on an undiscounted basis) |
| R0110 | Simulated (output) standard deviation | This is the standard deviation of the probability distribution of the future cash out-flows (Combined ratio styled) relating to claims events on a one-year time horizon basis as at the reporting reference date. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| R0120-R0330 | Percentiles from 0,001 to 0,999 | The undertaking is expected to indicate the amounts of the percentiles required in the table related to the probability distribution of the future cash out-flows relating to claims events on a one-year time horizon basis as at the reporting reference date obtained based on the simulation process (gross of reinsurance and on a discounted basis).If the risk measure definition is in line with the risk measure definition of Article 101 of the Solvency II Directive, the 99.5 percentile will differ by the Simulated (output) mean from the SCR. |
| Net Reserve risk model data | ||
| R0340 | Provision for claims outstanding – discounted | The best estimate of claims (net of reinsurance recoverables) that have not been settled. It includes all claims not yet settled, reported and not reported. Based on Article 77 Solvency II Directive, the best estimate corresponds to the probability-weighted average of future cash-flows, taking account of the time value of money (expected present value of future cash-flows), using the relevant risk-free interest rate term structure. |
| R0350 | Premium Provision – discounted (only if premium provision allocated to reserve risk) | The discounted sum of future cash flows that comprise the premium provisions net of reinsurance recoverables. This cell should be filled in if the premium provision at the reporting reference date is allocated to reserve risk. |
| R0360 | Solvency Capital Requirement | This is the amount of funds that insurance and reinsurance groups need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoB and aggregate level based on net of reinsurance data. |
| R0370 | Simulated (output) mean | This is the mean of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on discounted basis). |
| R0380 | Simulated (output) standard deviation | This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on discounted basis). |
| R0390-R0600 | Percentiles from 0,001 to 0,999 | The undertaking is expected to indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on discounted basis). |
| Gross Premium risk model data | ||
| Z0020 | Risk type | One of the options in the following closed list shall be used:1 – Non-life and NSLT health premium risk aggregated jointly with implicit catastrophe risk2 – Non-life and NSLT health premium risk aggregated jointly3 – Non-life underwriting premium risk with implicit catastrophe risk4 – Non-life underwriting premium risk |
| C0100 | Diversified premium risk excluding explicit Catastrophe Risk | Aggregate premium risk gross/net of reinsurance after applying diversification effects among different risks.It will include catastrophe risk if it is modelled jointly with the premium risk, otherwise catastrophe risk will be reported using separate codes described in the ‘DISTRIBUTION OF LOSSES FROM CATASTROPHE PERILS’ section of this LOG file. |
| C0110 | SII Line of Business | Premium risk gross/net of reinsurance for each Solvency II LoB.It will include catastrophe risk if it is modelled jointly with the premium risk, otherwise catastrophe risk will be reported using separate codes described in the ‘DISTRIBUTION OF LOSSES FROM CATASTROPHE PERILS’ section of this LOG file. |
| C0120 | Internal Line of Business | Premium risk gross/net of reinsurance for each internal LoB.It will include catastrophe risk if it is modelled jointly with the premium risk, otherwise catastrophe risk will be reported using separate codes described in the ‘DISTRIBUTION OF LOSSES FROM CATASTROPHE PERILS’ section of this LOG file. |
| R0610 | Gross Written Premium | Gross premiums written shall comprise all amounts due during the financial year in respect of insurance contracts, arising from direct business, regardless of the fact that such amounts may relate in whole or in part to a later financial year. |
| R0620 | Gross Earned Premium | It is the sum of gross premiums written minus the change in the gross provision for unearned premiums related to insurance direct business. |
| R0630 | Gross written premium planned in the 12 months post the reporting Reference Date | Gross premium planned to be written within the 12 months following the reporting reference date via binder agreements either signed before or after the reference date. |
| R0640 | Gross written unearned premium at the Reference Date (only if premium provision allocated to premium risk) | Written unearned premium gross of reinsurance. This cell should be filled in if the premium provision at the reporting reference date is allocated to premium risk. |
| R0650 | Premium Provision – discounted (only if premium provision allocated to premium risk) | The discounted sum of future cash flows that comprise the premium provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance regarding direct and accepted business. This cell should be filled in if the premium provision at the reporting reference date is allocated to premium risk. |
| R0660 | Solvency Capital Requirement | This is the amount of funds that insurance and reinsurance groups need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoBs and aggregate level based on gross of reinsurance data. |
| R0670 | Simulated (output) mean | This is the mean loss ratio of the probability distribution. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| R0680 | Simulated (output) standard deviation | This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| R0690-R0900 | Percentiles from 0,001 to 0,999 | The undertaking is expected to indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| Net Premium risk model data | ||
| R0910 | Net Written Premium | Net premiums written shall comprise all amounts due during the financial year in respect of insurance contracts, arising from direct business, regardless of the fact that such amounts may relate in whole or in part to a later financial year. |
| R0920 | Net Earned Premium | It is the sum of net premiums written minus the change in the net provision for unearned premiums related to insurance direct business. |
| R0930 | Net written premium planned in the 12 months post the Reference Date | Net premium planned to be written within the 12 months following the reporting reference date via binder agreements either signed before or after the reference date. |
| R0940 | Net written unearned premium at the Reference Date (only if premium provision allocated to premium risk) | Written unearned premium net of reinsurance. This cell should be filled in if the premium provision at the reporting reference date is allocated to premium risk. |
| R0950 | Premium Provision – discounted (only if premium provision allocated to premium risk) | The discounted sum of future cash flows that comprise the premium provisions net of reinsurance recoverables. This cell should be filled in if the premium provision at the reporting reference date is allocated to premium risk. |
| R0960 | Solvency Capital Requirement | This is the amount of funds that insurance and reinsurance groups need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoBs and aggregate level based on net of reinsurance data. |
| R0970 | Simulated (output) mean | This is the mean of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| R0980 | Simulated standard deviation | This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| R0990-R1200 | Percentiles from 0,001 to 0,999 | The undertaking is expected to indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| Overall Non-Life and Health NSLT gross of reinsurance | ||
| Z0020 | Risk type | One of the options in the following closed list shall be used:1 – Non-life and NSLT health premium risk and reserve risk aggregated jointly with implicit catastrophe risk2 – Non-life and NSLT health premium risk and reserve risk aggregated jointly3 – Non-life underwriting premium risk and reserve risk with implicit catastrophe risk4 – Non-life underwriting premium risk and reserve risk5 – NSLT health underwriting premium risk and reserve risk aggregated separately with implicit catastrophe risk6 – NSLT health underwriting premium risk and reserve risk aggregated separately |
| C0130 | Total undiversified | The total amount of non-life and health NSLT underwriting risk before applying diversification effects among different non-life risks. This amount will include catastrophe risk if it is modelled jointly with the premium and reserve risk, otherwise catastrophe risk will be reported using separate codes described in the ‘DISTRIBUTION OF LOSSES FROM CATASTROPHE PERILS’ section of this LOG file. |
| C0140 | Diversification | The difference between total undiversified standalone non-life and health NSLT underwriting risk and total non-life underwriting risk diversified. This amount is the diversification effect and shall be reported as a negative value. |
| C0150 | Diversified | The total amount of non-life and health NSLT risk underwriting after applying diversification effects among different risks. This amount will include catastrophe risk if it is modelled jointly with the premium and reserve risk, otherwise catastrophe risk will be reported using separate codes described in the ‘DISTRIBUTION OF LOSSES FROM CATASTROPHE PERILS’ section of this LOG file. |
| R1210 | Solvency Capital Requirement | This is the amount of funds that insurance and reinsurance undertakings need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoBs and aggregate level based on gross of reinsurance data. |
| R1220 | Simulated (output) mean | This is the mean of the probability distribution. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| R1230 | Simulated (output) standard deviation | This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| R1240-R1450 | Percentiles from 0,001 to 0,999 | The undertaking is expected to indicate the amounts of the percentiles required in the chart related to the probability distribution obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| Overall Non-Life and Health NSLT net of reinsurance | ||
| R1460 | Solvency Capital Requirement | This is the amount of funds that insurance and reinsurance undertakings need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoBs and aggregate level based on net of reinsurance data. |
| R1470 | Simulated (output) mean | This is the mean of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| R1480 | Simulated (output) standard deviation | This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| R1490-R1700 | Percentiles from 0,001 to 0,999 | The undertaking is expected to indicate the amounts of the percentiles required in the chart related to the probability distribution obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| Distribution of losses from Catastrophe Perils | ||
| C0020 | Classes impacted by the catastrophe event | List of all classes impacted by the catastrophe event for the relevant peril. |
| C0160 | Catastrophe | Name of natural catastrophe or man-made peril per modelled region. Please include name of region and peril. Do not include generic names like region1 or peril1. It is recommended that the names of the perils and the regions are in English. |
| C0170 | Commercially available vendor model used (if applicable) | One of the options in the following closed list shall be used:YesNo |
| C0180 | Commercially available vendor model name and version used (if applicable) | If a commercially available vendor model is used in the internal model for the peril this field should contain the name of the model and the version of the model that the simulations are based on. |
| C0190 | Explanatory information (if AEP loss is not available) | Provide short concise information on model and reasons, if the field ‘AEP loss’ is not available. If agreed with the responsible supervisor this field could also be used to provide information on modelling approaches in other cases. |
| C0200 | Total Sum insured | The insurance or reinsurance undertaking is expected to report their total sum insured for direct business by peril and region. |
| C0210 | Exposure amount | The exposure amount used by the undertaking that has been agreed upon with the respective supervisor. The metric used can be different among perils and regions. |
| C0220 | Exposure metric | Short description of exposure metric used in previous column (C6). |
| Distribution of losses from Catastrophe Perils – Total (property and non-property) business | ||
| Z0010 | Internal line of business | Name of the internal line of business used by the undertaking. |
| C0230-C0400/R1710 | Simulated mean from model for Total (property and non-property) business | This is the mean of the probability distribution corresponding to each peril and aggregation of perils. It is the output obtained based on the simulation process. The mean should be reported with the following splits:Mean of OEP for all business gross of reinsuranceMean of AEP for all business gross of reinsuranceMean of Annual loss for all business gross of reinsuranceMean of OEP for all business net of reinsuranceMean of AEP for all business net of reinsuranceMean of Annual loss for all business net of reinsurance‘Annual loss’ is explicitly not ‘Average Annual Loss’ (AAL), but the loss determined according to the statistical measure, i.e. mean, standard deviation or percentile. AAL corresponds to the mean annual loss.” |
| C0230-C0400/R1720 | Simulated standard deviation for Total (property and non-property) business | This is the standard deviation of the probability distribution corresponding to each peril and aggregation of perils. It is the output obtained based on the simulation process. The standard deviation should be reported with the same split as the Simulated mean. |
| C0230-C0400/R1730-R1810 | Simulated percentiles for Total (property and non-property) business | Probability distribution percentiles obtained based on the simulation process for each peril and aggregation of perils. Reported percentiles are 0,75, 0,9, 0,96, 0,98, 0,99, 0,995, 0,996, 0,998 and 0,999. The information for each separate percentile shall be reported with the same split as the Simulated mean. |
| Premium and sums insured data | ||
| C0410/R1820-R1950 | Gross Annual Premium – Direct insurance | Split of gross annual premium written for direct business by geographical region. Geographical regions to be used are Europe, Africa, North East US, South East US, Mid-West US, Western US, Northern America (excluding US), Caribbean & Central America, South America, Australia, Japan, Asia (excluding Japan) and Rest of World. Any unallocated premium should be put in the Unallocated bucket.The definition of these geographical areas can be found in Annex III of the COMMISSION DELEGATED REGULATION (EU) 2015/35. When one of the above geographical regions is a superset of the defined regions in the delegated regulation then all countries in the subsets should be considered for this region. The only exception here is Japan which is singled out from the rest of Asia. |
| C0420/R1820-R1950 | Total Sum Insured – Direct insurance | Split of total sum insured for direct business by geographical region. Geographical regions to be used are Europe, Africa, North East US, South East US, Mid-West US, Western US, Northern America (excluding US), Caribbean & Central America, South America, Australia, Japan, Asia (excluding Japan) and Rest of World. Any unallocated premium should be put in the Unallocated bucket.The definition of these geographical areas can be found in Annex III of the COMMISSION DELEGATED REGULATION (EU) 2015/35. When one of the above geographical regions is a superset of the defined regions in the delegated regulation then all countries in the subsets should be considered for this region. The only exception here is Japan which is singled out from the rest of Asia. |
| C0410/R1960-R1990 | Gross Annual Premium – Reinsurance | The insurance or reinsurance undertaking is expected to split their gross annual written premium for reinsurance by geographical region. Geographical regions to be used are Europe, North America and Rest of World. Any unallocated premium should be put in the Unallocated bucket. |
| C0420/R1960-R1990 | Total Sum Insured – Reinsurance | The insurance or reinsurance undertaking is expected to split their total sum insured for reinsurance by geographical region. Geographical regions to be used are Europe, North America and Rest of World. Any unallocated premium should be put in the Unallocated bucket. |
| SPLIT OF PREMIUM INCOME | ||
| C0430/R2000 | Direct insurance | Premium income (gross allocated written premium forecasted for the next 12 months as used in the model) for the insurance or reinsurance undertaking direct business. |
| C0430/R2010 | Reinsurance | Premium income (gross allocated written premium forecasted for the next 12 months as used in the model) for the insurance or reinsurance undertaking reinsurance business. |
| C0430/R2020 | Retrocession | Premium income (gross allocated written premium forecasted for the next 12 months as used in the model) for the insurance or reinsurance undertaking retrocession. |
| SIGNIFICANT OTHER PERILS | ||
| C0440/R2030 | Significant other perils | The insurance or reinsurance undertaking should here indicate if their business contains other significant perils not included in the NatCat or Man-made perils above with a Yes, otherwise this cell should contain a No. |
| C0440/R2040 | Description of other perils | If the above cell is Yes the insurance or reinsurance undertaking should provide here a text description of those other significant peril(s). |
| CATASTROPHE SCR AGGREGATION – Reported net of reinsurance | ||
| C0450/R2050 | Total undiversified NatCat risk | Sum of separate SCR for all NatCat risk perils. |
| C0450/R2060 | Diversification between NatCat perils | Diversification effect on SCR between NatCat perils. Calculated as SCR for NatCat risk perils – Sum of separate SCR for all NatCat risk perils. |
| C0450/R2070 | Total undiversified man-made risk | Sum of SCR for all Man-made risk perils. |
| C0450/R2080 | Diversification between man-made perils | Diversification effect on SCR between Man-made perils. Calculated as SCR for Man-made risk perils – Sum of separate SCR for all Man-made risk perils. |
| C0450/R2090 | Other non-life catastrophe risk | SCR for other non-life Catastrophe risk. |
| C0450/R2100 | Diversification between other non-life catastrophe perils | Diversification effect on SCR between Other perils. Calculated as SCR for Other risk perils – Sum of separate SCR for all Other risk perils. |
| C0450/R2110 | Non-life catastrophe risk – total diversification | Diversification effect on SCR between NatCat, Man-made and Other perils. Calculated as SCR for Catastrophe risk – SCR for NatCat risk perils – SCR for all Man-made risk perils -SCR for all Other risk perils. |
| C0450/R2120 | Total Non-life catastrophe risk – diversified | SCR for Catastrophe risk. |
S.26.14 – Internal model: Life and Health underwriting risk
General comments:
This section relates to the annual submission of information for groups.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and groups.
In this template, the results of internal models for Life and Health SLT underwriting risk are reported. If insurers also integrate Health NSLT underwriting risk in the Life + Health SLT underwriting risk model structure, the results of the Health NSLT model should also be reported in this template.
Depending on the structure of Life and Health SLT underwriting risk modelling, one of the two blocks for longevity and mortality risk should be used. If the internal model structure is such that Mortality and Longevity risks are modelled together, then for these risks only R0270 where these risks are combined, shall be reported.
In general, if cells cannot be sensibly reported an alternative should be selected. For example, if an undertaking cannot separate trend, level or volatility modelling within a submodule, then information should be provided at the corresponding aggregate level.
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| OPTION 1 – LIFE RISK | ||
| C0010/R0010, R0060, R0250, R0270C0030-C0040/R0110 | Net Best Estimate liability + Technical provisions calculated as a whole | Best estimate shall be reported net of reinsurance and refers to the products of the life insurance portfolio that are sensitive to the relevant risk category. TPs calculated as a whole should be taken in as well.The split for disability-morbidity risk aggregate refers to annuities paid out (‘APO’) or not (‘ANPO’). |
| C0050/R0010, R0060, R0110, R0250, R0270 | Net Written Premiums | The total of the written premiums net of reinsurance shall be reported for the products of the life insurance portfolio that are sensitive to the relevant risk category. |
| C0060/R0010, R0060, R0110, R0250, R0270 | Sum insured | The total sum insured shall be reported for the products of the life insurance portfolio that are sensitive to the relevant risk category. |
| C0070/R0010-R0270 | Solvency Capital Requirements | The SCR for the relevant risk category, net of reinsurance.The following explanations apply for C0070 – C0260:For the aggregate risks, the SCR after aggregation over the underlying sub-risks should be reported.For lapse risk the following applies:Lapse covers exercising contractual options in a general sense.Risk of increase in lapse rates (R0170) and decrease of lapse rates (R0180) are lapse risks other than mass lapse risk, where R0170 (R0180) covers the part of the business leading to a loss if lapse rates increase (decrease) as defined in the internal model.Risk of mass lapse (R0190) is risk of accumulation or catastrophe risk for lapse as defined in the internal model.Lapse type split (other than mass lapse) covers non-mass lapse risk if a split in increase/decrease is not available and offers a split in three rough categories: full surrender, i.e. termination of the contract, partial surrender and other exercising of contractual options or Policyholder behaviour. |
| C0080/R0010-R0270 | Mean | The mean of the probability distribution of the net SCR |
| C0090/R0010-R0270 | Standard deviation | The Standard deviation of the probability distribution of the net SCR |
| C0100-C0310/R0010-R0270 | Percentiles from 0,001 to 0,999 | It is expected that the insurance and reinsurance undertakings indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on discounted basis). |
| OPTION 2 – LIFE RISKTo be completed if the internal model only has a split between Trend and Level risk. In that case the following template (S.26.14.01.02) replaces the template above (S.26.14.01.01). | ||
| C0010/R0300 | Net Best Estimate liability + Technical provisions calculated as a whole | Catastrophe risk best estimate shall be reported net of reinsurance and refers to the products of the life insurance portfolio that are sensitive to the relevant risk category. TPs calculated as a whole should be taken in as well. |
| C0050/R0300 | Net Written Premiums | The total of the net written premiums for catastrophe risk shall be reported for the products of the life insurance portfolio that are sensitive to the relevant risk category. |
| C0060/R0300 | Sum insured | The total sum insured for catastrophe risk shall be reported for the products of the life insurance portfolio that are sensitive to the relevant risk category. |
| C0070/R0280-R0300 | Solvency Capital Requirements | The SCR for the relevant risk category, net of reinsurance.For the aggregate risks, the net SCR after aggregation over the underlying submodules should be reported. |
| C0080/R0280-R0300 | Mean | The mean of the probability distribution of the SCR |
| C0090/R0280-R0300 | Standard deviation | The Standard deviation of the probability distribution of the net SCR |
| C0100-C0310/R0280-R0300 | Percentiles from 0,001 to 0,999 | It is expected that the insurance and reinsurance undertakings indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on discounted basis). |
| OPTION 1 – HEALTH RISK | ||
| Z0010 | Type of Health risk modelled in Life & Health? | In the closed list there are 3 options:SLT, NSLT and SLT+NSLT |
| C0010/R0310, R0360, R0560C0030-C0040/R0410-R0460 | Net Best Estimate liability + Technical provisions calculated as a whole | Best estimate shall be reported net of reinsurance and refers to the products of the health insurance portfolio that are sensitive to the relevant risk category. TPs calculated as a whole should be taken in as well.The split for disability-morbidity risk aggregate refers to annuities paid out (‘APO’) or not (‘ANPO’). |
| C0050/R0310, R0360, R0410-R0460, R0560 | Net Written Premiums | The total of the net written premiums shall be reported for the products of the health insurance portfolio that are sensitive to the relevant risk category. |
| C0060/R0310, R0360, R0410-R0460, R0560 | Sum insured | The total sum insured shall be reported for the products of the health insurance portfolio that are sensitive to the relevant risk category. |
| C0070/R0310-R0570 | Solvency Capital Requirements | The SCR for the relevant risk category, net of reinsurance.The following explanations apply for C0070 – C0260:For the aggregate risks, the SCR after aggregation over the underlying submodules should be reported.For lapse risk the following applies:Lapse covers exercising contractual options in a general sense.Risk of increase in lapse rates (R0480) and decrease of lapse rates (R0490) are lapse risks other than mass lapse risk, where R0480 (R0490) covers the part of the business leading to a loss if lapse rates increase (decrease) as defined in the internal model.Risk of mass lapse (R0500) is risk of accumulation or catastrophe risk for lapse as defined in the internal model.‘Lapse type split (other than mass lapse)’ covers non-mass lapse risk if a split in increase/decrease is not available and offers a split in three rough categories: ‘full surrender’, i.e. termination of the contract, ‘partial surrender’ and ‘other’ exercising of contractual options or ‘Policyholder behaviour’. |
| C0080/R0310-R0570 | Mean | The mean of the probability distribution of the net SCR |
| C0090/R0310-R0570 | Standard deviation | The Standard deviation of the probability distribution of the net SCR |
| C0100-C0310/R0310-R0570 | Percentiles from 0,001 to 0,999 | It is expected that the insurance and reinsurance undertakings indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on discounted basis). |
| OPTION 2 – HEALTH RISKTo be completed if the internal model only has a split between Trend and Level risk. In that case the following template (S.26.14.01.05) replaces the template above (S.26.14.01.03). | ||
| C0010/R0600 | Net Best Estimate liability + Technical provisions calculated as a whole | Best estimate shall be reported net of reinsurance and refers to the products of the health insurance portfolio that are sensitive to the relevant risk category. TPs calculated as a whole should be taken in as well.The split for disability-morbidity risk aggregate refers to annuities paid out (‘APO’) or not (‘ANPO’). |
| C0050/R0600 | Net Written Premiums | The total of the net written premiums shall be reported for the products of the health insurance portfolio that are sensitive to the relevant risk category. |
| C0060/R0600 | Sum insured | The total sum insured shall be reported for the products of the health insurance portfolio that are sensitive to the relevant risk category. |
| C0070/R0580-R0600 | Solvency Capital Requirements | The SCR for the relevant risk category, net of reinsurance.For the aggregate risks, the net SCR after aggregation over the underlying submodules should be reported. |
| C0080/R0580-R0600 | Mean | The mean of the probability distribution of the net SCR |
| C0090/R0580-R0600 | Standard deviation | The Standard deviation of the probability distribution of the net SCR |
| C0100-C0310/R0580-R0600 | Percentiles from 0,001 to 0,999 | It is expected that the insurance and reinsurance undertakings indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on discounted basis). |
| SOLVENCY CAPITAL REQUIREMENTS | ||
| C0320/R0610 | Total undiversified risk: Life underwriting,Health underwriting, Life and Health underwriting | The sum of all (sub-) SCRs.For lapse, please choose the sum as appropriate to the splits presented on the most granular level.Examples: (1) If lapse increase and lapse decrease and mass lapse are available please sum up these. Irrespectively if the lapse split is additionally available. (2) If mass lapse and lapse split are available and also lapse split sublevels, please take the sum of mass lapse and lapse split. If only sublevels of lapse split are available, please chose those. |
| C0320/R0620 | Diversification:Life underwriting,Health underwriting, Life and Health underwriting | The diversification between the sub risks.This amount should be reported as a negative value. |
| C0320/R0630 | Diversified risk:Life underwriting,Health underwriting, Life and Health underwriting | The aggregated SCR Life and Health risk after aggregating all sub risks. |
S.26.15 – Internal model: Operational risk
General comments:
This section relates to the annual submission of information for groups.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and groups.
Each undertaking can use their own operational risks classification.
The columns C0020-C0060 contain information on the scenarios defined by the undertaking. In case of multi-tier classifications, data on at least the two highest levels of operational risk should be provided (define L1 as the highest level and L2 the immediately lower one, if present). All the information to be filled in is related to the one year forecasted loss probability distributions.
For an event type category defined as Level 1 (L1) occurrence, all numerical information (SCR, quantiles) should refer to the aggregation of the risk made at that level. Of course, each category identified in the Level 2 (L2) occurrence could come from an aggregation of lower levels loss distributions.
| Internal scenario classification[free text] | Unique ID[number] | Unique ID of parent level.[number] | |
|---|---|---|---|
| L2 A | 201 | 101 | Note that the ID of the containing level is not valued for L1 levels, as the ultimate parent level is the operational risk itself. |
| L2 B | 202 | 101 | |
| L2 C | 203 | 101 | |
| L2 D | 204 | 102 | |
| L2 E | 205 | 102 | |
| L1 A | 101 | ||
| L1 B | 102 |
Operational Risk
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010/R0010 | Is Basel L1 classification used? | Identify if the seven high-level categories (L1) specified in Basel II are used.One of the options in the following closed list shall be used:YesNo |
| C0010/R0020 | Is Basel L1 and L2 classification used? | Identify if the Basel Level 1 and 2 categories and their hierarchy (which L2 are included in each L1) specified in Basel II [Annex 7].One of the options in the following closed list shall be used:YesNo |
| C0020 | Scenario name | This table should be completed by all groups, also in the cases where the undertaking answers ‘No’ to ‘C0010/R0010’ and/or ‘C0010/R0020’, with the names of the internal scenarios used for Operational risk calculations by the internal model. |
| C0030 | Unique ID | This is a unique ID of the internal scenario. This should be consistent across different reporting periods. This is a numeric field. |
| C0040 | Unique ID of parent level. | This is a unique ID of the immediate parent internal scenario. This should be consistent across different reporting periods. This is a numeric field. |
| C0050 | Basel L1 classification mapping | For completion by undertakings which answer ‘Yes’ in C0010/R0010 or the mapping to Basel L1 exists. Field should be empty if the scenario is higher than level 2 in the classification.One of the options in the following closed list shall be used:1. Internal fraud2. External fraud3. Employment practices and workspace safety4. Damage to physical assets5. Business disruption and system failures6. Clients, products and business practices7. Execution, delivery and process management |
| C0060 | Basel L2 classification mapping | For completion by undertakings which answer ‘Yes’ in C0010/R0020 or the mapping to Basel L2 exists. Field should be empty if the scenario is higher than level 2 in the classification.The occurrence ‘Other’ can be used in case the risk could be classified in a Level 1 Basel category but there is not a Level 2 one.One of the options in the following closed list shall be used:1. Internal fraud – Unauthorized activity2. Internal fraud – Theft and fraud3. Internal fraud – Other4. External fraud – Theft and fraud5. External fraud – Systems security6. External fraud – Other7. Employment practices and workspace safety – Employee relations8. Employment practices and workspace safety – Safe environment9. Employment practices and workspace safety – Diversity and discrimination10. Employment practices and workspace safety – Other11. Damage to physical assets – Disasters and other events12. Damage to physical assets – Other13. Business disruption and system failures – Systems14. Business disruption and system failures – Other15. Clients, products and business practices – Suitability, disclosure and fiduciary16. Clients, products and business practices – Improper business or market practices17. Clients, products and business practices – Product flaws18. Clients, products and business practices – Selection, sponsorship and exposure19. Clients, products and business practices – Advisory activities20. Clients, products and business practices – Other21. Execution, delivery and process management – Transaction capture, execution and maintenance22. Execution, delivery and process management – Monitoring and reporting23. Execution, delivery and process management – Customer intake and documentation24. Execution, delivery and process management – Customer/client account management25. Execution, delivery and process management – Trade counterparties26. Execution, delivery and process management – Vendors and suppliers27. Execution, delivery and process management – Other |
| C0070 | Probability Distribution | Identify the probability distribution. One of the options in the following closed list shall be used:1. Poisson-lognormal2. Lognormal3. Poisson-Pareto4. Empirical5. Pareto6. Other, please specify7. Obtained by aggregation of lower levelsItem 1 to 6 to be used in case the probability distribution is quantified; item 7 in case the probability distribution is obtained by aggregation of lower level distributions. |
| C0080 | Solvency Capital Requirement | Solvency capital requirement net of risk mitigating contracts per scenario. |
| C0090-C0210 | Percentiles | Percentiles of the loss distribution (losses corresponds to the right tail) net of risk mitigating contracts per scenario. |
| C0220/R0030 | Total undiversified Level 2 | Sum of stand-alone capital requirements contributions for Level 2 operational risks classification.Any lower aggregation level should be already considered. |
| C0220/R0040 | Sum of diversification inside Level 2 items | Difference between the sum of undiversified leaf risks SCR and C0220/R0030.This amount should be reported as a negative value.For example, if the lower level is L3 (the ones quantified with probability distributions), enter the difference between the sum of Level 3 and the sum of Level 2 (standalone). |
| C0220/R0050 | Total undiversified Level 1 | Sum of stand-alone capital requirements contributions for Level 1 operational risks classification Any lower aggregation level should be already considered. |
| C0220/R0060 | Operational risk – diversification between Level 1 items | Difference of C0220/R0050 and C0220/R0070.This amount should be reported as a negative value. |
| C0220/R0070 | Operational risk – diversified | Diversified operational risk capital requirement net of risk mitigating contracts. |
S.26.16 – Internal model – Model Changes
—remove the impact of these minor changes in the major change if the minor changes were implemented in a previous reporting period; or
—include them in the ‘total minor changes’ and remove their effect from the major change due to accumulation of minor change impact.
General comments:
This section relates to the annual submission of information for groups.
The purpose of this template is to collect information on the characteristics of the changes to the model according to the approved model change policy and on how the SCR has moved in an annual reporting period due to these changes, that were implemented in that period. This period may be different from the one determined by the model change policy on the accumulation of minor changes, for instance.
Minor changes to the model should not be double counted within or across reporting periods. Therefore, if a major change includes minor changes or is the accumulation of minor changes, then either:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Type of Change | ||
| C0010 | Major | The information in this row should refer to a major change (in a given reporting period). While several major changes may be batched together for a single approval, they should be separated where there are distinct major changes. Naming convention: Major change 1_Component 1. |
| Change ID | ||
| C0020 | Change ID | This change ID should be consistent between the solo and the group submission. It is used to match the solo changes that correspond to the group change for the reporting period. |
| Description of Change | ||
| C0030 | Date of approval | Identify the ISO 8601 (yyyy–mm–dd) code of the date when approval is granted, according to the decision of the NCA’s concerned. |
| C0040 | Date of submission | Identify the ISO 8601 (yyyy–mm–dd) code of the date when the written application for approval to the NCA’s concerned (for approved changes) was made. |
| C0050 | Description of change to the policy | Briefly describe the nature of the change and what aspects of the model have been changed. |
| C0060 | Change resulting from | One of the options in the following closed list shall be used:1 – Change in risk profile2 – Change in input data and assumptions3 – Change in methodology4 – Other |
| C0070 | Other categorization and explanation | Describe the categorisation if different from column C0060. If filled-in, then use Other option in column C0060. |
| C0080 | Market risk impact | If the market risk charge is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used:YesNo |
| C0090 | CREDIT FinInstr risk impact | If the credit risk charge on financial instruments is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used:YesNo |
| C0100 | CREDIT NonFinInstr impact | If the credit risk charge on non-financial instruments is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used:YesNo |
| C0110 | Non-Life & Health NSLT risk impact | If the non-life & health NSLT risk charge is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used:YesNo |
| C0120 | Life & Health risk impact | If the life & health risk charge is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used:YesNo |
| C0130 | Operational risk impact | If the operational risk charge is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used:YesNo |
| C0140 | Pension risk impact | If the pension risk charge is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used:YesNo |
| C0150 | Dependency structure and correlation impact | If the diversification benefit due to changes to the dependency structure and/or the correlations is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used:YesNo |
| C0160 | Other (free text) | Describe how other modelled contributions (if any) to the SCR were impacted by the model change. |
| C0170 | Change qualification | One of the options in the following closed list shall be used:1 – Qualitative2 – Quantitative3 – Combination of quantitative/qualitative |
| Change Impact | ||
| C0180 | Total SCR value before change (amount) | Amount of Total SCR (full model run including the standard formula part for partial internal models and diversification benefit) value before the model change in units of the reporting currency. Report only for major changes. The value expected is as in S.23.01.01.01 R0580/C0010 for solos and S.23.01.04.01 R0680/C0010 for groups. |
| C0190 | Reference date of SCR impact | Identify the ISO 8601 (yyyy–mm–dd) code of the reference date of the SCR impact caused by the model change (major changes only). Specified date given by the NCAs in the approval letter of the major change application from which the approved model can be used to calculate the SCR. |
| C0200 | Total SCR value after change (amount) | Amount of Total SCR (full model run, if necessary, including the standard formula part for partial internal models and diversification benefit) value after the model change as specified in the model change application in units of the reporting currency. Report only for major changes. The value expected is as in S.23.01.01.01 R0580/C0010 for solos and S.23.01.04.01 R0680/C0010 for groups. |
| C0210 | Total SCR change % | The relative change of total SCR in percentage. (major changes only) |
| C0220 | Own Funds w/o change (amount) | Total Eligible Own Funds without the model change in units of the reporting currency. Report only for major changes. The value expected is as in S.23.01.01.01 R0540/C0010 for solos and S.23.01.04.01 R0660/C0010 for groups. |
| C0230 | Own Funds with change (amount) | Total Eligible Own Funds with the model change in units of the reporting currency. Report only for major changes. The value expected is as in S.23.01.01.01 R0540/C0010 for solos and S.23.01.04.01 R0660/C0010 for groups. |
| C0260 | Other trigger | If the level of change in SCR is not the trigger for the major change classification, then describe what criteria is classifying the change as major (only the relevant trigger that triggered the change). |
| C0270 | Other trigger impact (amount) | Impact amount in relation to the trigger in C0260 (other than SCR) |
| C0280 | Other trigger impact % | Percentage impact in relation to the trigger in C0260 (other than SCR) |
| Minor Changes | ||
| C0220 | Own Funds w/o change (amount) | Total Eligible Own Funds without the minor model changes. |
| C0230 | Own Funds with change (amount) | Total Eligible Own Funds without the minor model changes plus the sum of impacts of the minor model changes on the total Eligible Own Funds for this reporting period. |
| C0240 | SCR sum for minor changes increasing SCR | Sum of impacts of only the minor model changes to the total SCR which increased the SCR for this reporting period. The reference SCR value used should be as in S.23.01.01.01 R0580/C0010 for solos and S.23.01.04.01 R0680/C0010 for groups. |
| C0250 | SCR sum for minor changes decreasing SCR | Sum of impacts of only the minor model changes to the total SCR which decreased the SCR, in units of the reporting currency, for this reporting period. The reference SCR value used should be as in S.23.01.01.01 R0580/C0010 for solos and S.23.01.04.01 R0680/C0010 for groups. |
| C0290 | Number of minor changes implemented during the reporting period | Number of minor changes implemented during the reporting period. |
| C0300 | Threshold for accumulation | Threshold for accumulation as specified in the model change policy. |
| C0310 | Reset | State whether one reset of the accumulation of minor changes has occurred in the reporting period:Internal model minor changes reset occurred in the reporting periodInternal model minor changes reset did not occur in the reporting period. |
| C0320 | Reason for reset | Briefly, state the justification why a reset of the accumulation of minor changes has occurred in the reporting period. |
S.27.01 – Solvency Capital Requirement – Non–life and health catastrophe risk
a)This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;
b)When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;
c)This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.
General comments:
This section relates to the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.
Template S.27.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
Template SR.27.01 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).
This template is designed to allow an understanding of how the catastrophe risk module of the SCR has been calculated and what are the main drivers.
For every type of catastrophe risk the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles must be determined. This calculation is prospective and must be based on the reinsurance program of the next reporting year as described in the reinsurance templates for Facultative covers (S.30.01 and S.30.02 of Annex II) and Outgoing reinsurance program in the next reporting year (S.30.03 and S.30.04 of Annex II).
Undertakings need to estimate their recoveries from risk mitigation in line with the Directive 2009/138/EC, Delegated Regulation (EU) 2015/35 and any relevant technical standard. Undertakings shall complete the catastrophe reporting template only to the granularity required to perform this calculation.
Under the non–life and health underwriting risk modules, catastrophe risk is defined as the risk of loss, or of adverse change in the value of insurance liabilities, resulting from significant uncertainty of pricing and provisioning assumptions related to extreme or exceptional events as set out in Article 105(2)(b) and (4)(c) of Directive 2009/138/EC.
The reported capital requirements reflects the capital requirements before and after risk mitigation which is the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles. The reported capital requirement after risk mitigation is before the loss absorbing capacity of technical provisions. The default value of the risk mitigation shall be reported as a positive value in order to be deducted.
In case the diversification effect reduces the capital requirement the default value of the diversification shall be reported as a negative value.
For group reporting the following specific requirements shall be met:
| Z0020 | Ring–fenced fund, matching adjustment portfolio or remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:1 – RFF/MAP2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring fenced fund or matching adjustment portfolio. This number is attributed by the undertaking within the scope of group supervision and must be consistent over time and with the fund/portfolio number reported in other templates. |
| R0001/C0001 | Simplifications used – fire risk | Identify whether an undertaking within the scope of group for the SCR calculation used simplifications for the calculation of fire risk. The following options shall be used:1 – Simplifications for the purposes of Article 90c9 – Simplifications not usedWhere R0001/C0001 = 1, only C0880 shall be filled in for R2600. |
| R0002/C0001 | Simplifications used – natural catastrophe risk | Identify whether an undertaking within the scope of group for the SCR calculation used simplifications for the calculation of natural catastrophe risk. The following options shall be used:1 – Simplification for the purposes of Article 90b windstorm2 – Simplification for the purposes of Article 90b earthquake3 – Simplification for the purposes of Article 90b flood4 – Simplification for the purposes of Article 90b hail5 – Simplification for the purposes of Article 90b subsidence9 – Simplifications not usedOptions 1 to 5 may be used simultaneously. |
| Non–life catastrophe risk – Summary | ||
| C0010/R0010 | SCR before risk mitigation – Natural catastrophe risk | This is the total catastrophe risk before risk mitigation arising from all natural catastrophe perils and taking into consideration the diversification effect between the perils given in C0010/R0070. |
| C0010/R0020–R0060 | SCR before risk mitigation – Natural catastrophe risk perils | This is the total capital requirement before risk mitigation per natural catastrophe peril, taking into consideration the diversification effect between zones and regions.Per natural peril this amount is equal to the Catastrophe Risk Charge before risk mitigation. |
| C0010/R0070 | SCR before risk mitigation – Diversification between perils | Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different natural catastrophe perils. |
| C0020/R0010 | Total risk mitigation – Natural catastrophe risk | This is the total risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles arising from all natural catastrophe perils and taking into consideration the diversification effect between the perils given in C0020/R0070. |
| C0020/R0020–R0060 | Total risk mitigation – Natural catastrophe risk perils | This is the total risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles per natural catastrophe peril. |
| C0020/R0070 | Total risk mitigation – Diversification between perils | Diversification effect arising from the aggregation of the risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to different natural catastrophe perils. |
| C0030/R0010 | SCR after risk mitigation – Natural catastrophe risk | This is the total catastrophe risk after risk mitigation arising from all natural catastrophe perils and taking into consideration the diversification effect between the perils given in C0030/R0070. |
| C0030/R0020–R0060 | SCR after risk mitigation – Natural catastrophe risk perils | This is the total capital requirement after risk mitigation per natural catastrophe peril, taking into consideration the diversification effect between zones and regions.Per natural peril this amount is equal to the Catastrophe Risk Charge after risk mitigation. |
| C0030/R0070 | SCR after risk mitigation – Diversification between perils | Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different natural catastrophe perils. |
| C0010/R0080 | SCR before risk mitigation – Catastrophe risk non–proportional property reinsurance | This is the total catastrophe risk before risk mitigation arising from non–proportional property reinsurance. |
| C0020/R0080 | Total risk mitigation – Catastrophe risk non–proportional property reinsurance | This is the total risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles for non–proportional property reinsurance. |
| C0030/R0080 | SCR after risk mitigation – Catastrophe risk non–proportional property reinsurance | This is the total catastrophe risk after risk mitigation arising from non–proportional property reinsurance. |
| C0010/R0090 | SCR before risk mitigation – Man–made catastrophe risk | This is the total catastrophe risk before risk mitigation arising from all man–made perils and taking into consideration the diversification effect between the perils given in C0010/R0160. |
| C0010/R0100–R0150 | SCR before risk mitigation – Man–made catastrophe risk perils | This is the total capital requirement before risk mitigation per man–made peril, taking into consideration the diversification effect between sub–perils.Per man–made peril this amount is equal to the Catastrophe Risk Charge before risk mitigation. |
| C0010/R0160 | SCR before risk mitigation – Diversification between perils | Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different man–made perils. |
| C0020/R0090 | Total risk mitigation – Man–made catastrophe risk | This is the total risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles arising from all man–made perils and taking into consideration the diversification effect between the perils given in C0020/R0160. |
| C0020/R0100–R0150 | Total risk mitigation – Man–made catastrophe risk perils | This is the total risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles per man–made catastrophe peril. |
| C0020/R0160 | Total risk mitigation – Diversification between perils | Diversification effect arising from the aggregation of the risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to different man–made perils. |
| C0030/R0090 | SCR after risk mitigation – Man–made catastrophe risk | This is the total catastrophe risk after risk mitigation arising from all man–made catastrophe perils and taking into consideration the diversification effect between the perils given in C0030/R0160. |
| C0030/R0100–R0150 | SCR after risk mitigation – Man–made catastrophe risk perils | This is the total capital requirement after risk mitigation per man–made catastrophe peril, taking into consideration the diversification effect between sub–perils.Per man–made peril this amount is equal to the Catastrophe Risk Charge after risk mitigation. |
| C0030/R0160 | SCR after risk mitigation – Diversification between perils | Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different man–made catastrophe perils. |
| C0010/R0170 | SCR before risk mitigation – Other non–life catastrophe risk | This is the total catastrophe risk before risk mitigation arising from all ‘other non–life’ perils and taking into consideration the diversification effect between the perils given in C0010/R0180. |
| C0010/R0180 | SCR before risk mitigation – Diversification between perils | Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different ‘other non–life’ perils. |
| C0020/R0170 | Total risk mitigation – Other non–life catastrophe risk | This is the total risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles arising from all ‘other non–life’ perils and taking into consideration the diversification effect between the perils given in C0020/R0180. |
| C0020/R0180 | Total risk mitigation – Diversification between perils | Diversification effect arising from the aggregation of the risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to different ‘other non–life’ perils. |
| C0030/R0170 | SCR after risk mitigation – Other non–life catastrophe risk | This is the total catastrophe risk after risk mitigation arising from all ‘other non–life’ catastrophe perils and taking into consideration the diversification effect between the perils given in C0030/R0180. |
| C0030/R0180 | SCR after risk mitigation – Diversification between perils | Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different ‘other non–life’ catastrophe perils. |
| C0010/R0190 | SCR before risk mitigation – Total Non–life catastrophe risk before diversification | This is the total catastrophe risk before risk mitigation arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks) before the diversification effect between the sub–modules. |
| C0010/R0200 | SCR before risk mitigation – Diversification between sub–modules | Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks). |
| C0010/R0210 | SCR before risk mitigation – Total Non–life catastrophe risk after diversification | This is the total catastrophe risk before risk mitigation arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), taking into consideration the diversification effect between the sub–modules given in C0010/R0200. |
| C0020/R0190 | Total risk mitigation – Total Non–life catastrophe risk before diversification | This is the total risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), before the diversification effect between the sub–modules. |
| C0020/R0200 | Total risk mitigation – Diversification between sub–modules | Diversification effect arising from the aggregation of the risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to different sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks). |
| C0020/R0210 | Total risk mitigation – Total Non–life catastrophe risk after diversification | This is the total risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), taking into consideration the diversification effect between the sub–modules given in C0020/R0200. |
| C0030/R0190 | SCR after risk mitigation – Total Non–life catastrophe risk before diversification | This is the total catastrophe risk after risk mitigation arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), before the diversification effect between the sub–modules. |
| C0030/R0200 | SCR after risk mitigation – Diversification between sub–modules | Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks). |
| C0030/R0210 | SCR after risk mitigation – Total Non–life catastrophe risk after diversification | This is the total catastrophe risk after risk mitigation arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), taking into consideration the diversification effect between the sub–modules given in item C0030/R0200. |
| Health catastrophe risk – Summary | ||
| C0010/R0300 | SCR before risk mitigation – Health catastrophe risk | This is the total catastrophe risk before risk mitigation arising from all Health catastrophe risk sub–modules and taking into consideration the diversification effect between the sub–modules given in C0010/R0340. |
| C0010/R0310–R0330 | SCR before risk mitigation – Health catastrophe risk sub–modules | This is the total capital requirement before risk mitigation per Health catastrophe risk sub–modules, taking into consideration the diversification effect between the countries.Per Health catastrophe risk sub–module this amount is equal to the Catastrophe Risk Charge before risk mitigation. |
| C0010/R0340 | SCR before risk mitigation – Diversification between sub–modules | Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different Health catastrophe risk sub–modules. |
| C0020/R0300 | Total risk mitigation – Health catastrophe risk | This is the total risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles arising from all Health catastrophe risk sub–modules and taking into consideration the diversification effect between the sub–modules given in C0020/R0340. |
| C0020/R0310–R0330 | Total risk mitigation – Health catastrophe risk sub–modules | This is the total risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles per Health catastrophe risk sub–module. |
| C0020/R0340 | Total risk mitigation – Diversification between sub–modules | Diversification effect arising from the aggregation of the risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to different Health catastrophe risk sub–modules. |
| C0030/R0300 | SCR after risk mitigation – Health catastrophe risk | This is the total catastrophe risk after risk mitigation arising from all Health catastrophe risk sub–modules and taking into consideration the diversification effect between the sub–modules given in C0030/R0340. |
| C0030/R0310–R0330 | SCR after risk mitigation – Health catastrophe risk sub–modules | This is the total capital requirement after risk mitigation per Health catastrophe risk sub–module, taking into consideration the diversification effect between countries.Per Health catastrophe risk sub–module this amount is equal to the Catastrophe Risk Charge after risk mitigation. |
| C0030/R0340 | SCR after risk mitigation – Diversification between sub–modules | Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different Health catastrophe risk sub–modules. |
| Non–life catastrophe risk | ||
| Natural catastrophe risk – Windstorm | ||
| C0040/R0610–R0780 | Estimation of the gross premium to be earned – Other Regions | An estimate of the premiums to be earned by the insurance or reinsurance group, during the following year in relation to the 14 regions other than the specified regions(include regions as specified in Annex III, except the ones specified in Annex V or in Annex XIII of Delegated Regulation (EU) 2015/35), for the contract in relation to the obligations of lines of business fire and other damage covering windstorm risk, including the proportional reinsurance obligations and marine, aviation and transport insurance covering onshore property damage by windstorm, including the proportional reinsurance obligations.Premiums shall be gross, without deduction of premiums for reinsurance contracts. |
| C0040/R0790 | Estimation of the gross premium to be earned – Total Windstorm Other Regions before diversifications | Total of the estimate of the premiums to be earned by the insurance or reinsurance group before diversification, during the following year for the other 14 regions other than the specified regions. |
| C0050/R0400–R0590 | Exposure —specified Region | The sum of the total insured per each of the 23 specified regions for lines of business:Fire and other damage, including the proportional reinsurance obligations, in relation to contracts that cover windstorm risk and where the risk is situated in this particular specified region; andMarine, aviation and transport insurance, including the proportional reinsurance obligations, in relation to contracts that cover onshore property damage by Windstorm and where the risk is situated in this particular specified region. |
| C0050/R0600 | Exposure – Total Windstorm specified Regions before diversification | Total of the exposure before diversification for the 23 specified regions. |
| C0060/R0400–R0590 | Specified Gross Loss —specified Region | Specified gross windstorm loss per each of the 23 specified regions, taking into consideration the effect of diversification effect between zones. |
| C0060/R0600 | Specified Gross Loss – Total Windstorm specified Regions before diversification | Total of the specified gross loss before diversification for the 23 specified regions. |
| C0070/R0400–R0590 | Catastrophe Risk Charge Factor before risk mitigation —specified Region | The risk charge factor per each of the 23 specified regions for Windstorm, taking into consideration the effect of diversification effect between zones. |
| C0070/R0600 | Catastrophe Risk Charge Factor before risk mitigation – Total Windstorm specified Regions before diversification | Ratio between total specified gross loss and total exposure. |
| C0080/R0400–R0590 | Scenario A or B —specified Region | The larger of the capital requirement for Windstorm risk for each of the 23 specified regions according to scenario A or scenario B.When determining the largest amount of scenario A and B, the risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, shall be taken into account. |
| C0090/R0400–R0590 | Catastrophe Risk Charge before risk mitigation —specified Region | Capital requirement before risk mitigation arising from Windstorm for each of the 23 specified Regions corresponding to the larger of scenario A or B. |
| C0090/R0600 | Catastrophe Risk Charge before risk mitigation – Total Windstorm specified Regions before diversification | Total of the capital requirement before risk mitigation arising from Windstorm for the 23 specified regions. |
| C0090/R0790 | Catastrophe Risk Charge before risk mitigation – Total Windstorm Other Regions before diversifications | The capital requirement before risk mitigation for Windstorm risk in regions other than the specified Regions. It is the amount of the instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles. |
| C0090/R0800 | Catastrophe Risk Charge before risk mitigation – Total Windstorm all Regions before diversification | Total of the capital requirement before risk mitigation arising from Windstorm for all regions. |
| C0090/R0810 | Catastrophe Risk Charge before risk mitigation – Diversification effect between regions | Diversification effect arising from the aggregation of the Windstorm risks relating to the different regions (both specified Regions and ‘other regions’) |
| C0090/R0820 | Catastrophe Risk Charge before risk mitigation – Total Windstorm after diversification | This is the total capital requirement before risk mitigation for Windstorm risk, taking into consideration the diversification effect reported in item C0090/R0810. |
| C0100/R0400–R0590 | Estimated Risk Mitigation —specified Region | Per each of the 23 specified Regions, the estimated risk mitigation effect, corresponding to the selected scenario, of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C0100/R0600 | Estimated Risk Mitigation – Total Windstorm specified Regions before diversification | Total of the estimated risk mitigation arising from Windstorm for the 23 specified regions. |
| C0100/R0790 | Estimated Risk Mitigation – Total Windstorm Other Regions before diversifications | For all the regions other the specified Regions, the estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C0100/R0800 | Estimated Risk Mitigation – Total Windstorm all Regions before diversification | Total of the estimated risk mitigation arising from Windstorm for all regions. |
| C0110/R0400–R0590 | Estimated Reinstatement Premiums —specified Region | For each of the 23 specified Regions, the estimated reinstatement premiums, corresponding to the selected scenario, as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C0110/R0600 | Estimated Reinstatement Premiums – Total Windstorm specified Regions before diversification | Total of the estimated reinstatement premiums for the 23 specified regions. |
| C0110/R0790 | Estimated Reinstatement Premiums – Total Windstorm Other Regions before diversifications | For all the regions other than the specified Regions, the estimated reinstatement premiums, as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C0110/R0800 | Estimated Reinstatement Premiums – Total Windstorm all Regions before diversification | Total of the estimated reinstatement premiums for all regions. |
| C0120/R0400–R0590 | Catastrophe Risk Charge after risk mitigation —specified Region | Capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Windstorms in each of the specified regions, corresponding to the selected scenario. |
| C0120/R0600 | Catastrophe Risk Charge after risk mitigation – Total Windstorm specified Regions before diversification | Total of the capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles for the 23 specified regions. |
| C0120/R0790 | Catastrophe Risk Charge after risk mitigation – Total Windstorm Other Regions before diversifications | Capital requirement after risk mitigation for Windstorm risk in regions other than the specified Regions. It is the amount of the instantaneous loss, including the deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles. |
| C0120/R0800 | Catastrophe Risk Charge after risk mitigation – Total Windstorm all Regions before diversification | Total of the capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles for all regions. |
| C0120/R0810 | Catastrophe Risk Charge after risk mitigation – Diversification effect between regions | Diversification effect arising from the aggregation of the capital requirement after risk mitigations for Windstorm risks relating to the different regions (both specified Regions and ‘other regions’). |
| C0120/R0820 | Catastrophe Risk Charge after risk mitigation – Total Windstorm after diversification | This is the total capital requirement after risk mitigation for Windstorm risk, taking into consideration the diversification effect given in item C0120/R0810. |
| Natural catastrophe risk – Earthquake | ||
| C0130/R1040–R1210 | Estimation of the gross premium to be earned – Other Regions | An estimate of the premiums to be earned by the insurance or reinsurance group, during the following year in relation to each of the 14 regions other than the specified Regions(include regions as specified in Annex III, except the ones specified in Annex V or in Annex XIII of Delegated Regulation (EU) 2015/35), for the contract in relation to the obligations of lines of business:Fire and other damage covering earthquake risk, including the proportional reinsurance obligations; andMarine, aviation and transport insurance covering onshore property damage by earthquake, including the proportional reinsurance obligations.Premiums shall be gross, without deduction of premiums for reinsurance contracts. |
| C0130/R1220 | Estimation of the gross premium to be earned – Total Earthquake Other Regions before diversification | Total of the estimate of the premiums to be earned, by the insurance or reinsurance group, during the following year for the other regions. |
| C0140/R0830–R1020 | Exposure —specified Region | The sum of the total insured per each of the 20 specified regions for the lines of business:Fire and other damage, including the proportional reinsurance obligations, in relation to contracts that cover Earthquake risk and where the risk is situated in this particular specified region; andFor lines of business Marine, aviation and transport insurance, including the proportional reinsurance obligations, in relation to contracts that cover onshore property damage by Earthquake and where the risk is situated in this particular specified region. |
| C0140/R1030 | Exposure – Total Earthquake specified Regions before diversification | Total of the exposure for the 20 specified regions. |
| C0150/R0830–R1020 | Specified Gross Loss —specified Region | Specified gross Earthquake loss for each of the 20 specified regions, taking into consideration the effect of diversification effect between zones. |
| C0150/R1030 | Specified Gross Loss – Total Earthquake specified Regions before diversification | Total of the specified gross Earthquake loss for the 20 specified regions. |
| C0160/R0830–R1020 | Catastrophe Risk Charge Factor before risk mitigation —specified Region | The Risk Charge Factor per each of the 20 specified regions for Earthquake according to the Standard Formula, taking into consideration the effect of diversification effect between zones. |
| C0160/R1030 | Catastrophe Risk Charge Factor before risk mitigation – Total Earthquake specified Regions before diversification | Ratio between total specified gross loss and total exposure. |
| C0170/R0830–R1020 | Catastrophe Risk Charge before risk mitigation —specified Region | Capital requirement before risk mitigation arising from Earthquakes in each of the 20 specified Regions. |
| C0170/R1030 | Catastrophe Risk Charge before risk mitigation – Total Earthquake specified Regions before diversification | Total of the capital requirement before risk mitigation arising from Earthquakes for the 20 specified regions. |
| C0170/R1220 | Catastrophe Risk Charge before risk mitigation – Total Earthquake Other Regions before diversification | The capital requirement before risk mitigation for Earthquake risk in regions other than the specified Regions. It is the amount of the instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles. |
| C0170/R1230 | Catastrophe Risk Charge before risk mitigation Total Earthquake – All Regions before diversification | Total of the capital requirement before risk mitigation arising from Earthquakes for all regions. |
| C0170/R1240 | Catastrophe Risk Charge before risk mitigation – Diversification effect between regions | Diversification effect arising from the aggregation of the Earthquake risks relating to the different regions (both specified Regions and Other regions). |
| C0170/R1250 | Catastrophe Risk Charge before risk mitigation – Total Earthquake after diversification | This is the total capital requirement before risk mitigation for Earthquake risk, taking into consideration the diversification effect given in C0170/R1240. |
| C0180/R0830–R1020 | Estimated Risk Mitigation —specified Region | Per each of the 20 specified Regions the estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C0180/R1030 | Estimated Risk Mitigation – Total Earthquake specified Regions before diversification | Total of the estimated Risk Mitigation for the 20 specified regions. |
| C0180/R1220 | Estimated Risk Mitigation – Total Earthquake – Other Regions before diversification | For all the regions other than the specified Regions, the estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C0180/R1230 | Estimated Risk Mitigation – Total Earthquake – All Regions before diversification | Total of the estimated Risk Mitigation for all regions. |
| C0190/R0830–R1020 | Estimated Reinstatement Premiums —specified Region | Per each of the 20 specified Regions the estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C0190/R1030 | Estimated Reinstatement Premiums – Total Earthquake specified Regions before diversification | Total of the estimated reinstatement premiums for the 20 specified regions. |
| C0190/R1220 | Estimated Reinstatement Premiums – Total Earthquake – Other Regions before diversification | For all the regions other than the specified Regions, the estimated reinstatement premiums, as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C0190/R1230 | Estimated Reinstatement Premiums – Total Earthquake – All Regions before diversification | Total of the estimated reinstatement premiums for all regions. |
| C0200/R0830–R1020 | Catastrophe Risk Charge after risk mitigation – specified Region | Capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Earthquake in each of the 20 specified regions. |
| C0200/R1030 | Catastrophe Risk Charge after risk mitigation – Total Earthquake specified Regions before diversification | Total of the capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Earthquake for the 20 specified regions. |
| C0200/R1220 | Catastrophe Risk Charge after risk mitigation – Total Earthquake – Other Regions before diversification | Capital requirement after risk mitigation for Earthquake risk in regions other than the specified Regions. It is the amount of the instantaneous loss, including the deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles. |
| C0200/R1230 | Catastrophe Risk Charge after risk mitigation – Total Earthquake – All Regions before diversification | Total of the capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Earthquake for all regions. |
| C0200/R1240 | Catastrophe Risk Charge after risk mitigation – Diversification effect between regions | Diversification effect arising from the aggregation of the capital requirement after risk mitigations for Earthquake risks relating to the different regions (both specified Regions and Other regions). |
| C0200/R1250 | Catastrophe Risk Charge after risk mitigation – Total Earthquake after diversification | This is the total capital requirement after risk mitigation for Earthquake risk, taking into consideration the diversification effect given in C0200/R1240 |
| Natural catastrophe risk – Flood | ||
| C0210/R1410–R1580 | Estimation of the gross premiums to be earned – Other Regions | An estimate of the premiums to be earned by the insurance or reinsurance group, during the following year in relation to each of the 14 regions other than the specified Regions(include regions as specified in Annex III, except the ones specified in Annex V or in Annex XIII of Delegated Regulation (EU) 2015/35), for the contract in relation to the obligations of lines of business:Fire and other damage covering flood risk, including the proportional reinsurance obligations;Marine, aviation and transport insurance covering onshore property damage by flood, including the proportional reinsurance obligations;Other motor insurance, including the proportional reinsurance obligations.Premiums shall be gross, without deduction of premiums for reinsurance contracts. |
| C0210/R1590 | Estimation of the gross premium to be earned – Total Flood Other Regions before diversification | Total of the estimate of the premiums to be earned, by the insurance or reinsurance group, during the following year for the other regions. |
| C0220/R1260–R1390 | Exposure —specified Region | The sum of the total insured per each of the 14 specified regions of lines of business:Fire and other damage, including the proportional reinsurance obligations, in relation to contracts that cover Flood risk and where the risk is situated in this particular specified region;Marine, aviation and transport insurance, including the proportional reinsurance obligations, in relation to contracts that cover onshore property damage by Flood and where the risk is situated in this particular specified region; andOther motor insurance, including the proportional reinsurance obligations, multiplied by 1.5, in relation to contracts that cover onshore property damage by Flood and where the risk is situated in this particular specified region. |
| C0220/R1400 | Exposure – Total Flood specified Regions before diversification | Total of the exposure for the 14 specified regions. |
| C0230/R1260–R1390 | Specified Gross Loss – specified Region | Specified gross Flood loss in each of the 14 specified regions, taking into consideration the effect of diversification effect between zones. |
| C0230/R1400 | Specified Gross Loss – Total Flood specified Regions before diversification | Total of the specified gross Flood loss for the 14 specified regions. |
| C0240/R1260–R1390 | Catastrophe Risk Charge Factor before risk mitigation —specified Region | The Risk Charge Factor per each of the 14 specified regions for Flood according to the Standard Formula, taking into consideration the effect of diversification effect between zones. |
| C0240/R1400 | Catastrophe Risk Charge Factor before risk mitigation – Total Flood specified Regions before diversification | Ratio between total specified gross loss and total exposure. |
| C0250/R1260–R1390 | Scenario A or B —specified Region | The larger of the capital requirement for Flood risk in each of the 14 specified regions according to scenario A or scenario B.When determining the largest amount of scenario A and B, the risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, must be taken into account. |
| C0260/R1260–R1390 | Catastrophe Risk Charge before risk mitigation —specified Region | Capital requirement before risk mitigation arising from Floods in each of the 14 specified Regions, corresponding to the larger of scenario A or B. |
| C0260/1400 | Catastrophe Risk Charge before risk mitigation – Total Flood specified Regions before diversification | Total of the capital requirement before risk mitigation arising from Floods for the 14 specified regions. |
| C0260/R1590 | Catastrophe Risk Charge before risk mitigation – Total Flood Other Regions before diversification | The capital requirement before risk mitigation for Flood risk in regions other than the specified Regions. It is the amount of the instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles. |
| C0260/R1600 | Catastrophe Risk Charge before risk mitigation – Total Flood All Regions before diversification | Total of the capital requirement before risk mitigation arising from Floods for all regions. |
| C0260/R1610 | Catastrophe Risk Charge before risk mitigation – Diversification effect between regions | Diversification effect arising from the aggregation of the Flood risks relating to the different regions (both specified Regions and Other regions). |
| C0260/R1620 | Catastrophe Risk Charge before risk mitigation – Total Flood after diversification | This is the total capital requirement before risk mitigation for Flood risk, taking into consideration the diversification effect given in C0260/R1610. |
| C0270/R1260–R1390 | Estimated Risk Mitigation —specified Region | Per each of the 14 specified Regions the estimated risk mitigation effect, corresponding to the selected scenario, of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C0270/R1400 | Estimated Risk Mitigation – Total Flood specified Regions before diversification | Total of the estimated Risk Mitigation for the 14 specified regions. |
| C0270/R1590 | Estimated Risk Mitigation – Total Flood Other Regions before diversification | For all the regions other than the specified Regions, the estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C0270/R1600 | Estimated Risk Mitigation – Total Flood All Regions before diversification | Total of the estimated Risk Mitigation for all regions. |
| C0280/R1260–R1390 | Estimated Reinstatement Premiums —specified Region | Per each of the 14 specified Regions the estimated reinstatement premiums, corresponding to the selected scenario, as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C0280/R1400 | Estimated Reinstatement Premiums – Total Flood —specified Regions before diversification | Total of the estimated reinstatement premiums for the 14 specified regions. |
| C0280/R1590 | Estimated Reinstatement Premiums – Total Flood – Other Regions before diversification | For all the regions other than the specified Regions, the estimated reinstatement premiums, as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C0280/R1600 | Estimated Reinstatement Premiums – Total Flood – All Regions before diversification | Total of the estimated reinstatement premiums for all regions. |
| C0290/R1260–R1390 | Catastrophe Risk Charge after risk mitigation —specified Region | Capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Flood in each of the 14 specified regions, corresponding to the selected scenario. |
| C0290/R1400 | Catastrophe Risk Charge after risk mitigation – Total Flood —specified Regions before diversification | Total of the capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles for the 14 specified regions. |
| C0290/R1590 | Catastrophe Risk Charge after risk mitigation – Total Flood – Other Regions before diversification | Capital requirement after risk mitigation for Flood risk in regions other than the specified Regions. It is the amount of the instantaneous loss, including the deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles. |
| C0290/R1600 | Catastrophe Risk Charge after risk mitigation – Total Flood – All Regions before diversification | Total of the capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles all regions. |
| C0290/R1610 | Catastrophe Risk Charge after risk mitigation – Diversification effect between regions | Diversification effect arising from the aggregation of the capital requirement after risk mitigations for Flood risks relating to the different regions (both specified Regions and Other regions). |
| C0290/R1620 | Catastrophe Risk Charge after risk mitigation – Total Flood after diversification | This is the total capital requirement after risk mitigation for Flood risk, taking into consideration the diversification effect given in C0290/R1610. |
| Natural catastrophe risk – Hail | ||
| C0300/R1730–R1900 | Estimation of the gross premium to be earned – Other Regions | An estimate of the premiums to be earned by the insurance or reinsurance group, during the following year and in relation to each of the 9 regions other than the specified Regions(include regions as specified in Annex III, except the ones specified in Annex V or in Annex XIII of Delegated Regulation (EU) 2015/35), for the contract in relation to the obligations of lines of business:Fire and other damage covering hail risk, including the proportional reinsurance obligations;Marine, aviation and transport insurance covering onshore property damage by hail, including the proportional reinsurance obligations; andOther motor insurance, including the proportional reinsurance obligations.Premiums shall be gross, without deduction of premiums for reinsurance contracts. |
| C0300/R1910 | Estimation of the gross premium to be earned – Total Hail Other Regions before diversification | Total of the estimate of the premiums to be earned, by the insurance or reinsurance group, during the following year for the other regions. |
| C0310/R1630–R1710 | Exposure —specified Region | The sum of the total insured per each of the 11 specified regions for lines of business:Fire and other damage, including the proportional reinsurance obligations, in relation to contracts that cover Hail risk and where the risk is situated in this particular specified region;Marine, aviation and transport insurance, including the proportional reinsurance obligations, in relation to contracts that cover onshore property damage by Hail and where the risk is situated in this particular specified region; andOther motor insurance, including the proportional reinsurance obligations, multiplied by 5, in relation to contracts that cover onshore property damage by Hail and where the risk is situated in this particular specified region. |
| C0310/R1720 | Exposure – Total Hail specified Regions before diversification | Total of the exposure for the 11 specified regions. |
| C0320/R1630–R1710 | Specified Gross Loss – specified Region | Specified gross Hail loss in each of the 11 specified regions, taking into consideration the effect of diversification effect between zones. |
| C0320/R1720 | Specified Gross Loss – Total Hail specified Regions before diversification | Total of the specified gross Hail loss for the 11 specified regions. |
| C0330/R1630–R1710 | Catastrophe Risk Charge Factor before risk mitigation —specified Region | The Risk Charge Factor per each of the 9 specified regions for Hail according to the Standard Formula, taking into consideration the effect of diversification effect between zones. |
| C0330/R1720 | Catastrophe Risk Charge Factor before risk mitigation – Total Hail specified Regions before diversification | Ratio between total specified gross loss and total exposure. |
| C0340/R1630–R1710 | Scenario A or B —specified Region | The larger of the capital requirement for Hail risk in each of the 11 specified regions according to scenario A or scenario B.When determining the largest amount of scenario A and B, the risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, must be taken into account. |
| C0350/R1630–R1710 | Catastrophe Risk Charge before risk mitigation – specified Region | Capital requirement before risk mitigation arising from Hails in each of the 11 specified Regions corresponding to the larger of scenario A or B. |
| C0350/R1720 | Catastrophe Risk Charge before risk mitigation – Total Hail specified Regions before diversification | Total of the capital requirement before risk mitigation arising from Hails for the 11 specified regions. |
| C0350/R1910 | Catastrophe Risk Charge before risk mitigation – Total Hail Other Regions before diversification | The capital requirement before risk mitigation for Hail risk in regions other than the specified Regions. It is the amount of the instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles. |
| C0350/R1920 | Catastrophe Risk Charge before risk mitigation – Total Hail All Regions before diversification | Total of the capital requirement before risk mitigation arising from Hails for all regions. |
| C0350/R1930 | Catastrophe Risk Charge before risk mitigation – Diversification effect between regions | Diversification effect arising from the aggregation of the Hail risks relating to the different regions (both specified Regions and other regions). |
| C0350/R1940 | Catastrophe Risk Charge before risk mitigation – Total Hail after diversification | This is the total capital requirement before risk mitigation for Hail risk, taking into consideration the diversification effect given in C0350/R1930. |
| C0360/R1630–R1710 | Estimated Risk Mitigation —specified Region | Per each of the 11 specified Regions the estimated risk mitigation effect, corresponding to the selected scenario, of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C0360/R1720 | Estimated Risk Mitigation – Total Hail specified Region before diversification | Total of the estimated risk mitigation for the 11 specified regions. |
| C0360/R1910 | Estimated Risk Mitigation – Total Hail Other Regions before diversification | For all the regions other than the specified Regions, the estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C0360/R1820 | Estimated Risk Mitigation – Total Hail All Regions before diversification | Total of the estimated risk mitigation for all regions. |
| C0370/R1630–R1710 | Estimated Reinstatement Premiums —specified Region | Per each of the 11 specified Regions the estimated reinstatement premiums, corresponding to the selected scenario, as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C0370/R1720 | Estimated Reinstatement Premiums – Total Hail specified Regions before diversification | Total of the estimated reinstatement premiums for the 11 specified regions. |
| C0370/R1910 | Estimated Reinstatement Premiums – Total Hail Other Regions before diversification | For all the regions other than the specified Regions, the estimated reinstatement premiums, as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C0370/R1920 | Estimated Reinstatement Premiums – Total Hail All Regions before diversification | Total of the estimated reinstatement premiums for all regions. |
| C0380/R1630–R1710 | Catastrophe Risk Charge after risk mitigation —specified Region | Capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Hail in each of the 11 specified Regions, corresponding to the selected scenario. |
| C0380/R1720 | Catastrophe Risk Charge after risk mitigation – Total Hail specified Regions before diversification | Total of the capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles for the 11 specified regions. |
| C0380/R1910 | Catastrophe Risk Charge after risk mitigation – Total Hail Other Regions before diversification | Capital requirement after risk mitigation for Hail risk in regions other than the specified Regions. It is the amount of the instantaneous loss, including the deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles. |
| C0380/R1920 | Catastrophe Risk Charge after risk mitigation – Total Hail All Regions before diversification | Total of the capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles for all regions. |
| C0380/R1930 | Catastrophe Risk Charge after risk mitigation – Diversification effect between regions | Diversification effect arising from the aggregation of the capital requirement after risk mitigations for Hail risks relating to the different regions (both specified Regions and Other regions). |
| C0380/R1940 | Catastrophe Risk Charge after risk mitigation – Total Hail after diversification | This is the total capital requirement after risk mitigation for Hail risk, taking into consideration the diversification effect given in C0380/R1930. |
| Natural catastrophe risk – Subsidence | ||
| C0390/R1950 | Estimation of the gross premium to be earned – Total Subsidence before diversification | An estimate of the premiums to be earned, by the insurance or reinsurance group, during the following year, for the contract in relation to the obligations of fire and other damage, including the proportional reinsurance obligations.Premiums shall be gross, without deduction of premiums for reinsurance contracts, and in relation to the territory of France. |
| C0400/R1950 | Exposure – Total Subsidence before diversification | The sum of the total insured made up of the geographical divisions of the territory of France for fire and other damage, including the proportional reinsurance obligations, which are sufficiently homogeneous in relation to the subsidence risk that the insurance and reinsurance groups are exposed to in relation to the territory. Together the zones shall comprise the whole territory. |
| C0410/R1950 | Specified Gross Loss – Total Subsidence before diversification | Specified gross subsidence loss, before taking into consideration the effect of diversification effect between zones. |
| C0420/R1950 | Catastrophe Risk Charge Factor before risk mitigation – Total Subsidence before diversification | The Risk Charge Factor of the territory of France for subsidence, before taking into consideration the effect of diversification effect between zones. |
| C0430/R1950 | Catastrophe Risk Charge before risk mitigation – Total Subsidence before diversification | The capital requirement before risk mitigation for Subsidence risk in the territory of France. It is the amount of the instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles, which for subsidence is equal to the Specified Gross Loss (item C0410/R1950). |
| C0430/R1960 | Catastrophe Risk Charge before risk mitigation – Diversification effect between zones – Total Subsidence before diversification | Diversification effect arising from the aggregation of the Subsidence risks relating to the different zones of the territory of France. |
| C0430/R1970 | Catastrophe Risk Charge before risk mitigation – Total Subsidence – Total Subsidence before diversification | This is the total capital requirement before risk mitigation for subsidence risk, taking into consideration the diversification effect given in item C0430/R1960. |
| C0440/R1950 | Estimated Risk Mitigation – Total Subsidence before diversification | The estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C0450/R1950 | Estimated Reinstatement Premiums – Total Subsidence before diversification | The estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C0460/R1950 | Catastrophe Risk Charge after risk mitigation – Total Subsidence before diversification | Capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from subsidence. |
| C0460/R1960 | Catastrophe Risk Charge after risk mitigation – Diversification effect between zones | Diversification effect arising from the aggregation of the capital requirement after risk mitigations for Subsidence risks relating to the different zones of the territory of France. |
| C0460/R1970 | Catastrophe Risk Charge after risk mitigation – Total Subsidence after diversification | This is the total capital requirement after risk mitigation for subsidence risk, taking into consideration the diversification effect given in item C0460/R1960. |
| Natural catastrophe risk – Non–proportional property reinsurance | ||
| C0470/R2000 | Estimation of the gross premium to be earned | An estimate of the premiums to be earned, by the insurance or reinsurance group, during the following year, for the contract in relation to the obligations of the line of business non–proportional property reinsurance, as defined in Annex I to Delegated Regulation (EU) 2015/35.Premiums shall be gross, without deduction of premiums for reinsurance contracts. |
| C0480/R2000 | Catastrophe Risk Charge before risk mitigation | The capital requirement before risk mitigation for non–proportional property reinsurance. It is the amount of the instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles. |
| C0490/R2000 | Estimated Risk Mitigation | The estimated risk mitigation effect of the group’s specific retrocession contracts and special purpose vehicles relating to risks arising from accepted non–proportional property reinsurance, excluding the estimated reinstatement premiums. |
| C0500/R2000 | Estimated Reinstatement Premiums | The estimated reinstatement premiums as a result of the group’s specific retrocession contracts and special purpose vehicles relating to risks arising from accepted non–proportional property reinsurance. |
| C0510/R2000 | Catastrophe Risk Charge after risk mitigation | Capital requirement, after the deduction of the risk mitigating effect of the group’s specific retrocession contracts and special purpose vehicles relating to risks arising from accepted non–proportional property reinsurance. |
| Man–made catastrophe risk – Motor Vehicle Liability | ||
| C0520/R2100 | Number of vehicles policy limit above 24M EUR | Number of vehicles insured by the insurance or reinsurance group in lines of business Motor vehicle liability insurance, including proportional reinsurance obligations, with a deemed policy limit above 24000000 Euro. |
| C0530/R2100 | Number of vehicles policy limit below or equal to 24M EUR | Number of vehicles insured by the insurance or reinsurance group in lines of business lines of business Motor vehicle liability insurance, including proportional reinsurance obligations, with a deemed policy limit below or equal to 24000000 Euro. |
| C0540/R2100 | Catastrophe Risk Charge Motor Vehicle Liability before risk mitigation | This is the total capital requirement before risk mitigation for Motor Vehicle Liability risk. |
| C0550/R2100 | Estimated Risk Mitigation | The estimated risk mitigation effect of the group’s specific retrocession contracts and special purpose vehicles relating to risks arising from Motor Vehicle Liability, excluding the estimated reinstatement premiums. |
| C0560/R2100 | Estimated Reinstatement Premiums | The estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Motor Vehicle Liability. |
| C0570/R2100 | Catastrophe Risk Charge Motor Vehicle Liability after risk mitigation | Capital requirement, after the deduction of the risk mitigating effect of the group’s specific retrocession contracts and special purpose vehicles, relating to risks arising from Motor Vehicle Liability. |
| Man–made catastrophe risk – Marine Tanker Collision | ||
| C0580/R2200 | Type of cover Catastrophe Risk Charge Share marine hull in tanker t before risk mitigation | This is the capital requirement before risk mitigation, per each marine hull cover, for risks arising from Marine Tanker Collision.The maximum relates to all oil and gas tankers insured by the insurance or reinsurance group in respect of tanker collision in lines of business:Marine, aviation and transport, including proportional reinsurance obligations; andNon–proportional marine, aviation and transport reinsurance.The amount for this cover is equal to the sum insured accepted by the insurance or reinsurance group for marine insurance and reinsurance in relation to each tanker. |
| C0590/R2200 | Catastrophe Risk Charge Share marine liability in tanker t before risk mitigation | This is the capital requirement before risk mitigation, per marine liability cover, for risks arising from Marine Tanker Collision.The maximum relates to all oil and gas tankers insured by the insurance or reinsurance group in respect of tanker collision in lines of business:Marine, aviation and transport, including proportional reinsurance obligations; andNon–proportional marine, aviation and transport reinsurance.The amount for this cover is equal to the sum insured accepted by the insurance or reinsurance group for marine insurance and reinsurance in relation to each tanker. |
| C0600/R2200 | Catastrophe Risk Charge Share marine oil pollution liability in tanker t before risk mitigation | This is the capital requirement before risk mitigation, per marine oil pollution liability cover, for risks arising from Marine Tanker Collision.The maximum relates to all oil and gas tankers insured by the insurance or reinsurance group in respect of tanker collision in lines of business:Marine, aviation and transport, including proportional reinsurance obligations; andNon–proportional marine, aviation and transport reinsurance.The amount for this cover is equal to the sum insured accepted by the insurance or reinsurance group for marine insurance and reinsurance in relation to each tanker. |
| C0610/R2200 | Catastrophe Risk Charge Marine Tanker Collision before risk mitigation | This is the total capital requirement before risk mitigation for risks arising from Marine Tanker Collision. |
| C0620/R2200 | Estimated Risk Mitigation | The estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Marine Tanker Collision, excluding the estimated reinstatement premiums. |
| C0630/R2200 | Estimated Reinstatement Premiums | The estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Marine Tanker Collision. |
| C0640/R2200 | Catastrophe Risk Charge Marine Tanker Collision after risk mitigation | The total capital requirement after risk mitigation, after the deduction of the risk mitigating effect of the group’s specific retrocession contracts and special purpose vehicles, relating to risks arising from Marine Tanker Collision. |
| C0650/R2200 | Name vessel | Name of the corresponding vessel. |
| Man–made catastrophe risk – Marine Platform Explosion | ||
| C0660–C0700/R2300 | Catastrophe Risk Charge Marine Platform Explosion – Type of cover – before risk mitigation | This is the capital requirement before risk mitigation, per type of cover (Property damage, Removal of wreckage, Loss of production income, Capping of the well or making the well secure, Liability insurance and reinsurance obligations), for risks arising from Marine Platform Explosion.The maximum relates to all oil and gas offshore platforms insured by the insurance or reinsurance group in respect of platform explosion in lines of business:Marine, aviation and transport, including proportional reinsurance obligations; andNon–proportional marine, aviation and transport reinsurance.The amount per type of cover is equal to the sum insured for the specific type of cover accepted by the insurance or reinsurance group in relation to the selected platform. |
| C0710/R2300 | Catastrophe Risk Charge Marine Platform Explosion before risk mitigation | This is the total capital requirement before risk mitigation for risks arising from Marine Platform Explosion. |
| C0720/R2300 | Estimated Risk Mitigation | The estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Marine Platform Explosion, excluding the estimated reinstatement premiums. |
| C0730/R2300 | Estimated Reinstatement Premiums | The estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Marine Platform Explosion. |
| C0740/R2300 | Catastrophe Risk Charge Marine Platform Explosion after risk mitigation | Capital requirement, after the deduction of the risk mitigating effect of the group’s specific retrocession contracts and special purpose vehicles, relating to risks arising from Marine Platform Explosion. |
| C0750/R2300 | Name platform | Name of the corresponding platform. |
| Number of vessels | ||
| C0781/R2421 | Number of vessels below the threshold of EUR 250k | This is the number of vessels below the threshold of EUR 250k |
| Man–made catastrophe risk – Marine | ||
| C0760/R2400 | Catastrophe Risk Charge Marine before risk mitigation – Total before diversification | This is the total capital requirement before risk mitigation, before diversification effect between types of events, for marine risks. |
| C0760/R2410 | Catastrophe Risk Charge Marine before risk mitigation – Diversification between type of event | Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different type of events for marine risks. |
| C0760/R2420 | Catastrophe Risk Charge Marine before risk mitigation – Total after diversification | This is the total capital requirement before risk mitigation, after diversification effect between the types of events, for marine risks. |
| C0770/R2400 | Estimated Total Risk Mitigation – Total before diversification | This is the total risk mitigation effect, before diversification effect between types of events, of the group’s specific reinsurance contracts and special purpose vehicles arising from the marine risks. |
| C0780/R2400 | Catastrophe Risk Charge Marine after risk mitigation – Total before diversification | This is the total capital requirement after risk mitigation, before diversification effect between types of events, for marine risks. |
| C0780/R2410 | Catastrophe Risk Charge Marine after risk mitigation – Diversification between type of event | Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different type of events for marine risks. |
| C0780/R2420 | Catastrophe Risk Charge Marine after risk mitigation – Total after diversification | This is the total capital requirement after risk mitigation, after diversification effect between the types of events, for marine risks. |
| Man–made catastrophe risk – Aviation | ||
| C0790–C0800/R2500 | Catastrophe Risk Charge Aviation before risk mitigation – Type of cover– before risk mitigation | This is the capital requirement before risk mitigation, per type of cover (Aviation hull and Aviation liability), for risks arising from Aviation.The maximum relates to all aircrafts insured by the insurance or reinsurance group in lines of business:Marine, aviation and transport, including proportional reinsurance obligations; andNon–proportional marine, aviation and transport reinsurance.The amount per type of cover is equal to the sum insured for the specific type of cover accepted by the insurance or reinsurance group for aviation insurance and reinsurance and in relation to the selected aircraft. |
| C0810/R2500 | Catastrophe Risk Charge Aviation before risk mitigation | This is the total capital requirement before risk mitigation for risks arising from Aviation. |
| C0820/R2500 | Estimated Risk Mitigation | The estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Aviation, excluding the estimated reinstatement premiums. |
| C0830/R2500 | Estimated Reinstatement Premiums | The estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Aviation. |
| C0840/R2500 | Catastrophe Risk Charge Aviation after risk mitigation – Total (row) | The total capital requirement after risk mitigation, after the deduction of the risk mitigating effect of the group’s specific retrocession contracts and special purpose vehicles, relating to risks arising from Aviation. |
| Man–made catastrophe risk – Fire | ||
| C0850/R2600 | Catastrophe Risk Charge Fire before risk mitigation | This is the total capital requirement before risk mitigation for Fire risks.Amount is equal to the largest fire risk concentration of an insurance or reinsurance group being the set of buildings with the largest sum insured that meets the following conditions:The insurance or reinsurance group has insurance or reinsurance obligations in lines of business Fire and other damage to property insurance, including proportional reinsurance obligations, in relation to each building which cover damage due to fire or explosion, including as a result of terrorist attacks.All buildings are partly or fully located within a radius of 200 meters. |
| C0860/R2600 | Estimated Risk Mitigation | The estimated risk mitigation effect of the group’s specific retrocession contracts and special purpose vehicles relating to risks arising from Fire, excluding the estimated reinstatement premiums. |
| C0870/R2600 | Estimated Reinstatement Premiums | The estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Fire. |
| C0880/R2600 | Catastrophe Risk Charge after risk mitigation Fire | The total capital requirement after risk mitigation, after the deduction of the risk mitigating effect of the group’s specific retrocession contracts and special purpose vehicles, relating to risks arising from Fire. |
| Man–made catastrophe risk – Liability | ||
| C0890/R2700–R2740 | Earned premium following 12 months –Type of cover | Premiums earned, per type of cover, by the insurance or reinsurance group, during the following 12 months, in relation to insurance and reinsurance obligations in liability risks, for the following type of covers:Professional malpractice liability insurance and proportional reinsurance obligations other than professional malpractice liability insurance and reinsurance for self–employed crafts persons or artisans;Employers liability insurance and proportional reinsurance obligations;Directors and officers liability insurance and proportional reinsurance obligations;Liability insurance and reinsurance obligations included in lines of business General liability insurance, including proportional reinsurance obligations, other than obligations included in liability risk groups 1 to 3 and other than personal liability insurance and proportional reinsurance and other than professional malpractice liability insurance and reinsurance for self–employed crafts persons or artisans;Non–proportional reinsurance.For this purpose premiums shall be gross, without deduction of premiums for reinsurance contracts. |
| C0890/R2750 | Earned premium following 12 months – Total | Total for all types of covers of premiums earned by the insurance or reinsurance group, during the following 12 months. |
| C0900/R2700–R2740 | Largest liability limit provided –Type of cover | The largest liability limit, per type of cover, provided by the insurance or reinsurance group in liability risks. |
| C0910/R2700–R2740 | Number of claims –Type of cover | The number of claims, per type of cover, which is equal to the lowest integer that exceeds the amount according to the provided formula. |
| C0920/R2700–R2740 | Catastrophe Risk Charge Liability before risk mitigation –Type of cover | This is the capital requirement before risk mitigation, per type of cover, for liability risks. |
| C0920/R2750 | Catastrophe Risk Charge Liability before risk mitigation – Total | Total for all types of cover of the capital requirement before risk mitigation for liability risks. |
| C0930/R2700–R2740 | Estimated Risk Mitigation – Type of cover | The estimated risk mitigation effect, per type of cover, of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Liability, excluding the estimated reinstatement premiums. |
| C0930/R2750 | Estimated Risk Mitigation – Total | Total for all types of cover of the estimated risk mitigation. |
| C0940/R2700–R2740 | Estimated Reinstatement Premiums – Type of cover | The estimated reinstatement premiums, per type of cover, as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Liability. |
| C0940/R2750 | Estimated Reinstatement Premiums – Total | Total for all types of cover of the estimated reinstatement premiums. |
| C0950/R2700–R2740 | Catastrophe Risk Charge Liability after risk mitigation – Type of cover | Capital requirement, per type of cover, after the deduction of the risk mitigating effect of the group’s specific retrocession contracts and special purpose vehicles, relating to risks arising from Liability. |
| C0950/R2750 | Catastrophe Risk Charge Liability after risk mitigation – Total | Total for all types of cover of the capital requirement after the deduction of the risk mitigating effect of the group’s specific retrocession contracts and special purpose vehicles, relating to risks arising from Liability. |
| C0960/R2800 | Catastrophe Risk Charge Liability before risk mitigation – Total before diversification | This is the total capital requirement before risk mitigation, before diversification effect between types of cover, for liability risks. |
| C0960/R2810 | Catastrophe Risk Charge Liability before risk mitigation – Diversification between type of cover | Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different type of covers for liability risks. |
| C0960/R2820 | Catastrophe Risk Charge Liability before risk mitigation – Total after diversification | This is the total capital requirement before risk mitigation, after diversification effect between the types of covers, for liability risks. |
| C0970/R2800 | Estimated Total Risk Mitigation – Total before diversification | This is the estimated total risk mitigation, before diversification effect between types of cover, for liability risks. |
| C0980/R2800 | Catastrophe Risk Charge Liability after risk mitigation – Total before diversification | This is the total capital requirement after risk mitigation, before diversification effect between types of cover, for liability risks. |
| C0980/R2810 | Catastrophe Risk Charge Liability after risk mitigation – Diversification between type of cover | Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different type of covers for liability risks. |
| C0980/R2820 | Catastrophe Risk Charge Liability after risk mitigation – Total after diversification | This is the total capital requirement after risk mitigation, after diversification effect between the types of covers, for liability risks. |
| Man–made catastrophe risk – Credit & Suretyship | ||
| C0990/R2900–R2910 | Exposure (individual or group) – Largest exposure | Two largest gross credit insurance exposures of the insurance or reinsurance group based on a comparison of the net loss–given–default of the credit insurance exposures, being the loss–given–default after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles. |
| C0990/R2920 | Exposure (individual or group) – Total | Total of the two largest gross credit insurance exposures of the insurance or reinsurance group based on a comparison of the net loss–given–default of the credit insurance exposures, being the loss–given–default after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles. |
| C1000/R2900–R2910 | Proportion of damage caused by scenario – Largest exposure | Percentage representing the loss given default of the gross credit exposure without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, for each of the two largest gross credit insurance exposures of the insurance or reinsurance group. |
| C1000/R2920 | Proportion of damage caused by scenario – Total | Average loss given default of the two largest gross credit exposures without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles. |
| C1010/R2900–R2910 | Catastrophe Risk Charge Credit & Suretyship before risk mitigation – Large Credit Default –Largest exposure | This is the capital requirement before risk mitigation, per largest exposure, arising from the Large Credit Default scenario of Credit & Suretyship risks. |
| C1010/R2920 | Catastrophe Risk Charge Credit & Suretyship before risk mitigation – Large Credit Default – Total | This is the total capital requirement before risk mitigation arising from the Large Credit Default scenario of Credit & Suretyship risks. |
| C1020/R2900–R2910 | Estimated Risk Mitigation – Largest exposure | The estimated risk mitigation effect, per largest exposure, of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from the Large Credit Default scenario of Credit & Suretyship, excluding the estimated reinstatement premiums. |
| C1020/R2920 | Estimated Risk Mitigation – Total | The estimated risk mitigation effect, for the two largest exposures, of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from the Large Credit Default scenario of Credit & Suretyship, excluding the estimated reinstatement premiums. |
| C1030/R2900–R2910 | Estimated Reinstatement Premiums – Largest exposure | The estimated reinstatement premiums, per largest exposure, as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from the Large Credit Default scenario of Credit & Suretyship. |
| C1030/R2920 | Estimated Reinstatement Premiums – Total | The estimated reinstatement premiums, for the two largest exposures, as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from the Large Credit Default scenario of Credit & Suretyship. |
| C1040/R2900–R2910 | Catastrophe Risk Charge Credit & Suretyship after risk mitigation – Large Credit Default – Largest exposure | Net capital requirement, per largest exposure, after the deduction of the risk mitigating effect of the group’s specific retrocession contracts and special purpose vehicles, relating to risks arising from the Large Credit Default scenario of Credit & Suretyship. |
| C1040/R2920 | Catastrophe Risk Charge Credit & Suretyship after risk mitigation – Large Credit Default – Total | The total capital requirement after risk mitigation, after the deduction of the risk mitigating effect of the group’s specific retrocession contracts and special purpose vehicles, relating to risks arising from the Large Credit Default scenario of Credit & Suretyship. |
| C1050/R3000 | Earned premium following 12 months | Gross premiums earned by the insurance or reinsurance group, during the following 12 months, in lines of business Credit and Suretyship insurance including proportional reinsurance obligations. |
| C1060/R3000 | Catastrophe Risk Charge Credit & Suretyship before risk mitigation – Recession Risk | This is the total capital requirement before risk mitigation for the Recession scenario of Credit & Suretyship risks. |
| C1070/R3000 | Estimated Risk Mitigation | The estimated risk mitigation effect of the group’s specific retrocession contracts and special purpose vehicles relating to risks arising from the Recession scenario of Credit & Suretyship, excluding the estimated reinstatement premiums. |
| C1080/R3000 | Estimated Reinstatement Premiums | The estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from the Recession scenario of Credit & Suretyship. |
| C1090/R3000 | Catastrophe Risk Charge Credit & Suretyship after risk mitigation – Recession Risk | The total capital requirement after risk mitigation, after the deduction of the risk mitigating effect of the group’s specific retrocession contracts and special purpose vehicles, relating to risks arising from the Recession scenario of Credit & Suretyship. |
| C1100/R3100 | Catastrophe Risk Charge Credit & Suretyship before risk mitigation – Total before diversification | This is the total capital requirement before risk mitigation, before diversification effect between types of events, for Credit & Suretyship risks. |
| C1100/R3110 | Catastrophe Risk Charge Credit & Suretyship before risk mitigation – Diversification between type of event | Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different type of events for Credit & Suretyship risks. |
| C1100/R3120 | Catastrophe Risk Charge Credit & Suretyship before risk mitigation – Total after diversification | This is the total capital requirement before risk mitigation, after diversification effect between the types of events, for Credit & Suretyship risks. |
| C1110/R3100 | Estimated Total Risk Mitigation – Total before diversification | This is the total risk mitigation effect, before diversification effect between types of events, of the group’s specific reinsurance contracts and special purpose vehicles arising from the Credit & Suretyship risks. |
| C1120/R3100 | Catastrophe Risk Charge Credit & Suretyship after risk mitigation – Total before diversification | This is the total capital requirement after risk mitigation, before diversification effect between types of events, for Credit & Suretyship risks. |
| C1120/R3110 | Catastrophe Risk Charge Credit & Suretyship after risk mitigation – Diversification between type of event | Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different type of events for Credit & Suretyship risks. |
| C1120/R3120 | Catastrophe Risk Charge Credit & Suretyship after risk mitigation – Total after diversification | This is the total capital requirement after risk mitigation, after diversification effect between the types of events, for Credit & Suretyship risks. |
| Man–made catastrophe risk – Other non–life catastrophe risk | ||
| C1130/R3200–R3240 | Estimation of the gross premium to be earned – Group of obligations | An estimate of the premiums to be earned by the insurance or reinsurance group, during the following year, for the contracts in relation to the following group of obligations:Insurance and reinsurance obligations included in lines of business Marine, aviation and transport insurance, including proportional reinsurance obligations, other than marine insurance and reinsurance and aviation insurance and reinsurance;Reinsurance obligations included in line of business Non–proportional marine, aviation and transport reinsurance, other than marine reinsurance and aviation reinsurance, as defined in Annex I to Delegated Regulation (EU) 2015/35;Insurance and reinsurance obligations included in lines of business Miscellaneous financial loss, including proportional reinsurance obligations other than extended warranty insurance and reinsurance obligations provided that the portfolio of these obligations is highly diversified and these obligation do not cover the costs of product recalls;Reinsurance obligations included in line of business Non–proportional casualty reinsurance, other than general liability reinsurance, as defined in Annex I to Delegated Regulation (EU) 2015/35;Non–proportional reinsurance obligations relating to insurance obligations included in lines of business Credit and Suretyship insurance, including proportional reinsurance obligations.Premiums shall be gross, without deduction of premiums for reinsurance contracts. |
| C1140/R3200–R3240 | Catastrophe Risk Charge Other non–life catastrophe risk before risk mitigation – Group of obligations | This is the capital requirement before risk mitigation, per group of obligations, for Other non–life catastrophe risks. |
| C1140/R3250 | Catastrophe Risk Charge Other non–life catastrophe risk before risk mitigation – Total before diversification | This is the total capital requirement before risk mitigation, before diversification effect between groups of obligations, for Other non–life catastrophe risks. |
| C1140/R3260 | Catastrophe Risk Charge Other non–life catastrophe risk before risk mitigation – Diversification between groups of obligations | Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different groups of obligations for Other non–life catastrophe risks. |
| C1140/R3270 | Catastrophe Risk Charge Other non–life catastrophe risk before risk mitigation – Total after diversification | This is the total capital requirement before risk mitigation, after diversification effect between groups of obligations, for Other non–life catastrophe risks. |
| C1150/R3250 | Estimated Total Risk Mitigation – Total before diversification | This is the estimated total risk mitigation, before diversification effect between groups of obligations, for Other non–life catastrophe risks. |
| C1160/R3250 | Catastrophe Risk Charge Other non–life catastrophe risk after risk mitigation – Total before diversification | This is the total capital requirement after risk mitigation, before diversification effect between groups of obligations, for Other non–life catastrophe risks. |
| C1160/R3260 | Catastrophe Risk Charge Other non–life catastrophe risk after risk mitigation – Diversification between groups of obligations | Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different groups of obligations for Other non–life catastrophe risks. |
| C1160/R3270 | Catastrophe Risk Charge Other non–life catastrophe risk after risk mitigation – Total after diversification | This is the total capital requirement after risk mitigation, after diversification effect between groups of obligations, for Other non–life catastrophe risks. |
| Health catastrophe risk | ||
| Health catastrophe risk – Mass accident | ||
| C1170/R3300–R3600,C1190/R3300–R3600,C1230/R3300–R3600,C1250/R3300–R3600 | Policyholders – per type of event | All insured persons of the insurance or reinsurance group who are inhabitants of each of the countries and are insured against the following types of event:Death caused by an accident;Permanent disability caused by an accident;Disability that lasts 12 months caused by an accident;Medical treatment caused by an accident. |
| C1180/R3300–/R3600,C1200/R3300–R3600,C1240/R3300–R3600,C1260/R3300–R3600 | Value of benefits payable – per type of event | The value of the benefits shall be the sum insured or where the insurance contract provides for recurring benefit payments the best estimate of the benefit payments, using the cash–flow projection, per event type.Where the benefits of an insurance contract depend on the nature or extent of any injury resulting from event types, the calculation of the value of the benefits shall be based on the maximum benefits obtainable under the contract which are consistent with the event.For medical expense insurance and reinsurance obligations the value of the benefits shall be based on an estimate of the average amounts paid in case of event types taking into account the specific guarantees the obligations include. |
| C1270/R3300–R3600 | Catastrophe Risk Charge before risk mitigation | Capital requirement before risk mitigation, for each of the countries, arising from the mass accident risk sub–module to health insurance and reinsurance obligations. |
| C1270/R3610 | Catastrophe Risk Charge before risk mitigation – Total Mass accident all countries before diversification | This is the total capital requirement before risk mitigation, before diversification effect between countries, for the mass accident risk sub–module to health insurance and reinsurance obligations. |
| C1270/R3620 | Catastrophe Risk Charge before risk mitigation – Diversification effect between countries | Diversification effect arising from the aggregation of the mass accident risk sub–module to health insurance and reinsurance obligations relating to the different countries. |
| C1270/R3630 | Catastrophe Risk Charge before risk mitigation – Total Mass accident all countries after diversification | This is the total capital requirement before risk mitigation, after diversification effect between countries, for the mass accident risk sub–module to health insurance and reinsurance obligations. |
| C1280/R3300–R3600 | Estimated Risk Mitigation | For each country the estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C1280/R3610 | Estimated Risk Mitigation – Total Mass accident all countries before diversification | Total amount of estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles for all countries. |
| C1290/R3300–R3600 | Estimated Reinstatement Premiums | For each country the estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C1290/R3610 | Estimated Reinstatement Premiums – Total | Total amount of estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles for all countries. |
| C1300/R3300–R3600 | Catastrophe Risk Charge after risk mitigation | Capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from the mass accident risk sub–module to health insurance and reinsurance obligations, for each country. |
| C1300/R3610 | Catastrophe Risk Charge after risk mitigation – Total Mass accident all countries before diversification | This is the total capital requirement after risk mitigation, before diversification effect between countries, for the mass accident risk sub–module to health insurance and reinsurance obligations. |
| C1300/R3620 | Catastrophe Risk Charge after risk mitigation – Diversification effect between countries | Diversification effect arising from the aggregation of the capital requirement after risk mitigations for the mass accident risk sub–module to health insurance and reinsurance obligations relating to the different countries. |
| C1300/R3630 | Catastrophe Risk Charge after risk mitigation – Total Mass accident all countries after diversification | This is the total capital requirement after risk mitigation for the mass accident risk sub–module to health insurance and reinsurance obligations, taking into consideration the diversification effect given in C1300/R3620. |
| Health catastrophe risk – Concentration accident | ||
| C1310/R3700–R4010 | Largest known accident risk concentration – Countries | The largest accident risk concentration of an insurance or reinsurance group, for each country, shall be equal to the largest number of persons for which the following conditions are met:The insurance or reinsurance group has a workers’ compensation insurance or reinsurance obligation or a group income protection insurance or reinsurance obligation in relation to each of the persons;The obligations in relation to each of the persons cover at least one of the events set out in the next item;The persons are working in the same building which is situated in this particular country.These persons are insured against the following types of event:Death caused by an accident;Permanent disability caused by an accident;Disability that lasts 10 years caused by an accident;Disability that lasts 12 months caused by an accident;Medical treatment caused by an accident. |
| C1320/R3700–R4010,C1330/R3700–R4010,C1350/R3700–R4010,C1360/R3700–R4010 | Average sum insured per type of event | The average value of benefits payable by insurance and reinsurance undertakings for the largest accident risk concentration. |
| C1370/R3700–R4010 | Catastrophe Risk Charge before risk mitigation | Capital requirement before risk mitigation, for each country, arising from the health sub–module concentration accident. |
| C1410 | Other countries to be considered in the Concentration accident | Identify the ISO code of other countries to be considered in the Concentration accident. |
| C1370/R4020 | Catastrophe Risk Charge before risk mitigation – Total Concentration accident all countries before diversification | This is the total capital requirement before risk mitigation, before diversification effect between countries, for the health sub–module concentration accident. |
| C1370/R4030 | Catastrophe Risk Charge before risk mitigation – Diversification effect between countries | Diversification effect arising from the aggregation of the health sub–module concentration accident relating to the different countries. |
| C1370/R4040 | Catastrophe Risk Charge before risk mitigation – Total Concentration accident all countries after diversification | This is the total capital requirement before risk mitigation, after diversification effect between countries, for the health sub–module concentration accident. |
| C1380/R3700–R4010 | Estimated Risk Mitigation – Countries | For each of the countries identified the estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums. |
| C1380/R4020 | Estimated Risk Mitigation – Total Concentration accident all countries before diversification | Total of estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles for all countries. |
| C1390/R3700–R4010 | Estimated Reinstatement Premiums – Countries | For each of the countries identified the estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril. |
| C1390/R4020 | Estimated Reinstatement Premiums – Total Concentration accident all countries before diversification | Total of the estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles for all countries. |
| C1400/R3700–R4010 | Catastrophe Risk Charge after risk mitigation – Countries | Capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from the health sub–module concentration accident for each of the countries identified. |
| C1400/R4020 | Catastrophe Risk Charge after risk mitigation – Total Concentration accident all countries before diversification | The total capital requirement after risk mitigation, before diversification effect between countries, for the health sub–module concentration accident. |
| C1400/R4030 | Catastrophe Risk Charge after risk mitigation – Diversification effect between countries | Diversification effect arising from the aggregation of the capital requirement after risk mitigations for the health sub–module concentration accident risks relating to the different countries. |
| C1400/R4040 | Catastrophe Risk Charge after risk mitigation – Total Concentration accident all countries after diversification | This is the total capital requirement after risk mitigation for the health sub–module concentration accident risk, taking into consideration the diversification effect given in C1400/R4020. |
| Health catastrophe risk – Pandemic | ||
| C1440/R4100–R4410 | Medical expense – Number of insured persons – Countries | The number of insured persons of insurance and reinsurance groups, for each of the countries identified, which meet the following conditions:The insured persons are inhabitants of this particular country;The insured persons are covered by medical expense insurance or reinsurance obligations, other than workers’ compensation insurance or reinsurance obligations that cover medical expense resulting from an infectious disease.These insured persons may claim benefits for the following healthcare utilisation:Hospitalisation;Consultation with a medical practitioner;No formal medical care sought. |
| C1450/R4100–R4410,C1470/R4100–R4410,C1490/R4100–R4410 | Medical expense – Unit claim cost per type of healthcare – Countries | Best estimate of the amounts payable, using the cash–flow projection, by insurance and reinsurance groups for an insured person in relation to medical expense insurance or reinsurance obligations, other than workers’ compensation insurance or reinsurance obligations per healthcare utilisation type, in the event of a pandemic, for each of the countries identified. |
| C1460/R4100–R4410,C1480/R4100–R4410,C1500/R4100–R4410 | Medical expense – Ratio of insured persons per type of healthcare – Countries | The ratio of insured persons with clinical symptoms utilising healthcare type, for each of the countries identified. |
| C1510/R4100–R4410 | Catastrophe Risk Charge before risk mitigation – Countries | Capital requirement before risk mitigation, for each of the countries identified, arising from the health sub–module pandemic. |
| C1550 | Other countries to be considered in the Pandemic | Identify the ISO code of other countries to be considered in the Pandemic. |
| C1420/R4420 | Income protection – Number of insured persons – Total Pandemic all countries | Total number of insured persons for all countries identified covered by the income protection insurance or reinsurance obligations other than workers’ compensation insurance or reinsurance obligations. |
| C1430/R4420 | Income protection – Total pandemic exposure – Total Pandemic all countries | The total of all income protection pandemic exposure for all countries identified of insurance and reinsurance groups.The value of the benefits payable for the insured person shall be the sum insured or where the insurance contract provides for recurring benefit payments the best estimate of the benefit payments assuming that the insured person is permanently disabled and will not recover. |
| C1510/R4420 | Catastrophe Risk Charge before risk mitigation – Total Pandemic all countries | This is the total capital requirement before risk mitigation for the health sub–module pandemic for all countries identified. |
| C1520/R4420 | Estimated Risk Mitigation – Total Pandemic all countries | The total estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums for all countries identified. |
| C1530/R4420 | Estimated Reinstatement Premiums – Total Pandemic all countries | The total estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril for all countries identified. |
| C1540/R4420 | Catastrophe Risk Charge after risk mitigation – Total Pandemic all countries | The total capital requirement after risk mitigation for the health sub–module pandemic for all countries identified. |
S.31.01 – Share of reinsurers (including Finite Reinsurance and SPV’s)
General comments:
This section relates to the annual submission of information for groups.
This template shall be filled by the insurance and reinsurance groups where a recoverable is recognised by related insurance undertakings in relation to the EEA or Non–EEA–reinsurer which is not in the scope of the group (even if all contracts with that reinsurer have terminated).
The template collects information on reinsurers and not on separate treaties. All ceded technical provisions, including those ceded under Finite reinsurance (as defined in S.30.03 Column C0060 of Annex II), shall be completed. This also means that if an SPV or a syndicate of Lloyd’s acts as a reinsurer the SPV or the syndicate must be listed.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Legal name of reinsured undertaking | Name of reinsured entity, identifying the cedent (re)insurance undertaking. This item is only applicable to groups. |
| C0020 | Identification code of the undertaking | Identification code of the undertaking, using the following priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.When the undertaking uses the option ‘Specific code’ the following shall be considered:For non–EEA undertakings and non–regulated undertakings within the scope of group supervision, identification code provided will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, it should comply with the following format in a consistent manner:identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits |
| C0030 | Type of code of the ID of the undertaking | Type of ID Code used for the ‘Identification code of the undertaking’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0040 | Code reinsurer | Identification code of the reinsurer by this order of priority:Legal Entity Identifier (LEI);Specific code attributed by the undertaking |
| C0050 | Type of code Reinsurer | Identification of the code used in item ‘Code reinsurer’. The following closed list shall be used:1 – LEI2 – Specific code |
| C0060 | Reinsurance recoverables – Premium provision Non–life including Non–SLT Health | The amount of share of the reinsurer in the recoverables from reinsurance (including Finite Re and SPV) before the adjustment for expected losses due to the counterparty default, in the best estimate of the premium provisions calculated as the expected present value of future incoming and outgoing cash flows. |
| C0070 | Reinsurance recoverables – Claims provisions Non–life including Non–SLT Health | The amount of share of the reinsurer in the recoverables from reinsurance (including Finite Re and SPV) before the adjustment for expected losses due to the counterparty default, in the best estimate of the claims provisions. |
| C0080 | Reinsurance recoverables – Technical provisions Life including SLT Health | The amount of share of the reinsurer in the recoverables from reinsurance (including Finite Re and SPV) before the adjustment for expected losses due to the counterparty default, in the best estimate of the technical provisions. |
| C0090 | Adjustment for expected losses due to counterparty default | Per reinsurer the adjustment for expected losses due to counterparty default. The adjustment shall be calculated separately and must be in line with Delegated Regulation (EU) 2015/35.This value shall be reported as negative value. |
| C0100 | Reinsurance recoverables: Total reinsurance recoverables | The result of ceded technical provisions (i.e. claims + premiums provisions), including the adjustment for expected losses due to counterparty default. |
| C0110 | Net receivables | The amounts past due resulting from: claims paid by the insurer but not yet reimbursed by the reinsurer plus commissions to be paid by the reinsurer and other receivables minus debts to the reinsurer. Cash deposits are excluded and are to be considered as guarantees received. |
| C0120 | Assets pledged by reinsurer | Amount of assets pledged by the reinsurer to mitigate the counterparty default risk of the reinsurer. |
| C0130 | Financial guarantees | Amount of guarantees received by the undertaking from the reinsurer to guarantee the payment of the liabilities due by the undertaking (includes letter of credit, undrawn committed borrowing facilities). |
| C0140 | Cash deposits | Amount of cash deposits received by the undertaking from the reinsurers. |
| C0150 | Total guarantees received | Total amount of types of guarantees.Corresponds to the sum of the amounts reported in C0120, C0130 and C0140. |
| C0155 | Currency | Where applicable, identify the ISO 4217 alphabetic code of the currency of the reinsurance recoverables.The breakdown by currency is only be required to cover 90 % of reinsurance recoverables. For the remaining 10 % it is possible to group it under "other currencies". |
| Information on reinsurers | ||
| C0160 | Code reinsurer | Identification code of the reinsurer by this order of priority:Legal Entity Identifier (LEI);Specific code attributed by the undertaking |
| C0170 | Type of codeReinsurer | Identification of the code used in item ‘Code reinsurer’. The following closed list shall be used:1 – LEI2 – Specific code |
| C0180 | Legal name reinsurer | Legal name of the reinsurer to whom the underwriting risk has been transferred. The official name of the risk–carrier reinsurer is stated in the reinsurance contract. It is not permitted to fill in the name of a reinsurance broker. Nor is it permitted to state a general or incomplete name as international reinsurers have several operating companies that may be based in different countries.In case of pooling arrangements, the name of the Pool (or Pool manager) can be filled only if the Pool is a legal entity. |
| C0190 | Type of reinsurer | Type of reinsurer to whom the underwriting risk has been transferred.The following closed list shall be used:1 – Direct Life insurer2 – Direct Non–life insurer3 – Direct Composite insurer4 – Captive insurance undertaking5 – Internal reinsurer (reinsurance undertaking which primary focus is to take risk from other insurance undertakings within the scope of group supervision)6 – External reinsurer (reinsurance undertaking that takes risks from undertakings other than from insurance undertakings within the scope of group supervision)7 – Captive reinsurance undertaking8 – Special purpose vehicle9 – Pool entity (where more than one insurance or reinsurance undertakings are involved)10 – State pool |
| C0200 | Country of residency | Identify the ISO 3166–1 alpha–2 code for the country where the reinsurer is legally authorised/licensed. |
| C0210 | External rating assessment by nominated ECAI | The actual/current rating that is considered by the group.If the rating is not available the item shall be left blank and the reinsurer shall be identified as ‘9 – no rating available’ in column C0230 (Credit quality step).This item is not applicable to reinsurers for which undertakings using internal model use internal ratings. If undertakings using internal model do not use internal rating, this item shall be reported.In case ‘Multiple ECAI’ is reported in C0220 report the most representative external rating. |
| C0220 | Nominated ECAI | Identify the credit assessment institution (ECAI) giving the external rating in C0210, by using the name of the ECAI as published on ESMA’s website. In case of ratings issued by subsidiaries of the ECAI please report the parent ECAI (the reference is to ESMA list of credit rating agencies registered or certified in accordance with Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies).— |
| C0230 | Credit quality step | Identify the credit quality step attributed to the reinsurer. The credit quality step shall reflect any readjustments to the credit quality made internally by the group that use the standard formula.One of the options in the following closed list shall be used:0 – Credit quality step 01 – Credit quality step 12 – Credit quality step 23 – Credit quality step 34 – Credit quality step 45 – Credit quality step 56 – Credit quality step 69 – No rating available |
| C0240 | Internal rating | Internal rating of the reinsurer for groups using internal model to the extent that the internal ratings are used in their internal modelling. If an internal model undertaking is using solely external ratings this item shall not be reported. |
S.31.02 – Special Purpose Vehicles
a)SPVs defined under Article 13(26) and authorised under Article 211(1) of Directive 2009/138/EC;
b)SPVs meeting conditions of Article 211(3) of Directive 2009/138/EC;
c)SPVs regulated by third country supervisors where these meet equivalent measures to the conditions set out in Article 211(2) of Directive 2009/138/EC;
d)Other SPVs, not meeting the definitions above, where risks are transferred under arrangements with the economic substance of a reinsurance contract.
General comments:
This section relates to the annual submission of information for groups.
This template is relevant for each group transferring risk(s) to a Special Purpose Vehicle (SPV), to ensure sufficient disclosure has been made where SPVs are used as alternative risk transfer methods to traditional reinsurance treaties.
The template applies to the use of:
The template covers risk mitigation techniques (recognised or not) carried out by the (re)insurance undertaking within the scope of group supervision whereby a SPV assumes risks from the undertaking within the scope of group supervision through a reinsurance contract; or assume insurance risks from the undertaking within the scope of group supervision transferred through a similar arrangement that is ‘reinsurance like’.
This template shall include data of special purpose vehicles to which the participating insurance or reinsurance undertaking or one of its insurance or reinsurance subsidiaries has transferred risk.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Name of reinsured undertaking | Identify the legal name of the reinsured undertaking, identifying the cedent (re)insurance undertaking within the scope of group supervision. |
| C0020 | Identification code of the undertaking | Identification code by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non–EEA undertakings and non–regulated undertakings within the scope of group supervision, identification code will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, the group should comply with the following format in a consistent manner:identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits |
| C0030 | Internal code of SPV | Internal code attributed to the SPV by the undertaking by this order of priority:Legal Entity Identifier (LEI);Specific codeThis code shall be unique to each SPV and remain constant over subsequent reports. |
| C0040 | ID Code of SPV notes or other financing mechanism issued | For the notes or other financing mechanism issued by the SPV and hold by the insurance and reinsurance undertaking within the scope of group supervision identify the ID code by this order of priority if existent:ISO 6166 ISIN when available;Other recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC);Code attributed by the undertaking within the scope of group supervision, when the options above are not available, and must be consistent over time. |
| C0050 | ID Code Type of SPV notes or other financing mechanism issued | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:1 – ISO 6166 for ISIN code2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertaking within the scope of group supervision |
| C0060 | Lines of Business SPV securitisation relates | Identification of the line of business as defined in Annex I to Delegated Regulation (EU) 2015/35 reported. The following closed list shall be used:1 – Medical expense insurance2 – Income protection insurance3 – Workers’ compensation insurance4 – Motor vehicle liability insurance5 – Other motor insurance6 – Marine, aviation and transport insurance7 – Fire and other damage to property insurance8 – General liability insurance9 – Credit and suretyship insurance10 – Legal expenses insurance11 – Assistance12 – Miscellaneous financial loss13 – Proportional medical expense reinsurance14 – Proportional income protection reinsurance15 – Proportional workers’ compensation reinsurance16 – Proportional motor vehicle liability reinsurance17 – Proportional other motor reinsurance18 – Proportional marine, aviation and transport reinsurance19 – Proportional fire and other damage to property reinsurance20 – Proportional general liability reinsurance21 – Proportional credit and suretyship reinsurance22 – Proportional legal expenses reinsurance23 – Proportional assistance reinsurance24 – Proportional miscellaneous financial loss reinsurance25 – Non–proportional health reinsurance26 – Non–proportional casualty reinsurance27 – Non–proportional marine, aviation and transport reinsurance28 – Non–proportional property reinsurance29 – Health insurance30 – Insurance with profit participation31 – Index–linked and unit–linked insurance32 – Other life insurance33 – Annuities stemming from non–life insurance contracts and relating to health insurance obligations34 – Annuities stemming from non–life insurance contracts and relating to insurance obligations other than health insurance obligations35 – Health reinsurance36 – Life reinsurance37 – Multiline (as defined hereunder)Where the reinsurance treaty or a similar arrangement provides cover for more than one line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and the terms of cover differ between lines of business then the treaty needs to be specified over multiple rows. The first row entry for the treaty needs to be entered as ‘Multiline’ that provides details of the overall terms of the treaty, with the subsequent rows providing details of the individual terms of the reinsurance treaty to each relevant line of business. Where the term of the cover do not differ by line of business only the dominant line of business is required. |
| C0070 | Type of Trigger(s) in the SPV | Identify the trigger mechanisms used by the SPV as trigger events that would oblige the SPV to make payment to the ceding (re)insurance undertaking within the scope of group supervision. The following closed list shall be used:1 – Indemnity2 – Model Loss3 – Index or Parametric4 – Hybrids (including components from the above–mentioned techniques)5 – Other |
| C0080 | Contractual Trigger Event | Description of the specific trigger that would oblige the SPV to make payment to the ceding (re)insurance undertaking within the scope of group supervision. This information should be complementary to the information on ‘Type of Trigger(s) in the SPV’ and should be descriptive enough to allow supervisors to identify the concrete trigger, e.g. specific weather/storm indices for cat risks or general mortality tables for longevity risks. |
| C0090 | Same trigger as in underlying cedant’s portfolio | Identify if the trigger defined in the underlying (re)insurance policy with the pay–out trigger defined in the treaty is the same as the one defined in the SPV. The following closed list shall be used:1 – Same trigger2 – Different trigger |
| C0100 | Basis risk arising from risk–transfer structure | Identify the causes of basis risk (i.e. that the exposure covered by the risk–mitigation technique does not correspond to the risk exposure of the insurance or reinsurance undertaking within the scope of group supervision). The following closed list shall be used:1 – No basis risk2 – Insufficient subordination for note holders,3 – Investors’ additional recourse against cedant,4 – Additional risks were securitised subsequent to authorisation,5 – Cedants hold exposure to notes issued,9 – Other |
| C0110 | Basis risk arising from contractual terms | Identify the basis risk arising from contractual terms.1 – No basis risk2 – Substantial part of risks insured not transferred3 – Insufficient trigger to match risk exposure of cedant |
| C0120 | SPV assets ring–fenced to settle cedant–specific obligations | The amount of SPV assets ring–fenced for the reporting cedant, which are available to settle the contractual liabilities reinsured by the SPV for that specific cedant only (collateral assets specifically recognised on balance sheet of the SPV in relation to the obligation assumed). |
| C0130 | Other non cedant–specific SPV Assets for which recourse may exist | The amount of SPV assets (recognised on balance sheet of the SPV), not directly related to the reporting cedant but for which recourse exists. This would include any ‘free assets’ of the SPV, which may be available to settle the reporting cedant’s liabilities. |
| C0140 | Other recourse arising from securitisation | The amount of contingent assets of the SPV (held off balance sheet), not directly related to the reporting cedant but for which recourse exists. This includes recourse against other counterparties of the SPV, including guarantees, reinsurance contracts and derivative commitments to SPV made by the SPV sponsor, note holders, or other third parties. |
| C0150 | Total maximum possible obligations from SPV under reinsurance policy | Amount of total maximum possible obligations from reinsurance contract (cedant–specific). |
| C0160 | SPV fully funded in relation to cedant obligations throughout the reporting period | Identify if the protection offered by the risk–mitigation technique may only be partially recognised where counterparty to a reinsurance contract ceases to be able to provide effective and continuing risk–transfer. The following closed list shall be used:1 – SPV fully funded in relation to cedant obligations2 – SPV not fully funded in relation to cedant obligations |
| C0170 | Current recoverables from SPV | Amount of SPV Recoverables recognised on the Solvency II balance sheet of the undertaking within the scope of group supervision (prior to adjustments made for expected losses due to counterparty default). This should be calculated in accordance with the requirements of Article 41of Delegated Regulation (EU) 2015/35. |
| C0180 | Identification of material investments held by cedant in SPV | Identify whether material investments held by the cedant in the SPV exist, according to Article 210 of Delegated Regulation (EU) 2015/35.1 – Not applicable2 – Investments of SPV controlled by cedant and/or sponsor (where it differs from cedant);3 – Investments of SPV held by cedant (equity, notes or other subordinated debt of the SPV);4 – Cedant sells reinsurance or other risk mitigation protection to the SPV;5 – Cedant has provided guarantee or other credit enhancement to SPV or note holders;6 – Sufficient basis risk retained by cedant;9 – Other.If this is reported then cells C0030 and C0040 needs to identify the instrument. |
| C0190 | Securitisation assets related to cedant held in trust with other third party than cedant/sponsor | Identify if there are securitisation assets related to cedant held in trust with other third party than cedant/sponsor, considering the provisions of Articles 214(2) and 326 of Delegated Regulation (EU) 2015/35. One of the options in the following closed list shall be used:1 – Held in trust with other third party than cedant/sponsor2 – Not held in trust with other third party than cedant/sponsor |
| Information on SPV | ||
| C0200 | Internal code of SPV | Internal code attributed to the SPV by the undertaking within the scope of group supervision by this order of priority:Legal Entity Identifier (LEI);Specific codeSpecific code:For EEA insurance and reinsurance undertakings and other EEA regulated undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non–EEA undertakings and non–regulated undertakings within the scope of group supervision, identification code will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, the group should comply with the following format in a consistent manner:identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digitsThis code shall be unique to each SPV and remain constant over subsequent reports. |
| C0210 | Type of code SPV | Identification of the code used in item ‘internal code of SPV’. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0220 | Legal nature of SPV | Identify the legal nature of the SPV securitisation, according to Article 13(26) of Directive 2009/138/EC.Closed list1 – Trusts2 – Partnerships3 – Limited liability companies4 – Other legal entity form not referred above5 – Not incorporated |
| C0230 | Name of SPV | Identify the name of the SPV |
| C0240 | Incorporation no. of SPV | Registration number received at incorporation of the SPV. For un–incorporated SPVs, the groups shall report the regulatory number or equivalent number obtained from the supervisory authority at the time of authorisation. |
| C0250 | SPV country of authorisation | Identify the ISO 3166–1 alpha–2 code for the country where the SPV is established and has received authorisation, where applicable. |
| C0260 | SPV authorisation conditions | Identify authorisation conditions of the SPV according to Article 211 of Directive 2009/138/EC or equivalent legal instrument. One of the options in the following closed list shall be used:1 – SPV authorised under Article 211(1) of Directive 2009/138/EC2 – SPV authorised under Article 211(3) of Directive 2009/138/EC (grandfathered)3 – SPV regulated by a third country supervisory authority where requirements equivalent to those set out in Article 211(2) of Directive 2009/138/EC are met by the special purpose vehicle4 – SPV not covered above |
| C0270 | External rating assessment by nominated ECAI | Rating of the SPV (if any) that is considered by the undertaking and provided by an external rating agency.If the rating is not available the item shall be left blank and the SPV shall be identified as ‘9 – no rating available’ in column C0290 (Credit quality step).This item is not applicable to SPVs for which undertakings using internal model use internal ratings. If undertakings using internal model do not use internal rating, this item shall be reported.In case ‘Multiple ECAI’ is reported in C0280 report the most representative external rating. |
| C0280 | Nominated ECAI | Identify the credit assessment institution (ECAI) giving the external rating in C0270, by using the name of the ECAI as published on ESMA’s website. In case of ratings issued by subsidiaries of the ECAI please report the parent ECAI (the reference is to ESMA list of credit rating agencies registered or certified in accordance with Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies). |
| C0290 | Credit quality step | Identify the credit quality step attributed to the SPV. The credit quality step shall reflect any readjustments to the credit quality made internally by the group.One of the options in the following closed list shall be used:0 – Credit quality step 01 – Credit quality step 12 – Credit quality step 23 – Credit quality step 34 – Credit quality step 45 – Credit quality step 56 – Credit quality step 69 – No rating available |
| C0300 | Internal rating | Internal rating of the SPV for groups using internal model to the extent that the internal ratings are used in their internal modelling. If an internal model group is using solely external ratings this item shall not be reported. |
S.32.01 – Undertakings in the scope of the group
—Cells C0010 to C0080 are related to the identification of the undertaking;
—Cells C0090 to C0170 are related to ranking criteria (in the group reporting currency);
—Cells C0180 to C0230 are related to criteria of influence;
—Cells C0240 and C0250 are related to the inclusion in the scope of group supervision;
—Cell C0260 is related to group solvency calculation.
General comments:
This section relates to opening and the annual submission of information for groups.
This template is relevant under method 1 as defined in Article 230 of Directive 2009/138/EC, method 2 as defined in Article 233 of Directive 2009/138/EC and a combination of methods. It is a list of all undertakings in the scope of the group, in the meaning of Article 212(1)(c) of Directive 2009/138/EC, subject to full group supervision according to art 213(2)(a)(b)(c) of Directive 2009/138/EC including the participating insurance and reinsurance undertakings, insurance holding companies, mixed financial holding companies at the top of the group.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Country | Identify the ISO 3166–1 alpha–2 code of the country in which the registered head office of each undertaking within the scope of the group, in the meaning of Article 212(1)(c) of Directive 2009/138/EC, is located |
| C0020 | Identification code of the undertaking | Identification code by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of the group, in the meaning of Article 212(1)(c) of Directive 2009/138/EC: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non–EEA undertakings and non–regulated undertakings within the scope of the group, in the meaning of Article 212(1)(c) of Directive 2009/138/EC, identification code will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, the group should comply with the following format in a consistent manner:identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits |
| C0030 | Type of code of the ID of the undertaking | Identification of the code used in item ‘Identification code of the undertaking’:1 – LEI2 – Specific code |
| C0040 | Legal name of the undertaking | Legal name of the undertaking |
| C0050 | Type of undertaking | Identify the type of undertaking giving information on the type of activity of the undertaking. This is applicable to both EEA and third–country undertakings. The type of undertakings is linked to how the undertakings are brought into the group solvency calculation, as reported in C0260 of this template. The following closed list of options shall be used:1 – Life insurance undertaking2 – Non life insurance undertaking3 – Reinsurance undertaking4 – Composite undertaking5 – Insurance holding company as defined in Article 212(1)(f) of Directive 2009/138/EC6 – Mixed–activity insurance holding company as defined in Article 212(1)(g) of Directive 2009/138/EC7 –Mixed financial holding company as defined in Article 212(1)(h) of Directive 2009/138/EC8 – Credit institution, investment firm and financial institution9 – Institution for occupational retirement provision10 – Ancillary services undertaking as defined in Article 1(53) of Delegated Regulation (EU) 2015/3511 – Non–regulated undertaking carrying out financial activities as defined in Article 1(52) of Delegated Regulation (EU) 2015/3512 – Special purpose vehicle authorised in accordance with Article 211 of Directive 2009/138/EC13 – Special purpose vehicle other than special purpose vehicle authorised in accordance with Article 211 of Directive 2009/138/EC14 – UCIT management company as defined in Article 1(54) of Delegated Regulation (EU) 2015/3515 – Alternative investment fund manager as defined in Article 1(55) of Delegated Regulation (EU) 2015/3599 – Other |
| C0060 | Legal form | Identify the form of the undertaking.For categories 1 to 4 in cell ‘Type of undertaking’, the legal form shall be consistent with Annex III of Directive 2009/138/EC. |
| C0070 | Category (mutual/non mutual) | Indicate high level information on the legal form, i.e. whether the undertaking is a mutual or not.The following closed list shall be used:1 – Mutual2 – Non–mutual |
| C0080 | Supervisory Authority | Name of the Supervisory Authority responsible for the supervision of the individual undertaking, where applicable.Please use the full name of the authority. |
| Ranking criteria (in the group reporting currency) | ||
| C0090 | Total Balance Sheet (for (re)insurance undertakings) | For EEA (re)insurance undertakings, total amount of Solvency II balance sheet as reported in item C0010/R0500 in S.02.01. For non EEA (re)insurance undertakings, total amount of balance–sheet according to the relevant sectoral rules.The currency used shall be the group reporting currency. |
| C0100 | Total Balance Sheet (for other regulated undertakings) | For other regulated undertakings, total amount of balance sheet according to the relevant sectoral rules. The currency used shall be the group reporting currency. |
| C0110 | Total Balance Sheet (non–regulated undertakings) | For non–regulated undertakings, total amount of balance sheet used for IFRS or local GAAP. The currency used shall be the group reporting currency. |
| C0120 | Written premiums net of reinsurance ceded under IFRS or local GAAP for (re)insurance undertakings | For insurance and reinsurance undertakings written premiums net of reinsurance ceded under IFRS or local GAAP. The currency used shall be the group currency. |
| C0130 | Turn over defined as the gross revenue under IFRS or local GAAP for other types of undertakings, insurance holding companies or mixed financial holding companies | For other types of undertakings turn over defined as the gross revenue under IFRS or local GAAP.For insurance holding companies or mixed financial holding companies where appropriate turnover defined as the gross revenue under IFRS or local GAAP will be used as a ranking criteria.The currency used shall be the group reporting currency. |
| C0140 | Underwriting performance | (Re)insurance undertakings shall report their underwriting performance in accordance with their financial statements. A monetary amount shall be reported. The currency used shall be the group reporting currency. |
| C0150 | Investment performance | (Re)insurance undertakings shall report their investment performance in accordance with their financial statements. A monetary amount shall be reported. The currency used shall be the group reporting currency.This value shall not include any value already reported in C0140. |
| C0160 | Total performance | All the related undertakings within the scope of group supervision, in the meaning of Article 212(1)(c) of Directive 2009/138/EC, shall report their total performance in accordance with their financial statements. A monetary amount shall be reported. The currency used shall be the group reporting currency. |
| C0170 | Accounting standard | Identification of the accounting standard used for reporting items in cells C0100 to C0160. All items shall be reported consistently on the same accounting standard. The following closed list of options shall be used:1 – IFRS2 – Local GAAP |
| Criteria of influence | ||
| C0180 | % capital share | Proportion of the subscribed capital that is held, directly or indirectly, by the participating undertaking in the related undertaking (as referred to in Article 221 of Directive 2009/138/EC).This cell is not applicable for the ultimate parent undertaking. |
| C0190 | % used for establishment of consolidated accounts | Percentage as defined by IFRS or local GAAP for the integration of consolidated undertakings into the consolidation which may differ from item C0180. For full integration, minority interests shall also be reported in this item.This cell is not applicable for the ultimate parent undertaking. |
| C0200 | % voting rights | Proportion of voting rights that is held, directly or indirectly, by the participating undertaking in the related undertakingThis cell is not applicable for the ultimate parent undertaking. |
| C0210 | Other criteria | Other criteria useful to assess the level of influence exercised by the participating undertaking, e.g. relationship referred to in art 22(7) of Directive 2013/34/EU, centralised risk management.This cell is not applicable for the ultimate parent undertaking. |
| C0220 | Level of influence | Influence can be either dominant or significant, depending on criteria mentioned above; the group is responsible for assessing the level of influence exercised by the participating undertaking over any undertaking but as stated in Article 212(2) of Directive 2009/138/EC the group supervisor may have a differing view from the group’s assessment and if so the group shall take into account any decision made by the group supervisor.This cell is not applicable for the ultimate parent undertaking.The following closed list shall be used:1 – Dominant2 – Significant |
| C0230 | Proportional share used for the group solvency calculation | Proportional share is the proportion that will be used to calculate the group solvency.This cell is not applicable for the ultimate parent undertaking. |
| Inclusion in the scope of Group supervision | ||
| C0240 | Inclusion in the scope of group supervision – Yes/No | Indicate if the undertaking is included or not in the scope of group supervision as referred in Article 214 of Directive 2009/138/EC; if an undertaking is not included in the scope of group supervision as provided for in Article 214, then it shall be indicated which paragraph from Article 214(2) is the reason.The following closed list shall be used:1 – Included in the scope2 – Not included in the scope (Article 214 (a)3 – Not included in the scope (Article 214 (b)4 – Not included in the scope (Article 214 (c) |
| C0250 | Inclusion in the scope of group supervision – Date of decision if art.214 is applied | Identify the ISO 8601 (yyyy–mm–dd) code of the date where the decision of exclusion has been taken. |
| Group solvency calculation | ||
| C0260 | Method used and under method 1, treatment of the undertaking | The item gathers information on the method used for group solvency calculation and the treatment of each undertaking.The following closed list shall be used:1 – Method 1: Full consolidation2 – Method 1: Proportional consolidation3 – Method 1: Adjusted equity method4 – Method 1: Sectoral rules5 – Method 2: Solvency II6 – Method 2: sectoral Rules7 – Method 2: Local rules8 – Deduction of the participation in relation to Article 229 of Directive 2009/138/EC9 – No inclusion in the scope of group supervision as defined in Article 214 Directive 2009/138/EC10 – Other method |
| C0270 | Covered by internal model for Group SCR calculations | 1 – Yes2 – No |
| C0280 | Type of VA being used in the group internal model | Type of Volatility Adjustment used for the group solvency calculation by undertakings in scope of the group internal model. The following closed list shall be used:1 – None2 – Constant VA3 – Dynamic VAIf an internal model is used without VA or the Standard Formula is used for the group solvency calculation then ‘None’ should be selected. |
S.33.01 – Insurance and reinsurance individual requirements
—The first part of it (Cells C0060 to C0230) collects the information on all insurance and reinsurance undertakings of the group from EEA and non–EEA countries applying Directive 2009/138/EC reported in accordance with the rules therein; regardless of the method used for the calculation of the group solvency.
—The second part of it (Cells C0240 to C0260) collects information on the local capital requirements, local Minimum Capital Requirements, eligible own funds of all non–EEA insurance and reinsurance undertakings of the group which shall be reported in accordance with local rules, regardless of the method used for the calculation of the group solvency.
—The last cell C0270 collects the information on the solo contribution to the group SCR of all EEA and non EEA insurance and reinsurance undertakings.
—The purpose of the data in this template is to provide information to supervisors that improves the assessment of availability of own funds as well as that facilitates assessing the amount of diversification effects.
General comments:
This section relates to opening and the annual submission of information for groups.
This template is relevant under method 1 as defined in Article 230 of Directive 2009/138/EC, method 2 as defined in Article 233 of the Directive 2009/138/EC and a combination of methods, in the following way:
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Legal name of the undertaking | Legal name of each undertaking |
| C0020 | Identification code of the undertaking | Identification code by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non–EEA undertakings and non–regulated undertakings within the scope of group supervision, identification code will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, the group should comply with the following format in a consistent manner:identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits |
| C0030 | Type of code of the ID of the undertaking code | Identification of the code used in item ‘Identification code of the undertaking’:1 – LEI2 – Specific code |
| C0040 | Entity Level/RFF or MAP/Remaining Part | Identify to which the information is related to. The following closed list shall be used:1 – Entity level2 – Material Ring fenced fund or Matching Adjustment Portfolio3 – Remaining part |
| C0050 | Fund Number | When C0040 = 2, this is the unique number of each material ring–fenced fund or matching adjustment portfolio as attributed by the group. It shall remain unvarying over time. It shall not be re–used for other funds or portfolios). The number shall be used consistently across all templates, where relevant, to identify the fund/portfolio.When C0040 = 1 or 3, it shall be reported ‘0’. |
| EEA and non EEA insurance and reinsurance undertakings (using Solvency II rules) | ||
| C0060 | SCR Market Risk | Individual (gross) SCR Market Risk for each undertaking. |
| C0070 | SCR Counterparty Default Risk | Individual (gross) SCR Counterparty Default Risk for each undertaking. |
| C0080 | SCR Life Underwriting Risk | Individual (gross) SCR Life Underwriting Risk for each undertaking. |
| C0090 | SCR Health Underwriting Risk | Individual (gross) SCR Health Underwriting Risk for each undertaking. |
| C0100 | SCR Non–life Underwriting Risk | Individual (gross) SCR Non–life Underwriting Risk for each undertaking. |
| C0110 | SCR Operational Risk | Individual SCR Operational Risk for each undertaking. |
| C0120 | Individual SCR | Individual SCR for each undertaking (including any capital add–on). |
| C0130 | Individual MCR | Individual MCR for each undertaking. |
| C0140 | Eligible Individual Own Funds to cover the SCR | Eligible Individual Own Funds to cover the SCR. Total own funds are to be reported in this item. No restrictions on availability for the group apply. |
| C0150 | Use of undertaking specific parameters | When an undertaking uses undertaking specific parameters for calculating individual SCR, report the area(s) for which these parameters are used. The following closed list shall be used:1 – Life underwriting risk/revision risk2 – Health SLT underwriting risk/revision risk3 – Health NSLT premium and reserve risk,4 – Non Life premium and reserve risk,Include as many options as needed, separated by a ‘,’. |
| C0160 | Use of simplifications | When an undertaking uses simplifications for calculating individual SCR, report the area(s) for which these simplifications are used. The following closed list shall be used:1 – Market risk/spread risk (bonds and loans)2 – Market risk/interest rate risk (captives)3 – Market risk/spread risk (bonds and loans) (captives)4 – Market risk/market risk concentration (captives)5 – Counterparty default risk6 – Life underwriting risk/mortality risk7 – Life underwriting risk/longevity risk8 – Life underwriting risk/disability–morbidity risk9 – Life underwriting risk/lapse risk10 – Life underwriting risk/life expense risk11 – Life underwriting risk/life catastrophe risk12 – Health underwriting risk/mortality risk13 – Health underwriting risk/longevity risk14 – Health underwriting risk/disability–morbidity risk (medical expense)15 – Health underwriting risk/disability–morbidity risk (income protection)16 – Health SLT underwriting risk/lapse risk17 – Health underwriting risk/life expense risk18 – Non–Life underwriting risk/premium and reserve risk (captives)Include as many options as needed, separated by a ‘,’. |
| C0170 | Use of Partial Internal Model | When an undertaking uses a partial internal model(s) for calculating individual SCR, report the area(s) for which this/these are used. |
| C0180 | Group or individual internal model | When an undertaking uses a full internal model for calculating individual SCR, it has to be stated whether this regards a individual internal model or group internal model. The following closed list shall be used:1 – Individual Internal Model2 – Group Internal Model |
| C0190 | Date of initial approval of IM | In case a group or individual internal model is approved by individual supervisor, identify the ISO 8601 (yyyy–mm–dd) code of the date of this approval. |
| C0200 | Date of approval of latest major change of IM | In case a major change of group or individual internal model is approved by individual supervisor (Article 115), identify the ISO 8601 (yyyy–mm–dd) code of the date of this approval. |
| C0210 | Date of decision of capital add–on | In case a capital add–on applies to any of the undertakings listed here (Article 37 of Directive 2009/138/EC), identify the ISO 8601 (yyyy–mm–dd) code of the date of the decision. |
| C0220 | Amount of capital add–on | In case a capital add–on applies to any of the entities listed here (Article 37 of Directive 2009/138/EC), report the exact amount. |
| C0230 | Reason of capital add–on | In case a capital add–on applies to any of the undertakings listed here (Article 37 of Directive 2009/138/EC), report the reason(s) stated by the supervisor in its decision. |
| Non EEA insurance and reinsurance undertakings (both using Solvency II rules and not using Solvency II rules) regardless of the method used | ||
| C0240 | Local capital requirement | Local individual capital requirement that triggers first intervention by local supervisor. |
| C0250 | Local minimum capital requirement | Local individual minimum capital requirement that triggers final intervention – withdrawal of the authorisation – by local supervisor. This figure is needed to calculate the minimum consolidated group SCR. |
| C0260 | Eligible own funds in accordance with local rules | Eligible Individual Own Funds to cover the local capital requirement, as calculated according to local rules, without applying restrictions on availability for the group. |
| C0270 | Contribution of solo SCR to the group SCR | Contribution of solo SCR to group SCRIf the method 1 is applied, the contribution of a subsidiary undertaking to the group SCR shall be calculated according to the formula:Contrj = SCRj × SCRdiversified/Σi SCRisoloWhere:SCRj is the SCR at individual entity level of the undertaking j;SCRdiversified = SCR calculated in accordance to Article 336(a) of Delegated Regulation (EU) 2015/35;SCRisolo is the SCR at individual entity level of the participating undertaking and each related insurance orreinsurance undertaking and third-country insurance and reinsurance undertaking included in the calculation of the SCRdiversified;the ratio is the proportional adjustment due to the recognition of diversification effects at group level.For related insurance and reinsurance undertakings which are not subsidiaries (art 335 1.d of the DR) included via method 1, the contribution of the related undertaking to the group SCR is the proportional share of the individual SCR.For method 2, the contribution of the related undertaking to the group SCR is the proportional share of the individual SCR. |
S.34.01 – Other regulated and non–regulated financial undertakings including insurance holding companies and mixed financial holding companies individual requirements
General comments:
This section relates to opening and the annual submission of information for groups.
This template is relevant under method 1 as defined in Article 230 of Directive 2009/138/EC, method 2 as defined in Article 233 of the Directive 2009/138/EC and a combination of methods and covers the individual requirements of financial undertakings other than insurance and reinsurance undertakings, and of non-regulated undertakings carrying out financial activities as defined in Article 1(52) of Delegated Regulation (EU) 2015/35, such as credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies, institutions for occupational retirement provisions, non–regulated undertakings carrying out financial activities, insurance holding companies and mixed financial holding companies.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Legal name of the undertaking | Legal name of each undertaking. |
| C0020 | Identification code of the undertaking | Identification code by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non–EEA undertakings and non–regulated undertakings within the scope of group supervision, identification code will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, the group should comply with the following format in a consistent manner:identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits |
| C0030 | Type of code of the ID of the undertaking | Identification of the code used in item ‘Identification code of the undertaking’:1 – LEI2 – Specific code |
| C0040 | Aggregated or not | When the entities of other financial sectors form a group with a specific capital requirement, this consolidated capital requirement can be accepted instead of the list of each individual requirement. The following closed list shall be used:1 – Aggregated2 – Not aggregated |
| C0050 | Type of capital requirement | Identify the type of capital requirement. The following closed list shall be used:1 – Sectoral (for credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies, institutions for occupational retirement provisions)2 – Notional (for non–regulated undertakings)3 – No capital requirement |
| C0060 | Notional SCR or Sectoral capital requirement | The capital requirement, either sectoral or notional, that triggers first intervention by individual supervisor, assuming a so–called intervention ladder. |
| C0070 | Notional MCR or Sectoral minimum capital requirement | Minimum capital requirement, either sectoral or notional, that triggers final intervention, assuming a so–called intervention ladder where available.This item is not requested for entities for which a final trigger level is not set. |
| C0080 | Notional or Sectoral Eligible Own Funds | Total own funds to cover the (notional or sectoral) capital requirement. No restrictions on availability for the group apply. |
| C0085 | Contribution of solo (notional) SCR to group SCR | Contribution of the solo notional SCR to the group SCR with regard to insurance holding companies and mixed financial holding companiesContribution of solo SCR to group SCRIf the method 1 is applied, the contribution of a subsidiary undertaking to the group shall be calculated according the formula:Contrj = SCRj × SCRdiversified/Σi SCRisoloWhere:SCRj is the SCR at individual entity level of the undertaking j;SCRdiversified = SCR calculated in accordance to Article 336(a) of Commission Delegated Regulation (EU) 2015/35;SCRisolo is the SCR at individual entity level of the participating undertaking and each related insurance orreinsurance undertaking and third-country insurance and reinsurance undertaking included in the calculation of the SCRdiversified;the ratio is the proportional adjustment due to the recognition of diversification effects at group level.For related undertakings which are not subsidiaries (art 335 1.d of the DR) included via method 1, the contribution of the related undertaking to the group SCR is the proportional share of the individual SCR.For method 2, the contribution of the related undertaking to the group SCR is the proportional share of the individual SCR. |
S.35.01 – Contribution to group Technical Provisions
General comments:
This section relates to the annual submission of information for groups.
The information to be reported between C0050 to C0210 shall be after the volatility adjustment, the matching adjustment and interest rate transitional is applied. The transitional deduction to technical provisions is reported separately in C0220 and C0230.
This template is relevant under method 1 as defined in Article 230 of Directive 2009/138/EC, method 2 as defined in Article 233 of Directive 2009/138/EC and a combination of methods.
Related insurance and reinsurance undertakings which are not subsidiaries are excluded from the scope of this template since they are assessed through the adjusted equity method.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Legal name of the undertaking | Legal name of each undertaking |
| C0020 | Identification code of the undertaking | Identification code by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non–EEA undertakings and non–regulated undertakings within the scope of group supervision, identification code will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, the group should comply with the following format in a consistent manner:identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits |
| C0030 | Type of code of the ID of the undertaking | Identification of the code used in item ‘Identification code of the undertaking’:1 – LEI2 – Specific code |
| C0040 | Method of group solvency calculation | Identify the method of the group calculation. The following closed list of options shall be used:1 – Method 12 – Method 2 |
| C0050 | Total amount of TP – Amount of TP gross of IGT | Total amount of technical provisions gross of IGT.This item equals the sum of items C0070, C0100, C0130, C0160, C0190 and C0220, except for (re)insurance undertakings situated in equivalent non–EEA countries under method 2.For (re)insurance undertakings situated in equivalent non–EEA countries under method 2 only item C0050 is mandatory.The cell shall be filled in with amounts gross of reinsurance and of IGT.When method 1 as defined under Article 230 of Directive 2009/138/EC is used for the (re)insurance undertaking, the total amount of technical provisions in cell C0050 accounts for its contribution gross of reinsurance ceded within the scope of group supervision to the group technical provisions.When method 2 is used for the (re)insurance undertaking, the total amount of technical provisions in cell C0050 cannot be reconciled with the amount of group technical provisions in the group balance sheet. |
| C0060 | Total amount of TP – Amount of TP net of IGT | Total amount of technical provisions net of IGT.This item equals the sum of items C0080, C0110, C0140, C0170, C0200 and C0230, except for (re)insurance undertakings situated in equivalent non–EEA countries under method 2.For (re)insurance undertakings situated in equivalent non–EEA countries and allowed to use the local rules under method 2, only item C0060 is mandatory and this shall be filled on the basis of the local solvency regime.The cell shall be filled in with amounts gross of reinsurance but net of IGT, including intra–group reinsurance (the risk margin should not be net of IGT).When method 1 as defined under Article 230 of Directive 2009/138/EC is used for the (re)insurance undertaking, the total amount of technical provisions in cell C0060 accounts for its contribution net of reinsurance ceded within the scope of group supervision to the group technical provisions. The total amount of technical provisions in cell C0060 for all (re)insurance undertakings under method 1 can be reconciled with the amount of group technical provisions in the group balance sheet.When method 2 is used for the (re)insurance undertaking, the total amount of technical provisions in cell C0060 cannot be reconciled with the amount of group technical provisions in the group balance sheet. |
| C0070, C0100, C0130, C0160, C0190 | Amount of TP gross of IGT | Amount of technical provisions (TP calculated as a whole or the sum of the best estimate and the risk margin), split by respective main categories (Life excluding health and unit linked index–linked, Unit–linked and index linked, Health – SLT and non–SLT, Non–life excluding health) of the EEA or non–EEA undertaking calculated according to Solvency II rules.The cell shall be filled in with amounts gross of reinsurance and of IGT.The currency used shall be the group currency.This item is reported for the (re)insurance undertakings under method 1 and method 2, except for the (re)insurance undertakings under method 2 situated in equivalent non–EEA countries. |
| C0080, C0110, C0140, C0170, C0200 | Amount of TP net of IGT | Amount of technical provisions (TP calculated as a whole or the sum of the best estimate and the risk margin), split by respective main categories (Life excluding health and unit linked index–linked, Unit–linked and index linked, Health – SLT and non–SLT, Non–life excluding health) of the EEA or non–EEA undertaking calculated according to Solvency II rules.The cell shall be filled in with amounts gross of reinsurance but net of IGT, including intra–group reinsurance.The currency used shall be the group currency.This item is reported for the (re)insurance undertakings under method 1 and method 2, except for the (re)insurance undertakings under method 2 situated in equivalent non–EEA countries. |
| C0090, C0120, C0150, C0180, C0210 | Net Contribution to Group TP (%) | The percentage share of TP (TP calculated as a whole or the sum of the best estimate and the risk margin) of the (re) insurance undertaking to the group TP under method 1 net of IGT but gross of reinsurance ceded outside the group, split by respective main categories (Life excluding health and unit linked index–linked, Unit–linked and index linked, Health – SLT and non–SLT, Non–life excluding health).This item is not reported for undertakings under method 2. |
| C0220 | Transitional on TP – Amount of TP gross of IGT | Amount of the transitional deduction to technical provisions. This value is not included in the previous items.The cell shall be filled in with amounts gross of reinsurance and IGT.This value shall be reported as a negative value. |
| C0230 | Transitional on TP – Amount of TP net of IGT | Amount of the transitional deduction to technical provisions. This value is not included in the previous items.The cell shall be filled in with amounts gross of reinsurance but net of IGT, including intra–group reinsurance.This value shall be reported as a negative value. |
| C0240 | LTG measures – TP subject to Transitional on RFR – Amount of TP gross of IGT | Indicate the amount of Total amount of TP gross of IGT (C0050) subject to the transitional adjustment to the relevant risk-free interest rate term structure.The cell shall be filled in with amounts gross of reinsurance and IGT. |
| C0250 | LTG measures – TP subject to VA – Amount of TP gross of IGT | Indicate the amount of Total amount of TP gross of IGT (C0050) subject to volatility adjustment. The Technical Provisions are reported after transitional and with Risk Margin.The cell shall be filled in with amounts gross of reinsurance and IGT, including intra–group reinsurance. |
| C0260 | LTG measures – TP subject to MA – Amount of TP gross of IGT | Indicate the amount of Total amount of TP gross of IGT (C0050) subject to matching adjustment.The cell shall be filled in with amounts gross of reinsurance and IGT, including intra–group reinsurance. |
S.36.01 – IGT – Equity–type transactions, debt and asset transfer
—equity and other capital items including participations in related entities and transfer shares of related entities of the group;
—in-force at the start of the reporting period.
—debt including bonds, loans, collateralised debt, and other transactions of similar nature e.g. with periodic pre-determined interest or coupon or premium payments for a pre-determined period of time;
—incepted during the reporting period and outstanding at the reporting date.
—other asset transfer such as transfer of properties and transfer of shares of other companies unrelated (i.e. outside) to the group.
—incepted and expired/matured during the reporting period.
General comments:
This template relates to the information that groups are requested to provide at least annually.
This template shall report all (significant, very significant and transactions required to be reported in all circumstances) intra-group transactions between entities of a group related to equity, debt, reciprocal financingnote and asset transfers.
These include, but are not limited to:
This template shall include intragroup transactions that were:
Where two or more transactions between entities of the group which, from an economic perspective, contribute to the same risk, or, serve the same purpose/objective or are temporally connected in a plan, they shall be considered as a single economic operation.
As such each transaction which is part of a single economic operation shall be reported whenever collectively they are at or above the corresponding threshold for significant intra-group transactions, even though individually the transactions fall below the threshold.
Any element added to significant intragroup transactions shall be reported as a separate intragroup transaction, even if the element in its own right falls below the significant threshold limit. For example, if an undertaking increases the initial loan amount to another related undertaking the addition to the loan shall be recorded as a separate item with its issue date as the date of the addition.
Where the transaction value is different for two transacting parties (e.g. a EUR10m transaction between A and B where A records EUR10m but B only receive EUR9,5 m because of transactions costs, of say EUR0,5 m has been expensed) the template shall record the maximum amount as the transaction amount, in this case EUR10m.
Indirect transactions shall be defined as any transaction shifting risk exposures between entities within the group including but not limited to transactions with special purpose vehicle, collective investment undertakings, ancillary entities or unregulated entities; or entities outside of the group but ultimately risk exposure is brought back or stays within the group. Where there is a chain of related intragroup transactions (e.g. A invests in B and B invests in C), this transaction shall be reported as an indirect transaction. Therefore A to C transaction shall be reported and the comments shall mention the intermediary step. In the case of a waterfall of transactions, e. g. if ‘A’-> ‘B’ -> ‘C’-> ‘D’ where both ‘B’ and ‘C’ are both in the group but unregulated entities, this transaction shall also be reported.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | ID of intragroup transaction | Unique internal identification code for each intragroup transaction. Shall be consistent over time. |
| C0020 | Investor/Lender name | Name of the entity that is buying the equity or lending to a related undertaking within the group, i.e. the entity that recognises the transaction as an asset on its balance sheet (debit – balance sheet). |
| C0030 | Identification code for investor/lender | The unique identification code attached to the investor/buyer/transferee by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group. When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall comply with the following format in a consistent manner:identification code of the parent undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits |
| C0031 | Type of code for investor/lender | Type of ID Code used for the ‘Identification code for investor/lender’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| NC0040 | Sector of the investor/lender | If the investor/lender is part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC, indicate: ‘banking sector’, ‘insurance and reinsurance sector’ ‘investments services sector’.If the investor/lender is not part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC indicate: ‘other undertaking of the group’. |
| C0050 | Issuer/borrower name | Name of the entity that is issuing the equity/capital item, or borrowing money (issuing debt), i.e. the entity that recognises the transaction as a liability or capital on its balance sheet (credit – balance sheet). |
| C0060 | Identification code for issuer/borrower | The unique identification code attached to the investor/buyer/transferee by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group.When allocating an identification code to each non-EEA or non-regulated undertaking, the financial conglomerate shall comply with the following format in a consistent manner: identification code of the parent undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits |
| C0061 | Type of code for issuer/borrower | Type of ID Code used for the ‘Identification code for issuer/borrower’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| NC0070 | Sector of the issuer/borrower | If the issuer/borrower is part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC, indicate: ‘banking sector’, ‘insurance and reinsurance sector’ ‘investments services sector’.If the issuer/borrower is not part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC indicate ‘other undertaking of the group’. |
| NC0080 | Indirect transactions | If reported intra-group transaction is part of an indirect transaction (cf. General comments supra), report the ‘ID of intragroup transaction’ (C0010) of the related transaction in this cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactions.If the reported IGT is not part of an indirect transaction, indicate No. |
| NC0090 | Single economic operation | If the reported IGT is part of single economic operation (cf. General comments supra), report the ‘ID of intragroup transaction’ (C0010) of the related transaction in this cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactions.If the reported IGT is not part of single economic operation, indicate No |
| NC0100 | ID Code of the instrument | This is the identification code of the instrument (capital, debt etc.) between the two counterparties identified using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available. This code shall be consistent over time.This may be different from the intragroup transaction code provided in cell C0010. |
| NC0101 | ID Code Type of the instrument | Type of ID Code used for the ‘ID Code of the instrument’ item. One of the options in the following closed list shall be used:1 – ISO 6166 for ISIN code2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn-Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertaking |
| NC0110 | Type of instrument | Identify the type of instrument.The following closed list shall be used:1 – Bonds/Debt2 – Equity type3 – Other asset transfer |
| NC0120 | Instrument | Identify the instrument. The following closed list shall be used:1 – Bonds/Debt – collateralised2 – Bonds/Debt – uncollateralised3 – Equity type – shares/participations4 – Equity type – others5 – Other asset transfer – properties6 – Other asset transfer – others |
| NC0130 | Issue date | This is the earlier of the transaction/debt issue date or the date the intragroup transaction is effective from, if different from the issue date.The date shall follow the ISO 8601 (yyyy-mm-dd) format. |
| NC0140 | Maturity date | Identify the ISO 8601 (yyyy-mm-dd) code of the date when the transaction expires/reaches maturity if applicable.For intragroup transaction with no maturity date use 9999-12-31.For perpetual securities use 9999-12-31 |
| NC0150 | Currency of transaction | Identify the ISO 4217 alphabetic code of the currency in which the transaction took place. |
| NC0160 | Amount at transaction date | Amount of the transaction at transaction date reported in the reporting currency of the group. |
| NC0170 | Amount at reporting date | Outstanding amount of the transaction at the reporting date if applicable e.g. for debt issue, reported in the reporting currency of the group. If there has been a full early settlement/prepayment, the balance of contractual amount shall be zero. |
| NC0180 | Value of collateral | The value of collateral for collaterised debt or asset value for intragroup transaction involving asset transfer, reported in the reporting currency of the group. |
| NC0190 | Amount of dividends/interest/coupon and other payments made during reporting period | This cell shall capture any payments made in relation to the intragroup transaction s recorded in this template for the reporting period (6 months up to the reporting date).This includes, but not limited to:Dividends for the current year including paid or declared but unpaid dividends.Any deferred dividends from previous years paid during the reporting period (i.e. any deferred dividends paid that impacted the P&L for the reporting period).Interest payments made in relation to debt instruments.Any other payments made in relation to the intragroup transaction s that are reported in this template, e.g. charges on asset transfers.Amount of total tops-ups if applicable, i.e. total additional money invested during the reporting period such as an additional payments on partly paid shares or increasing loan amount during the period (when reporting tops-ups as a separate item).This amount shall be reported in the reporting currency of the group. |
| C0200 | Coupon/Interest rate | The interest or coupon rate as a percentage, if applicable. For variable interest rate, this shall include the reference rate and the interest rate above it. |
| C0210 | Comments | Comments shall contain:a notification if the transaction has not been performed at arm’s lengthany other relevant information regarding the economic nature of the operation |
S.36.02 – IGT – Derivatives
—Interest rate contracts, including swaps, forward agreements, futures and options;
—in-force at the start of the reporting period.
—Foreign exchange contracts, including swaps, forward agreements, futures and options;
—incepted during the reporting period and outstanding at the reporting date.
—Contracts of a nature similar to those in points 1(a) to (e) and 2(a) to (d) of this Annex concerning other reference items or indices.
—incepted and expired/matured during the reporting period.
General comments:
This template relates to the information groups are requested to provide at least annually.
This template shall report all (significant, very significant and transactions required to be reported in all circumstances) intra-group transactions between entities in scope of group supervision related to derivatives. Significant intra-group transactions related to derivatives shall be reported where the carrying amount of the derivative exceeds the threshold. These include, but are not limited to:
This template shall include intragroup transactions that were:
Where two or more transactions between entities of the group which, from an economic perspective, contribute to the same risk, or, serve the same purpose/objective or are temporally connected in a plan, they shall be considered as a single economic operation.
As such each transaction which is part of a single economic operation shall be reported whenever collectively they are at or above the corresponding threshold for significant intra-group transactions, even though individually the transactions fall below the threshold.
Any element added to significant intragroup transactions shall be reported as a separate intragroup transaction, even if the element in its own right falls below the significant threshold limit. For example, if an undertaking increases the initial loan amount to another related undertaking the addition to the loan shall be recorded as a separate item with its issue date as the date of the addition.
Where the transaction value is different for two transacting parties (e.g. a EUR10m transaction between A and B where A records EUR10m but B only receive EUR9,5 m because of transactions costs, of say EUR0,5 m has been expensed) the template shall record the maximum amount as the transaction amount, in this case EUR10m.
Indirect transactions shall be defined as any transaction shifting risk exposures between entities within the group including but not limited to transactions with special purpose vehicle, collective investment undertakings, ancillary entities or unregulated entities; or entities outside of the group but ultimately risk exposure is brought back or stays within the group. Where there is a chain of related intragroup transactions (e.g. A invests in B and B invests in C), this transaction shall be reported as an indirect transaction. Therefore A to C transaction shall be reported and the comments shall mention the intermediary step. In the case of a waterfall of transactions, e. g. if ‘A’-> ‘B’ -> ‘C’-> ‘D’ where both ‘B’ and ‘C’ are both in the group but unregulated entities, this transaction shall also be reported.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | ID of intragroup transaction | Unique internal identification code for each intragroup transaction. It shall be consistent over time. |
| C0020 | Investor/buyer name | Name of the entity that is investing/buying the derivative, or the counterparty with the long position. For swaps the payer is the payer of the fixed rate that receives the floating rate. |
| C0030 | Identification code of the investor/buyer | The unique identification code attached to the investor/buyer/transferee by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group.When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall comply with the following format in a consistent manner: identification code of the parent undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits |
| C0031 | Type of code of the investor/buyer | Type of ID Code used for the ‘Identification code of the investor/buyer’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| NC0040 | Sector of the investor/buyer | If the investor/buyer is part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC, indicate: ‘banking sector’, ‘insurance and reinsurance sector’ ‘investments services sector’.If the investor/buyer is not part of financial sector within the meaning of Article 2(8) indicate: ‘other undertaking of the group’. |
| C0050 | Issuer/Seller name | Name of the entity that is issuing/selling the derivative, or the counterparty with the short position. For swaps the receiver, receives the fixed rates and pays the floating rate. |
| C0060 | Identification code of the issuer/seller | The unique identification code attached to the investor/buyer/transferee by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group.When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall comply with the following format in a consistent manner: identification code of the parent undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits |
| C0061 | Type of code of the issuer/seller | Type of ID Code used for the ‘Identification code of the issuer/seller’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| NC0070 | Financial sector of the issuer/seller | If the issuer/seller is part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC, indicate: ‘banking sector’, ‘insurance and reinsurance sector’ ‘investments services sector’.If the issuer/seller is not part of financial sector within the meaning of Article 2(8) indicate: ‘other undertaking of the group’. |
| NC0080 | Indirect transactions | If reported intragroup transaction is part of an indirect transaction (cf. General comments supra), report the ‘ID of intragroup transaction’ (C0010) of the related transaction in the cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactions.If the reported intragroup transaction is not part of an indirect transaction, indicate No. |
| NC0090 | Single economic operation | If the reported intragroup transaction is part of single economic operation (cf. General comments supra), report the ‘ID of intragroup transaction’ (C0010) of the related transaction in the cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactionsIf the reported intragroup transaction is not part of single economic operation, indicate No. |
| NC0100 | ID Code of the instrument | This is the identification code of the instrument (capital, debt etc.) between the two counterparties identified using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available. This code shall be consistent over time.This may be different from the intragroup transaction code provided in cell C0010. |
| NC0101 | ID Code Type of the instrument | Type of ID Code used for the ‘ID Code of the instrument’ item. One of the options in the following closed list shall be used:1 – ISO 6166 for ISIN code2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn-Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertaking |
| NC0110 | Type of instrument | Identify the transaction type. The following closed list shall be used:1 – Derivatives – futures2 – Derivatives – forwards3 – Derivatives – options4 – Derivatives – others5 – Guarantees – credit protection6 – Guarantees – others7 – Swaps8 – OthersA repurchase agreement shall be considered as cash transaction plus forward contract. |
| NC0120 | Type of protection | Identify the transaction type. The following closed list shall be used:1 – credit default2 – interest rate3 – currency4 – others |
| NC0130 | Purpose of the instrument | Describe use of derivative (micro/macro hedge, efficient portfolio management). Micro hedge refers to derivatives covering a single financial instrument, forecasted transaction or liability. Macro hedge refers to derivatives covering a set of financial instruments, forecasted transactions or liabilities. The following closed list shall be used:1 – Micro hedge2 – Macro hedge3 – Matching assets and liabilities cash-flows4 – Efficient portfolio management, other than Matching assets and liabilities cash-flows5 – Others |
| NC0140 | Starting date | Identify the ISO 8601 (yyyy-mm-dd) code of the date of the transaction/trade of the derivative contract. For rolled contracts use the initial trade date. |
| NC0150 | Maturity date | Identify the ISO 8601 (yyyy-mm-dd) code of the contractually defined date of close of the derivative contract, whether at maturity date, expiring date for options (European or American), etc. |
| NC0160 | Currency of transaction | Identify the ISO 4217 alphabetic code of the currency in which the transaction took place. |
| NC0170 | Notional amount | The amount covered or exposed to the derivative at the reporting date, i.e. the closing balance, reported in the reporting currency of the group.For futures and options, corresponds to contract size multiplied by the number of contracts. For swaps and forwards, corresponds to the contract amount. Where a transaction has matured/expired during the reporting period before the reporting date, the notional amount at the reporting date shall be zero. |
| NC0180 | Carrying amount | Value of the derivative at the reporting date as reported in the balance sheet of the entity.Where a transaction has matured/expired during the reporting period before the reporting date, the carrying amount at the reporting date shall be the maximum carrying amount of the derivatives before the maturity of the transaction |
| NC0190 | Value of collateral | Value of the collateral pledged on reporting date (zero if derivative has been closed) if applicable, reported in the reporting currency of the financial conglomerate. |
| NC0200 | Identification code Asset/Liability underlying the derivative | ID Code of the asset or liability underlying the derivative contract. This item is to be provided for derivatives that have a single underlying instrument or index in the undertaking’s portfolio.An index is considered a single instrument and shall be reported.Identification code of the instrument underlying the derivative using the following priority:ISO 6166 code of ISIN when availableOther recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)Code attributed by the undertaking, when the options above are not available, and shall be consistent over timeMultiple assets/liabilities, if the underlying assets or liabilities are more than oneIf the underlying is an index, then the code of the index shall be reported. |
| NC0201 | Type of code Asset/Liability underlying the derivative | Type of ID Code used for the ‘Identification code Asset/Liability underlying the derivative’ item. One of the options in the following closed list shall be used:1 – ISO 6166 for ISIN code2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)4 – WKN (Wertpapier Kenn-Nummer, the alphanumeric German identification number)5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities)6 – BBGID (The Bloomberg Global ID)7 – Reuters RIC (Reuters instrument code)8 – FIGI (Financial Instrument Global Identifier)9 – Other code by members of the Association of National Numbering Agencies99 – Code attributed by the undertaking. This option shall also be used for the cases of Multiple assets/liabilities and indexes |
| NC0210 | Counterparty name for which credit protection is purchased | Name of the counterparty for which protection has been purchased for its default |
| NC0220 | Swap delivered interest rate (for buyer) | Interest rate delivered under the swap contract (only for Interest rate swaps). |
| NC0230 | Swap received interest rate (for buyer) | Interest rate received under the swap contract (only for Interest rate swaps). |
| NC0240 | Swap delivered currency (for buyer) | Identify the ISO 4217 alphabetic code of the currency of the swap price (only for currency swaps). |
| C0250 | Swap received currency (for buyer) | Identify the ISO 4217 alphabetic code of the currency of the swap notional amount (only for currency swaps). |
| C0260 | Revenues stemming from derivatives | Net revenues stemming from the investment or the purchase of derivatives. Following the IFRS based P&L, both realized and unrealized results are expected here. The amounts should be filed with their clean value (in comparison to QRT S. 09.01. SII). Interests will be reported in S.36.05 P&L. |
| C0270 | Comments | Comments shall contain:a notification if the transaction has not been performed at arm’s lengthany other relevant information regarding the economic nature of the operation. |
S.36.03 – IGT – Off-balance sheet and contingent liabilities
—Off balance sheet guarantees;
—in-force at the start of the reporting period.
—undrawn credit facilities
—incepted during the reporting period and outstanding at the reporting date.
—assets purchased under outright forward purchase agreements (currency or other)
—incepted and expired/matured during the reporting period.
—asset sale and repurchase agreements as referred to in Article 12(3) and (5) of Directive 86/635/EEC
—Contingent liabilities
General comments:
This template relates to the information groups shall provide at least annually.
This template shall report all (significant, very significant and transactions required to be reported in all circumstances) intragroup transactions between entities in scope of group supervision related to off-balance sheet guarantees.
These include, but not limited to:
This template shall include intragroup transactions that were:
Where two or more transactions between entities of the group which, from an economic perspective, contribute to the same risk, or, serve the same purpose/objective or are temporally connected in a plan, they shall be considered as a single economic operation.
As such each transaction which is part of a single economic operation shall be reported whenever collectively they are at or above the corresponding threshold for significant intra-group transactions, even though individually the transactions fall below the threshold.
Any element added to significant intragroup transactions shall be reported as a separate intragroup transaction, even if the element in its own right falls below the significant threshold limit. For example, if an undertaking increases the initial loan amount to another related undertaking the addition to the loan shall be recorded as a separate item with its issue date as the date of the addition.
Where the transaction value is different for two transacting parties (e.g. a EUR10m transaction between A and B where A records EUR10m but B only receive EUR9,5 m because of transactions costs, of say EUR0,5 m has been expensed) the template shall record the maximum amount as the transaction amount, in this case EUR10m.
Indirect transactions shall be defined as any transaction shifting risk exposures between entities within the group including but not limited to transactions with special purpose vehicle, collective investment undertakings, ancillary entities or unregulated entities; or entities outside of the group but ultimately risk exposure is brought back or stays within the group. Where there is a chain of related intragroup transactions (e.g. A invests in B and B invests in C), this transaction shall be reported as an indirect transaction. Therefore A to C transaction shall be reported and the comments shall mention the intermediary step. In the case of a waterfall of transactions, e. g. if ‘A’-> ‘B’ -> ‘C’-> ‘D’ where both ‘B’ and ‘C’ are both in the group but unregulated entities, this transaction shall also be reported.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | ID of intragroup transaction | Unique internal identification code for each intragroup transaction. It shall be consistent over time. |
| C0020 | Provider name | Name of the entity that is providing the off-balance guarantee. |
| C0030 | Identification code of the provider | The unique identification code attached to the provider by this order of priority if existent:Legal Entity Identifier (LEI);Specific codeSpecific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non-EEA undertakings and non-regulated undertakings within the group, identification code will be provided by the financial conglomerate.When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall comply with the following format in a consistent manner: identification code of the parent undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits |
| C0031 | Type of code of the provider | Type of ID Code used for the ‘Identification code of the provider’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0040 | Financial sector of the provider | If the provider is part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC, indicate: ‘banking sector’, ‘insurance and reinsurance sector’ ‘investments services sector’.If the provider is not part of financial sector within the meaning of Article 2(8) indicate: ‘other undertaking of the group’. |
| C0050 | Beneficiary name | Name of the entity that is benefiting from the off-balance sheet guarantee. |
| C0060 | Identification code of the beneficiary | The unique identification code attached to the beneficiary by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group.When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall comply with the following format in a consistent manner: identification code of the parent undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits |
| C0061 | Type of code of the beneficiary | Type of ID Code used for the ‘Identification code of the beneficiary’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0070 | Financial sector of the beneficiary | If the beneficiary is part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC, indicate: ‘banking sector’, ‘insurance and reinsurance sector’ ‘investments services sector’.If the beneficiary is not part of financial sector within the meaning of Article 2(8) indicate: ‘other undertaking of the group’. |
| C0080 | Indirect transactions | If reported intragroup transaction is part of an indirect transaction (cf. General comments supra), report the ‘ID of intragroup transaction’ (C0010) of the related transaction in this cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactions.If the reported intragroup transaction is not part of an indirect transaction, indicate No. |
| C0090 | Single economic operation | If the reported intragroup transaction is part of single economic operation (cf. General comments supra), report the ‘ID of intragroup transaction’ (C0010) of the related transaction in this cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactionsIf the reported intragroup transaction is not part of single economic operation, indicate No |
| C0100 | Transaction type | Identify the type of transaction. The following closed list shall be used:1 – guarantees2 – commitment3 – letter of credit4 – undrawn credit facilities5 – assets purchased under outright forward purchase agreements (currency or other);6 – asset sale and repurchase agreements as referred to in Article 12(3) and (5) of Directive 86/635/EEC;7 – Contingent liabilities8 – other; |
| C0110 | Transaction issue date | Identify the ISO 8601 (yyyy-mm-dd) code of the date when the transaction/issue takes effect. |
| C0120 | Expiry date of agreement/contract underlying transaction | Where applicable, identify the ISO 8601 (yyyy-mm-dd) code of the date when the agreement/contract ceases. If the expiry date is perpetual use "9999-12-31". |
| C0130 | Currency of transaction | Identify the ISO 4217 alphabetic code of the currency in which the transaction took place. If there are two currencies involved, please identify both in cell Comments C0200 |
| C0140 | Trigger event | Where applicable, brief description of event that would trigger the transaction/payment/liability/none e.g. event that would result in a contingent liability occurring. |
| C0150 | Value of transaction at starting date | Value of the transaction or collateral pledged.This item is to be reported in the reporting currency of the group. |
| C0160 | Value of transaction at reporting date | Value of the transaction, collateral pledged.This item shall be reported in the reporting currency of the group. |
| C0170 | Maximum possible value of contingent liabilities | Maximum possible value, if possible, regardless of their probability (i.e. future cash flows required to settle the contingent liability over the lifetime of that contingent liability, discounted at the relevant risk-free interest rate term structure) of contingent liabilities included in the group’s balance sheet. Sum of all possible cash flows if events triggering guarantees were all to happen in relation to guarantees provided by the ‘provider’ (cell C0020) to the ‘beneficiary’ (Cell C0050) to guarantee the payment of the liabilities due by the undertaking (includes letter of credit, undrawn committed borrowing facilities). This item shall not include amounts already reported under C0150 and C0160. |
| C0180 | Value of guaranteed assets | Value of the guaranteed asset for which the guarantees are received.Sectoral valuation principles may be relevant in this case. |
| C0190 | Revenues stemming from the off-balance sheet items | Revenues associated to the provisions of the off-balance sheet transaction |
| C0200 | Comments | Comments shall contain:a notification if the transaction has not been performed at arm’s lengthany other relevant information regarding the economic nature of the operation. |
S.36.04 – IGT – Insurance and Reinsurance
—Insurance contracts of entities within the scope of the group with insurance companies within the scope of the group
—in-force at the start of the reporting period.
—reinsurance treaties between related undertakings of a group;
—incepted during the reporting period and outstanding at the reporting date.
—facultative reinsurance between related undertakings of a group; and
—incepted and expired/matured during the reporting period.
—any other transaction that results in transferring underwriting risk (insurance risk) between related undertakings of a group.
General comments:
This template relates to the information groups are requested to provide annually.
This template shall report all (significant, very significant and transactions required to be reported in all circumstances) intra-group transactions between entities in scope of the group supervision related to internal insurance and reinsurance within the group.
These include, but not limited to:
This template shall include intragroup transactions that were:
Where two or more transactions between entities of the group which, from an economic perspective, contribute to the same risk, or, serve the same purpose/objective or are temporally connected in a plan, they shall be considered as a single economic operation.
As such each transaction which is part of a single economic operation shall be reported whenever collectively they are at or above the corresponding threshold for significant intra-group transactions, even though individually the transactions fall below the threshold.
Any element added to significant intragroup transactions shall be reported as a separate intragroup transaction, even if the element in its own right falls below the significant threshold limit. For example, if an undertaking increases the initial loan amount to another related undertaking the addition to the loan shall be recorded as a separate item with its issue date as the date of the addition.
Where the transaction value is different for two transacting parties (e.g. a EUR10m transaction between A and B where A records EUR10m but B only receive EUR9,5 m because of transactions costs, of say EUR0,5 m has been expensed) the template shall record the maximum amount as the transaction amount, in this case EUR10m.
Indirect transactions shall be defined as any transaction shifting risk exposures between entities within the group including but not limited to transactions with special purpose vehicle, collective investment undertakings, ancillary entities or unregulated entities; or entities outside of the group but ultimately risk exposure is brought back or stays within the group. Where there is a chain of related intragroup transactions (e.g. A invests in B and B invests in C), this transaction shall be reported as an indirect transaction. Therefore A to C transaction shall be reported and the comments shall mention the intermediary step. In the case of a waterfall of transactions, e. g. if ‘A’-> ‘B’ -> ‘C’-> ‘D’ where both ‘B’ and ‘C’ are both in the group but unregulated entities, this transaction shall also be reported.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | ID of the intragroup transaction | Unique internal identification code for each intragroup transaction. It shall be consistent over time. |
| C0020 | Insured party/Cedent name | Legal name of the entity that has transferred the underwriting risk to another insurer or reinsurer within the group. |
| C0030 | Identification code for insured party/cedent | The unique identification code attached to the investor/buyer/transferee by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group.When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall comply with the following format in a consistent manner: identification code of the parent undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits |
| C0031 | Type of code for insured party/cedent | Type of ID Code used for the ‘Identification code for investor/lender’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0040 | Sector of the insured party/cedent | If the insured party/cedent is part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC, indicate: ‘banking sector’, ‘insurance and reinsurance sector’ ‘investments services sector’.If the insured party/cedent is not part of financial sector within the meaning of Article 2(8) indicate: ‘other undertaking of the group’. |
| C0050 | Insurer/Reinsurer name | Legal name of the insurer/reinsurer to whom the underwriting risk has been transferred. |
| C0060 | Identification code of insurer/reinsurer | The unique identification code attached to the investor/buyer/transferee by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group.When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall comply with the following format in a consistent manner: identification code of the parent undertaking +ISO 3166-1 alpha-2 code of the country of the undertaking +5 digits |
| C0061 | Type of code of insurer/reinsurer | Type of ID Code used for the ‘Identification code of insurer/reinsurer’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0070 | Sector of the insurer/reinsurer | Financial sector of the provider within the meaning of Article 2(8) of Directive 2002/87/EC, i.e., ‘insurance and reinsurance sector’.This column has been kept to be aligned with the templates used at financial conglomerate level. |
| C0080 | Indirect transactions | If reported intragroup transaction is part of an indirect transaction (cf. General comments supra), report the ‘ID of intragroup transaction’ (C0010) of the related transaction in this cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactions.If the reported intragroup transaction is not part of an indirect transaction, indicate No. |
| C0090 | Single economic operation | If the reported intragroup transaction is part of single economic operation (cf. General comments supra), report the ‘ID of intragroup transaction’ (C0010) of the related transaction in this cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactions.If the reported intragroup transaction is not part of single economic operation, indicate No |
| C0100 | Type of transaction | Identify the type of contract/treaty. The following closed list shall be used:1 – insurance2 – reinsurance |
| C0110 | Transaction | If C0100 = reinsurance, then identify the type of reinsurance contract/treaty. The following closed list shall be used:1 – quota share2 – variable quota share3 – surplus4 – excess of loss (per event and per risk)5 – excess of loss (per risk)6 – excess of loss (per event)7 – excess of loss back-up (protection against follow-on events which certain catastrophes can cause such as flooding or fire)8 – excess of loss with basis risk9 – reinstatement cover10 – aggregate excess of loss11 – unlimited excess of loss12 – stop loss13 – other proportional treaties14 – other non-proportional treaties15 – Financial reinsurance16 – Facultative proportional17 – Facultative non-proportionalOther proportional treaties (code 13) and Other non-proportional treaties (code 14) can be used for hybrid types of reinsurance treaties. |
| C0120 | Starting date | Identify the ISO 8601 (yyyy-mm-dd) code of the date of commencement of the specific reinsurance contract/treaty. |
| C0130 | Expiry date | Identify the ISO 8601 (yyyy-mm-dd) code of the expiry date of the specific reinsurance contract/treaty (i.e. the last date the specific reinsurance contract/treaty is in force). This item is not reported if there is no expiry date (for example, contract is continuous and ends by one of the parties giving notice). |
| C0140 | Currency of transaction | Identify the ISO 4217 alphabetic code of the currency of payments for the specific reinsurance contract/treaty. |
| C0150 | Maximum cover by transaction | For quota share or a surplus treaty, 100 % of the maximum amount that has been set for the entire contract/treaty is stated here (e.g. EUR10million). In case of unlimited cover ‘-1’ shall be filled in here.This item has to be reported in the currency of the transaction. |
| C0160 | Net Receivables | The amount resulting from: claims paid by the (re)insurer but not yet reimbursed by the (re)insurer + commissions to be paid by the (re)insurer + other receivables minus debts to the (re)insurer. Cash deposits are excluded and are to be considered as guarantees received.This item has to be reported in the currency of the group. |
| C0170 | Total reinsurance recoverables | Total amount due from the reinsurer at the reporting date which include:Premium provision for part of the future reinsurance premium which has already been paid to the reinsurer;Claims provision for claims outstanding for insurer which have to be paid by the reinsurer; and/orTechnical provisions for the amount reflecting the share of the reinsurer in the gross technical provisions. This item has to be reported in the reporting currency of the group. |
| C0180 | Reinsurance technical result (for reinsurance) | Reinsurance result (for reinsured entity):Total reinsurance commissions received by reinsured entity less Gross reinsurance premiums paid by reinsured entityplus Claims paid by reinsurer during the reporting period plusTotal reinsurance recoverables at the end of the reporting period lessTotal reinsurance recoverables at the start of the reporting period.This item has to be reported in the reporting currency of the group. |
| C0190 | Premiums (for insurance) | Total amount of gross written premiums as defined in Article 1(11) of Delegated Regulation (EU) 2015/35.For annuities stemming from non-life this cell is not applicable. |
| C0200 | Claims (for insurance) | Total amount of gross claims paid during the year, including claims management expenses |
| C0210 | Line of business | Identify the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, being reinsured.The following closed list shall be used:1 – Medical expense insurance2 – Income protection insurance3 – Workers’ compensation insurance4 – Motor vehicle liability insurance5 – Other motor insurance6 – Marine, aviation and transport insurance7 – Fire and other damage to property insurance8 – General liability insurance9 – Credit and suretyship insurance10 – Legal expenses insurance11 – Assistance12 – Miscellaneous financial loss13 – Proportional medical expense reinsurance14 – Proportional income protection reinsurance15 – Proportional workers’ compensation reinsurance16 – Proportional motor vehicle liability reinsurance17 – Proportional other motor reinsurance18 – Proportional marine, aviation and transport reinsurance19 – Proportional fire and other damage to property reinsurance20 – Proportional general liability reinsurance21 – Proportional credit and suretyship reinsurance22 – Proportional legal expenses reinsurance23 – Proportional assistance reinsurance24 – Proportional miscellaneous financial loss reinsurance25 – Non–proportional health reinsurance26 – Non–proportional casualty reinsurance27 – Non–proportional marine, aviation and transport reinsurance28 – Non–proportional property reinsurance29 – Insurance with profit participation30 – Index–linked and unit–linked insurance31 – Other life insurance32 – Annuities stemming from non–life insurance contracts and relating to health insurance obligations33 – Annuities stemming from non–life insurance contracts and relating to insurance obligations other than health insurance obligations34 – Life reinsurance35 – Health insurance36 – Health reinsurance If a reinsurance arrangement covers more than one line of business, then select the most significant line of business from the list above. |
| C0220 | Comments | Comments shall contain:a notification if the transaction has not been performed at arm’s lengthany other relevant information regarding the economic nature of the operation |
S.36.05 – igt – p&L
—Fees;
—in-force at the start of the reporting period.
—Commissions;
—incepted during the reporting period and outstanding at the reporting date.
—Interests;
—incepted and expired/matured during the reporting period.
—Dividends;
—Costs or revenues from intragroup outsourcing, internal cost sharing or rental agreements.
General comments:
This annex relates to the information the groups are requested to provide annually.
This template shall report the P&L associated to all (significant, very significant and transactions required to be reported in all circumstances) intra-group transactions between entities in the scope of the group supervision or P&L transaction considered as significant or very significant intragroup transactions or transactions required to be reported in all circumstances. These include, but not limited to:
Intragroup outsourcing or internal cost sharing leading to significant intragroup transactions shall be reported.
Although interest, dividends are reported in S.36.01, S.36.02 they have to be reported additionally in S.36.05 P&L.
This template shall include intragroup transactions that were:
Where two or more transactions between entities of the group which, from an economic perspective, contribute to the same risk, or, serve the same purpose/objective or are temporally connected in a plan, they shall be considered as a single economic operation.
As such each transaction which is part of a single economic operation shall be reported whenever collectively they are at or above the corresponding threshold for significant intra-group transactions, even though individually the transactions fall below the threshold.
Any element added to significant intragroup transactions shall be reported as a separate intragroup transaction, even if the element in its own right falls below the significant threshold limit. For example, if an undertaking increases the initial loan amount to another related undertaking the addition to the loan shall be recorded as a separate item with its issue date as the date of the addition.
Where the transaction value is different for two transacting parties (e.g. a EUR10m transaction between A and B where A records EUR10m but B only receive EUR9,5 m because of transactions costs, of say EUR0,5 m has been expensed) the template shall record the maximum amount as the transaction amount, in this case EUR10m.
Indirect transactions shall be defined as any transaction shifting risk exposures between entities within the group including but not limited to transactions with special purpose vehicle, collective investment undertakings, ancillary entities or unregulated entities; or entities outside of the group but ultimately risk exposure is brought back or stays within the group. Where there is a chain of related intragroup transactions (e.g. A invests in B and B invests in C), this transaction shall be reported as an indirect transaction. Therefore A to C transaction shall be reported and the comments shall mention the intermediary step. In the case of a waterfall of transactions, e. g. if ‘A’-> ‘B’ -> ‘C’-> ‘D’ where both ‘B’ and ‘C’ are both in the group but unregulated entities, this transaction shall also be reported.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | ID of intragroup transaction | Unique internal identification code for each intragroup transaction. It shall be consistent over time. In case related to transactions already mentioned, use the same ID. |
| C0020 | Revenue side name | Legal name of the entity that received the revenue from another entity within the group. |
| C0030 | Identification code for revenue side | The unique identification code attached to the entity that received the revenue by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group.When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall comply with the following format in a consistent manner: identification code of the parent undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits |
| C0031 | Type of code for revenue side | Type of ID Code used for the ‘Identification code for revenue side’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0040 | Sector of the revenue side | If the entity that received the revenue from another entity within the group is part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC, indicate: ‘banking sector’, ‘insurance/reinsurance sector’ ‘investments services sector’.If the entity that received the revenue from another entity within the group is not part of financial sector within the meaning of Article 2(8) indicate: ‘other undertaking of the group’. |
| C0050 | Expense side name | Legal name of the entity that provided the revenue to another entity within the group. |
| C0060 | Identification code for expense side | The unique identification code attached the entity that provided the revenue by this order of priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.Specific code:For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group.When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall comply with the following format in a consistent manner: identification code of the parent undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits. |
| C0061 | Type of code for expense side | Type of ID Code used for the ‘Identification code for expense side’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0070 | Sector of the expense side | If the entity that provided the revenue to another entity within the group is part of financial sector within the meaning of Article 2(8) of Directive 2002/87/EC, indicate: ‘banking sector’, ‘insurance and reinsurance sector’ ‘investments services sector’.If the entity that provided the revenue to another entity within the group is not part of financial sector within the meaning of Article 2(8) indicate: ‘other undertaking of the group’. |
| C0080 | Indirect transactions | If reported intra-group transaction is part of an indirect transaction (cf. General comments supra), report the ‘ID of intragroup transaction’ (C0010) of the related transaction in this cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactions. If the reported intra-group transaction is not part of an indirect transaction, indicate No. |
| C0090 | Single economic operation | If the reported intragroup transaction is part of single economic operation (cf. General comments supra), report the ‘ID of intragroup transaction’ (C0010) of the related transaction in this cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactions.If the reported intragroup transaction is not part of single economic operation, indicate NO |
| C0100 | Type of transaction | Identify the type of the P&L transaction. The following closed list shall be used:1 – Fees;2 – Commission;3 – Interest;4 – Dividends;5 – Costs or revenues6 – Others |
| C0110 | Transaction | When applicable, instrument to which the revenue or the expense are linked.The following closed list shall be used:1 – Bonds/Debt;2 – Equity type;3 – Other assets transfer4 – Derivative;5 – Off-balance sheet item;6 – Intragroup outsourcing, internal cost sharing or rental agreement7 – Others |
| C0120 | Currency of transaction | Identify the ISO 4217 alphabetic code of the currency of payments for the specific P&L transaction. |
| C0130 | Transaction date | Identify the ISO 8601 (yyyy-mm-dd) code of the date of commencement of the P&L transaction. |
| C0140 | Amount | Amount of the transaction or price as per agreement/contract, reported in the reporting currency of the group. |
| C0150 | Comments | Comments shall contain:a notification if the transaction has not been performed at arm’s lengthany other relevant information regarding the economic nature of the operation |
S.37.01 – Risk concentration – Exposure to Counterparties
General comments:
This section relates to the at least annually submission of information for groups.
This template shall include all significant risk concentrations between entities in scope of group supervision and third parties which can add up from the risk exposures mentioned in the template irrespective of the choice of calculation method or whether sectoral solvency rules have been used for the purposes of the group solvency calculation.
The aim is to list the significant exposures (value of the exposures in each kind of instrument listed in the template) by single counterparty outside the scope of the group. If more than one entity of the group is involved, for each entity a separate line is necessary.
It can be understood as the maximum possible exposure on a contractual basis and not necessarily be reflected on the balance sheet, on both gross basis and net basis taking into account any risk mitigation instruments or techniques. Thresholds are fixed by the group supervisor after consulting the group itself and the college.
Data should be reported by legal entity.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Name of the external counterparty | This is the name of the external counterparty of the group. |
| C0020 | Identification code of the external counterparty of the group | The unique identification code attached to the investor/buyer/transferee by this order of priority:Legal Entity Identifier (LEI);Specific codeSpecific code:For EEA external counterparty: identification code used in the local market, if external counterparty is regulated – the one attributed by the external counterparty ‘s competent supervisory authority;For non-EEA external counterparties, identification code shall be provided by the group. When allocating an identification code to each non-EEA or non-regulated counterparty, the group shall comply with the following format in a consistent manner:identification code of the group of the external counterparty + ISO 3166-1 alpha-2 code of the country of the external counterparty + 5 digits |
| C0030 | ID code type of the external counterparty of the group | Type of ID Code used for the ‘Identification code of the external counterparty’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0045 | Name of the group (in case of group of counterparties) | Name of the group in the case more than one of the external counterparties belong to the same corporate group |
| C0080 | Rating | Rating of the counterparty at the reporting reference date issued by the nominated credit assessment institution (ECAI). Where two or more credit assessments are available from nominated ECAIs and they correspond to different parameters for a rated item, the assessment generating the higher capital requirement shall be used; |
| C0090 | Nominated ECAI | Identify the credit assessment institution (ECAI) giving the external rating in C0050; |
| C0100 | Sector | Identify the economic sector of the external counterparty based on the latest version of NACE code (the first level of hierarchy – the letter). |
| C0040 | Country | Identify the ISO Code (3166-1 alpha-2) of country from which the exposure comes from. If there is an issuer of for example an entity, this is the country where the headquarter of the entity issuer is located. |
| C0110 | Entity of the group | The name of the entity of the group involved in the exposures. It concerns all entities and for each entity a separate entry has to be reported. If more than one entity of the group is involved, for each entity a separate line is necessary. |
| C0120 | ID code of the Entity of the group | Identification code of the undertaking, using the following priority:Legal Entity Identifier (LEI) mandatory if existing;Specific code in case of absence of LEI code.When the undertaking uses the option ‘Specific code’ the following shall be considered:For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;For non–EEA undertakings and non–regulated undertakings within the scope of group supervision, identification code will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, the group should comply with the following format in a consistent manner:identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits |
| C0125 | ID code Type of the Entity of the group | Type of ID Code used for the ‘Identification code of the Entity of the group’ item. One of the options in the following closed list shall be used:1 – LEI2 – Specific code |
| C0180 | Equity | The total amount of the exposures in equity instruments toward the external counterparty. If more than one entity of the group is involved, for each entity a separate line is necessary. |
| C0190 | Bonds | The total amount of the exposures in bond instruments toward the external counterparty. If more than one entity of the group is involved, for each entity a separate line is necessary. In this cell the exposures for which the Exemptions are applicable (C0260) should be included. |
| C0200 | Assets whose risks are mainly borne by the policyholders | The total amount of exposures in assets whose risks are mainly borne by the policyholders toward the external counterparty. If more than one entity of the group is involved, for each entity a separate line is necessary. Look-through approach should be used only when available. |
| C0210 | Derivatives | The total amount of the exposures in derivatives toward the external counterparty. If more than one entity of the group is involved, for each entity a separate line is necessary. The derivatives shall be reported at their replacement cost If there is possibility of compensations among the different exposures the data may be provided in net values (i.e. long exposure+short exposure). |
| C0220 | Other investments | The total amount of the exposures in other investments toward the external counterparty. If more than one entity of the group is involved, for each entity a separate line is necessary |
| C0230 | Loans and mortgages | The total amount of the exposures in loans and mortgages toward the external counterparty. If more than one entity of the group is involved, for each entity a separate line is necessary |
| C0240 | Guarantees and Commitments | The total amount of the exposures (i.e. maximum actual exposure depending on the liability of the entity) in guarantees and commitments (including unpaid tranches of loans) toward the external counterparty. If more than one entity of the group is involved, for each entity a separate line is necessaryGuarantees issued by the entities of the group should be reported in this column, while guarantees where the group entities are beneficiaries should be reported as credit or insurance risk mitigation deduction (C0260) and in the indirect exposures (C0220). |
| C0250 | Insurance policies | The total amount of the exposure in the insurance policies (liability limit or sum insured depending which one represents the maximum possible exposure) |
| C0260 | External reinsurance | The total amount of the exposures in external reinsurance toward the external counterparty. In accordance with sectoral rules amount reported should be reinsurance recoverables. If more than one entity of the group is involved, for each entity a separate line is necessary. |
| C0270 | Others direct exposures | The total amount of the exposures in other instruments toward the external counterparty. If more than one entity of the group is involved, for each entity a separate line is necessary. If there is possibility of compensation the net value may be presented. |
| C0280 | Description of others | Description of the other instruments that are reported in C0200 |
| C0290 | Indirect exposures | Total amount of the exposures allocated to the guarantor or to the issuer of the collateral rather than to the immediate borrower. The protected reference original exposure (direct exposure) shall be deducted from the exposure to the original borrower in the columns of ‘Eligible credit risk mitigation techniques’. The indirect exposure shall increase the exposure to the guarantor or issuer of collateral via substitution effect. |
| C0300 | Transactions where there is an exposure to underlying assets | Total amount of exposure through transactions such as securitisation positions or exposures in the form of units or shares in collective investment undertakings (‘CIUs’) or through other transactions where there is an exposure to underlying assets, |
| C0160 | Currency | Identify the ISO 4217 alphabetic code of the currency of the exposure |
| C0150 | Total amount of the exposure | Total exposure towards a single counterparty, where the asset and liabilities due from and to a single counterparty are netted off to define the total net maximum exposure, where possible. The Total exposure measures the market direction towards a single counterparty and is defined as: Long exposure + short exposure (in contrary to a gross maximum exposure which is not requested here (= long exposure + absolute value of short exposure)). No account shall be taken of any risk mitigation instruments or techniques when determining this item. |
| C0310 | Credit or insurance risk mitigation technique | Any deduction that come from the application of insurance or risk mitigation technique allowed such as reinsurance, the use of derivatives.With regard to insurance exposures, in case of non-proportional reinsurance encompassing more than one counterparty, the deductions should be allocated proportionally or, alternatively, according to justifiable break-down agreed with the group supervisor. |
| C0320 | Exemptions | Any deduction that come from the application of exemptions according to Article 187 of Delegated Regulation (EU) 2015/35) |
| C0330 | Amount of the exposures after Credit or insurance risk mitigation technique and exemptions | Amount of the exposures after Credit or insurance risk mitigation technique and exemptions (net amount) |
S.37.02 – Risk Concentration – Exposure by currency, sector, country
General comments:
The tables shall include the risk concentration between entities in the scope of group supervision and third parties. All exposures should be represented by currency, sector and country, starting from the maximum exposure to the minimum one. In case the country, sector or currency is not relevant the figures may be reported under an ‘Other’ category.
The ‘sector’ should be presented in the split for NACE code 1st level of disaggregation (letter). The tables shall be based on all the exposures (full balance sheet) after credit or insurance risk mitigation technique and exemptions (net amount).
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Currency area | Currency of exposure. Exposures should be reported in order of importance. |
| C0030 | Exposure net | Exposure after insurance risk mitigation technique and exemptions (net amount). |
| C0040 | % | Exposure share of total assets. |
| C0050 | Sector | Sector of exposure. Exposures should be reported in order of importance. |
| C0060 | Country | Country of exposure. Exposures should be reported in order of importance. |
| C0070/R0010 | Total exposure net by currency | The sum of net exposures reported by currency. |
| C0070/R0020 | Total exposure net by sector | The sum of net exposures reported by sector. |
| C0070/R0030 | Total exposure net by country | The sum of net exposures reported by country. |
S.37.03 – Risk Concentration – Exposure by asset class and rating
General comments:
The tables shall include all the risk concentration between entities in the scope of group supervision and third parties represented by the combination of the main asset classes and rating. For bonds the tables are presented by the combination of asset class and rating of the security. For equity exposure, the total exposure amount and the equity exposures’ share of total assets (full balance sheet) shall be reported
The table shall be based on all the exposures within the specified asset classes, after credit or insurance risk mitigation technique and exemptions (net amount).
Where two or more credit assessments are available from nominated ECAIs and they correspond to different parameters for a rated item, the assessment generating the higher capital requirement shall be used.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010/R0010 | Total – Exposure net | Total equity exposure after insurance risk mitigation technique and exemptions (net amount). |
| Z0010 | Types of bonds | Split between the following bond classes:1 – Government, International financial organisation and Central banks bonds2 – Regional governments, local authorities and public sector entities bonds3 – Corporate bonds |
| C0010/R0020-R0070 | Exposure net | Exposure after insurance risk mitigation technique and exemptions (net amount). |
| C0020/R0020-R0070 | % | Exposure share of total assets. |
Annex IV
Asset categories
| Category | Definition | |
|---|---|---|
| 1 | Government bonds | Bonds issued by public authorities, whether by central governments supra-national government institutions, regional governments or local authorities and bonds that are fully, unconditionally and irrevocably guaranteed by the European Central Bank, Member States’ central government and central banks, multilateral development banks referred to in paragraph 2 of Article 117 of Regulation (EU) No 575/2013 or international organisations referred to in Article 118 of Regulation (EU) No 575/2013, regional governments and local authorities listed in Article 1 of Implementing Regulation (EU) 2015/2011, where the guarantee meets the requirements set out in Article 215 of Delegated Regulation (EU) 2015/35. |
| 2 | Corporate bonds | Bonds issued by corporations |
| 3 | Equity | Shares and other securities equivalent to shares representing corporations’ capital, i.e., representing ownership in a corporation |
| 4 | Collective Investment Undertakings | Collective investment undertaking’ means an undertaking for collective investment in transferable securities (UCITS) as defined in Article 1(2) of Directive 2009/65/EC of the European Parliament and of the Council or an alternative investment fund (AIF) as defined in Article 4(1)(a) of Directive 2011/61/EU of the European Parliament and of the Council. |
| 5 | Structured notes | Hybrid securities, combining a fixed income (return in the form of fixed payments) instrument with a series of derivative components. Excluded from this category are fixed income securities that are issued by sovereign governments. Concerns securities that have embedded one or a combination of categories of derivatives, including Credit Default Swaps (CDS), Constant Maturity Swaps (CMS), Credit Default Options (CDOp). Assets under this category are not subject to unbundling |
| 6 | Collateralised securities | Securities whose value and payments are derived from a portfolio of underlying assets. Includes Asset Backed Securities (ABS), Mortgage Backed securities (MBS), Commercial Mortgage Backed securities (CMBS), Collateralised Debt Obligations (CDO), Collateralised Loan Obligations (CLO), Collateralised Mortgage Obligations (CMO). Assets under this category are not subject to unbundling |
| 7 | Cash and deposits | Money in the physical form, cash-equivalents, bank deposits and other money deposits |
| 8 | Mortgages and loans | Financial assets created when creditors lend funds to debtors, with collateral or not, including cash pools. |
| 9 | Property | Buildings, land, other constructions that are immovable and equipment |
| 0 | Other investments | Other assets reported in ‘Other investments’ |
| A | Futures | Standardised contract between two parties to buy or sell a specified asset of standardised quantity and quality at a specified future date at a price agreed today |
| B | Call Options | Contract between two parties concerning the buying of an asset at a reference price during a specified time frame, where the buyer of the call option gains the right, but not the obligation, to buy the underlying asset |
| C | Put Options | Contract between two parties concerning the selling of an asset at a reference price during a specified time frame, where the buyer of the put option gains the right, but not the obligation, to sell the underlying asset |
| D | Swaps | Contract in which counterparties exchange certain benefits of one party’s financial instrument for those of the other party’s financial instrument, and the benefits in question depend on the type of financial instruments involved |
| E | Forwards | Non-standardised contract between two parties to buy or sell an asset at a specified future time at a price agreed today |
| F | Credit derivatives | Derivative whose value is derived from the credit risk on an underlying bond, loan or any other financial asset |
Annex V
| First 2 positions | Asset listed in | ISO 3166-1-alpha-2 country code, XV, XL or XT | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Third position | Category | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 0 |
| Government bonds | Corporate bonds | Equity | Investment funds, Collective Investment Undertakings | Structured notes | Collateralised securities | Cash and deposits | Mortgages and loans | Property | Other investments | ||
| Fourth position | Sub-category or main risk | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | |
| Central Government bonds | Corporate bonds | Common equity | Equity funds | Equity risk | Equity risk | Cash | Uncollateralised loans made | Property (office and commercial) | |||
| 2 | 2 | 2 | 2 | 2 | 2 | 2 | 2 | 2 | |||
| Supra-national bonds | Convertible bonds | Equity of real estate related corporation | Debt funds | Interest rate risk | Interest rate risk | Transferable deposits (cash equivalents) | Loans made collateralised with securities | Property (residential) | |||
| 3 | 3 | 3 | 3 | 3 | 3 | 3 | 3 | ||||
| Regional government bonds | Commercial paper | Equity rights | Money market funds | Currency risk | Currency risk | Other deposits short term (less than or equal to one year) | Property (for own use) | ||||
| 4 | 4 | 4 | 4 | 4 | 4 | 4 | 4 | 4 | |||
| Local authorities bonds | Money market instruments | Preferred equity | Asset allocation funds | Credit risk | Credit risk | Other deposits with term longer than one year | Mortgages and loans | Property (under construction for investment) | |||
| 5 | 5 | 5 | 5 | 5 | 5 | 5 | 5 | ||||
| Treasury bonds | Hybrid bonds | Real estate funds | Real estate risk | Real estate risk | Deposits to cedants | Other collateralized loans made | Plant and equipment (for own use) | ||||
| 6 | 6 | 6 | 6 | 6 | 6 | 6 | |||||
| Covered bond | Common covered bonds | Alternative funds | Commodity risk | Commodity risk | Loans on policies | Property (under construction for own use) | |||||
| 7 | 7 | 7 | 7 | 7 | 7 | ||||||
| National Central Banks bonds | Covered bonds subject to specific law | Private equity funds | Catastrophe and Weather risk | Catastrophe and Weather risk | Loans to AMSB members | ||||||
| 8 | 8 | 8 | 8 | 8 | 8 | ||||||
| Government bonds not denominated in the domestic currency | Subordinated bonds | Infrastructure funds | Mortality risk | Mortality risk | Loans to other natural persons | ||||||
| 9 | 9 | 9 | 9 | 9 | 9 | 9 | 9 | 9 | 9 | ||
| Other | Other | Other | Other | Other | Other | Other | Other | Other | Other |
| Third position | Category | A | B | C | D | E | F |
|---|---|---|---|---|---|---|---|
| Futures | Call Options | Put Options | Swaps | Forwards | Credit derivatives | ||
| Fourth position | Sub-category or main risk | 1 | 1 | 1 | 1 | 1 | 1 |
| Equity and index futures | Equity and index options | Equity and index options | Interest rate swaps | Forward interest rate agreement | Credit default swap | ||
| 2 | 2 | 2 | 2 | 2 | 2 | ||
| Interest rate futures | Bond options | Bond options | Currency swaps | Forward exchange rate agreement | Credit spread option | ||
| 3 | 3 | 3 | 3 | 3 | |||
| Currency futures | Currency options | Currency options | Interest rate and currency swaps | Credit spread swap | |||
| 4 | 4 | 4 | 4 | ||||
| Warrants | Warrants | Total return swap | Total return swap | ||||
| 5 | 5 | 5 | 5 | ||||
| Commodity futures | Commodity options | Commodity options | Security swaps | ||||
| 6 | 6 | ||||||
| Swaptions | Swaptions | ||||||
| 7 | 7 | 7 | 7 | 7 | |||
| Catastrophe and Weather risk | Catastrophe and Weather risk | Catastrophe and Weather risk | Catastrophe and Weather risk | Catastrophe and Weather risk | |||
| 8 | 8 | 8 | 8 | 8 | |||
| Mortality risk | Mortality risk | Mortality risk | Mortality risk | Mortality risk | |||
| 9 | 9 | 9 | 9 | 9 | 9 | ||
| Other | Other | Other | Other | Other | Other |
Annex VI
| First 2 positions – Assets listed in | Definition | |
|---|---|---|
| Third and fourth position – Category | Definition | |
| Country | ISO 3166-1-alpha-2 country code | Identify the ISO 3166-1-alpha-2 country code where the asset is listed in. An asset is considered as being listed if it is negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2014/65/EU. If the asset is listed in more than one country or the undertaking uses for valuation purposes a price provider which is one of the regulated markets or multilateral trading facility where the asset is listed in, the country shall be the one of that regulated market or multilateral trading facility used as the reference for valuation purposes. |
| XV | Assets listed in one or more than one country | Identify assets that are listed in one or more countries but when the undertaking uses for valuation purposes a price provider which is not one of the regulated markets or multilateral trading facility where the asset is listed in. |
| XL | Assets that are not listed in a stock exchange | Identify assets that are not negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2014/65/EU. |
| XT | Assets that are not exchange tradable | Identify assets that by their nature are not subject to negotiation on a regulated market or on a multilateral trading facility, as defined by Directive 2014/65/EU. |
| 1 | Government bonds | Bonds issued by public authorities, whether by central governments supra-national government institutions, regional governments or local authorities local authorities and bonds that are fully, unconditionally and irrevocably guaranteed by the European Central Bank, Member States’ central government and central banks, multilateral development banks referred to in paragraph 2 of Article 117 of Regulation (EU) No 575/2013 or international organisations referred to in Article 118 of Regulation (EU) No 575/2013, regional governments and local authorities listed in Article 1 of Implementing Regulation (EU) 2015/2011, where the guarantee meets the requirements set out in Article 215 of Delegated Regulation (EU) 2015/35.Regarding bonds with a qualifying guarantee, the third and fourth position shall be attributed by reference to the entity providing the guarantee. |
| 11 | Central Government bonds | Bonds issued by central governments and bonds that are fully, unconditionally and irrevocably guaranteed by the Member States’ central government, excluding bonds denominated and funded in a currency different from the domestic currency of that central government. |
| 12 | Supra-national bonds | Bonds issued by public institutions established by a commitment between national states, e.g. issued by the multilateral development bank referred to in paragraph 2 of Article 117 of Regulation (EU) No 575/2013 or issued by the international organisation referred to in Article 118 of Regulation (EU) No 575/2013. |
| 13 | Regional government bonds | Regional government or autonomous communities debt instruments offered to the public in a public offering on the capital market and bonds that are fully, unconditionally and irrevocably guaranteed by regional governments listed in Article 1 of Implementing Regulation (EU) 2015/2011. |
| 14 | Local authorities bonds | Bonds issued by local authorities, including cities, provinces, districts and other municipal authorities and bonds that are fully, unconditionally and irrevocably guaranteed by local authorities listed in Article 1 of Implementing Regulation (EU) 2015/2011. |
| 15 | Treasury bonds | Short term government bonds, issued by central governments (issued with a maturity term up to 1 year) and bonds that are fully, unconditionally and irrevocably guaranteed by the European Central Bank, Member States’ central government and central banks (issued with a maturity term up to 1 year). |
| 16 | Covered bonds | Government bonds and bonds that are fully, unconditionally and irrevocably guaranteed by the European Central Bank, Member States’ central government and central banks, which have a pool of assets that secures or ‘covers’ the bond. Those assets remain on the issuer balance sheet. |
| 17 | National Central banks | Bonds issued by national central banks and bonds that are fully, unconditionally and irrevocably guaranteed by the European Central Bank and central banks, excluding bonds denominated and funded in a currency different from the domestic currency of that central bank. |
| 18 | Government bonds not denominated in the domestic currency | Bonds issued by central governments and central banks denominated and funded in a currency different from the domestic currency of that central government and the central bank. |
| 19 | Other | Other government bonds and bonds that are fully, unconditionally and irrevocably guaranteed by the European Central Bank, Member States’ central government and central banks, not classified under the above categories. |
| 2 | Corporate bonds | Bonds issued by corporations |
| 21 | Corporate bonds | Bonds issued by corporations, with simple characteristics, usually covering the ones referred to as ‘plain vanilla’, and that don’t have any special feature described in the categories 22 to 28. |
| 22 | Convertible bonds | Corporate bonds that either the bond holder or the bond issuer can convert into shares of common stock in the issuing company or cash of equal value, having debt and equity-like features. |
| 23 | Commercial paper | Unsecured, short-term debt instrument issued by a corporation, typically for the financing of accounts receivable, inventories and meeting short-term liabilities, usually with original maturity lesser than 270 days. |
| 24 | Money market instruments | Very short term debt securities (usually with maturities ranging from 1 day up to 1 year), consisting mainly of negotiable certificates of deposit (CDs), bankers acceptances and other highly liquid instruments. Commercial Paper is excluded from this category. |
| 25 | Hybrid bonds | Corporate bonds that have debt and equity-like features, but are not convertible. |
| 26 | Common covered bonds | Corporate bonds which have a pool of assets that secures or ‘covers’ the bond. Those assets remain on the issuer balance sheet. Covered bonds subject to specific law are excluded from this category |
| 27 | Covered bonds subject to specific law | Corporate bonds which have a pool of assets that secures or ‘covers’ the bond if the originator becomes insolvent and are subject by law to special public supervision designed to protect bond-holders, as defined in Article 52(4) of Directive 2009/65/EC.An example of this category is Pfandbrief: ‘Covered bonds which are issued on the basis of the Pfandbrief Act. They are used to refinance loans for which collateral is furnished in the form of loans secured by real estate liens (Mortgage Pfandbriefe), public-sector loans (Public Pfandbriefe), ship mortgages (Ship Pfandbriefe) or aircraft mortgages (Aircraft Pfandbriefe). Thus, the distinction made between these Pfandbrief types refers to the cover pool created for each type of Pfandbrief.’ |
| 28 | Subordinated bonds | Corporate bonds which have a lower priority than other bonds of the issuer in case of liquidation. |
| 29 | Other | Other corporate bonds, with other characteristics than the ones identified in the above categories. |
| 3 | Equity | Shares and other securities equivalent to shares representing corporations’ capital, i.e., representing ownership in a corporation. |
| 31 | Common equity | Equity that represents basic property rights on corporations. |
| 32 | Equity of real estate related corporation | Equity representing capital from real estate related corporations. |
| 33 | Equity rights | Rights to subscribe to additional shares of equity at a set price. |
| 34 | Preferred equity | Equity security that is senior to common equity, having a higher claim on the assets and earnings than common equity, but is subordinate to bonds. |
| 39 | Other | Other equity, not classified under the above categories. |
| 4 | Collective Investment Undertakings | Collective investment undertaking’ means an undertaking for collective investment in transferable securities (UCITS) as defined in Article 1(2) of Directive 2009/65/EC or an alternative investment fund (AIF) as defined in Article 4(1)(a) of Directive 2011/61/EU. |
| 41 | Equity funds | Collective investment undertakings mainly invested in equity. |
| 42 | Debt funds | Collective investment undertakings mainly invested in bonds. |
| 43 | Money market funds | Collective investment undertakings under the definition provided by ESMA (CESR/10-049). |
| 44 | Asset allocation funds | Collective investment undertakings which invests its assets pursuing a specific asset allocation objective, e.g. primarily investing in the securities of companies in countries with nascent stock markets or small economies, specific sectors or group of sectors, specific countries or other specific investment objective |
| 45 | Real estate funds | Collective investment undertakings mainly invested in real estate |
| 46 | Alternative funds | Collective investment undertakings whose investment strategies include such as hedging, event driven, fixed income directional and relative value, managed futures, commodities etc. |
| 47 | Private equity funds | Collective investment undertakings used for making investments in equity securities following strategies associated with private equity. |
| 48 | Infrastructure funds | Collective investment undertakings that invest in Infrastructure assets as defined in point 55a or 55b of Article 1 of Delegated Regulation (EU) 2015/35. |
| 49 | Other | Other Collective investment undertakings, not classified under the above categories. |
| 5 | Structured notes | Hybrid securities, combining a fixed income (return in the form of fixed payments) instrument with a series of derivative components. Excluded from this category are fixed income securities that are issued by sovereign governments. Concerns securities that have embedded one or a combination of categories of derivatives, including Credit Default Swaps (CDS), Constant Maturity Swaps (CMS), Credit Default Options (CDOp). Assets under this category are not subject to unbundling. |
| 51 | Equity risk | Structured notes mainly exposed to equity risk |
| 52 | Interest rate risk | Structured notes mainly exposed to interest rate risk |
| 53 | Currency risk | Structured notes mainly exposed to currency risk |
| 54 | Credit risk | Structured notes mainly exposed to credit risk |
| 55 | Real estate risk | Structured notes mainly exposed to real estate risk |
| 56 | Commodity risk | Structured notes mainly exposed to commodity risk |
| 57 | Catastrophe and Weather risk | Structured notes mainly exposed to catastrophe or weather risk |
| 58 | Mortality risk | Structured notes mainly exposed to mortality risk |
| 59 | Other | Other structured notes, not classified under the above categories |
| 6 | Collateralised securities | Securities whose value and payments are derived from a portfolio of underlying assets. Includes Asset Backed Securities (ABS), Mortgage Backed securities (MBS), Commercial Mortgage Backed securities (CMBS), Collateralised Debt Obligations (CDO), Collateralised Loan Obligations (CLO), Collateralised Mortgage Obligations (CMO). Assets under this category are not subject to unbundling. |
| 61 | Equity risk | Collateralised securities mainly exposed to equity risk |
| 62 | Interest rate risk | Collateralised securities mainly exposed to interest rate risk |
| 63 | Currency risk | Collateralised securities mainly exposed to currency risk |
| 64 | Credit risk | Collateralised securities mainly exposed to credit risk |
| 65 | Real estate risk | Collateralised securities mainly exposed to real estate risk |
| 66 | Commodity risk | Collateralised securities mainly exposed to commodity risk |
| 67 | Catastrophe and Weather risk | Collateralised securities mainly exposed to catastrophe or weather risk |
| 68 | Mortality risk | Collateralised securities mainly exposed to mortality risk |
| 69 | Other | Other collateralised securities, not classified under the above categories |
| 7 | Cash and deposits | Money in the physical form, cash equivalent, bank deposits and other money deposits |
| 71 | Cash | Notes and coins in circulation that are commonly used to make payments. |
| 72 | Transferable deposits (cash equivalents) | Deposits exchangeable for currency on demand at par and which are directly usable for making payments by cheque, draft, giro order, direct debit/credit, or other direct payment facility, without penalty or restriction. |
| 73 | Other deposits short term (less than or equal to one year) | Deposits other than transferable deposits, with remaining maturity inferior or equal to 1 year, that cannot be used to make payments at any time and that are not exchangeable for currency or transferable deposits without any kind of significant restriction or penalty. |
| 74 | Other deposits with term longer than one year | Deposits other than transferable deposits, with remaining maturity superior to 1 year, that cannot be used to make payments at any time and that are not exchangeable for currency or transferable deposits without any kind of significant restriction or penalty. |
| 75 | Deposits to cedants | Deposits relating to reinsurance accepted |
| 79 | Other | Other cash and deposits, not classified under the above categories. |
| 8 | Mortgages and loans | Financial assets created when creditors lend funds to debtors, with collateral or not, including cash pools. |
| 81 | Uncollateralized loans made | Loans made without collateral. |
| 82 | Loans made collateralized with securities | Loans made with collateral in the form of financial securities |
| 84 | Mortgages and loans | Mortgages and loans made with collateral in the form of real estate. |
| 85 | Other collateralized loans made | Loans made with collateral in any other form. |
| 86 | Loans on policies | Loans made with insurance policies as collateral. |
| 87 | Loans to AMSB members | Loans made to AMSB members. This class shall prevail over the ones above. |
| 88 | Loans to other natural persons | Loans made to other natural persons. This class shall prevail over the ones above. |
| 89 | Other | Other mortgages and loans, not classified under the above categories. |
| 9 | Property | Buildings, land, other constructions that are immovable and equipment. |
| 91 | Property (office and commercial) | Office and commercial building used for investment |
| 92 | Property (residential) | Residential buildings used for investment |
| 93 | Property (for own use) | Real estate for the own use of the undertaking |
| 94 | Property (under construction for investment) | Real estate that is under construction, for future usage as investment |
| 95 | Plant and equipment (for own use) | Plant and equipment for the own use of the undertaking |
| 96 | Property (under construction for own use) | Real estate that is under construction, for future own usage. |
| 99 | Other | Other property, not classified under the above categories. |
| 0 | Other investments | Other assets reported in ‘Other investments’. |
| 09 | Other investments | Other assets reported in ‘Other investments’. |
| A | Futures | Standardised contract between two parties to buy or sell a specified asset of standardised quantity and quality at a specified future date at a price agreed today. |
| A1 | Equity and index futures | Futures with equity or stock exchange indices as underlying |
| A2 | Interest rate futures | Futures with bonds or other interest rate dependent security as underlying |
| A3 | Currency futures | Futures with currencies or other currencies dependent security as underlying |
| A5 | Commodity futures | Futures with commodities or other commodities dependent security as underlying |
| A7 | Catastrophe and Weather risk | Futures mainly exposed to catastrophe or weather risk |
| A8 | Mortality risk | Futures mainly exposed to mortality risk |
| A9 | Other | Other futures, not classified under the above categories |
| B | Call Options | Contract between two parties concerning the buying of an asset at a reference price during a specified time frame, where the buyer of the call option gains the right, but not the obligation, to buy the underlying asset |
| B1 | Equity and index options | Call options with equity or stock exchange indices as underlying |
| B2 | Bond options | Call options with bonds or other interest rate dependent security as underlying |
| B3 | Currency options | Call options with currencies or other currencies dependent security as underlying |
| B4 | Warrants | Call options that entitles the holder to buy stock of the issuing company at a specified price |
| B5 | Commodity options | Call options with commodities or other commodities dependent security as underlying |
| B6 | Swaptions | Call options granting its owner the right but not the obligation to enter into a long position in an underlying swap, i.e., enter into a swap where the owner pays the fixed leg and receive the floating leg |
| B7 | Catastrophe and Weather risk | Call options mainly exposed to catastrophe or weather risk |
| B8 | Mortality risk | Call options mainly exposed to mortality risk |
| B9 | Other | Other call options, not classified under the above categories |
| C | Put Options | Contract between two parties concerning the selling of an asset at a reference price during a specified time frame, where the buyer of the put option gains the right, but not the obligation, to sell the underlying asset |
| C1 | Equity and index options | Put options with equity or stock exchange indices as underlying |
| C2 | Bond options | Put options with bonds or other interest rate dependent security as underlying |
| C3 | Currency options | Put options with currencies or other currencies dependent security as underlying |
| C4 | Warrants | Put options that entitles the holder to sell stock of the issuing company at a specified price |
| C5 | Commodity options | Put options with commodities or other commodities dependent security as underlying |
| C6 | Swaptions | Put options granting its owner the right but not the obligation to enter into a short position in an underlying swap, i.e., enter into a swap in which the owner will receive the fixed leg, and pay the floating leg |
| C7 | Catastrophe and Weather risk | Put options mainly exposed to catastrophe or weather risk |
| C8 | Mortality risk | Put options mainly exposed to mortality risk |
| C9 | Other | Other put options, not classified under the above categories |
| D | Swaps | Contract in which counterparties exchange certain benefits of one party’s financial instrument for those of the other party’s financial instrument, and the benefits in question depend on the type of financial instruments involved |
| D1 | Interest rate swaps | Swap that exchange interest flows |
| D2 | Currency swaps | Swap that exchange currency |
| D3 | Interest rate and currency swaps | Swap that exchange interest and currency flows |
| D4 | Total return swap | A swap in which the non-floating rate side is based on the total return of an equity or fixed income instrument with the life longer that the swap |
| D5 | Security swaps | Swap that exchange securities |
| D7 | Catastrophe and Weather risk | Swaps mainly exposed to catastrophe or weather risk |
| D8 | Mortality risk | Swaps mainly exposed to mortality risk |
| D9 | Other | Other swaps, not classified under the above categories |
| E | Forwards | Non-standardised contract between two parties to buy or sell an asset at a specified future time at a price agreed today |
| E1 | Forward interest rate agreement | Forward contract in which typicaly one party pays a fixed interest rate, and receives a variable interest rate usualy based on an underlying index rate, at the predefined forward date |
| E2 | Forward exchange rate agreement | Forward contract in which one party pays an amount in one currency, and receives an equivalent amount in a different currency resulting from the conversion using the contractual exchange rate, at the predefined forward date |
| E7 | Catastrophe and Weather risk | Forwards mainly exposed to catastrophe or weather risk |
| E8 | Mortality risk | Forwards mainly exposed to mortality risk |
| E9 | Other | Other forwards, not classified under the above categories |
| F | Credit derivatives | Derivative whose value is derived from the credit risk on an underlying bond, loan or any other financial asset |
| F1 | Credit default swap | Credit derivative transaction in which two parties enter into an agreement whereby one party pays the other a fixed periodic coupon for the specified life on the agreement and the other party makes no payments unless a credit event relating to a predetermined reference asset occurs |
| F2 | Credit spread option | Credit derivative that will generate cash flows if a given credit spread between two specific assets or benchmarks changes from its current level |
| F3 | Credit spread swap | A swap in which one party makes a fixed payment to the other on the swap’s settlement date and the second party pays the first an amount based on the actual credit spread |
| F4 | Total return swap | A swap in which the non-floating rate side is based on the total return of an equity or fixed income instrument with the life longer that the swap |
| F9 | Other | Other credit derivatives, not classified under the above categories |
Source: EUR-Lex, © European Union, 1998-2026. Reuse authorised under Decision 2011/833/EU.