Updated 05/02/2025
In force

Initial Legal Act
Amendments
QA1920 - Reinsurance
Status: Final
Answered: 27/08/2019
Annex 2
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SII ToolImplementing Regulation 2023/894
ANNEX II

ANNEX II - Implementing Regulation 2023/894

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/MAP

 

2 – 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 – Reported

 

2 – Not reported as no RFF or MAP

 

0 – 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 – Reported

 

6 – 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 – Reported

 

3 – Not due in accordance with instructions of the template

 

0 – 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 – Reported

 

2 – Not reported as no off–balance sheet items

 

3 – Not reported due to value of guarantee/collateral/contingent liabilities below the threshold and no unlimited guarantee provided or received as in the template instructions

 

0 – 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 – Reported

 

2 – Not reported as no activity outside the home country in relation to specific class

 

18 – Not reported as no direct insurance business

 

0 – 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 – Reported

 

2 – Not reported as no activity outside the home country

 

0 – 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 – Reported

 

2 – Not reported as no activity outside the home country

 

0 – 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 – Reported

 

2 – Not reported as no activity outside the home country

 

3 – Not due in accordance with instructions of the template

 

0 – 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 – Reported

 

6 – 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 – Reported

 

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 (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 – Reported

 

2 – 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 template

 

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 (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 – Reported

 

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 – Reported

 

2 – 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 template

 

6 – 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 – Reported

 

2 – 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 – Reported

 

0 – 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 – Reported

 

2 – 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 template

 

6 – 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 – Reported

 

2 – 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 template

 

6 – 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 – Reported

 

2 – 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 – Reported

 

2 – Not reported as no life and health SLT business

 

3 – Not due in accordance with instructions of the template

 

0 – 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 – Reported

 

2 – Not reported as no life and health SLT business

 

0 – 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 – Reported

 

2 – Not reported as no life and health SLT business

 

0 – 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 – Reported

 

2 – Not reported as no non-life business

 

0 – 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 – Reported

 

2 – Not reported as no cyber coverages

 

3 – Not due in accordance with instructions of the template

 

0 – 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 – Reported

 

2 – Not reported as no annuities stemming from Non–Life Insurance obligations

 

0 – 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 – Reported

 

2 – 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 – Reported

 

2 – Not reported as no non–life business

 

3 – Not due in accordance with instructions of the template

 

0 – 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 – Reported

 

2 – Not reported as no non–life business

 

3 – Not due in accordance with instructions of the template

 

0 – 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 – Reported

 

2 – Not reported as no non–life business

 

0 – 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 – Reported

 

2 – Not reported as no non–life business

 

3 – Not due in accordance with instructions of the template

 

18 – Not reported as no direct insurance business

 

0 – 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 – Reported

 

2 – Not reported as no non–life business

 

3 – Not due in accordance with instructions of the template

 

18 – Not reported as no direct insurance business

 

0 – 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 – Reported

 

2 – Not reported as no non–life business

 

3 – Not due in accordance with instructions of the template

 

18 – Not reported as no direct insurance business

 

0 – 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 – Reported

 

2 – Not reported as no non–life business

 

3 – Not due in accordance with instructions of the template

 

18 – Not reported as no direct insurance business

 

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 – Reported

 

2 – Not reported as no long term guarantees measures (LTG) measures or transitionals are applied

 

0 – 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 – Reported

 

2 – Not reported as no such transitional measure is applied

 

0 – 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 – Reported

 

2 – Not reported as no such transitional measure is applied

 

0 – 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 – Reported

 

2 – Not reported as volatility adjustment not applied

 

0 – 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 – Reported

 

6 – 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 – Reported

 

0 – 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 – Reported

 

3 – Not due in accordance with instructions of the template

 

0 – 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 – Reported

 

3 – Not due in accordance with instructions of the template

 

0 – 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 – Reported

 

2 – Not reported as no participations held

 

0 – 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 used

 

8 – Not reported due to use of partial internal model

 

9 – Not reported due to use of full internal model

 

16 – Reported due to request of Article 112 of Directive 2009/138/EC

 

0 – 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 model

 

5 – Reported due to use of full internal model

 

10 – Not reported due to use of standard formula

 

0 – 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 – Reported

 

2 – Not reported as risk not existent

 

8 – Not reported due to use of partial internal model

 

9 – Not reported due to use of full internal model

 

11 – Not reported as reported at RFF/MAP level

 

16 – Reported due to request of Article 112 of Directive 2009/138/EC

 

17 – Partially reported due to use of partial internal model

 

0 – 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 – Reported

 

2 – Not reported as risk not existent

 

8 – Not reported due to use of partial internal model

 

9 – Not reported due to use of full internal model

 

11 – Not reported as reported at RFF/MAP level

 

16 – Reported due to request of Article 112 of Directive 2009/138/EC

 

17 – Partially reported due to use of partial internal model

 

0 – 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 – Reported

 

2 – Not reported as risk not existent

 

8 – Not reported due to use of partial internal model

 

9 – Not reported due to use of full internal model

 

11 – Not reported as reported at RFF/MAP level

 

16 – Reported due to request of Article 112 of Directive 2009/138/EC

 

17 – Partially reported due to use of partial internal model

 

0 – 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 – Reported

 

2 – Not reported as risk not existent

 

8 – Not reported due to use of partial internal model

 

9 – Not reported due to use of full internal model

 

11 – Not reported as reported at RFF/MAP level

 

16 – Reported due to request of Article 112 of Directive 2009/138/EC

 

17 – Partially reported due to use of partial internal model

 

0 – 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 – Reported

 

2 – Not reported as risk not existent

 

8 – Not reported due to use of partial internal model

 

9 – Not reported due to use of full internal model

 

11 – Not reported as reported at RFF/MAP level

 

16 – Reported due to request of Article 112 of Directive 2009/138/EC

 

17 – Partially reported due to use of partial internal model

 

0 – 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 – Reported

 

8 – Not reported due to use of partial internal model

 

9 – Not reported due to use of full internal model

 

11 – Not reported as reported at RFF/MAP level

 

16 – Reported due to request of Article 112 of Directive 2009/138/EC

 

17 – Partially reported due to use of partial internal model

 

0 – 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 – Reported

 

2 – Not reported as no simplified calculations used

 

8 – Not reported due to use of partial internal model

 

9 – Not reported due to use of full internal model

 

11 – Not reported as reported at RFF/MAP level

 

16 – Reported due to request of Article 112 of Directive 2009/138/EC

 

17 – Partially reported due to use of partial internal model

 

0 – 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 model

 

5 – Reported due to use of full internal model

 

10 – Not reported due to use of standard formula

 

11 – Not reported as reported at RFF/MAP level

 

0 – 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 risks

 

5 – Reported due to use of full internal model

 

10 – Not reported due to use of standard formula or partial internal model not covering these risks

 

0 – 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 risks

 

5 – Reported due to use of full internal model

 

10 – Not reported due to use of standard formula or partial internal model not covering these risks

 

0 – 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 risks

 

5 – Reported due to use of full internal model

 

10 – Not reported due to use of standard formula or partial internal model not covering these risks

 

0 – 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 risks

 

5 – Reported due to use of full internal model

 

10 – Not reported due to use of standard formula or partial internal model not covering these risks

 

0 – 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 risks

 

5 – Reported due to use of full internal model

 

10 – Not reported due to use of standard formula or partial internal model not covering these risks

 

0 – 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 risks

 

5 – Reported due to use of full internal model

 

10 – Not reported due to use of standard formula or partial internal model not covering these risks

 

0 – 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 risks

 

5 – Reported due to use of full internal model

 

10 – Not reported due to use of standard formula or partial internal model not covering these risks

 

0 – 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 risks

 

5 – Reported due to use of full internal model

 

10 – Not reported due to use of standard formula or partial internal model not covering these risks

 

0 – 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 – Reported

 

2 – Not reported as risk not existent

 

8 – Not reported due to use of partial internal model

 

9 – Not reported due to use of full internal model

 

11 – Not reported as reported at RFF/MAP level

 

17 – Partially reported due to use of partial internal model

 

0 – 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 – Reported

 

2 – Not reported as both life and non–life insurance activity

 

0 – 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 – Reported

 

2 – Not reported as only life or only non–life insurance or reinsurance activity or only reinsurance activity

 

0 – 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 – Reported

 

0 – 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 – Reported

 

0 – 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 – Reported

 

0 – 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 – Reported

 

0 – 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 – Reported

 

2 – Not reported as no facultative covers

 

3 – Not reported due to reinsurance recoveries below the threshold specified in the template instructions

 

0 – 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 – Reported

 

2 – Not reported as no facultative covers

 

3 – Not reported due to reinsurance recoveries below the threshold specified in the template instructions

 

0 – 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 – Reported

 

2 – Not reported as no reinsurance

 

3 – Not reported due to reinsurance recoveries below the threshold specified in the template instructions

 

0 – 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 – Reported

 

2 – Not reported as no reinsurance

 

3 – Not reported due to reinsurance recoveries below the threshold specified in the template instructions

 

0 – 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 – Reported

 

2 – Not reported as no reinsurance

 

0 – 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 – Reported

 

2 – Not reported as no Special Purpose Insurance Vehicles

 

0 – 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 – Reported

 

2 – Not reported as no intragroup transaction (‘IGT’) on Equity–type transactions, debt and asset transfer

 

12 – 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 Directive

 

0 – 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 – Reported

 

2 – Not reported as no IGT on Derivatives

 

12 – 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 Directive

 

0 – 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 – Reported

 

2 – Not reported as no IGT on off-balance sheet and contingent liabilities

 

12 – 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 Directive

 

0 – 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 – Reported

 

2 – Not reported as no IGT on Insurance and Reinsurance

 

12 – 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 Directive

 

0 – 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 – Reported

 

2 – Not reported as no IGT

 

12 – 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/EC

 

0 – 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 – Reported

 

2 – Not reported as no RFF/MAP

 

14 – Not reported as refers to MAP fund

 

0 – 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 – Reported

 

2 – Not reported as no RFF/MAP or no life and health SLT business

 

0 – 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 – Reported

 

2 – Not reported as no RFF/MAP or no non–life business

 

0 – 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 – Reported

 

2 – Not reported as no Matching Adjustment (‘MA’) is applied

 

15 – Not reported as refers to RFF or remaining part

 

0 – 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 – Reported

 

2 – Not reported as no MA is applied

 

15 – Not reported as refers to RFF or remaining part

 

0 – 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 used

 

8 – Not reported due to use of partial internal model

 

9 – Not reported due to use of full internal model

 

16 – Reported due to request of Article 112 of Directive 2009/138/EC

 

0 – 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 model

 

5 – Reported due to use of full internal model

 

10 – Not reported due to use of standard formula

 

0 – 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 – Reported

 

2 – Not reported as risk not existent

 

8 – Not reported due to use of partial internal model

 

9 – Not reported due to use of full internal model

 

11 – Not reported as no RFF/MAP

 

16 – Reported due to request of Article 112 of Directive 2009/138/EC

 

17 – Partially reported due to use of partial internal model

 

0 – 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 – Reported

 

2 – Not reported as risk not existent

 

8 – Not reported due to use of partial internal model

 

9 – Not reported due to use of full internal model

 

11 – Not reported as no RFF/MAP

 

16 – Reported due to request of Article 112 of Directive 2009/138/EC

 

17 – Partially reported due to use of partial internal model

 

0 – 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 – Reported

 

2 – Not reported as risk not existent

 

8 – Not reported due to use of partial internal model

 

9 – Not reported due to use of full internal model

 

11 – Not reported as no RFF/MAP

 

16 – Reported due to request of Article 112 of Directive 2009/138/EC

 

17 – Partially reported due to use of partial internal model

 

0 – 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 – Reported

 

2 – Not reported as risk not existent

 

8 – Not reported due to use of partial internal model

 

9 – Not reported due to use of full internal model

 

11 – Not reported as no RFF/MAP

 

16 – Reported due to request of Article 112 of Directive 2009/138/EC

 

17 – Partially reported due to use of partial internal model

 

0 – 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 – Reported

 

2 – Not reported as risk not existent

 

8 – Not reported due to use of partial internal model

 

9 – Not reported due to use of full internal model

 

11 – Not reported as no RFF/MAP

 

16 – Reported due to request of Article 112 of Directive 2009/138/EC

 

17 – Partially reported due to use of partial internal model

 

0 – 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 – Reported

 

8 – Not reported due to use of partial internal model

 

9 – Not reported due to use of full internal model

 

11 – Not reported as no RFF/MAP

 

16 – Reported due to request of Article 112 of Directive 2009/138/EC

 

17 – Partially reported due to use of partial internal model

 

0 – 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 – Reported

 

2 – Not reported as no simplified calculations used

 

8 – Not reported due to use of partial internal model

 

9 – Not reported due to use of full internal model

 

11 – Not reported as no RFF/MAP

 

16 – Reported due to request of Article 112 of Directive 2009/138/EC

 

17 – Partially reported due to use of partial internal model

 

0 – 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 model

 

5 – Reported due to use of full internal model

 

10 – Not reported due to use of standard formula

 

17 – Partially reported due to use of partial internal model

 

0 – 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 – Reported

 

2 – Not reported as risk not existent

 

8 – Not reported due to use of partial internal model

 

9 – Not reported due to use of full internal model

 

11 – Not reported as no RFF/MAP

 

17 – Partially reported due to use of partial internal model

 

0 – 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 undertakings

 

3 – Non–Life insurance undertakings

 

4 – 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 reporting

 

2 – Ad–hoc reporting

 

3 – Re-submission of S.30 templates in accordance with instructions of the template

 

4 – 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 formula

 

2 – Partial internal model

 

3 – 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 parameters

 

2 – 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 RFF

 

2 – 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 adjustment

 

2 – 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 adjustment

 

2 – 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 rate

 

2 – 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 provisions

 

2 – 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 submission

 

2 – 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 provided’

 

‘SFCR file not provided’

 

If ‘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 business

 

2 – 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 – Yes

 

2 – 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 fund

 

2 – Matching portfolio

 

3 – 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 embedded

 

2 – Not a fund with other funds embedded

Only 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 – Material

 

2 – Not material

In 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–module

 

2 – RFF under Article 304 – without the option for the equity risk sub–module

 

3 – 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 fund

 

2 – 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 – RFF

 

2 – 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 corporations

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/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–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 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 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 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; 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.

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:

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:

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

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.

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:

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)

the undertaking has provided or received unlimited guarantee.

 

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

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:

—

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 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:

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.

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 – LEI

 

2 – Specific code

C0020

Type of entity

Identification of the type of entity. The following closed list shall be used:

 

1 – Head office

 

2 – Branch

C0030

Type of branch localisation

Identification of the type of branch. The following closed list shall be used:

 

1 – EEA branch

 

2 – Non-EEA branch

Where 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 insurance

 

2 – Income protection insurance

 

3 – Workers’ compensation insurance

 

4 – Motor vehicle liability insurance

 

5 – Other motor insurance

 

6 – Marine, aviation and transport insurance

 

7 – Fire and other damage to property insurance

 

8 – General liability insurance

 

9 – Credit and suretyship insurance

 

10 – Legal expenses insurance

 

11 – Assistance

 

12 – Miscellaneous financial loss

 

13 – Proportional medical expense reinsurance

 

14 – Proportional income protection reinsurance

 

15 – Proportional workers’ compensation reinsurance

 

16 – Proportional motor vehicle liability reinsurance

 

17 – Proportional other motor reinsurance

 

18 – Proportional marine, aviation and transport reinsurance

 

19 – Proportional fire and other damage to property reinsurance

 

20 – Proportional general liability reinsurance

 

21 – Proportional credit and suretyship reinsurance

 

22 – Proportional legal expenses reinsurance

 

23 – Proportional assistance reinsurance

 

24 – Proportional miscellaneous financial loss reinsurance

 

25 – Non–proportional health reinsurance

 

26 – Non–proportional casualty reinsurance

 

27 – Non–proportional marine, aviation and transport reinsurance

 

28 – Non–proportional property reinsurance

 

29 – Health insurance

 

30 – Insurance with profit participation

 

31 – Index–linked and unit–linked insurance

 

32 – Other life insurance

 

33 – Annuities stemming from non–life insurance contracts and relating to health insurance obligations

 

34 – Annuities stemming from non–life insurance contracts and relating to insurance obligations other than health insurance obligations

 

35 – Health reinsurance

 

36 – 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

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:

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.

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 insurance

 

2 – Income protection insurance

 

3 – Workers’ compensation insurance

 

4 – Motor vehicle liability insurance

 

5 – Other motor insurance

 

6 – Marine, aviation and transport insurance

 

7 – Fire and other damage to property insurance

 

8 – General liability insurance

 

9 – Credit and suretyship insurance

 

10 – Legal expenses insurance

 

11 – Assistance

 

12 – Miscellaneous financial loss

 

13 – Proportional medical expense reinsurance

 

14 – Proportional income protection reinsurance

 

15 – Proportional workers’ compensation reinsurance

 

16 – Proportional motor vehicle liability reinsurance

 

17 – Proportional other motor reinsurance

 

18 – Proportional marine, aviation and transport reinsurance

 

19 – Proportional fire and other damage to property reinsurance

 

20 – Proportional general liability reinsurance

 

21 – Proportional credit and suretyship reinsurance

 

22 – Proportional legal expenses reinsurance

 

23 – Proportional assistance reinsurance

 

24 – Proportional miscellaneous financial loss reinsurance

 

25 – Non–proportional health reinsurance

 

26 – Non–proportional casualty reinsurance

 

27 – Non–proportional marine, aviation and transport reinsurance

 

28 – Non–proportional property reinsurance

 

29 – Health insurance

 

30 – Insurance with profit participation

 

31 – Index–linked and unit–linked insurance

 

32 – Other life insurance

 

33 – Annuities stemming from non–life insurance contracts and relating to health insurance obligations

 

34 – Annuities stemming from non–life insurance contracts and relating to insurance obligations other than health insurance obligations

 

35 – Health reinsurance

 

36 – 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:

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:

a)

Cash shall be reported in one row per currency, for each combination of items C0060, C0070, C0080 and C0090;

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;

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;

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:

a)

through a decision of the national supervisory authority (‘NSA’) under Article 35(6) and (7) of Directive 2009/138/EC; or

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

 

ITEM

INSTRUCTIONS

Information on positions held

C0040

Asset ID Code

Asset ID code using the following priority:

—

ISO 6166 code of 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. 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 code

 

2 – 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 Agencies

 

99 – Code attributed by the undertaking

When 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 – Life

 

2 – Non–life

 

3 – Ring fenced funds

 

4 – Other internal funds

 

5 – Shareholders’ funds

 

6 – General

The 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–linked

 

2 – 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 pledged

 

2 – Collateral for reinsurance accepted

 

3 – Collateral for securities borrowed

 

4 – Repos

 

9 – 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 – LEI

 

9 – 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 – Yes

 

2 – No

 

9 – 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 assets

 

2 – quoted market price in active markets for similar assets

 

3 – alternative valuation methods

 

4 – 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 available

—

Other 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 code

 

2 – 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 Agencies

 

99 – Code attributed by the undertaking

When 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 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 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 – LEI

 

9 – None

 

This 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 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 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 government

—

a 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 – LEI

 

9 – 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-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 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 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

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 ISIN

 

2 – 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 Agencies

 

99 – 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 bonds

 

2 – Corporate bonds

 

3L – Listed equity

 

3X – Unlisted equity

 

4 – Collective Investment Undertakings

 

5 – Structured notes

 

6 – Collateralised securities

 

7 – Cash and deposits

 

8 – Mortgages and loans

 

9 – Properties

 

0 – Other investments (including receivables)

 

A – Futures

 

B-Call Options

 

C – Put Options

 

D – Swaps

 

E – Forwards

 

F – Credit derivatives

 

L – Liabilities

 

Category ‘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 code

—

XA: Supranational issuers

—

EU: European Union Institutions

—

AA: aggregated countries due to application of threshold

This 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 currency

 

2 — Foreign currency

 

3 — 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 available

—

Other 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 ISIN

 

2 – 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 Agencies

 

99 – Code attributed by the undertaking

When 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 bonds

 

2 – Corporate bonds

 

3 – Equity

 

4 – Collective Investment Undertakings

 

5 – Structured notes

 

6 – Collateralised securities

 

7 – Cash and deposits

 

8 – Mortgages and loans

 

9 – Properties

 

0 – Other investments

 

10 – No collateral

When 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 notes

Security 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 deposits

 

10 – Equity–linked and Equity Index Linked notes and deposits

 

11 – FX and commodity–linked notes and deposits

 

12 – Hybrid linked notes and deposits

(it includes real estate and equity securities)

 

13 – Market–linked notes and deposits

 

14 – Insurance–linked notes and deposits, including notes covering Catastrophe and Weather Risk as well as Mortality Risk

 

99 – 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 protection

 

2 – Partial capital protection

 

3 – 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 buyer

 

2 – Call by the seller

 

3 – Put by the buyer

 

4 – Put by the seller

 

5 – Any combination of the previous options

 

6 – 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 asset

 

2 – 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 product

 

2 – 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 contracts

 

2 – Collateral calculated on the basis of a single contract

 

10 – 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:

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:

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.

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:

a)

through a decision of the national supervisory authority under Article 35(6) and (7) of Directive 2009/138/EC; or

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.

 

ITEM

INSTRUCTIONS

Information on positions held

C0040

Derivative ID Code

Derivative ID code using the following priority:

—

ISO 6166 code of 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

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 ISIN

 

2 – 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 Agencies

 

99 – 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 – Life

 

2 – Non–life

 

3 – Ring fenced funds

 

4 – Other internal fund

 

5 – Shareholders’ funds

 

6 – General

The 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–linked

 

2 – 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 available

—

Other 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 ISIN

 

2 — 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 Agencies

 

99 — 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 hedge

 

2 – Macro hedge

 

3 – Matching assets and liabilities cash–flows used in the context of matching adjustment portfolios

 

4 – 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 – Buyer

 

2 – Seller

For interest rate swaps one of the options in the following closed list shall be use:

 

3 – FX–FL: Deliver fixed–for–floating

 

4 – FX–FX: Deliver fixed–for–fixed

 

5 – FL–FX: Deliver floating–for–fixed

 

6 – 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 liabilities

 

2 – quoted market price in active markets for similar assets or liabilities

 

3 – alternative valuation methods

 

6 – 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 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

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 ISIN

 

2 – 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 Agencies

 

99 – 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; or

—

Name of Central Counterparty (‘CCP’) for Over–The–Counter derivatives where they are cleared through a CCP; or

—

Name 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 – LEI

 

2 – 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 0

 

1 – Credit quality step 1

 

2 – Credit quality step 2

 

3 – Credit quality step 3

 

4 – Credit quality step 4

 

5 – Credit quality step 5

 

6 – Credit quality step 6

 

9 – 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 available

—

Code attributed by the undertaking, when LEI is not available, which shall be consistent over time

When 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 – LEI

 

2 – 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 entity

 

2 – Adverse fall in value of the underlying reference asset

 

3 – Adverse change in credit rating of the underlying assets or entity

 

4 – 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 party

 

5 – Multiple events or a combination of events

 

6 – Other events not covered by the previous options

 

9 – 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 – Life

 

2 – Non–life

 

3 – Ring fenced funds

 

4 – Other internal funds

 

5 – Shareholders’ funds

 

6 – General

The 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–linked

 

2 – 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 – Life

 

2 – Non–life

 

3 – Ring fenced funds

 

4 – Other internal fund

 

5 – Shareholders’ funds

 

6 – General

The 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 – LEI

 

9 – 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–linked

 

2 – 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 repo

 

2 – Seller in a repo

 

3 – Lender in a securities lending

 

4 – Borrower in a securities lending

C0130

Near leg amount

Represents the following amounts:

—

Buyer in a repo: amount received at the contract inception

—

Seller in a repo: amount ceded at the contract inception

—

Lender in a securities lending: amount received as guarantee at the contract inception

—

Borrower 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 maturity

—

Seller 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 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

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

 

2 – 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 Agencies

 

99 – Code attributed by the undertaking

When 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 assets

 

2 – quoted market price in active markets for similar assets

 

3 – alternative valuation methods:

 

4 – 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

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 bonds

 

2 – Corporate bonds

 

3 – Equities

 

4 – Collective Investment Undertakings

 

5 – Structured notes

 

6 – Collateralised securities

 

7 – Cash and deposits

 

8 – Mortgages and loans

 

9 – Properties

 

0 – Other investments (including receivables)

 

X – Derivatives

E.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 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

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

 

2 – 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 Agencies

 

99 – Code attributed by the undertaking

When 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 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 entity

—

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;

—

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 entity

—

Regarding 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 – LEI

 

9 – None

This 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 entity

—

Regarding 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 entity

—

Regarding 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 entity

—

Regarding 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 – LEI

 

9 – None

This 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 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;

One of the options shall be used:

—

ISO 3166–1 alpha–2 code

—

XA: Supranational issuers

—

EU: 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 ‘9999–12–31’

—

For 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:

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:

—

‘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.

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/MAP

 

2 – 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:

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:

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;

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;

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;

d)

The other countries shall be reported aggregated in ‘other–EEA’ or ‘other–non-EEA’

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.

For the purposes of this template ‘country where the contract was entered into’ means:

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 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 insurance

 

30 – Insurance with profit participation

 

31 – Index–linked and unit–linked insurance

 

32 – Other life insurance

 

33 – Annuities stemming from non–life insurance contracts and relating to health insurance obligations

 

34 – Annuities stemming from non–life insurance contracts and relating to insurance obligations other than health insurance obligations

 

35 – Health reinsurance

 

36 – 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 loss

 

2 – In case of lapse/surrender past or future tax benefits or other subsidies are lost

 

3 – Other tax related losses not covered above

 

4 – Not applicable

Option 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 week

 

2 – Surrender value equal to the best estimate/local statutory reserves and notice required higher than one week but lower than 3 months

 

3 – Surrender value equal to the best estimate/local statutory reserves and notice required higher than 3 months

 

4 – Surrender value between 100 % (exclusively) and 80 % of the best estimate/local statutory reserves and notice required lower than one week

 

5 – 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 months

 

6 – Surrender value between 100 % (exclusively) and 80 % of the best estimate/local statutory reserves and notice required higher than 3 months

 

7 – Surrender value lower than 80 % of the best estimate/local statutory reserves and notice required lower than one week

 

8 – Surrender value lower than 80 % of the best estimate/local statutory reserves and notice required higher than one week but lower than 3 months

 

9 – Surrender value lower than 80 % of the best estimate/local statutory reserves and notice required higher than 3 months

 

10 – Other

The 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 life

2.

joint life

3.

collective

4.

other

If 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.

Yes

2.

No

When 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 commercialised

 

2 – In run-off

C0141

Profit sharing

Specify if product category includes profit sharing or not. The following closed list shall be used.

 

1 – Yes

 

2 – 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 years

 

2 - 5-10 years

 

3 - 10-15 years

 

4 - 15-20 years

 

5 - > 20 years

 

6 - Lifelong

The 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 insurance

 

2 – Income protection insurance

 

3 – Workers’ compensation insurance

 

4 – Motor vehicle liability insurance

 

5 – Other motor insurance

 

6 – Marine, aviation and transport insurance

 

7 – Fire and other damage to property insurance

 

8 – General liability insurance

 

9 – Credit and suretyship insurance

 

10 – Legal expenses insurance

 

11 – Assistance

 

12 – 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 travel

 

12.1 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

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:

—

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 EUR

OR

—

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).

 

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 – Private

 

3 – Both

Given 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 services

First 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 covered

Cyber 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 Insurance

 

2 – Income Protection Insurance

 

3 – Workers’ Compensation Insurance

 

4 – Motor Vehicle Liability Insurance

 

5 – Other Motor Insurance

 

6 – Marine, Aviation and Transport Insurance

 

7 – Fire and other Damage to Property Insurance

 

8 – General Liability Insurance

 

9 – Credit and Suretyship insurance

 

10 – Legal Expenses Insurance

 

11 – Assistance

 

12 – Miscellaneous Financial Loss

 

13 – Proportional reinsurance – Medical Expense Insurance

 

14 – Proportional reinsurance – Income Protection Insurance

 

15 – Proportional reinsurance – Workers’ Compensation Insurance

 

16 – Proportional reinsurance – Motor Vehicle Liability Insurance

 

17 – Proportional reinsurance – Other Motor Insurance

 

18 – Proportional reinsurance – Marine, Aviation and Transport Insurance

 

19 – Proportional reinsurance – Fire and other Damage to Property Insurance

 

20 – Proportional reinsurance – General Liability Insurance

 

21 – Proportional reinsurance – Credit and Suretyship insurance

 

22 – Proportional reinsurance – Legal Expenses Insurance

 

23 – Proportional reinsurance – Assistance

 

24 – Proportional reinsurance – Miscellaneous Financial Loss

 

25 – Non-Proportional reinsurance – Health

 

26 – Non-Proportional reinsurance – Casualty

 

27 – Non-Proportional reinsurance – Marine, Aviation and Transport

 

28 – 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)

Other

More 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:

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:

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.

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;

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.

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:

i.

All or part of the obligation has been formally settled as an annuity; and

ii.

a best estimate of an obligation formally settled as an annuity can be established using life techniques.

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 insurance

 

2 — 2 and 14 Income protection insurance

 

3 — 3 and 15 Workers’ compensation insurance

 

4 — 4 and 16 Motor vehicle liability insurance

 

5 — 5 and 17 Other motor insurance

 

6 — 6 and 18 Marine, aviation and transport insurance

 

7 — 7 and 19 Fire and other damage to property insurance

 

8 — 8 and 20 General liability insurance

 

9 — 9 and 21 Credit and suretyship insurance

 

10 — 10 and 22 Legal expenses insurance

 

11 — 11 and 23 Assistance

 

12 — 12 and 24 Miscellaneous financial loss

 

25 — Non–proportional health reinsurance

 

26 — Non–proportional casualty reinsurance

 

27 — Non–proportional marine, aviation and transport reinsurance

 

28 — 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 year

 

2 – 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 currency

 

2 – Reporting currency

Only 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/MAP

 

2 – 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:

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:

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);

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;

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;

d)

The other countries shall be reported aggregated in ‘other–EEA’ or ‘other–non EEA’;

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;

For the purposes of this template ‘country where the contract was entered into’ means:

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 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 – Insurance

 

2 – Accepted proportional reinsurance

the 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 business

—

Home 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 business

—

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 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 business

—

Home 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 business

—

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 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:

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:

—

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;

 

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 insurance

 

2 – 2 and 14 Income protection insurance

 

3 – 3 and 15 Workers’ compensation insurance

 

4 – 4 and 16 Motor vehicle liability insurance

 

5 – 5 and 17 Other motor insurance

 

6 – 6 and 18 Marine, aviation and transport insurance

 

7 – 7 and 19 Fire and other damage to property insurance

 

8 – 8 and 20 General liability insurance

 

9 – 9 and 21 Credit and suretyship insurance

 

10 – 10 and 22 Legal expenses insurance

 

11 – 11 and 23 Assistance

 

12 – 12 and 24 Miscellaneous financial loss

 

25 – Non–proportional health reinsurance

 

26 – Non–proportional casualty reinsurance

 

27 – Non–proportional marine, aviation and transport reinsurance

 

28 – Non–proportional property reinsurance

S.19.01 – Non–life insurance claims

General comments:

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:

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;

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.

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.

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:

i.

All or part of the obligation has been formally settled as an annuity; and

ii.

a best estimate of an obligation formally settled as an annuity can be established using life techniques.

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 insurance

 

2 – 2 and 14 Income protection insurance

 

3 – 3 and 15 Workers’ compensation insurance

 

4 – 4 and 16 Motor vehicle liability insurance

 

5 – 5 and 17 Other motor insurance

 

6 – 6 and 18 Marine, aviation and transport insurance

 

7 – 7 and 19 Fire and other damage to property insurance

 

8 – 8 and 20 General liability insurance

 

9 – 9 and 21 Credit and suretyship insurance

 

10 – 10 and 22 Legal expenses insurance

 

11 – 11 and 23 Assistance

 

12 – 12 and 24 Miscellaneous financial loss

 

25 – Non–proportional health reinsurance

 

26 – Non–proportional casualty reinsurance

 

27 – Non–proportional marine, aviation and transport reinsurance

 

28 – 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 year

 

2 – 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 currency

 

2 – Reporting currency

Only 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 insurance

 

2 – Income protection insurance

 

3 – Workers’ compensation insurance

 

4 – Motor vehicle liability insurance

 

5 – Other motor insurance

 

6 – Marine, aviation and transport insurance

 

7 – Fire and other damage to property insurance

 

8 – General liability insurance

 

9 – Credit and suretyship insurance

 

10 – Legal expenses insurance

 

11 – Assistance

 

12 – 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 year

 

2 – 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 100 000. 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 insurance

 

2 – Income protection insurance

 

3 – Workers’ compensation insurance

 

4 – Motor vehicle liability insurance

 

5 – Other motor insurance

 

6 – Marine, aviation and transport insurance

 

7 – Fire and other damage to property insurance

 

8 – General liability insurance

 

9 – Credit and suretyship insurance

 

10 – Legal expenses insurance

 

11 – Assistance

 

12 – 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 year

 

2 – 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 > 100 000 .

 

2 – 20 brackets of 50000 plus 1 extra open bracket for accumulated incurred losses > 1 million.

 

3 – 20 brackets of 250 000 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 < 100 000 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 insurance

 

2 – Income protection insurance

 

3 – Workers’ compensation insurance

 

4 – Motor vehicle liability insurance

 

5 – Other motor insurance

 

6 – Marine, aviation and transport insurance

 

7 – Fire and other damage to property insurance

 

8 – General liability insurance

 

9 – Credit and suretyship insurance

 

10 – Legal expenses insurance

 

11 – Assistance

 

12 – 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 applicable

 

2 – 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 brokers

 

4 – 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 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’, 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:

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 100 000. 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:

—

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.

 

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 insurance

 

2 – Income protection insurance

 

3 – Workers’ compensation insurance

 

4 – Motor vehicle liability insurance

 

5 – Other motor insurance

 

6 – Marine, aviation and transport insurance

 

7 – Fire and other damage to property insurance

 

8 – General liability insurance

 

9 – Credit and suretyship insurance

 

10 – Legal expenses insurance

 

11 – Assistance

 

12 – 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 > 500 000 .

 

2 – 20 brackets of 50000 plus 1 extra bracket for Sum Insured > 1 million.

 

3 – 20 brackets of 250 000 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 < 100 000 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 column

Total 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 SLT

2 – 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; or

ii)

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.

Formula

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.

Formula

 

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 1

 

2 – Tier 1 – unrestricted

 

3 – Tier 1 – restricted

 

4 – Tier 2

 

5 – 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 transitionals

 

2 – 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 transitionals

 

2 – 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 transitionals

 

2 – 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 available

—

Other 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 code

 

2 – 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 Agencies

 

99 – Code attributed by the undertaking

When 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 available

—

Other 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 code

 

2 – 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 Agencies

 

99 – Code attributed by the undertaking

When 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 available

—

Other 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 code

 

2 – 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 Agencies

 

99 – Code attributed by the undertaking

When 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 available

—

Other 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 code

 

2 – 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 Agencies

 

99 – Code attributed by the undertaking

When 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 available

—

Other 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 code

 

2 – 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 Agencies

 

99 – Code attributed by the undertaking

When 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 available

—

Other 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 code

 

2 – 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 Agencies

 

99 – Code attributed by the undertaking

When 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 available

—

Other 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 code

 

2 – 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 Agencies

 

99 – Code attributed by the undertaking

When 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:

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:

—

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;

—

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.

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:

—

Formula
, 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)

—

nSCR int

=

nSCR for intangible assets risk according to the information reported in this template (C0040/R0070)

—

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)

 

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) reporting

 

2 – 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/MAP

 

2 – 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 recalculation

 

2 – Simplification at risk sub–module level

 

3 – Simplification at risk module level

 

4 – No adjustment

When 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 – Yes

 

2 – No

 

3 – 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:

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:

—

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,

—

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,

—

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.

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:

—

Formula
, 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

—

nSCR int

=

nSCR for intangible assets risk according to the information reported in this template

—

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)

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/MAP

 

2 – 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 component

 

2 – Future management actions regarding the loss–absorbing capacity of deferred taxes embedded within the component

 

3 – Future management actions regarding the loss–absorbing capacity of technical provisions and deferred taxes embedded within the component

 

4 – 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 portfolios

This 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 recalculation

 

2 – Simplification at risk sub-module level

 

3 – Simplification at risk module level

 

4 – No adjustment

When 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 – Yes

 

2 – No

 

3 – 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) reporting

 

2 – 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/MAP

 

2 – 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 104

 

2 – Simplifications for the purposes of Article 105a

 

9 – Simplifications not used

Options 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 105a

 

9 – 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 used

 

2 – Simplifications not used

If 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 used

 

2 – 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 used

 

2 – 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 provisions

If 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 equities

Recoverables 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 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 concentrations

For 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) reporting

 

2 – 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/MAP

 

2 – 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 109

 

4 – Simplification grouping single name exposures, for the purposes of Article 110

 

5 – Simplification of the LGD for reinsurance arrangements, Article 112a

 

6 – Simplification for type 1 exposures, Article 112b

 

7 – Simplification for the risk-mitigating effect of reinsurance arrangements, Article 111

 

9 – Simplifications not used

Options 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 – LEI

 

9 – 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) reporting

 

2 – 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/MAP

 

2 – 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 used

 

2 – Simplifications not used

If 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 used

 

2 – Simplifications not used

If 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 used

 

2 – Simplifications not used

If 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 95

 

2 – Simplification for the purposes of Article 95a

 

9 – Simplifications not used

Options 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 used

 

2 – Simplifications not used

If 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 used

 

2 – Simplifications not used

If 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) reporting

 

2 – 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/MAP

 

2 – 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 used

 

2 – Simplifications not used

If 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 used

 

2 – Simplifications not used

If 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 used

 

2 – Simplifications not used

If 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 used

 

2 – Simplifications not used

If 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 102

 

2 – Simplification for the purposes of Article 102a

 

9 – Simplifications not used

Options 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 96a

 

9 – 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 used

 

2 – Simplifications not used

If 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 gross

 

2 – 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) reporting

 

2 – 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/MAP

 

2 – 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 used

 

2 – Simplifications not used

If 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 90a

 

9 – 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 gross

 

2 – 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 segment

If 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) reporting

 

2 – 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/MAP

 

2 – 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) reporting

 

2 – 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/MAP

 

2 – 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:

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:

—

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,

—

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,

—

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.

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:

—

Formula
, 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

—

nSCR int

=

nSCR for intangible assets risk according to the information reported in this template

—

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)

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/MAP

 

2 – 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 relevant

or 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 component

 

2 – Future management actions regarding the loss–absorbing capacity of deferred taxes embedded within the component

 

3 – Future management actions regarding the loss–absorbing capacity of technical provisions and deferred taxes embedded within the component

 

4 – 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 – Modelled

 

2 – Not modelled

If 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 – Modelled

 

2 – Not modelled

If 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 – Modelled

 

2 – Not modelled

If 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 – Modelled

 

2 – Not modelled

If 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 – Modelled

 

2 – Not modelled

If 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 – Modelled

 

2 – Not modelled

If 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:

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:

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’

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:

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

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:

—

Assets

—

Liabilities

—

Assets minus Liabilities

—

Assets excl. Unit-linked

—

Liabilities excl. Unit-linked

—

Assets excl. Unit-linked minus Liabilities excl. Unit-linked

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 VA

 

2 – Constant VA

 

3 – 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 model

 

2 – 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 model

 

2 – 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 – No

 

2 – Fully

 

3 – Partial

The 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:

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:

—

Top 10 exposures in terms of impact on SCR

—

Top 10 exposures in terms of market value

—

Split by asset classes

—

Split by credit quality steps (CQS)

Regarding the top 10 exposures, each are required in two metrics:

—

‘group’, i.e. exposure ranking among groups of connected counterparties

—

‘single’, i.e. counterparties stand alone

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 of

—

in R0030 to R0120 for the top 10 exposures

—

in R0020 for the sum of these top 10 exposures

—

in R0130 for the remaining exposures

—

in 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 exposures

—

in R0020 for the sum of these top 10 exposures

—

in R0130 for the remaining exposures

—

in 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 exposures

—

in R0020 for the sum of these top 10 exposures

—

in R0130 for the remaining exposures

—

in 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 exposures

—

in 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 exposures

—

in 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 risk

—

in R0030 to R0120 for the top 10 exposures

—

in R0020 for the sum of these top 10 exposures

—

in R0130 for the remaining exposures

—

in 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 SCR

—

in R0030 to R0120 for the top 10 exposures

—

in R0020 for the sum of these top 10 exposures

—

in R0130 for the remaining exposures

—

in 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 exposures

—

in R0150 for the sum of these top 10 exposures

—

in R0260 for the remaining exposures

—

in 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 exposures

—

in R0150 for the sum of these top 10 exposures

—

in R0260 for the remaining exposures

—

in 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 exposures

—

in R0150 for the sum of these top 10 exposures

—

in R0260 for the remaining exposures

—

in 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 exposures

—

in 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 exposures

—

in 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 exposures

—

in R0150 for the sum of these top 10 exposures

—

in R0260 for the remaining exposures

—

in 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 exposures

—

in R0150 for the sum of these top 10 exposures

—

in R0260 for the remaining exposures

—

in 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 exposures

—

in R0280 for the sum of these top 10 exposures

—

in R0390 for the remaining exposures

—

in 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 exposures

—

in R0280 for the sum of these top 10 exposures

—

in R0390 for the remaining exposures

—

in 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 exposures

—

in R0280 for the sum of these top 10 exposures

—

in R0390 for the remaining exposures

—

in 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 exposures

—

in 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 exposures

—

in 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 risk

—

in R0290 to R0380 for the top 10 exposures

—

in R0280 for the sum of these top 10 exposures

—

in R0390 for the remaining exposures

—

in 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 SCR

—

in R0290 to R0380 for the top 10 exposures

—

in R0280 for the sum of these top 10 exposures

—

in R0390 for the remaining exposures

—

in 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 of

—

in R0420 to R0510 for the top 10 exposures

—

in R0410 for the sum of these top 10 exposures

—

in R0520 for the remaining exposures

—

in R0400 for the sum of all exposures

C0030/R0400-R0520

Exposure at default

Exposure at default in reporting currency of

—

in R0420 to R0510 for the top 10 exposures

—

in R0410 for the sum of these top 10 exposures

—

in R0520 for the remaining exposures

—

in 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 exposures

—

in R0410 for the sum of these top 10 exposures

—

in R0520 for the remaining exposures

—

in 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 exposures

—

in 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 exposures

—

in 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 risk

—

in R0420 to R0510 for the top 10 exposures

—

in R0410 for the sum of these top 10 exposures

—

in R0520 for the remaining exposures

—

in 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 SCR

—

in R0420 to R0510 for the top 10 exposures

—

in R0410 for the sum of these top 10 exposures

—

in R0520 for the remaining exposures

—

in 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:

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 reinsurance:

—

Premium and Reserve Risk: Premium and Reserve Risk data including Cat.

—

Catastrophe Risk (Cat): Catastrophe Risk data.

—

Premium & Reserve Risk (Excluding explicit Cat): Premium and Reserve Risk data excluding explicit Cat.

—

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.

—

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.

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:

—

Monetary amounts of this template are discounted.

—

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).

—

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.).

—

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).

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 insurance

 

2 – Income protection insurance

 

3 – Workers’ compensation insurance

 

4 – Motor vehicle liability insurance

 

5 – Other motor insurance

 

6 – Marine, aviation and transport insurance

 

7 – Fire and other damage to property insurance

 

8 – General liability insurance

 

9 – Credit and suretyship insurance

 

10 – Legal expenses insurance

 

11 – Assistance

 

12 – Miscellaneous financial loss

 

13 – Proportional medical expense reinsurance

 

14 – Proportional income protection reinsurance

 

15 – Proportional workers’ compensation reinsurance

 

16 – Proportional motor vehicle liability reinsurance

 

17 – Proportional other motor reinsurance

 

18 – Proportional marine, aviation and transport reinsurance

 

19 – Proportional fire and other damage to property reinsurance

 

20 – Proportional general liability reinsurance

 

21 – Proportional credit and suretyship reinsurance

 

22 – Proportional legal expenses reinsurance

 

23 – Proportional assistance reinsurance

 

24 – Proportional miscellaneous financial loss reinsurance

 

25 – Non–proportional health reinsurance

 

26 – Non–proportional casualty reinsurance

 

27 – Non–proportional marine, aviation and transport reinsurance

 

28 – Non–proportional property reinsurance

It 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 risk

—

Not assigned to premium risk

C0050

Reserve risk indicator

The following closed list shall be used:

—

Assigned to reserve risk

—

Not 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 insurance

 

2 – Income protection insurance

 

3 – Workers’ compensation insurance

 

4 – Motor vehicle liability insurance

 

5 – Other motor insurance

 

6 – Marine, aviation and transport insurance

 

7 – Fire and other damage to property insurance

 

8 – General liability insurance

 

9 – Credit and suretyship insurance

 

10 – Legal expenses insurance

 

11 – Assistance

 

12 – Miscellaneous financial loss

 

13 – Proportional medical expense reinsurance

 

14 – Proportional income protection reinsurance

 

15 – Proportional workers’ compensation reinsurance

 

16 – Proportional motor vehicle liability reinsurance

 

17 – Proportional other motor reinsurance

 

18 – Proportional marine, aviation and transport reinsurance

 

19 – Proportional fire and other damage to property reinsurance

 

20 – Proportional general liability reinsurance

 

21 – Proportional credit and suretyship reinsurance

 

22 – Proportional legal expenses reinsurance

 

23 – Proportional assistance reinsurance

 

24 – Proportional miscellaneous financial loss reinsurance

 

25 – Non–proportional health reinsurance

 

26 – Non–proportional casualty reinsurance

 

27 – Non–proportional marine, aviation and transport reinsurance

 

28 – 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 risk

 

2 – Non-life and NSLT health reserve risk aggregated jointly

 

3 – Non-life underwriting reserve risk with implicit catastrophe risk

 

4 – 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 risk

 

2 – Non-life and NSLT health premium risk aggregated jointly

 

3 – Non-life underwriting premium risk with implicit catastrophe risk

 

4 – 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 risk

 

2 – Non-life and NSLT health premium risk and reserve risk aggregated jointly

 

3 – Non-life underwriting premium risk and reserve risk with implicit catastrophe risk

 

4 – Non-life underwriting premium risk and reserve risk

 

5 – NSLT health underwriting premium risk and reserve risk aggregated separately with implicit catastrophe risk

 

6 – 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:

—

Yes

—

No

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 reinsurance

—

Mean of AEP for all business gross of reinsurance

—

Mean of Annual loss for all business gross of reinsurance

—

Mean of OEP for all business net of reinsurance

—

Mean of AEP for all business net of reinsurance

—

Mean 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, R0270

C0030-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 SCR

If 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 SCR

If 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 RISK

To 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, R0560

C0030-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 RISK

To 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:

—

Yes

—

No

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:

—

Yes

—

No

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 fraud

2.

External fraud

3.

Employment practices and workspace safety

4.

Damage to physical assets

5.

Business disruption and system failures

6.

Clients, products and business practices

7.

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 activity

2.

Internal fraud – Theft and fraud

3.

Internal fraud – Other

4.

External fraud – Theft and fraud

5.

External fraud – Systems security

6.

External fraud – Other

7.

Employment practices and workspace safety – Employee relations

8.

Employment practices and workspace safety – Safe environment

9.

Employment practices and workspace safety – Diversity and discrimination

10.

Employment practices and workspace safety – Other

11.

Damage to physical assets – Disasters and other events

12.

Damage to physical assets – Other

13.

Business disruption and system failures – Systems

14.

Business disruption and system failures – Other

15.

Clients, products and business practices – Suitability, disclosure and fiduciary

16.

Clients, products and business practices – Improper business or market practices

17.

Clients, products and business practices – Product flaws

18.

Clients, products and business practices – Selection, sponsorship and exposure

19.

Clients, products and business practices – Advisory activities

20.

Clients, products and business practices – Other

21.

Execution, delivery and process management – Transaction capture, execution and maintenance

22.

Execution, delivery and process management – Monitoring and reporting

23.

Execution, delivery and process management – Customer intake and documentation

24.

Execution, delivery and process management – Customer/client account management

25.

Execution, delivery and process management – Trade counterparties

26.

Execution, delivery and process management – Vendors and suppliers

27.

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-lognormal

2.

Lognormal

3.

Poisson-Pareto

4.

Empirical

5.

Pareto

6.

Other, please specify

7.

Obtained by aggregation of lower levels

Item 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:

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:

—

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.

 

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 profile

 

2 – Change in input data and assumptions

 

3 – Change in methodology

 

4 – 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:

 

Yes

 

No

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:

 

Yes

 

No

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:

 

Yes

 

No

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:

 

Yes

 

No

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:

 

Yes

 

No

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:

 

Yes

 

No

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:

 

Yes

 

No

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:

 

Yes

 

No

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 – Qualitative

 

2 – Quantitative

 

3 – 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 period

—

Internal 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/MAP

 

2 – 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 90c

 

9 – Simplifications not used

If 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 windstorm

 

2 – Simplification for the purposes of Article 90b earthquake

 

3 – Simplification for the purposes of Article 90b flood

 

4 – Simplification for the purposes of Article 90b hail

 

5 – Simplification for the purposes of Article 90b subsidence

 

9 – Simplifications not used

Options 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; and

—

Marine, 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; and

—

Marine, 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; and

—

For 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; and

—

Other 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; and

—

Other 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; and

—

Other 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 24 000 000 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 24 000 000 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; and

—

Non–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; and

—

Non–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; and

—

Non–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; and

—

Non–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; and

—

Non–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:

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:

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.

 

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:

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:

i.

Includes investments;

ii.

Includes liabilities position of derivatives (as investments);

iii.

Includes Own shares;

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.

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:

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.

Revenues triggered by investments;

iii.

Expenses related to investments (including interest charges on financial liabilities.).

 

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:

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:

—

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.).

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 structure

In 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 considered

—

This 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 period

b)

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 insurance

 

2 – 2 and 14 Income protection insurance

 

3 – 3 and 15 Workers’ compensation insurance

 

4 – 4 and 16 Motor vehicle liability insurance

 

5 – 5 and 17 Other motor insurance

 

6 – 6 and 18 Marine, aviation and transport insurance

 

7 – 7 and 19 Fire and other damage to property insurance

 

8 – 8 and 20 General liability insurance

 

9 – 9 and 21 Credit and suretyship insurance

 

10 – 10 and 22 Legal expenses insurance

 

11 – 11 and 23 Assistance

 

12 – 12 and 24 Miscellaneous financial loss

 

25 – Non-proportional health reinsurance

 

26 – Non-proportional casualty reinsurance

 

27 – Non-proportional marine, aviation and transport reinsurance

 

28 – Non-proportional property reinsurance

 

37 – 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 N

—

Identify 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–Life

See 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 period

b)

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–Life

See 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–Life

See 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 insurance

 

2 – Income protection insurance

 

3 – Workers’ compensation insurance

 

4 – Motor vehicle liability insurance

 

5 – Other motor insurance

 

6 – Marine, aviation and transport insurance

 

7 – Fire and other damage to property insurance

 

8 – General liability insurance

 

9 – Credit and suretyship insurance

 

10 – Legal expenses insurance

 

11 – Assistance

 

12 – Miscellaneous financial loss

 

13 – Proportional medical expense reinsurance

 

14 – Proportional income protection reinsurance

 

15 – Proportional workers’ compensation reinsurance

 

16 – Proportional motor vehicle liability reinsurance

 

17 – Proportional other motor reinsurance

 

18 – Proportional marine, aviation and transport reinsurance

 

19 – Proportional fire and other damage to property reinsurance

 

20 – Proportional general liability reinsurance

 

21 – Proportional credit and suretyship reinsurance

 

22 – Proportional legal expenses reinsurance

 

23 – Proportional assistance reinsurance

 

24 – Proportional miscellaneous financial loss reinsurance

 

25 – Non–proportional health reinsurance

 

26 – Non–proportional casualty reinsurance

 

27 – Non–proportional marine, aviation and transport reinsurance

 

28 – 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 largest

 

2 – 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 RE

In 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 reinsurance

 

2 – 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 Insured

the 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 applicable

 

2 – 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 brokers

 

4 – 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

other 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’, 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 insurance

 

30 – Insurance with profit participation

 

31 – Index–linked and unit–linked insurance

 

32 – Other life insurance

 

33 – Annuities stemming from non–life insurance contracts and relating to health insurance obligations

 

34 – Annuities stemming from non–life insurance contracts and relating to insurance obligations other than health insurance obligations

 

35 – Health reinsurance

 

36 – 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 largest

 

2 – 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 reinsurance

 

2 – 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 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.

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 undertaking

In 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 – LEI

 

2 – 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 insurance

 

2 – Income protection insurance

 

3 – Workers’ compensation insurance

 

4 – Motor vehicle liability insurance

 

5 – Other motor insurance

 

6 – Marine, aviation and transport insurance

 

7 – Fire and other damage to property insurance

 

8 – General liability insurance

 

9 – Credit and suretyship insurance

 

10 – Legal expenses insurance

 

11 – Assistance

 

12 – Miscellaneous financial loss

 

13 – Proportional medical expense reinsurance

 

14 – Proportional income protection reinsurance

 

15 – Proportional workers’ compensation reinsurance

 

16 – Proportional motor vehicle liability reinsurance

 

17 – Proportional other motor reinsurance

 

18 – Proportional marine, aviation and transport reinsurance

 

19 – Proportional fire and other damage to property reinsurance

 

20 – Proportional general liability reinsurance

 

21 – Proportional credit and suretyship reinsurance

 

22 – Proportional legal expenses reinsurance

 

23 – Proportional assistance reinsurance

 

24 – Proportional miscellaneous financial loss reinsurance

 

25 – Non–proportional health reinsurance

 

26 – Non–proportional casualty reinsurance

 

27 – Non–proportional marine, aviation and transport reinsurance

 

28 – 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 largest

 

2 – 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 undertaking

In 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 – LEI

 

2 – 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 insurance

 

30 – Insurance with profit participation

 

31 – Index–linked and unit–linked insurance

 

32 – Other life insurance

 

33 – Annuities stemming from non–life insurance contracts and relating to health insurance obligations

 

34 – Annuities stemming from non–life insurance contracts and relating to insurance obligations other than health insurance obligations

 

35 – Health reinsurance

 

36 – 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 largest

 

2 – 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 undertaking

In 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 – LEI

 

2 – 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 insurer

 

2 – Direct Non–life insurer

 

3 – Direct Composite insurer

 

4 – Captive insurance undertaking

 

5 – 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 undertaking

 

8 – Special purpose vehicle

 

9 – 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 0

 

1 – Credit quality step 1

 

2 – Credit quality step 2

 

3 – Credit quality step 3

 

4 – Credit quality step 4

 

5 – Credit quality step 5

 

6 – Credit quality step 6

 

9 – 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 RE

In 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 insurance

 

2 – Income protection insurance

 

3 – Workers’ compensation insurance

 

4 – Motor vehicle liability insurance

 

5 – Other motor insurance

 

6 – Marine, aviation and transport insurance

 

7 – Fire and other damage to property insurance

 

8 – General liability insurance

 

9 – Credit and suretyship insurance

 

10 – Legal expenses insurance

 

11 – Assistance

 

12 – Miscellaneous financial loss

 

13 – Proportional medical expense reinsurance

 

14 – Proportional income protection reinsurance

 

15 – Proportional workers’ compensation reinsurance

 

16 – Proportional motor vehicle liability reinsurance

 

17 – Proportional other motor reinsurance

 

18 – Proportional marine, aviation and transport reinsurance

 

19 – Proportional fire and other damage to property reinsurance

 

20 – Proportional general liability reinsurance

 

21 – Proportional credit and suretyship reinsurance

 

22 – Proportional legal expenses reinsurance

 

23 – Proportional assistance reinsurance

 

24 – Proportional miscellaneous financial loss reinsurance

 

25 – Non–proportional health reinsurance

 

26 – Non–proportional casualty reinsurance

 

27 – Non–proportional marine, aviation and transport reinsurance

 

28 – Non–proportional property reinsurance

 

29 – Health insurance

 

30 – Insurance with profit participation

 

31 – Index–linked and unit–linked insurance

 

32 – Other life insurance

 

33 – Annuities stemming from non–life insurance contracts and relating to health insurance obligations

 

34 – Annuities stemming from non–life insurance contracts and relating to insurance obligations other than health insurance obligations

 

35 – Health reinsurance

 

36 – Life reinsurance

 

37 – 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 share

 

2 – variable quota share

 

3 – surplus

 

4 – 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 risk

 

9 – reinstatement cover

 

10 – aggregate excess of loss

 

11 – unlimited excess of loss

 

12 – stop loss

 

13 – other proportional treaties

 

14 – other non–proportional treaties

Other 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 guarantees

 

2 – earthquake, volcanic eruption, tidal wave etc. are covered

 

3 – flood is covered

 

4 – hurricane, windstorm, etc. are covered

 

5 – other risks such as freeze, hail, strong wind are covered

 

6 – terrorism is covered

 

7 – SRCC (strikes, riots, civil commotion), sabotage, popular uprising are covered

 

8 – all the above mentioned risks are covered

 

9 – 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 Insured

the 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 applicable

 

2 – 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 brokers

 

4 – 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

other 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 premium

 

2 – XL premium not based on a flat premium

This 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 undertaking

In 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 – LEI

 

2 – 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 Trust

 

2 – Cash or Funds Withheld

 

3 – Letter of Credit

 

4 – Other

 

5 – 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 – LEI

 

9 – 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 undertaking

In 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 – LEI

 

2 – 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 insurer

 

2 – Direct Non–life insurer

 

3 – Direct Composite insurer

 

4 – Captive insurance undertaking

 

5 – 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 undertaking

 

8 – Special purpose vehicle

 

9 – 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 formula

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.

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

 

3 – Credit quality step 3

 

4 – Credit quality step 4

 

5 – Credit quality step 5

 

6 – Credit quality step 6

 

9 – 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 – LEI

 

2 – 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 – LEI

 

2 – 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 insurer

 

2 – Direct Non–life insurer

 

3 – Direct Composite insurer

 

4 – Captive insurance undertaking

 

5 – 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 undertaking

 

8 – Special purpose vehicle

 

9 – 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 0

 

1 – Credit quality step 1

 

2 – Credit quality step 2

 

3 – Credit quality step 3

 

4 – Credit quality step 4

 

5 – Credit quality step 5

 

6 – Credit quality step 6

 

9 – 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:

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:

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.

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 code

This 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 code

 

2 – 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 Agencies

 

99 – 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 insurance

 

2 – Income protection insurance

 

3 – Workers’ compensation insurance

 

4 – Motor vehicle liability insurance

 

5 – Other motor insurance

 

6 – Marine, aviation and transport insurance

 

7 – Fire and other damage to property insurance

 

8 – General liability insurance

 

9 – Credit and suretyship insurance

 

10 – Legal expenses insurance

 

11 – Assistance

 

12 – Miscellaneous financial loss

 

13 – Proportional medical expense reinsurance

 

14 – Proportional income protection reinsurance

 

15 – Proportional workers’ compensation reinsurance

 

16 – Proportional motor vehicle liability reinsurance

 

17 – Proportional other motor reinsurance

 

18 – Proportional marine, aviation and transport reinsurance

 

19 – Proportional fire and other damage to property reinsurance

 

20 – Proportional general liability reinsurance

 

21 – Proportional credit and suretyship reinsurance

 

22 – Proportional legal expenses reinsurance

 

23 – Proportional assistance reinsurance

 

24 – Proportional miscellaneous financial loss reinsurance

 

25 – Non–proportional health reinsurance

 

26 – Non–proportional casualty reinsurance

 

27 – Non–proportional marine, aviation and transport reinsurance

 

28 – Non–proportional property reinsurance

 

29 – Health insurance

 

30 – Insurance with profit participation

 

31 – Index–linked and unit–linked insurance

 

32 – Other life insurance

 

33 – Annuities stemming from non–life insurance contracts and relating to health insurance obligations

 

34 – Annuities stemming from non–life insurance contracts and relating to insurance obligations other than health insurance obligations

 

35 – Health reinsurance

 

36 – Life reinsurance

 

37 – Multiline

Where 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 – Indemnity

 

2 – Model Loss

 

3 – Index or Parametric

 

4 – 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 trigger

 

2 – 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 risk

 

2 – 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 risk

 

2 – Substantial part of risks insured not transferred

 

3 – 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 obligations

 

2 – 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 applicable

 

2 – 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/sponsor

 

2 – 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 code

This 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 – LEI

 

2 – 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 list

 

1 – Trusts

 

2 – Partnerships

 

3 – Limited liability companies

 

4 – Other legal entity form not referred above

 

5 – 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/EC

 

2 – 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 vehicle

 

4 – 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 0

 

1 – Credit quality step 1

 

2 – Credit quality step 2

 

3 – Credit quality step 3

 

4 – Credit quality step 4

 

5 – Credit quality step 5

 

6 – Credit quality step 6

 

9 – 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:

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 financing (1) and asset transfers.

These include, but are not limited to:

—

equity and other capital items including participations in related entities and transfer shares of related entities of the group;

—

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;

—

other asset transfer such as transfer of properties and transfer of shares of other companies unrelated (i.e. outside) to the group.

This template shall include intragroup transactions that were:

—

in-force at the start of the reporting period.

—

incepted during the reporting period and outstanding at the reporting date.

—

incepted and expired/matured during the reporting period.

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 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 – LEI

 

2 – 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 – LEI

 

2 – 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 available

—

Other 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 code

 

2 – 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 Agencies

 

99 – Code attributed by the undertaking

NC0110

Type of instrument

Identify the type of instrument.

The following closed list shall be used:

 

1 – Bonds/Debt

 

2 – Equity type

 

3 – Other asset transfer

NC0120

Instrument

Identify the instrument. The following closed list shall be used:

 

1 – Bonds/Debt – collateralised

 

2 – Bonds/Debt – uncollateralised

 

3 – Equity type – shares/participations

 

4 – Equity type – others

 

5 – Other asset transfer – properties

 

6 – 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 length

—

any other relevant information regarding the economic nature of the operation

S.36.02 – IGT – Derivatives

General comments:

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:

—

Interest rate contracts, including swaps, forward agreements, futures and options;

—

Foreign exchange contracts, including swaps, forward agreements, futures and options;

—

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.

This template shall include intragroup transactions that were:

—

in-force at the start of the reporting period.

—

incepted during the reporting period and outstanding at the reporting date.

—

incepted and expired/matured during the reporting period.

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 – LEI

 

2 – 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 – LEI

 

2 – 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 available

—

Other 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 code

 

2 – 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 Agencies

 

99 – Code attributed by the undertaking

NC0110

Type of instrument

Identify the transaction type. The following closed list shall be used:

 

1 – Derivatives – futures

 

2 – Derivatives – forwards

 

3 – Derivatives – options

 

4 – Derivatives – others

 

5 – Guarantees – credit protection

 

6 – Guarantees – others

 

7 – Swaps

 

8 – Others

A 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 default

 

2 – interest rate

 

3 – currency

 

4 – 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 hedge

 

2 – Macro hedge

 

3 – Matching assets and liabilities cash-flows

 

4 – Efficient portfolio management, other than ‘Matching assets and liabilities cash-flows’

 

5 – 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 available

—

Other 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 time

—

‘Multiple assets/liabilities’, if the underlying assets or liabilities are more than one

If 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 code

 

2 – 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 Agencies

 

99 – 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 length

—

any other relevant information regarding the economic nature of the operation

S.36.03 – IGT – Off-balance sheet and contingent liabilities

General comments:

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:

—

Off- balance sheet guarantees;

—

undrawn credit facilities

—

assets purchased under outright forward purchase agreements (currency or other)

—

asset sale and repurchase agreements as referred to in Article 12(3) and (5) of Directive 86/635/EEC

—

Contingent liabilities

This template shall include intragroup transactions that were:

—

in-force at the start of the reporting period.

—

incepted during the reporting period and outstanding at the reporting date.

—

incepted and expired/matured during the reporting period.

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 – LEI

 

2 – 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 – LEI

 

2 – 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 – guarantees

 

2 – commitment

 

3 – letter of credit

 

4 – undrawn credit facilities

 

5 – 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 liabilities

 

8 – 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 length

—

any other relevant information regarding the economic nature of the operation

S.36.04 – IGT – Insurance and Reinsurance

General comments:

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:

—

Insurance contracts of entities within the scope of the group with insurance companies within the scope of the group

—

reinsurance treaties between related undertakings of a group;

—

facultative reinsurance between related undertakings of a group; and

—

any other transaction that results in transferring underwriting risk (insurance risk) between related undertakings of a group.

This template shall include intragroup transactions that were:

—

in-force at the start of the reporting period.

—

incepted during the reporting period and outstanding at the reporting date.

—

incepted and expired/matured during the reporting period.

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 – LEI

 

2 – 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 – LEI

 

2 – 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 – insurance

 

2 – reinsurance

C0110

Transaction

If C0100 = reinsurance, then identify the type of reinsurance contract/treaty. The following closed list shall be used:

 

1 – quota share

 

2 – variable quota share

 

3 – surplus

 

4 – 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 risk

 

9 – reinstatement cover

 

10 – aggregate excess of loss

 

11 – unlimited excess of loss

 

12 – stop loss

 

13 – other proportional treaties

 

14 – other non-proportional treaties

 

15 – Financial reinsurance

 

16 – Facultative proportional

 

17 – Facultative non-proportional

Other 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/or

Technical 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 insurance

 

2 – Income protection insurance

 

3 – Workers’ compensation insurance

 

4 – Motor vehicle liability insurance

 

5 – Other motor insurance

 

6 – Marine, aviation and transport insurance

 

7 – Fire and other damage to property insurance

 

8 – General liability insurance

 

9 – Credit and suretyship insurance

 

10 – Legal expenses insurance

 

11 – Assistance

 

12 – Miscellaneous financial loss

 

13 – Proportional medical expense reinsurance

 

14 – Proportional income protection reinsurance

 

15 – Proportional workers’ compensation reinsurance

 

16 – Proportional motor vehicle liability reinsurance

 

17 – Proportional other motor reinsurance

 

18 – Proportional marine, aviation and transport reinsurance

 

19 – Proportional fire and other damage to property reinsurance

 

20 – Proportional general liability reinsurance

 

21 – Proportional credit and suretyship reinsurance

 

22 – Proportional legal expenses reinsurance

 

23 – Proportional assistance reinsurance

 

24 – Proportional miscellaneous financial loss reinsurance

 

25 – Non–proportional health reinsurance

 

26 – Non–proportional casualty reinsurance

 

27 – Non–proportional marine, aviation and transport reinsurance

 

28 – Non–proportional property reinsurance

 

29 – Insurance with profit participation

 

30 – Index–linked and unit–linked insurance

 

31 – Other life insurance

 

32 – Annuities stemming from non–life insurance contracts and relating to health insurance obligations

 

33 – Annuities stemming from non–life insurance contracts and relating to insurance obligations other than health insurance obligations

 

34 – Life reinsurance

 

35 – Health insurance

 

36 – 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 length

—

any other relevant information regarding the economic nature of the operation

S.36.05 – IGT – Profit and Loss

General comments:

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:

—

Fees;

—

Commissions;

—

Interests;

—

Dividends.

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:

—

in-force at the start of the reporting period.

—

incepted during the reporting period and outstanding at the reporting date.

—

incepted and expired/matured during the reporting period.

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 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 – LEI

 

2 – 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 code

Specific 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 – LEI

 

2 – 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 transfer

 

4 – 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 length

—

any other relevant information regarding the economic nature of the operation.

(1)  As set out in Article 223 of Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the takin-up and pursuit of the business of Insurance and Reinsurance.