ANNEX III | Implementing Regulation 2023/894

ANNEX III - Implementing Regulation 2023/894

ANNEX III

Instructions regarding reporting templates for groups

This Annex contains additional instructions in relation to the templates included in Annex I of this Regulation. The first column of the tables identifies the items to be reported by identifying the columns and rows as showed in the template in Annex I.

Templates which shall be filled in in accordance with the instructions of the different sections of this Annex are referred to as ‘this template’ throughout the text of the Annex.

All references to Articles should refer to Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of insurance and reinsurance (Solvency II) unless otherwise specified.

S.01.01 – Content of the submission

General comments:

This section relates to the quarterly and annual submission of information for groups, ring fenced funds, matching portfolios and remaining part at group level.

When a special justification is needed the explanation is not to be submitted within the reporting template but shall be part of the dialogue with the national competent authorities.

When a template is submitted only with zeros or without figures, then S.01.01 should indicate one of the ‘non reported’ options.

ITEM

INSTRUCTIONS

Z0010

Ring–fenced fund/matching portfolio/remaining part

Identifies whether the reported figures are with regard to a ring–fenced fund (‘RFF’), matching adjustment portfolio (‘MAP’) or to the remaining part. One of the options in the following closed list shall be used:

1 – RFF/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

13 – Not reported as method 2 is used exclusively

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 254(2)

13 – Not reported as method 2 is used exclusively

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

13 – Not reported as method 2 is used exclusively

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/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 254(2)

0 – Not reported other reason (in this case special justification is needed

C0010/R0120

S.05.02 – Premiums, claims and expenses by country

One of the options in the following closed list shall be used:

1 – Reported

3 – Not due in accordance with instructions of the template

0 – Not reported other reason (in this case special justification is needed

C0010/R0140

S.06.02 – List of assets

One of the options in the following closed list shall be used:

1 – Reported

6 – Exempted under Article 254(2)

7 – Not due annually as reported for Quarter 4 (this option is only applicable on annual submissions)

0 – Not reported other reason (in this case special justification is needed

C0010/R0150

S.06.03 – Collective investment undertakings – look–through approach

One of the options in the following closed list shall be used:

1 – Reported

2 – Not reported as no Collective investment undertakings

3 – Not due in accordance with instructions of the template

6 – Exempted under Article 254(2)

7 – Not due annually as reported for Quarter 4 (this option is only applicable on annual submissions)

0 – Not reported (in this case special justification is needed)

C0010/R0160

S.07.01 – Structured products

One of the options in the following closed list shall be used:

1 – Reported

2 – Not reported as no structured products

3 – Not due in accordance with instructions of the template

6 – Exempted under Article 254(2)

0 – Not reported other reason (in this case special justification is needed)

C0010/R0170

S.08.01 – Open derivatives

One of the options in the following closed list shall be used:

1 – Reported

2 – Not reported as no derivative transactions

6 – Exempted under Article 254(2)

7 – Not due annually as reported for Quarter 4 (this option is only applicable on annual submissions)

0 – Not reported other reason (in this case special justification is needed)

C0010/R0190

S.09.01 – Income/gains and losses in the period

One of the options in the following closed list shall be used:

1 – 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

3 – Not due in accordance with instructions of the template

6 – Exempted under Article 254(2)

0 – Not reported other reason (in this case special justification is needed)

C0010/R0210

S.11.01 – Assets held as collateral

One of the options in the following closed list shall be used:

1 – Reported

2 – Not reported as no Assets held as collateral

6 – Exempted under Article 254(2)

0 – Not reported other reason (in this case special justification is needed)

C0010/R0370

S.22.01 – Impact of long term guarantees measures and transitionals

One of the options in the following closed list shall be used:

1 – Reported

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

0 – Not reported other reason (in this case special justification is needed)

C0010/R0410

S.23.01 – Own funds

One of the options in the following closed list shall be used:

1 – Reported

6 – Exempted under Article 254(2)

0 – Not reported other reason (in this case special justification is needed)

C0010/R0420

S.23.02 – Detailed information by tiers on own funds

One of the options in the following closed list shall be used:

1 – Reported

13 – Not reported as method 2 is used exclusively

0 – Not reported other reason (in this case special justification is needed)

C0010/R0430

S.23.03 – Annual movements on own funds

One of the options in the following closed list shall be used:

1 – Reported

13 – Not reported as method 2 is used exclusively

3 – Not due in accordance with instructions of the template

0 – Not reported other reason (in this case special justification is needed)

C0010/R0440

S.23.04 – List of items on own funds

One of the options in the following closed list shall be used:

1 – Reported

3 – Not due in accordance with instructions of the template

0 – Not reported other reason (in this case special justification is needed)

C0010/R0460

S.25.01 – Solvency Capital Requirement – for groups on Standard Formula

One of the options in the following closed list shall be used:

1 – Reported as standard formula (‘SF’) is used

8 – Not reported due to use of partial internal model (‘PIM’)

9 – Not reported due to use of full internal model (‘IM’)

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

13 – Not reported as method 2 is used exclusively

0 – Not reported other reason (in this case special justification is needed)

C0010/R0470

S.25.05 – Solvency Capital Requirement – for groups using an internal model (partial or full)

One of the options in the following closed list shall be used:

4 – Reported due to use of partial internal model

5 – Reported due to use of full internal model

10 – Not reported due to use of standard formula

13 – Not reported as method 2 is used exclusively

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

13 – Not reported as method 2 is used exclusively

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

13 – Not reported as method 2 is used exclusively

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

13 – Not reported as method 2 is used exclusively

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

13 – Not reported as method 2 is used exclusively

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

13 – Not reported as method 2 is used exclusively

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

13 – Not reported as method 2 is used exclusively

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

13 – Not reported as method 2 is used exclusively

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 groups using an internal model (partial or full)

One of the options in the following closed list shall be used:

4 – Reported due to use of partial internal 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

13 – Not reported as method 2 is used exclusively

17 – Partially reported due to use of partial internal model

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 (‘SPV’)

0 – Not reported other reason (in this case special justification is needed)

C0010/R0700

S.32.01 – Undertakings in the scope of the group

One of the options in the following closed list shall be used:

1 – Reported

0 – Not reported other reason (in this case special justification is needed)

C0010/R0710

S.33.01 – Insurance and Reinsurance individual requirements

One of the options in the following closed list shall be used:

1 – Reported

0 – Not reported other reason (in this case special justification is needed)

C0010/R0720

S.34.01 – Other regulated and non-regulated financial undertakings including insurance holding companies and mixed financial holding company individual requirements

One of the options in the following closed list shall be used:

1 – Reported

2 – Not reported as no non–(re)insurance business in the scope of the group

0 – Not reported other reason (in this case special justification is needed)

C0010/R0730

S.35.01 – Contribution to group Technical Provisions

One of the options in the following closed list shall be used:

1 – Reported

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 IGT on Equity–type transactions, debt and asset transfer

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

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

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

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

0 – Not reported other reason (in this case special justification is needed)

C0010/R0780

S.37.01 – Risk concentration

One of the options in the following closed list shall be used:

1 – Reported

2 – Not due in accordance with threshold decided by group supervisor

0 – Not reported other reason (in this case special justification is needed)

C0010/R0785

S.37.02 – Risk Concentration – Exposure by currency, sector, country

One of the options in the following closed list shall be used:

1 – Reported

0 – Not reported other reason (in this case special justification is needed)

C0010/R0786

S.37.03 – Risk Concentration – Exposure by asset class and rating

One of the options in the following closed list shall be used:

1 – Reported

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

13 – Not reported as method 2 is used exclusively

14 – Not reported as refers to MAP fund

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

13 – Not reported as method 2 is used exclusively

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 groups using an internal model (partial or full)

One of the options in the following closed list shall be used:

4 – Reported due to use of partial internal model

5 – Reported due to use of full internal model

10 – Not reported due to use of standard formula

13 – Not reported as method 2 is used exclusively

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

13 – Not reported as method 2 is used exclusively

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

13 – Not reported as method 2 is used exclusively

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

13 – Not reported as method 2 is used exclusively

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

13 – Not reported as method 2 is used exclusively

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

13 – Not reported as method 2 is used exclusively

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

13 – Not reported as method 2 is used exclusively

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

13 – Not reported as method 2 is used exclusively

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 groups using an internal model

One of the options in the following closed list shall be used:

4 – Reported due to use of partial internal 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

13 – Not reported as method 2 is used exclusively

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 the quarterly and annual submission of information for groups.

ITEM

INSTRUCTIONS

C0010/R0010

Participating undertaking name

Legal name of the participating insurance and reinsurance undertaking or insurance holding company or mixed financial holding company at the head of the insurance or reinsurance group. Needs to be consistent over different submissions.

C0010/R0020

Group identification code

Identification code of the participating undertaking, using the Legal Entity Identifier (‘LEI’).

C0010/R0025

Name of the group

This item corresponds to the legal name of group.

C0010/R0050

Country of the group supervisor

Identify the ISO 3166–1 alpha–2 Code of the country of the group supervisor

C0010/R0060

Sub–group information

Identify if the information relates to a subgroup in accordance with Article 216 of Directive 2009/138/EC. One of the options in the following closed list shall be used:

1 – No sub–group information

2 – Sub–group information

C0010/R0070

Language of reporting

Identify the 2-letter code of ISO 639–1 code of the language used in the submission of information

C0010/R0080

Reporting submission date

Identify the ISO 8601 (yyyy–mm–dd) code of the date when the reporting to the supervisory authority is made

C0010/R0081

Financial year end

Identify the ISO 8601 (yyyy–mm–dd) code of the financial year end of the undertaking, e.g. 2017-12-31

C0010/R0090

Reporting reference date

Identify the ISO 8601 (yyyy–mm–dd) code of the date identifying the last day of the reporting period

C0010/R0100

Regular/Ad–hoc submission

Identify if the submission of information relates to regular submission of information or ad–hoc. The following closed list of options shall be used:

1 – Regular reporting

2 – Ad–hoc reporting

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 – International Financial Reporting Standards (‘IFRS’)

2 – Local generally accepted accounting principles (‘GAAP’)

C0010/R0130

Method of Calculation of the group SCR

Identify the method used to calculate the group SCR. The following closed list of options shall be used:

1 – Standard formula

2 – Partial internal model

3 – Full internal model

C0010/R0140

Use of group specific parameters

Identify if the group is reporting figures using group specific parameters. The following closed list of options shall be used:

1 – Use of group specific parameters

2 – Don’t use group specific parameters

C0010/R0150

Ring–Fenced Funds

Identify if the group is reporting activity by Ring Fenced Funds (RFF). The following closed list of options shall be used:

1 – Reporting activity by RFF

2 – Not reporting activity by RFF

C0010/R0160

Method of group solvency calculation

Identify the group solvency calculation method. The following closed list of options shall be used:

1 – Method 1 is used exclusively

2 – Method 2 is used exclusively

3 – A combination of method 1 and method 2 is used

C0010/R0170

Matching adjustment

Identify if the group is reporting figures using the matching adjustment (‘MA’). The following closed list of options shall be used:

1 – Use of matching adjustment

2 – No use of matching adjustment

C0010/R0180

Volatility adjustment

Identify if the group is reporting figures using the volatility adjustments. The following closed list of options shall be used:

1 – Use of volatility adjustment

2 – No use of volatility adjustment

C0010/R0190

Transitional measure on the risk–free interest rate

Identify if the group is reporting figures using the transitional adjustment to the relevant risk-free interest rate term structure. The following closed list of options shall be used:

1 – Use of transitional measure on the risk–free interest rate

2 – No use of transitional measure on the risk–free interest rate

C0010/R0200

Transitional measure on technical provisions

Identify if the group is reporting figures using the transitional deduction to technical provisions. The following closed list of options shall be used:

1 – Use of transitional measure on the technical provisions

2 – No use of transitional measure on the technical provisions

C0010/R0210

Initial submission or re–submission

Identify if it is an initial submission of information or a re–submission of information in relation to a reporting reference date already reported. The following closed list of options shall be used:

1 – Initial submission

2 – Re–submission

C0010/R0250

Exemption of reporting ECAI information

One of the options in the following closed list shall be used:

1 – Exempted for assets (based on Article 35(6) and (7))

2 – Exempted for assets (based on outsourcing)

3 – Exempted for derivatives (based on Article 35(6) and (7))

4 – Exempted for derivatives (based on outsourcing)

5 – Exempted for assets and derivatives (based on Article 35(6) and (7))

6 – Exempted for assets and derivatives (based on outsourcing)

0 – Not exempted

C0010/R0255

Direct URL to the webpage where the Solvency and Financial Condition Report is disclosed

Include the direct URL to the page where the Solvency and Financial Condition Report (SFCR) corresponding to the reporting reference date as filled in C0010/R0081 ‘Financial year end’ will be published.

In case undertaking has no webpage, "UNDERTAKING WITH NO WEBSITE" value should be reported.

C0010/R0260

Direct URL to download the Solvency and Financial Condition Report

Include the direct URL to download the Solvency and Financial Condition Report (SFCR) corresponding to the reporting reference date as filled in C0010/R0081 ‘Financial year end’.

The URL shall directly link to the file containing the SFCR and not to a webpage.

Alternatively, if the SFCR file is already available at the submission date, or if the SFCR is not disclosed in a webpage, the file shall be included in the annual submission and in this cell choose one of the following options:

‘SFCR file 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 any undertaking belonging to the group performs a captive business in line with the definition in Article 13 of Directive 2009/138/EC.

One of the options in the following closed list shall be used:

1 – Captive business

2 – No captive business

C0010/R0280

Run-Off Business

Identify if any undertaking belonging to the group no longer write new business for any LoB, but still holds contracts belonging to that LoB.

One of the options in the following closed list shall be used:

1 – Undertakings running-off a portfolio of contracts but not their whole business (partial run-off undertaking or undertaking with run-off portfolio);

2 – Undertakings running-off their whole (previous) business (full run-off undertaking);

3 – Undertakings with a run-off business model (specialised run-off undertakings) – insurance undertakings or groups whose business model is to actively acquire legacy portfolios or whole insurers in run-off.

4 – No run-off business

C0010/R0290

M&A during period

Identify if mergers or acquisitions or disposal of activities affecting the information reported occurred in the group during the reporting period.

One of the options in the following closed list shall be used:

1 – Yes

2 – No

S.01.03 – Basic information – RFF and matching adjustment portfolios

General comments:

This section relates to the annual submission of information for groups.

All ring–fenced funds and matching portfolios should be identified regardless of whether they are material for the purposes of submission of information.

In the first table all ring–fenced funds and matching adjustments portfolios shall be reported. In case a ring–fenced fund has a matching portfolio not covering the full RFF three funds have to be identified, one for the RFF, other for the MAP inside the RFF and other for the remaining part of the fund (vice–versa for the situations where a MAP has an RFF).

In the second table the relations between the funds as explained in previous paragraph are explained. Only the funds with such relations shall be reported in the second table.

For group reporting the following specific requirements shall be met:

a)	This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;

b)	When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;

c)	This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.

ITEM

INSTRUCTIONS

List of all RFF/MAP (overlaps allowed)

C0010

Legal name of the undertaking

Legal name of the undertaking within the scope of group supervision that holds the RFF/MAP

C0020

Identification code of the undertaking

Identification code of the undertaking, using the following priority:

—	Legal Entity Identifier (LEI) mandatory if existing;

—	Specific code in case of absence of LEI code

When the undertaking uses the option ‘Specific code’ the following shall be considered:

—

For non–EEA undertakings and non–regulated undertakings within the scope of group supervision, identification code provided will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, it should comply with the following format in a consistent manner:

identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits

C0030

Type of code of the ID of the undertaking

Type of ID Code used for the ‘Identification code of the undertaking’ item. One of the options in the following closed list shall be used:

1 – LEI

2 – Specific code

C0040

Fund/Portfolio Number

Number, which is attributed by the undertaking, corresponding to the unique number assigned to each ring-fenced fund and matching portfolio. This number has to be consistent over time and shall be used to identify the ring-fenced funds and the matching portfolio number in other templates.

C0050

Name of ring–fenced fund/Matching adjustment portfolio

Indicate the name of the ring-fenced fund and matching adjustment portfolio.

When possible (if linked to a commercial product), the commercial name shall be used. If not possible, e.g. if the fund is linked to several commercial products, a different name shall be used.

The name shall be unique and be kept consistent over time.

C0060

RFF/MAP/Remaining part of a fund

Indicate if it is a ring-fenced fund or a matching portfolio. In the cases where other funds are included within one fund this cell shall identify the type of each fund or sub–fund. One of the options in the following closed list shall be used:

1 – Ring–fenced 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 the quarterly and annual submission of information for groups, ring-fenced funds and remaining part.

This template is relevant when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method). Holdings in related undertakings that are not consolidated row by row in accordance with Article 335, paragraph 1, (a), (b) or (c) of the Delegated Regulation (EU) 2015/35, including the holdings in related undertakings included with method 2 when combination of methods is used, shall be included in the item ‘Holdings in related undertakings, including participations’.

Template SR.02.01 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).

The ‘Solvency II value’ column (C0010) shall be completed using the valuation principles set out in the Directive 2009/138/EC, Delegated Regulation (EU) 2015/35, Technical Standards issued under Directive 2009/138/EC and EIOPA Guidelines.

With regards to the ‘Statutory accounts value’ column (C0020), recognition and valuation methods are the ones used by groups in their statutory accounts in accordance with the local GAAP or IFRS if accepted as local GAAP. This column is by default mandatory. In the specific cases where the group does not produce official financial statements according to local GAAP or IFRS the specific situation should be discussed with the group supervisor. In template SR.02.01 this column is only applicable if the development of financial statements by RFF is required by national law.

The default instruction is that each item shall be reported in the ‘Statutory accounts value’ column, separately.

However, in the ‘Statutory accounts value’ column the dotted rows were introduced in order to enable the reporting of aggregated figures if the split figures are not available.

ITEM

INSTRUCTIONS

Assets

Z0020

Ring–fenced fund or remaining part

Identifies whether the reported figures are with regard to an RFF or to the remaining part. One of the options in the following closed list shall be used:

1 – RFF

2 – Remaining part

Z0030

Fund number

When item Z0020 = 1, identification number or code for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the group and must be consistent over time and with the fund/portfolio number or code reported in other templates

C0020/R0010

Goodwill

Intangible asset that arises as the result of a business combination and that represents the economic value of assets that cannot be individually identified or separately recognised in a business combination.

C0020/R0020

Deferred acquisition costs

Acquisition costs relating to contracts in force at the balance sheet date which are carried forward from one reporting period to subsequent reporting periods, relating to the unexpired periods of risks. In relation to life business, acquisition costs are deferred when it is probable that they will be recovered.

C0010– C0020/R0030

Intangible assets

Intangible assets other than goodwill. An identifiable non–monetary asset without physical substance.

C0010– C0020/R0040

Deferred tax assets

Deferred tax assets are the amounts of income taxes recoverable in future periods in respect of:

(a)	deductible temporary differences;

(b)	the carry forward of unused tax losses; and/or

(c)	the carry forward of unused tax credits.

C0010– C0020/R0050

Pension benefit surplus

This is the total of net surplus related to employees’ pension scheme.

C0010– C0020/R0060

Property, plant & equipment held for own use

Tangible assets which are intended for permanent use and property held by the group for own use. It also includes property for own use under construction.

C0010– C0020/R0070

Investments (other than assets held for index–linked and unit–linked contracts)

This is the total amount of investments, excluding assets held for index–linked and unit–linked contracts.

C0010– C0020/R0080

Property (other than for own use)

Amount of the property, other than for own use. It also includes property under construction other than for own use.

C0010– C0020/R0090

Holdings in related undertakings, including participations

Participations as defined in Article 13(20) and holdings in related undertakings in Article 212(1)(b) of Directive 2009/138/EC.

When part of the assets regarding participation and related undertakings refer to unit and index linked contracts, these parts shall be reported in ‘Assets held for index–linked and unit–linked contracts’ in C0010–C0020/R0220.

Holdings in related undertakings, including participations at group level will include:

—	holdings in related but not subsidiary insurance or reinsurance undertakings, insurance holding companies or mixed financial holding companies as described in Article 335, paragraph 1, (d) of Delegated Regulation (EU) 2015/35

—	holdings in related undertakings in other financial sectors as described in Article 335, paragraph 1, (e) of Delegated Regulation (EU) 2015/35

—	other related undertakings as described in Article 335, paragraph 1, (f) of Delegated Regulation (EU) 2015/35

—	insurance or reinsurance undertakings, insurance holding companies or mixed financial holding companies included with the deduction and aggregation method (when combination of methods is used)

C0010– C0020/R0100

Equities

This is the total amount of equities, listed and unlisted.

With regard to ‘statutory accounts values’ column (C0020), where– the split between listed and unlisted is not available, this item shall reflect the sum.

C0010– C0020/R0110

Equities – listed

Shares representing corporations’ capital, e.g. representing ownership in a corporation, negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2004/39/EC.

It shall exclude holdings in related undertakings, including participations.

With regard to ‘statutory accounts values’ column (C0020), where the split between listed and unlisted is not available, this item shall not be reported.

C0010– C0020/R0120

Equities – unlisted

Shares representing corporations’ capital, e.g. representing ownership in a corporation, not negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2004/39/EC.

It shall exclude holdings in related undertakings, including participations.

With regard to ‘statutory accounts values’ column (C0020), where the split between listed and unlisted is not available, this item shall not be reported.

C0010– C0020/R0130

Bonds

This is the total amount of government bonds, corporate bonds, structured notes and collateralised securities.

With regard to ‘Statutory accounts values’ column (C0020) – where the split of bonds is not available, this item shall reflect the sum.

C0010– C0020/R0140

Government Bonds

Bonds issued by public authorities, whether by central governments, supra–national government institutions, regional governments or local authorities and bonds that are fully, unconditionally and irrevocably guaranteed by the European Central Bank, Member States’ central government and central banks, multilateral development banks referred to in paragraph 2 of Article 117 of Regulation (EU) No 575/2013 or international organisations referred to in Article 118 of Regulation (EU) No 575/2013, regional governments and local authorities listed in Article 1 of Implementing Regulation (EU) 2015/2011, where the guarantee meets the requirements set out in Article 215 of Delegated Regulation (EU) 2015/35.

With regard to ‘statutory accounts values’ column (C0020), where the split between bonds, structured products and collateralised securities is not available, this item shall not be reported.

C0010– C0020/R0150

Corporate Bonds

Bonds issued by 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 Investment undertakings

‘Collective investment undertaking’ means an undertaking for collective investment in transferable securities (‘UCITS’) as defined in Article 1(2) of Directive 2009/65/EC of the European Parliament and of the Council or an alternative investment fund (AIF) as defined in Article 4(1)(a) of Directive 2011/61/EU of the European Parliament and of the Council.

C0010– C0020/R0190

Derivatives

A financial instrument or other contract with all three of the following characteristics:

(a)

Its value changes in response to the change in a specified interest rate, financial instrument price, commodity price, foreign exchange (‘FX’) rate, index of prices or rates, credit rating or credit index, or other variable, provided in the case of a non–financial variable that the variable is not specific to a party to the contract (sometimes called the ‘underlying’).

(b)	It requires no initial net investment or an initial net investment that is smaller than would be required for other types of contracts that would be expected to have a similar response to changes in market factors.

(c)	It is settled at a future date.

Solvency II value, only if positive, of the derivative as of the reporting date is reported here (in case of negative value, see R0790).

C0010– C0020/R0200

Deposits other than cash equivalents

Deposits other than cash equivalents that cannot be used to make payments until before a specific maturity date and that are not exchangeable for currency or transferable deposits without any kind of significant restriction or penalty.

C0010– C0020/R0210

Other investments

Other investments not covered already within investments reported above.

C0010–C0020/R0220

Assets held for index–linked and unit–linked contracts

Assets held for index–linked and unit–linked contracts (classified in line of business 31 as defined in Annex I of Delegated Regulation (EU) 2015/35).

C0010– C0020/R0230

Loans and mortgages

This is the total amount of loans and mortgages, i.e. financial assets created when group lend funds, either with or without collateral, including cash pools.

With regard to ‘Statutory accounts values’ column (C0020) – where the split of the split of loans & mortgages is not available, this item shall reflect the sum.

C0010– C0020/R0240

Loans on policies

Loans made to policyholders, collateralised on policies (underlying technical provisions).

With regard to ‘statutory accounts values’ column (C0020), where– the split between loans on policies, loans and mortgages to individuals and other loans and mortgages is not available, this item shall not be reported.

C0010– C0020/R0250

Loans and mortgages to individuals

Financial assets created when creditors lend funds to debtors – individuals, with collateral or not, including cash pools.

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.

C0010– C0020/R0270

Reinsurance recoverables from:

This is the total amount of reinsurance recoverables. It corresponds to the amount of reinsurer share of technical provisions (including Finite reinsurance and SPV).

For the ‘Solvency II value’ column (C0010) this cell in particular should include all expected payments from reinsurers to the undertaking (or vice versa) corresponding to payments not yet made by the undertaking to policyholders (or by policyholders to the undertaking). All expected payments from reinsurers to the undertaking (or vice versa) corresponding to payments already made by the undertaking to policyholders (or by policyholders to the undertaking) should be included in reinsurance receivables (or reinsurance payables).

C0010– C0020/R0280

Non–life and health similar to non–life

Reinsurance recoverables in respect of technical provisions for non–life and health similar to non–life.

With regard to ‘statutory accounts values’ column (C0020), where the split between non–life excluding health and health similar to non–life is not available this item shall reflect the sum.

C0010– C0020/R0290

Non–life excluding health

Reinsurance recoverables in respect of technical provisions for non–life business, excluding technical provisions for health– similar to non –life.

C0010– C0020/R0300

Health similar to non–life

Reinsurance recoverables in respect of technical provisions for health similar to non – life.

C0010– C0020/R0310

Life and health similar to life, excluding health and index–linked and unit–linked

Reinsurance recoverable in respect of technical provisions for life and health similar to life, excluding health and index–linked and unit–linked.

With regard to ‘statutory accounts values’ column (C0020), where– the split between life excluding health and index–linked and unit–linked and health similar to life is not available, this item shall reflect the sum.

C0010– C0020/R0320

Health similar to life

Reinsurance recoverables in respect of technical provisions for health–similar to life.

C0010– C0020/R0330

Life excluding health and index–linked and unit–linked

Reinsurance recoverables in respect of technical provisions for life business, excluding technical provisions health–similar to life techniques and technical provisions for index–linked and unit–linked.

C0010– C0020/R0340

Life index–linked and unit–linked

Reinsurance recoverables in respect of technical provisions for life index–linked and unit–linked business.

C0010– C0020/R0350

Deposits to cedants

Deposits relating to reinsurance accepted.

C0010– C0020/R0360

Insurance and intermediaries receivables

Amounts for payment by policyholders, insurers and other linked to insurance business that are not included in technical provisions.

It shall include receivables from reinsurance accepted.

C0010– C0020/R0370

Reinsurance receivables

For the ‘Solvency II value’ column (C0010) this cell shall include all expected payments (due and past-due) from reinsurers linked to reinsurance business to the undertaking that are not included in reinsurance recoverables. These should not be included in the item "any other assets not elsewhere shown".

This cell in particular should take into account all expected payments from reinsurers to the undertaking corresponding to payments made by the undertaking to the policyholders.

It also shall include all expected payments (due and past-due) from reinsurers in relation to other than insurance events or those that have been agreed between cedent and reinsurer and where the amount of the expected payment is certain.

C0010– C0020/R0380

Receivables (trade, not insurance)

Includes amounts receivables from employees or various business partners (not insurance–related), including public entities.

C0010– C0020/R0390

Own shares (held directly)

This is the total amount of own shares held directly by the group.

C0010– C0020/R0400

Amounts due in respect of own fund items or initial fund called up but not yet paid in

Value of the amount due in respect of own fund items or initial fund called up but not yet paid in.

C0010– C0020/R0410

Cash and cash equivalents

Notes and coin in circulation that are commonly used to make payments, and deposits exchangeable for currency on demand at par and which are directly usable for making payments by cheque, draft, giro order, direct debit/credit, or other direct payment facility, without penalty or restriction.

Bank accounts shall not be netted off, thus only positive accounts shall be recognised in this item and bank overdrafts shall be shown within liabilities unless where both legal right of offset and demonstrable intention to settle net exist.

C0010– C0020/R0420

Any other assets, not elsewhere shown

This is the amount of any other assets not elsewhere already included within balance Sheet items.

C0010–C0020/R0500

Total assets

This is the overall total amount of all assets.

Liabilities

C0010–C0020/R0510

Technical provisions – non–life

Sum of the technical provisions non–life.

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

With regard to ‘statutory accounts values’ column (C0020), where the split of technical provisions for non –life between non – life (excluding health) and health (similar to non – life) is not possible, this item shall reflect the sum.

C0010– C0020/R0520

Technical provisions – non–life (excluding health)

This is the total amount of technical provisions for non – life business (excluding health).

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

C0010/R0530

Technical provisions – non–life (excluding health) – technical provisions calculated as a whole

This is the total amount of technical provisions calculated as whole (replicable/hedgeable portfolio) for non – life business (excluding health).

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

C0010/R0540

Technical provisions – non–life (excluding health) – Best estimate

This is the total amount of best estimate of technical provisions for non – life business (excluding health).

Best estimate shall be reported gross of reinsurance.

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

C0010/R0550

Technical provisions – non–life (excluding health) – Risk margin

This is the total amount of risk margin of technical provisions for non – life business (excluding health).

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

C0010– C0020/R0560

Technical provisions – health (similar to non–life)

This is the total amount of technical provisions for health (similar to non – life).

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

C0010/R0570

Technical provisions – health (similar to non – life) – technical provisions calculated as a whole

This is the total amount of technical provisions calculated as a whole (replicable/hedgeable portfolio) for health (similar to non–life).

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

C0010/R0580

Technical provisions – health(similar to non –life) – Best estimate

This is the total amount of best estimate of technical provisions for health business (similar to non – life).

Best estimate shall be reported gross of reinsurance.

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

C0010/R0590

Technical provisions – health (similar to non – life) – Risk margin

This is the total amount of risk margin of technical provisions for health business (similar to non – life).

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

C0010–C0020/R0600

Technical provisions – life (excluding index–linked and unit–linked)

Sum of the technical provisions life (excluding index–linked and unit–linked).

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

With regard to ‘statutory accounts values’ column (C0020), where the split of technical provisions life (excluding index – linked and unit – linked) between health (similar to life) and life (excluding health, index– linked and unit – linked) is not possible, this item shall reflect the sum.

C0010– C0020/R0610

Technical provisions – health (similar to life)

This is the total amount of technical provisions for health (similar to life) business.

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

C0010/R0620

Technical provisions – health (similar to life) – technical provisions calculated as a whole

This is the total amount of technical provisions calculated as a whole (replicable/hedgeable portfolio) for health (similar to life) business.

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

C0010/R0630

Technical provisions – health (similar to life) – Best estimate

This is the total amount of best estimate of technical provisions for health (similar to life) business.

Best estimate shall be reported gross of reinsurance.

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

C0010/R0640

Technical provisions – health (similar to life) – Risk margin

This is the total amount of risk margin of technical provisions for health (similar to life) business.

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

C0010– C0020/R0650

Technical provisions – life (excl. health and index–linked and unit–linked)

This is the total amount of technical provisions for life (excluding health and index – linked and unit – linked) business.

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

C0010/R0660

Technical provisions – life (excl. health and index–linked and unit–linked) – technical provisions calculated as a whole

This is the total amount of technical provisions calculated as a whole (replicable/hedgeable portfolio) for life (excluding health and index – linked and unit – linked) business.

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

C0010/R0670

Technical provisions – life (excl. health and index–linked and unit–linked) – Best estimate

This is the total amount of best estimate of technical provisions for life (excluding health and index – linked and unit – linked) business.

Best estimate shall be reported gross of reinsurance.

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

C0010/R0680

Technical provisions – life (excl. health and index–linked and unit–linked) – Risk margin

This is the total amount of risk margin of technical provisions for life (excluding health and index – linked and unit – linked) business.

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

C0010– C0020/R0690

Technical provisions – index–linked and unit–linked

This is the total amount of technical provisions for index – linked and unit – linked business.

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

C0010/R0700

Technical provisions – index–linked and unit–linked – technical provisions calculated as a whole

This is the total amount of technical provisions calculated as a whole (replicable/hedgeable portfolio) for index – linked and unit – linked business.

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

C0010/R0710

Technical provisions – index–linked and unit–linked – Best estimate

This is the total amount of best estimate of technical provisions for index – linked and unit – linked business.

Best estimate shall be reported gross of reinsurance.

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

C0010/R0720

Technical provisions – index–linked and unit–linked – Risk margin

This is the total amount of risk margin of technical provisions for index – linked and unit – linked business.

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of MCR calculation.

C0020/R0730

Other technical provisions

Other technical provisions, as recognised by the group in their statutory accounts, in accordance with the local GAAP or IFRS.

C0010/R0740

Contingent liabilities

A contingent liability is defined as:

a)	a possible obligation that arises from past events and whose existence will be confirmed only by the occurrence or non–occurrence of one or more uncertain future events not wholly within the control of the entity; or

a present obligation that arises from past events even if:

(i)	it is not probable that an outflow of resources embodying economic benefits will be required to settle the obligation; or

(ii)	the amount of the obligation cannot be measured with sufficient reliability.

The amount of contingent liabilities recognised in the balance sheet shall follow the criteria set in Article 11 of the Delegated Regulation (EU) 2015/35.

C0010– C0020/R0750

Provisions other than technical provisions

Liabilities of uncertain timing or amount, excluding the ones reported under ‘Pension benefit obligations’.

The provisions are recognised as liabilities (assuming that a reliable estimate can be made) when they represent obligations and it is probable that an outflow of resources embodying economic benefits will be required to settle the obligations.

C0010– C0020/R0760

Pension benefit obligations

This is the total net obligations related to employees’ pension scheme.

C0010– C0020/R0770

Deposits from reinsurers

Amounts (e.g. cash) received from reinsurer or deducted by the reinsurer according to the reinsurance contract.

C0010– C0020/R0780

Deferred tax liabilities

Deferred tax liabilities are the amounts of income taxes payable in future periods in respect of taxable temporary differences.

C0010– C0020/R0790

Derivatives

A financial instrument or other contract with all three of the following characteristics:

(a)

Its value changes in response to the change in a specified interest rate, financial instrument price, commodity price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided in the case of a non–financial variable that the variable is not specific to a party to the contract (sometimes called the ‘underlying’).

(b)	It requires no initial net investment or an initial net investment that is smaller than would be required for other types of contracts that would be expected to have a similar response to changes in market factors.

(c)	It is settled at a future date.

Only derivative liabilities shall be reported on this row (i.e. derivatives with negative values as of the reporting date.) Derivatives assets shall be reported under C0010– C0020/R0190.

Groups which do not value derivatives in their Local GAAP do not need to provide a statutory accounts value.

C0010– C0020/R0800

Debts owed to credit institutions

Debts, such as mortgage and loans, owed to credit institutions, excluding bonds held by credit institutions (it is not possible for the group to identify all the holders of the bonds that it issues) and subordinated liabilities. It This shall also include bank overdrafts.

C0010– C0020/R0810

Financial liabilities other than debts owed to credit institutions

Financial liabilities including bonds issued by the group (held by credit institutions or not), structured notes issued by the group itself and mortgage and loans due to other entities than credit institutions.

Subordinated liabilities shall not be included here.

C0010– C0020/R0820

Insurance and intermediaries payables

Amounts payable to policyholders, insurers and other business linked to insurance that are not included in technical provisions.

Includes amounts payable to (re)insurance intermediaries (e.g. commissions due to intermediaries but not yet paid by the undertaking).

Excludes loans & mortgages due to other insurance companies, if they only relate to financing and are not linked to insurance business (such loans and mortgages shall be reported as financial liabilities).

It shall include payables from reinsurance accepted.

C0010– C0020/R0830

Reinsurance payables

Amounts payable to reinsurers (in particular current accounts) other than deposits linked to reinsurance business that are not included in reinsurance recoverables, including payables from the undertaking to reinsurers in relation to other than insurance events.

Includes payables to reinsurers that relate to ceded premiums.

For the ‘Solvency II value’ column (C0010) this cell shall include all expected payments (due and past-due) from the undertaking to reinsurers that are not included in reinsurance recoverables. These should not be included in the item "any other liabilities not elsewhere shown".

This cell in particular should take into account all expected payments from the undertaking to reinsurers corresponding to payments made by the policyholders to the undertaking.

It also shall include all expected payments (due and past-due) to reinsurers in relation to other than insurance events or those that have been agreed between cedent and reinsurer and where the amount of the expected payment is certain.

C0010– C0020/R0840

Payables (trade, not insurance)

This is the total amount trade payables, including amounts due to employees, suppliers, etc. and not insurance–related, parallel to receivables (trade, not insurance) on asset side; includes public entities.

C0010– C0020/R0850

Subordinated liabilities

Subordinated liabilities are debts which rank after other specified debts when undertaking is liquidated. This is the total of subordinated liabilities classified as Basic Own Funds and those that are not included in Basic Own Funds.

With regard to ‘statutory accounts values’ column (C0020), where the split between subordinated liabilities not in basic own funds and subordinated liabilities in basic own funds is not available, this item shall reflect the sum.

C0010– C0020/R0860

Subordinated liabilities not in Basic Own Funds

Subordinated liabilities are debts which rank after other specified debts when undertaking is liquidated. Other debts may be even more deeply subordinated. Only subordinated liabilities that are not classified in Basic Own Funds shall be presented here.

C0010– C0020/R0870

Subordinated liabilities in Basic Own Funds

Subordinated liabilities classified in Basic Own Funds.

With regard to ‘statutory accounts values’ column (C0020), where– the split between subordinated liabilities not in basic own funds and subordinated liabilities in basic own funds is not available, this item shall not be reported.

C0010– C0020/R0880

Any other liabilities, not elsewhere shown

This is the total of any other liabilities, not elsewhere already included in other Balance Sheet items.

C0010– C0020/R0900

Total liabilities

This is the overall total amount of all liabilities

C0010/R1000

Excess of assets over liabilities

This is the total of group’s excess of assets over liabilities, valued in accordance with Solvency II valuation basis. Value of the assets minus liabilities.

C0020/R1000

Excess of assets over liabilities

(statutory accounts value)

This is the total of excess of assets over liabilities of statutory accounts value column.

S.02.02 – Liabilities by currency

General comment:

This section relates to the annual submission of information for groups.

This template is to be filled in accordance with the Balance sheet (S.02.01). Valuation principles are laid down in Directive 2009/138/EC, Delegated Regulation (EU) 2015/35, Solvency II Technical Standards and Guidelines.

This template is not required to be submitted if one single currency represents more than 80 % of liabilities. In case the value of technical provisions, as reported in R0030 and R0120 in S.12.01 and R0060 and R0160 in S.17.01, is negative, for the purposes of the calculation of the threshold above the absolute value those notional amounts should be considered without netting of technical provisions between different LoBs.

If submitted, information on the reporting currency shall always be reported regardless of the amount of liabilities. Information reported by currency shall at least represent 80 % of the total liabilities. The remaining 20 % shall be aggregated. If a specific currency has to be reported for liabilities to comply with the 80 % rule, then that currency shall be reported for all liabilities.

	ITEM	INSTRUCTIONS
R0010	Material currency	Identify the ISO 4217 alphabetic code of each currency to be reported.
C0020/R0110	Total value of all currencies – Technical provisions (excluding index–linked and unit–linked contracts)	Report the total value of the technical provisions (excl. index–linked and unit–linked contracts) for all currencies.
C0030/R0110	Value of the reporting currency – Technical provisions (excluding index–linked and unit–linked contracts)	Report the value of the technical provisions (excl. index–linked and unit–linked contracts) for the reporting currency
C0040/R0110	Value of remaining other currencies – Technical provisions (excluding index–linked and unit–linked contracts)	Report the total value of the technical provisions (excl. index–linked and unit–linked contracts) for the remaining currencies that are not reported by currency. This means that this cell excludes the amount reported in the reporting currency (C0030/R0110) and in the currencies reported by currency (C0050/R0110).
C0050/R0110	Value of material currencies – Technical provisions (excluding index–linked and unit–linked contracts)	Report the value of the Technical provisions (excl. index–linked and unit–linked contracts) for each of the currencies required to be reported separately.
C0020/R0120	Total value of all currencies – Technical provisions – index–linked and unit–linked contracts	Report the total value of the technical provisions – index–linked and unit–linked contracts for all currencies.
C0030/R0120	Value of the reporting currency – Technical provisions – index–linked and unit–linked contracts	Report the value of the technical provisions – index–linked and unit–linked contracts for the reporting currency.
C0040/R0120	Value of remaining other currencies – Technical provisions – index–linked and unit–linked contracts	Report the value of the technical provisions – index–linked and unit–linked contracts for the remaining currencies that are not reported by currency. This means that this cell excludes the amount reported in the reporting currency (C0030/R0120) and in the currencies reported by currency (C0050/R0120).
C0050/R0120	Value of material currencies – Technical provisions – index–linked and unit–linked contracts	Report the value of the technical provisions – index–linked and unit–linked contracts for each of the currencies required to be reported separately.
C0020/R0130	Total value of all currencies – Deposits from reinsurers and insurance, intermediaries and reinsurance payables	Report the total value of the deposits from reinsurers, insurance and intermediaries payables and reinsurance payables for all currencies.
C0030/R0130	Value of the reporting currency – Deposits from reinsurers and insurance, intermediaries and reinsurance payables	Report the value of the deposits from reinsurers, insurance and intermediaries payables and reinsurance payables for the reporting currency.
C0040/R0130	Value of remaining other currencies – Deposits from reinsurers and insurance, intermediaries and reinsurance payables	Report the value of the deposits from reinsurers, insurance and intermediaries payables and reinsurance payables for the remaining currencies that are not reported by currency. This means that this cell excludes the amount reported in the reporting currency (C0030/R0130) and in the currencies reported by currency (C0050/R0130).
C0050/R0130	Value of material currencies – Deposits from reinsurers and insurance, intermediaries and reinsurance payables	Report the value of the deposits from reinsurers, insurance and intermediaries payables and reinsurance payables for each of the currencies required to be reported separately.
C0020/R0140	Total value of all currencies – Derivatives	Report the total value of the derivatives for all currencies.
C0030/R0140	Value of the reporting currency – Derivatives	Report the value of the derivatives for the reporting currency.
C0040/R0140	Value of remaining other currencies – Derivatives	Report the total value of the derivatives for the remaining currencies that are not reported by currency. This means that this cell excludes the amount reported in the reporting currency (C0030/R0140) and in the currencies reported by currency (C0050/R0140).
C0050/R0140	Value of material currencies – Derivatives	Report the value of the derivatives for each of the currency required to be reported separately.
C0020/R0150	Total value of all currencies – Financial liabilities	Report the total value of the financial liabilities for all currencies.
C0030/R0150	Value of the reporting currency – Financial liabilities	Report the value of the financial liabilities for the reporting currency.
C0040/R0150	Value of remaining other currencies – Financial liabilities	Report the total value of the financial liabilities for the remaining currencies that are not reported by currency. This means that this cell excludes the amount reported in the reporting currency (C0030/R0150) and in the currencies reported by currency (C0050/R0150).
C0050/R0150	Value of material currencies – Financial liabilities	Report the value of the financial liabilities for each of the currencies required to be reported separately.
C0020/R0160	Total value of all currencies – Contingent liabilities	Report the total value of the Contingent liabilities for all currencies.
C0030/R0160	Value of the reporting currency – Contingent liabilities	Report the value of the contingent liabilities for the reporting currency.
C0040/R0160	Value of remaining other currencies – Contingent liabilities	Report the total value of the contingent liabilities for the remaining currencies that are not reported by currency. This means that this cell excludes the amount reported in the reporting currency (C0030/R0160) and in the currencies reported by currency (C0050/R0160).
C0050/R0160	Value of material currencies – Contingent liabilities	Report the value of the contingent liabilities for each of the currencies required to be reported separately
C0020/R0170	Total value of all currencies – Any other liabilities	Report the total value of any other liabilities for all currencies.
C0030/R0170	Value of the reporting currency – Any other liabilities	Report the value of any other liabilities for the reporting currency.
C0040/R0170	Value of remaining other currencies – Any other liabilities	Report the total value of any other liabilities for remaining currencies that are not reported by currency. This means that this cell excludes the amount reported in the reporting currency (C0030/R0170) and in the currencies reported by currency (C0050/R0170).
C0050/R0170	Value of material currencies – Any other liabilities	Report the value of any other liabilities for each of the currencies required to be reported separately.
C0020/R0200	Total value of all currencies – Total liabilities	Report the total value of the total liabilities for all currencies.
C0030/R0200	Value of the reporting currency – Total liabilities	Report the value of total liabilities for the reporting currency.
C0040/R0200	Value of remaining other currencies – Total liabilities	Report the total value of total liabilities for the remaining currencies that are not reported by currency. This means that this cell excludes the amount reported in the reporting currency (C0030/R0200) and in the currencies reported by currency (C0050/R0200).
C0050/R0200	Value of material currencies – Total liabilities	Report the value of total liabilities for each of the currency required to be reported separately.

S.03.01 – Off–balance sheet items – General

General comments:

This section relates to the annual submission of information for groups.

This template shall include the information referring to off–balance sheet items and the maximum and solvency II value of contingent liabilities in Solvency II balance sheet also. As regards the Solvency II value, the instructions define the items from a recognition perspective. Valuation principles are laid down in Directive 2009/138/EC, Delegated Regulation (EU) 2015/35, Solvency II Technical Standards and Guidelines.

A pool of assets that secure an investment (e.g. the pool of assets that are a collateral for covered bonds) shall not be reported in this template.

Guarantee require the issuer to make specified payments to reimburse the holder for a loss it incurs if a specified debtor fails to make payment when due under the original or modified terms of a debt instrument. These guarantees can have various legal forms, such as financial guarantees, letters of credit, credit default contracts. These items shall not include guarantees stemming from insurance contracts, which are recognised in technical provisions.

A contingent liability is defined as:

a)	a possible obligation that arises from past events and whose existence will be confirmed only by the occurrence or non–occurrence of one or more uncertain future events not wholly within the control of the entity; or

a 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. Internal guarantees within the scope of group supervision are not reported in this template excluding information about any provided or received unlimited guarantee.

At group level, the template is applicable for all entities within the scope of group supervision – including other financial sectors and non–controlled participations – for method 1 (Accounting consolidation–based method), method 2 (Deduction and aggregation method) and a combination of methods 1 and 2.

For non–controlled participations guarantees provided and guarantees received are included on a proportional basis when method 1 is applied. When method 2 is applied these guarantees are reported with the total amount.

This template shall be reported considering the following specifications, which regards to the instructions in the below table:

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.

Undertakings consolidated in accordance with points (d), (e) and (f) of Article 335(1) of Delegated Regulation (EU) 2015/35 are excluded from the calculation of the threshold.

ITEM

INSTRUCTIONS

C0010/R0010

Maximum value – Guarantees provided by the group, including letters of credit

Sum of all possible cash out–flows related to guarantees if events triggering guarantees were all to happen in relation to guarantees provided by the group to another party. It includes cash–flows related to letter of credit.

In case any guarantee is also identified as contingent liability under R0310, the maximum amount shall also be included in this row.

C0020/R0010

Value of guarantee/collateral/contingent liabilities – Guarantees provided by the group, including letters of credit

Solvency II value of the guarantees provided by the group, including letters of credit.

C0010/R0030

Maximum value – Guarantees received by the group, including letters of credit

Sum of all possible cash in–flows related to guarantees if events triggering guarantees were all to happen in relation to guarantees received by the group from another party to guarantee the payment of the liabilities due by the group (includes letter of credit, undrawn committed borrowing facilities).

C0020/R0030

Value of guarantee/collateral/contingent liabilities – Guarantees received by the group, including letters of credit

Solvency II value of the guarantees received by the group, including letters of credit.

C0020/R0100

Value of guarantee/collateral/contingent liabilities – Collateral held for loans made or bonds purchased

Solvency II value of the collaterals held for loans made or bonds purchased.

Other local/sectoral valuation principles than Solvency II ones may be relevant in this case.

C0020/R0110

Value of guarantee/collateral/contingent liabilities – Collateral held for derivatives

Solvency II value of the collaterals held for derivatives.

Other local/sectoral valuation principles than Solvency II ones may be relevant in this case.

C0020/R0120

Value of guarantee/collateral/contingent liabilities – Assets pledged by reinsurers for ceded technical provisions

Solvency II value of the assets pledged by reinsurers for ceded technical provisions.

Other local/sectoral valuation principles than Solvency II ones may be relevant in this case.

C0020/R0130

Value of guarantee/collateral/contingent liabilities – Other collateral held

Solvency II value of other collaterals held.

Other local/sectoral valuation principles than Solvency II ones may be relevant in this case.

C0020/R0200

Value of guarantee/collateral/contingent liabilities – Total collateral held

Total Solvency II value of the collaterals held.

Other local/sectoral valuation principles than Solvency II ones may be relevant in this case.

C0030/R0100

Value of assets for which collateral is held – Collateral held for loans made or bonds purchased

Solvency II value of the assets for which the collateral for loans made or bonds purchased is held.

Other local/sectoral valuation principles than Solvency II ones may be relevant in this case.

C0030/R0110

Value of assets for which collateral is held – Collateral held for derivatives

Solvency II value of the assets for which the collateral for derivatives is held.

Other local/sectoral valuation principles than Solvency II ones may be relevant in this case.

C0030/R0120

Value of assets for which collateral is held – Assets pledged by reinsurers for ceded technical provisions

Solvency II value of the assets for which the collateral on assets pledged by reinsurers for ceded technical provisions is held.

Other local/sectoral valuation principles than Solvency II ones may be relevant in this case.

C0030/R0130

Value of assets for which collateral is held – Other collateral held

Solvency II value of the assets for which the other collateral is held.

Other local/sectoral valuation principles than Solvency II ones may be relevant in this case.

C0030/R0200

Value of assets for which collateral is held – Total collateral held

Total Solvency II value of the assets for which the total collateral is held.

Other local/sectoral valuation principles than Solvency II ones may be relevant in this case.

C0020/R0210

Value of guarantee/collateral/contingent liabilities – Collateral pledged for loans received or bonds issued

Solvency II value of the collaterals pledged for loans received or bonds issued.

Other local/sectoral valuation principles than Solvency II ones may be relevant in this case.

C0020/R0220

Value of guarantee/collateral/contingent liabilities – Collateral pledged for derivatives

Solvency II value of the collaterals pledged for derivatives.

Other local/sectoral valuation principles than Solvency II ones may be relevant in this case.

C0020/R0230

Value of guarantee/collateral/contingent liabilities – Assets pledged to cedants for technical provisions (reinsurance accepted)

Solvency II value of the assets pledged to cedants for technical provisions (reinsurance accepted).

Other local/sectoral valuation principles than Solvency II ones may be relevant in this case.

C0020/R0240

Value of guarantee/collateral/contingent liabilities – Other collateral pledged

Solvency II value of the collateral pledged for other collateral.

Other local/sectoral valuation principles than Solvency II ones may be relevant in this case.

C0020/R0300

Value of guarantee/collateral/contingent liabilities – Total collateral pledged

Total Solvency II value of the collateral pledged.

Other local/sectoral valuation principles than Solvency II ones may be relevant in this case.

C0040/R0210

Value of liabilities for which collateral is pledged – Collateral pledged for loans received or bonds issued

Solvency II value of the liabilities for which the collateral for loans received or bonds issued is pledged.

Other local/sectoral valuation principles than Solvency II ones may be relevant in this case.

C0040/R0220

Value of liabilities for which collateral is pledged – Collateral pledged for derivatives

Solvency II value of the liabilities for which the collateral for derivatives is pledged.

Other local/sectoral valuation principles than Solvency II ones may be relevant in this case.

C0040/R0230

Value of liabilities for which collateral is pledged – Assets pledged to cedants for technical provisions (reinsurance accepted)

Solvency II value of the liabilities for which the assets are pledged to cedants for technical provisions (reinsurance accepted).

Other local/sectoral valuation principles than Solvency II ones may be relevant in this case.

C0040/R0240

Value of liabilities for which collateral is pledged – Other collateral pledged

Solvency II value of the liabilities for which other collateral is pledged.

Other local/sectoral valuation principles than Solvency II ones may be relevant in this case.

C0040/R0300

Value of liabilities for which collateral is pledged – Total collateral pledged

Total Solvency II value of the liabilities for which the collateral is pledged.

Other local/sectoral valuation principles than Solvency II ones may be relevant in this case.

C0010/R0310

Maximum value – Contingent liabilities not in Solvency II Balance Sheet

Maximum possible value, regardless of their probability (i.e. future cash out–flows required to settle the contingent liability over the lifetime of that contingent liability, discounted at the relevant risk–free interest rate term structure) of contingent liabilities that are not included in those valued in Solvency II Balance Sheet (item C0010/R0740 of S.02.01)

Internal contingent liabilities within the scope of group supervision are not reported in this template.

This shall relate to Contingent liabilities that are not material.

This amount shall include guarantees reported in R0010 if considered as contingent liabilities.

C0010/R0330

Maximum value – Contingent liabilities in Solvency II Balance Sheet

Maximum possible value, regardless of their probability (i.e. future cash out–flows required to settle the contingent liability over the lifetime of that contingent liability, discounted at the relevant risk–free interest rate term structure) of contingent liabilities that are valued in Solvency II Balance Sheet, as defined in Article 11 of the Delegated Regulation (EU) 2015/35.

C0010/R0400

Maximum value – Total Contingent liabilities

Total maximum possible value, regardless of their probability (i.e. future cash flows required to settle the contingent liability over the lifetime of that contingent liability, discounted at the relevant risk–free interest rate term structure) of contingent liabilities.

C0020/R0310

Value of guarantee/collateral/contingent liabilities – Contingent liabilities not in Solvency II Balance Sheet

Solvency II value of the contingent liabilities not in Solvency II Balance Sheet.

C0020/R0330

Value of guarantee/collateral/contingent liabilities – Contingent liabilities in Solvency II Balance Sheet

Solvency II value of the contingent liabilities in Solvency II Balance Sheet. This value shall only be reported in relation to contingent liabilities for which a value in item C0010/R0330 in S.03.01 was reported.

If this value is lower than C0010/R0740 in S.02.01 an explanation shall be provided in the narrative reporting.

C0050/R0510

Unlimited guarantees – received

Indication if the unlimited guarantees received exists. One of the options in the following closed list shall be used:

0 – no unlimited guarantees received;

1 – Unlimited guarantees received only from group;

2 – Unlimited guarantees received only from outside the group;

3 – Unlimited guarantees received from group and from outside the group.

C0050/R0520

Unlimited guarantees – provided

Indication if the unlimited guarantees provided exists. One of the options in the following closed list shall be used:

0 – no unlimited guarantees provided;

1 – Unlimited guarantees provided only by group;

2 – Unlimited guarantees provided only by an entity outside the group;

3 – Unlimited guarantees provided by group and by entity outside the group.

S.05.01 – Premiums, claims and expenses by line of business

General comments:

This section relates to the quarterly and annual submission of information for groups.

This template shall be reported from a consolidated accounting perspective, i.e.: Local GAAP or IFRS if accepted as local GAAP but using Solvency II lines of business. Groups shall use the recognition and valuation basis as for the published financial statements, no new recognition or re–valuation is required, unless otherwise stated in these instructions, except for the classification between investment contracts and insurance contracts or different reporting requirements when this is applicable in the financial statements. This template shall include all insurance business regardless of the possible different classification between investment contracts and insurance contracts applicable in the financial statements.

Written/earned premiums shall be reported as defined in Article 1(11) and (12) of Delegated Regulation (EU) 2015/35 regardless of whether a local GAAP or IFRS is used.

The template is based on a year–to–date basis.

This template covers only insurance and reinsurance business within the scope of the consolidated financial statements.

	ITEM	INSTRUCTIONS
Non–life insurance and reinsurance obligations
C0010 to C0120/R0110	Premiums written – Gross – Direct Business	Gross premiums written shall comprise all amounts due during the reporting period in respect of insurance contracts, arising from direct business, regardless of the fact that such amounts may relate in whole or in part to a later reporting period. Amount of taxes or charges levied with premiums shall be excluded from the written premiums.
C0010 to C0120/R0120	Premiums written – Gross – Proportional reinsurance accepted	Gross premiums written shall comprise all amounts due during the reporting period in respect of insurance contracts, arising from proportional reinsurance accepted business, regardless of the fact that such amounts may relate in whole or in part to a later reporting period. Amount of taxes or charges levied with premiums shall be excluded from the written premiums.
C0130 to C0160/R0130	Premiums written – Gross – Non proportional reinsurance accepted	Gross premiums written shall comprise all amounts due during the reporting period in respect of insurance contracts, arising from non–proportional reinsurance accepted business, regardless of the fact that such amounts may relate in whole or in part to a later reporting period. Amount of taxes or charges levied with premiums shall be excluded from the written premiums.
C0010 to C0160/R0140	Premiums written – Reinsurers’ share	Gross premiums written shall comprise all amounts ceded to reinsurers during the reporting period in respect of insurance contracts regardless of the fact that such amounts may relate in whole or in part to a later reporting period. Amount of taxes or charges levied with premiums should be excluded from the written premiums.
C0010 to C0160/R0200	Premiums written – net	The net premiums written represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.
C0010 to C0120/R0210	Premiums earned – Gross – Direct business	The sum of gross premiums written minus the change in the gross provision for unearned premiums related to direct insurance business. Amount of taxes or charges levied with premiums shall be excluded from the written premiums earned.
C0010 to C0120/R0220	Premiums earned – Gross – Proportional reinsurance accepted	The sum of gross premiums written minus the change in the gross provision for unearned premiums related to proportional reinsurance accepted business. Amount of taxes or charges levied with premiums shall be excluded from the premiums earned.
C0130 to C0160/R0230	Premiums earned – Gross – Non proportional reinsurance accepted	The sum of gross premiums written minus the change in the gross provision for unearned premiums related to non–proportional reinsurance accepted business. Amount of taxes or charges levied with premiums shall be excluded from the written premiums earned.
C0010 to C0160/R0240	Premiums earned – reinsurers’ share	The sum of reinsurer’s share in gross premiums written minus the change in the reinsurer’s share in provision for unearned premiums. Amount of taxes or charges levied with premiums shall be excluded from the written premiums earned.
C0010 to C0160/R0300	Premiums earned – Net	The sum of gross premiums written minus the change in the gross provision for unearned premiums related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.
C0010 to C0120/R0310	Claims incurred Gross – Direct business	Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims (according to the local GAAP or IFRS used) during the reporting period related to insurance contracts arising from direct business. This shall exclude claims management expenses and the movement in provisions in claims management expenses.
C0010 to C0120/R0320	Claims incurred Gross – Proportional reinsurance accepted	Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims(according to the local GAAP or IFRS used) during the reporting period related to insurance contracts arising from the gross proportional reinsurance accepted. This shall exclude claims management expenses and the movement in provisions in claims management expenses.
C0130 to C0160/R0330	Claims incurred – Gross – Non proportional reinsurance accepted	Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims (according to the local GAAP or IFRS used) during the reporting period related to insurance contracts arising from the gross non proportional reinsurance accepted. This shall exclude claims management expenses and the movement in provisions in claims management expenses.
C0010 to C0160/R0340	Claims incurred – Reinsurers’ share	Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: it is the reinsurer’s share in the sum of the claims paid and the change in the provision for claims (according to the local GAAP or IFRS used) during the reporting period. This shall exclude claims management expenses and the movement in provisions in claims management expenses.
C0010 to C0160/R0400	Claims incurred – Net	Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims (according to the local GAAP or IFRS used) during the reporting period related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. This shall exclude claims management expenses and the movement in provisions in claims management expenses.
C0010 to C0160/R0550	Expenses incurred	All technical expenses incurred by the group during the reporting period, on accrual basis.
C0010 to C0120/R0610	Administrative expenses – Gross – direct business	Administrative expenses incurred by the group during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration. The amount relates to the gross direct business.
C0010 to C0120/R0620	Administrative expenses – Gross – Proportional reinsurance accepted	Administrative expenses incurred by the group during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration. The amount relates to the gross proportional reinsurance accepted.
C0130 to C0160/R0630	Administrative expenses – Gross – non proportional reinsurance accepted	Administrative expenses incurred by the group during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration. The amount relates to the gross non proportional reinsurance accepted.
C0010 to C0160/R0640	Administrative expenses – reinsurers’ share	Administrative expenses incurred by the group during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration. The amount relates to the reinsurer’s share. Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses.
C0010 to C0160/R0700	Administrative expenses – Net	Administrative expenses incurred by the group during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration. The net administrative expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.
C0010 to C0160/R0710	Investment management expenses – Gross – direct business	Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of record keeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services. The amount relates to the gross direct business.
C0010 to C0120/R0720	Investment management expenses – Gross – proportional reinsurance accepted	Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services. The amount relates to the gross proportional reinsurance accepted.
C0130 to C0160/R0730	Investment management expenses – Gross – non proportional reinsurance accepted	Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services. The amount relates to the gross non proportional reinsurance accepted.
C0010 to C0160/R0740	Investment management expenses – reinsurers’ share	Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services. The amount relates to the reinsurers’ share. Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses.
C0010 to C0160/R0800	Investment management expenses – Net	Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services. The amount relates to the net investment management expenses. The net investment management expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.
C0010 to C0120/R0810	Claims management expenses – Gross – direct business	Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department). The amount relates to the gross direct business. This shall include the movement in provisions in claims management expenses.
C0010 to C0120/R0820	Claims management expenses – Gross – Proportional reinsurance accepted	Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department). The amount relates to the gross proportional reinsurance accepted. This shall include the movement in provisions in claims management expenses.
C0130 to C0160/R0830	Claims management expenses – Gross – Non–proportional reinsurance accepted	Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department). The amount relates to the gross non proportional reinsurance accepted. This shall include the movement in provisions in claims management expenses.
C0010 to C0160/R0840	Claims management expenses – Reinsurers’ share	Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department). The amount relates to the reinsurers’ share. This shall include the movement in provisions in claims management expenses. Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses.
C0010 to C0160/R0900	Claims management expenses – Net	Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department). The net claims management expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. This shall include the movement in provisions in claims management expenses.
C0010 to C0120/R0910	Acquisition expenses – Gross – direct business	Acquisition expenses include expenses, including renewal expenses, which can be identified at the level of individual insurance contract and have been incurred because the group has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis. The amount relates to the gross direct business.
C0010 to C0120/R0920	Acquisition expenses – Gross – Proportional reinsurance accepted	Acquisition expenses include expenses, including renewal expenses which can be identified at the level of individual insurance contract and have been incurred because the group has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis. The amount relates to the gross proportional reinsurance accepted.
C0130 to C0160/R0930	Acquisition expenses – Gross – Non proportional reinsurance accepted	Acquisition expenses include expenses, including renewal expenses which can be identified at the level of individual insurance contract and have been incurred because the group has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis. The amount relates to the non–proportional reinsurance accepted.
C0010 to C0160/R0940	Acquisition expenses – Reinsurers’ share	Acquisition expenses include expenses, including renewal expenses which can be identified at the level of individual insurance contract and have been incurred because the group has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis. The amount relates to the reinsurers’ share. Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses.
C0010 to C0160/R1000	Acquisition expenses – Net	Acquisition expenses include expenses, including renewal expenses, which can be identified at the level of individual insurance contract and have been incurred because the group has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertakings, the definition shall be applied mutatis mutandis. The net acquisition expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.
C0010 to C0120/R1010	Overhead expenses – Gross direct business	Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software). The amount relates to the gross direct business.
C0010 to C0120/R1020	Overhead expenses – Gross – Proportional reinsurance accepted	Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software). The amount relates to the gross proportional reinsurance accepted.
C0130 to C0160/R1030	Overhead expenses – Gross – Non proportional reinsurance accepted	Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software). The amount relates to the gross – non proportional reinsurance accepted.
C0010 to C0160/R1040	Overhead expenses – Reinsurers’ share	Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software). The amount relates to the reinsurers’ share. Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses.
C0010 to C0160/R1100	Overhead expenses – Net	Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software). The net overhead expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.
C0200/R0110–R1100	Total	Total for different items for all Lines of Business.
C0200/R1210	Balance – other technical expenses/income	Net technical expenses/income not covered by above mentioned expenses/income and reduced by the amount ceded to reinsurance undertakings. Other technical expenses/income shall not be split by lines of business. Shall not include change in other technical provisions and non–technical expenses/income such as tax, interest expenses, losses on disposals, etc. The amount of net technical expenses/income shall be reported negative if the amount of technical income is larger than the amount of technical expenses.
C0200/R1300	Total expenses	Amount of all technical expenses
Life insurance and reinsurance obligations
C0210 to C0280/R1410	Premiums written – Gross	Gross premiums written shall comprise all amounts due during the reporting period in respect of insurance contracts, arising from gross business, regardless of the fact that such amounts may relate in whole or in part to a later reporting period. Amount of taxes or charges levied with premiums shall be excluded from the written premiums. It includes both direct and reinsurance business.
C0210 to C0280/R1420	Premiums written – Reinsurers’ share	Gross premiums written shall comprise all amounts ceded to reinsurers due during the reporting period in respect of insurance contracts regardless of the fact that such amounts may relate in whole or in part to a later reporting period. Amount of taxes or charges levied with premiums shall be excluded from the written premiums.
C0210 to C0280/R1500	Premiums written – net	The net premiums written represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.
C0210 to C0280/R1510	Premiums earned – Gross	The sum of gross premiums written minus the change in the gross provision for unearned premiums related to direct insurance and reinsurance accepted business. Amount of taxes or charges levied with premiums should be excluded from the written premiums.
C0210 to C0280/R1520	Premiums earned – reinsurers’ share	The reinsurer’s share in gross premiums written minus the change in the reinsurer’s share in provision for unearned premiums. Amount of taxes or charges levied with premiums shall be excluded from the written premiums.
C0210 to C0280/R1600	Premiums earned – Net	The sum of gross premiums written minus the change in the gross provision for unearned premiums related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.
C0210 to C0280/R1610	Claims incurred – Gross	Claims incurred in the reporting period as defined in directive 91/674/EEC: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period (according to the local GAAP or IFRS used), related to insurance contracts arising from the direct and reinsurance business. This shall exclude claims management expenses and the movement in provisions in claims management expenses.
C0210 to C0280/R1620	Claims incurred – Reinsurers’ share	Claims incurred in the reporting period as defined in Directive 91/674/EEC: it is the reinsurer’s share in the sum of the claims paid and the change in the provision for claims during the reporting period. This shall exclude claims management expenses and the movement in provisions in claims management expenses.
C0210 to C0280/R1700	Claims incurred – Net	Claims incurred in the reporting period as defined in Directive 91/674/EEC: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period (according to the local GAAP or IFRS used), related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. This shall exclude claims management expenses and the movement in provisions in claims management expenses.
C0210 to C0280/R1900	Expenses incurred	All technical expenses incurred by the group during the reporting period, on accrual basis.
C0210 to C0280/R1910	Administrative expenses – Gross	Administrative expenses incurred by the group during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration. The amount relates to the gross direct and reinsurance business.
C0210 to C0280/R1920	Administrative expenses – reinsurers’ share	Administrative expenses incurred by the group during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration. The amount relates to the reinsurer’s share. Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses.
C0210 to C0280/R2000	Administrative expenses – Net	Administrative expenses incurred by the group during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration. The amount relates to the net administrative expenses. The net administrative expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.
C0210 to C0280/R2010	Investment management expenses – Gross	Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services. The amount relates to the gross direct and reinsurance business.
C0210 to C0280/R2020	Investment management expenses – reinsurers’ share	Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services. The amount relates to the reinsurers’ share. Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses.
C0210 to C0280/R2100	Investment management expenses – Net	Investment management expenses are usually not allocated on a policy-by-policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services. The amount relates to the net investment management expenses. The net investment management expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.
C0210 to C0280/R2110	Claims management expenses – Gross	Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department). The amount relates to the gross direct and reinsurance business. This shall include the movement in provisions in claims management expenses.
C0210 to C0280/R2120	Claims management expenses – Reinsurers’ share	Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department). The amount relates to the reinsurers’ share. This shall include the movement in provisions in claims management expenses. Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses.
C0210 to C0280/R2200	Claims management expenses – Net	Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department). The net claims management expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. This shall include the movement in provisions in claims management expenses.
C0210 to C0280/R2210	Acquisition expenses – Gross	Acquisition expenses include expenses which can be identified at the level of individual insurance contract and have been incurred because the group has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis. The amount relates to the gross direct and reinsurance business.
C0210 to C0280/R2220	Acquisition expenses – Reinsurers’ share	Acquisition expenses include expenses which can be identified at the level of individual insurance contract and have been incurred because the group has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis. The amount relates to the reinsurers’ share. Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses.
C0210 to C0280/R2300	Acquisition expenses – Net	Acquisition expenses include expenses which can be identified at the level of individual insurance contract and have been incurred because the group has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis. The net acquisition expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.
C0210 to C0280/R2310	Overhead expenses – Gross	Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software). The amount relates to the gross direct and reinsurance business.
C0210 to C0280/R2320	Overhead expenses – Reinsurers’ share	Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software). The amount relates to the reinsurers’ share. Reinsurers’ share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses.
C0210 to C0280/R2400	Overhead expenses – Net	Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software). The net overhead expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.
C0300/R1410–R2400	Total	Total for different items for all life lines of business.
C0300/R2510	Balance – other technical expenses/income	Net technical expenses/income not covered by above mentioned expenses/income and reduced by the amount ceded to reinsurance undertakings. Other technical expenses/income shall not be split by lines of business. Shall not include change in other technical provisions and non–technical expenses/income such as tax, interest expenses, losses on disposals, etc. The amount of net technical expenses/income shall be reported negative if the amount of technical income is larger than the amount of technical expenses.
C0300/R2600	Total expenses	Amount of all technical expenses.
C0210 to C0280/R2700	Total amount of surrenders	This amount represents the total amount of surrenders occurred during the year. This amount is also reported under claims incurred (item R1610).

S.05.02 – Premiums, claims and expenses by country

General comments:

This section relates to the annual submission of information for groups. The template is not due when the thresholds for reporting by country described below are not applicable, i.e. the home country represents 90 % or more of the total gross written premiums.

This template shall be reported from an accounting perspective, i.e.: Local GAAP or IFRS (if accepted as local GAAP. Groups shall use the recognition and valuation basis as for the published financial statements, no new recognition or re–valuation is required, except for the classification between investment contracts and insurance contracts when this is applicable in the financial statements. This template shall include all insurance business regardless of the possible different classification between investment contracts and insurance contracts applicable in the financial statements.

This template covers only insurance and reinsurance business within the scope of the consolidated accounting perspective.

The following criteria for the classification by country shall be used:

—	The information, provided by country, shall be completed for the five countries with the biggest amount of gross written premiums in addition to the home country or until reaching 90 % of the total gross written premiums;

—

For the direct insurance business for the lines of business ‘Medical expense’, ‘Income protection’, ‘Workers’ compensation’, ‘Fire and other damage to property’ and ‘Credit and suretyship’ information shall be reported by country where the risk is situated as defined in Article 13(13) of Directive 2009/138/EC;

—	For direct insurance business for all other lines of business, information shall be reported by country where the contract was entered into;

—	For proportional and non–proportional reinsurance information shall be reported by country of localisation of the ceding undertaking.

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.

	ITEM	INSTRUCTIONS
Non–life insurance and reinsurance obligations
C0020 to C0060/R0010	Top 5 countries (by amount of gross premiums written) – non–life obligations	Identify the ISO 3166–1 alpha–2 code of the countries being reported for the non–life obligations.
C0080 to C0140/R0110	Premiums written – Gross – Direct Business	Definition of premiums written provided in application of directive 91/674/EEC where applicable: gross premiums written shall comprise all amounts due during the reporting period in respect of insurance contracts, arising from direct business, regardless of the fact that such amounts may relate in whole or in part to a later reporting period.
C0080 to C0140/R0120	Premiums written – Gross – Proportional reinsurance accepted	Definition of premiums written provided in application of directive 91/674/EEC where applicable: gross premiums written shall comprise all amounts due during the reporting period in respect of insurance contracts, arising from proportional reinsurance accepted business, regardless of the fact that such amounts may relate in whole or in part to a later reporting period.
C0080 to C0140/R0130	Premiums written – Gross – Non proportional reinsurance accepted	Definition of premiums written provided in application of directive 91/674/EEC where applicable: gross premiums written shall comprise all amounts due during the reporting period in respect of insurance contracts, arising from non–proportional reinsurance accepted business, regardless of the fact that such amounts may relate in whole or in part to a later reporting period.
C0080 to C0140/R0140	Premiums written – Reinsurers’ share	Definition of premiums written provided in application of directive 91/674/EEC where applicable: gross premiums written shall comprise all amounts ceded to reinsurers during the reporting period in respect of insurance contracts regardless of the fact that such amounts may relate in whole or in part to a later reporting period.
C0080 to C0140/R0200	Premiums written – Net	Definition of premiums written provided in application of directive 91/674/EEC where applicable: the net premiums written represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.
C0080 to C0140/R0210	Premiums earned – Gross – Direct business	Definition of earned premiums provided in directive 91/674/EEC where applicable: it is the sum of gross premiums written minus the change in the gross provision for unearned premiums related to insurance direct business.
C0080 to C0140/R0220	Premiums earned – Gross – Proportional reinsurance accepted	Definition of earned premiums provided in directive 91/674/EEC where applicable: it is the sum of gross premiums written minus the change in the gross provision for unearned premiums related to proportional reinsurance accepted business.
C0080 to C0140/R0230	Premiums earned – Gross – Non proportional reinsurance accepted	Definition of earned premiums provided in directive 91/674/EEC where applicable: it is the sum of gross premiums written minus the change in the gross provision for unearned premiums related to non–proportional reinsurance accepted business.
C0080 to C0140/R0240	Premiums earned – Reinsurers’ share	Definition of earned premiums provided in directive 91/674/EEC where applicable: it is the sum of reinsurer’s share in gross premiums written minus the change in the reinsurer’s share in provision for unearned premiums.
C0080 to C0140/R0300	Premiums earned – Net	Definition of earned premiums provided in directive 91/674/EEC where applicable: it is the sum of gross premiums written minus the change in the gross provision for unearned premiums related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.
C0080 to C0140/R0310	Claims incurred Gross – Direct business	Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period related to insurance contracts arising from direct business. This shall exclude claims management expenses and the movement in provisions in claims management expenses.
C0080 to C0140/R0320	Claims incurred Gross – Proportional reinsurance accepted	Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period related to insurance contracts arising from proportional reinsurance accepted. This shall exclude claims management expenses and the movement in provisions in claims management expenses.
C0080 to C0140/R0330	Claims incurred – Gross – Non proportional reinsurance accepted	Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period related to insurance contracts arising from non–proportional reinsurance accepted. This shall exclude claims management expenses and the movement in provisions in claims management expenses.
C0080 to C0140/R0340	Claims incurred – Reinsurers’ share	Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: it is the reinsurer’s share in sum of the claims paid and the change in the provision for claims during the reporting period. This shall exclude claims management expenses and the movement in provisions in claims management expenses.
C0080 to C0140/R0400	Claims incurred – Net	Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. This shall exclude claims management expenses and the movement in provisions in claims management expenses.
C0080 to C0140/R0550	Expenses incurred	All technical expenses incurred by the group during the reporting period, on accrual basis.
C0140/R1210	Balance – other technical expenses/income	Other technical expenses not covered by above mentioned expenses and not split by lines of business. Shall not include non–technical expenses such as tax, interest expenses, losses on disposals, etc.
C0140/R1300	Total technical expenses	Amount of all technical expenses corresponding to countries covered by this template.
Life insurance obligations
C0160 to C0200/R1400	Top 5 countries (by amount of gross premiums written) – life obligations	Identify the ISO 3166–1 alpha–2 code of the countries being reported for the life obligations.
C0220 to C0280/R1410	Premiums written – Gross	Definition of premiums written provided in application of directive 91/674/EEC where applicable: gross premiums written shall comprise all amounts due during the reporting period in respect of insurance contracts, arising from gross business, regardless of the fact that such amounts may relate in whole or in part to a later reporting period.
C0220 to C0280/R1420	Premiums written – Reinsurers’ share	Definition of premiums written provided in application of directive 91/674/EEC where applicable: gross premiums written shall comprise all amounts ceded to reinsurers due during the reporting period in respect of insurance contracts regardless of the fact that such amounts may relate in whole or in part to a later reporting period.
C0220 to C0280/R1500	Premiums written – Net	Definition of premiums written provided in application of directive 91/674/EEC where applicable: the net premiums written represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.
C0220 to C0280/R1510	Premiums earned – Gross	Definition of earned premiums provided in directive 91/674/EEC where applicable: it is the sum of gross premiums written minus the change in the gross provision for unearned premiums related to direct and reinsurance accepted gross business.
C0220 to C0280/R1520	Premiums earned – Reinsurers’ share	Definition of earned premiums provided in directive 91/674/EEC where applicable: it is the reinsurer’s share in gross premiums written minus the change in the reinsurer’s share in provision for unearned premiums.
C0220 to C0280/R1600	Premiums earned – Net	Definition of earned premiums provided in directive 91/674/EEC where applicable: it is the sum of gross premiums written minus the change in the gross provision for unearned premiums related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.
C0220 to C0280/R1610	Claims incurred – Gross	Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period related to insurance contracts arising from the gross direct and reinsurance business. It excludes claims management expenses and the movement in provisions in claims management expenses.
C0220 to C0280/R1620	Claims incurred – Reinsurers’ share	Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: it is the reinsurers’ share in the sum of the claims paid and the change in the provision for claims during the reporting period. It excludes claims management expenses and the movement in provisions in claims management expenses.
C0220 to C0280/R1700	Claims incurred – Net	Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the reporting period related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings. It excludes claims management expenses and the movement in provisions in claims management expenses.
C0220 to C0280/R1900	Expenses incurred	All technical expenses incurred by the group during the reporting period, on accrual basis.
C0280/R2510	Balance – other technical expenses/income	Net technical expenses/income not covered by above mentioned expenses/income and reduced by the amount ceded to reinsurance undertakings. Other technical expenses/income shall not be split by lines of business. Shall not include change in other technical provisions and non–technical expenses/income such as tax, interest expenses, losses on disposals, etc. The amount of net technical expenses/income shall be reported negative if the amount of technical income is larger than the amount of technical expenses.
C0280/R2600	Total technical expenses	Amount of all technical expenses corresponding to countries covered by this template.

S.06.02 – List of assets

General comments:

This section relates to the quarterly and annual submission of information for groups.

The asset categories referred to in this template are the ones defined in Annex IV – Assets Categories of this Regulation and references to Complementary Identification Code (‘CIC’) refer to Annex VI – CIC table of this Regulation.

This template shall reflect the list of all assets included in the Balance–sheet classifiable as asset categories 0 to 9 of Annex IV – Assets Categories of this Regulation. In particular in case of securities lending and repurchase agreements the underlying securities that are kept in the Balance–sheet shall be reported in this template.

This template contains an item–by–item list of assets held directly by the group (i.e. not on a look–through basis), classifiable as asset categories 0 to 9 (in case of unit–linked and index–linked products managed by the (re)insurance undertaking, the assets to be reported are also only the ones covered by asset categories 0 to 9, e.g. recoverables and liabilities related to these products shall not be reported), with the following exceptions:

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;

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,, C0190, C0200, C0230, C0270, C0280, C0310, C0370, C0380 are not applicable to CIC 09 – Other investments.

This template comprises two tables: Information on positions held and Information on assets.

On the table Information on positions held, each asset shall be reported separately in as many lines as needed in order to properly fill in all non-monetary variables with the exception of item ‘Quantity’, requested in that table. If for the same asset two values can be attributed to one variable, then this asset needs to be reported in more than one line.

On the table Information on assets, each asset shall be reported separately, with one row for each asset, filling in all applicable variables requested in that table.

The template is applicable for method 1 (Accounting consolidation–based method), method 2 (Deduction and aggregation method) and a combination of methods 1 and 2.

Where method 1 is used exclusively, the reporting shall reflect the consolidated position of the assets net of intra–group transactions held. The reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;

—	The assets held by the participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;

—	The assets held by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;

—	Participations in undertakings consolidated in accordance with Article 335, paragraph 1, (d), (e) and (f) of Delegated Regulation (EU) 2015/35 shall be reported in one row and identify it by using the available options in cell C0310.

Where method 2 is used exclusively, the reporting shall include the detailed list of the assets held by the participating undertakings, the insurance holding companies and subsidiaries and one row for each non–controlled participation. The assets reported shall not take into account the proportional share used for group solvency calculation. The reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;

—	The assets held by the participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;

—

The assets held by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item by undertaking;

—

Participations in insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are not subsidiaries (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported in one row for each participation;

—	The assets held by undertakings from the other financial sectors shall not be included.

Where a combination of methods 1 and 2 is used, one part of the reporting reflects the consolidated position of the assets, net of intra–group transactions, which must be reported and the other part of the reporting shall include the detailed list of the assets held by the participating undertakings, the insurance holding companies or mixed–financial holding companies and subsidiaries and one row for each non–controlled participation, net of intra–group transactions and regardless of the proportional share used.

The first part of the reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;

—	The assets held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;

—	The assets held by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;

—	Participations in undertakings consolidated in accordance with Article 335, paragraph 1, (d), (e) and (f) of Delegated Regulation (EU) 2015/35 shall be reported in one row and identify it by using the available options in cell C0310;

—	Participations in undertakings under method 2 shall be reported one row for each subsidiary and non–controlled participation held and identify it by using the available options in cell C0310.

The second part of the reporting shall include the detailed list of the assets held by the participating undertakings, the insurance holding companies and subsidiaries and one row for each non–controlled participation, regardless of the proportional share used. The reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;

—	The assets held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies under method 2 shall be reported item by item;

—

The assets held by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries under method 2 (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item by undertaking;

—

—	The assets held by the undertakings from the other financial sectors shall not be included.

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 254(2) of the 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

C0010

Legal name of the undertaking

Identify the legal name of the undertaking within the scope of group supervision that holds the asset.

This item shall be filled in only when it relates to assets held by participating undertakings, insurance holding companies, mixed–financial holding companies and subsidiaries under deduction and aggregation method.

C0020

Identification code of the undertaking

Identification code by this order of priority:

—	Legal Entity Identifier (LEI) mandatory if existing;

—	Specific code in case of absence of LEI code.

Specific code:

—	For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;

—

For non–EEA undertakings and non–regulated undertakings within the scope of group supervision, identification code will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, the group should comply with the following format in a consistent manner:

identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits

C0030

Type of code of the ID of the undertaking

Type of ID Code used for the ‘Identification code of the undertaking’ item. One of the options in the following closed list shall be used:

1 – LEI

2 – Specific code

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). 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 corresponds to the legal name.

This item is not applicable for CIC category 8 – Mortgages and Loans, CIC 71, CIC 75, CIC 09 and for CIC 9 – Property and to any other assets that due to their nature are not held in custody.

For assets where there is no custodian or when this item is not applicable, report ‘No custodian’.

C0121

Code of custodian

Identification of the custodian code using the LEI if available.

If none is available this item shall not be reported.

C0122

Type of code of custodian

Identification of the type of code used for the ‘Code of custodian’ item. One of the options in the following closed list shall be used:

1 – 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 the Directive 2009/138/EC, which corresponds to:

—	the multiplication of ‘Par amount’ (principal amount outstanding measured at par amount or nominal amount) by ‘Unit percentage of par amount Solvency II price’ plus ‘Accrued interest’, for assets where the first two items are relevant;

—	the multiplication of ‘Quantity’ by ‘Unit Solvency II price’, for assets where these two items are relevant (plus ‘Accrued interest’ if applicable);

—	Solvency II value of the asset for assets classifiable under CIC 71 and CIC category 9 – Property.

C0180

Accrued interest

Quantify the amount of accrued interest after the last coupon date for interest bearing assets. Note that this value is also part of item Total Solvency II amount.

ITEM

INSTRUCTIONS

Information on assets

C0040

Asset ID Code

Asset ID code using the following priority:

—	ISO 6166 code of ISIN when 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.

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

C0190

Item Title

Identify the reported item by filling the name of the asset (or the address in case of property), with the detail settled by the undertaking.

The following shall be considered:

—

Regarding CIC 87 and CIC 88, this item shall contain ‘Loans to AMSB members’ i.e. loans to the Administrative, Management and Supervisory Body (‘AMSB’) or ‘Loans to other natural persons’, according to its nature, as those assets are not required to be individualised. Loans to other than natural persons shall be reported line–by–line.

—	This item is not applicable for CIC 95 – Plant and equipment (for own use) as those assets are not required to be individualised, CIC 71 and CIC 75 (unless required by the national supervisory authority).

—

For property the country ISO Alpha-2 + postal code + city + street name + street number) of the property held or the latitude & longitude or the CRESTA/NUTS region of the property investment shall be reported: administrative boundaries (e.g. province or county boundaries, e.g. NUTS3 level) or merged postal code areas (e.g. first-two-digit postal code areas, similar to CRESTA 2019[2] low resolution zones).

C0200

Issuer Name

Name of the issuer, defined as the entity that issues assets to investors.

When available, this item corresponds to the entity name in the LEI database. When this is not available corresponds to the legal name.

The following shall be considered:

—

Regarding CIC category 4 – Collective Investments Undertakings, the issuer name is the name of the fund manager (entity). The authorised management company who can be responsible and is responsible for managing the fund is the one to be reported regardless if some activities have been outsourced, including the actual management of the portfolio, i.e. the decision on buying/selling;

—	Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer name is the name of the depositary entity;

—	Regarding CIC 87 and CIC 88, this item shall contain ‘Loans to AMSB members’ or ‘Loans to other natural persons’, according to its nature, as those assets are not required to be individualised;

—	Regarding CIC category 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the information shall relate to the borrower;

This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property.

C0210

Issuer Code

Identification of the issuer using the Legal Entity Identifier (LEI) if available.

If none is available this item shall not be reported.

The following shall be considered:

—

Regarding CIC category 4 – Collective Investments Undertakings, the issuer code is the code of the fund manager (entity). The authorised management company who can be responsible and is responsible for managing the fund is the one to be reported regardless if some activities have been outsourced, including the actual management of the portfolio, i.e. the decision on buying/selling;

—	Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer code is the code of the depositary 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 organisation (as long as no issuer group exists).

C0260

Type of issuer group code

Identification of the code used for the ‘Issuer Group Code’ item. One of the options in the following closed list shall be used:

1 – 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 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the information shall relate to the borrower;

—	This item is not applicable to CIC 87 and CIC 88;

—	This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 – Property.

One of the options shall be used:

—	ISO 3166–1 alpha–2 code;

—

XA: Supranational issuers (public institutions established by a commitment between national states, e.g. securities issued by a multilateral development bank as referred to in paragraph 2 of Article 117 of Regulation (EU) No 575/2013 or securities issued by an international organisation referred to in Article 118 of Regulation (EU) No 575/2013, with exemption of ‘European Union Institutions’);

—	EU: European Union Institutions (as defined in Article 13 of the Treaty on European Union.

C0280

Currency

Identify the ISO 4217 alphabetic code of the currency of the issue.

The following shall be considered:

—	This item is not applicable for CIC 87 and CIC 88, as those assets are not required to be individualised), CIC 75, CIC 09 and for CIC 95 – Plant and equipment (for own use) for the same reason;

—	Regarding CIC Category 9 – Property, excluding CIC 95 – Plant and equipment (for own use), the currency corresponds to the currency in which the investment was made.

C0290

CIC

Complementary Identification Code used to classify assets, as set out in Annex VI – CIC Table of this Regulation. When classifying an asset using the CIC table, undertakings shall take into consideration the most representative risk to which the asset is exposed to.

The parent undertaking shall check and ensure that the CIC code used for the same security from different undertakings is the same in the group reporting.

C0293

Bail-in rules

Identify if the asset is subject to bail-in rules, in line with Articles 43 and 44 of Directive 2014/59/EU (the Bank Recovery and Resolution Directive – BRRD).

One of the options in the following closed list shall be used:

1 – Yes;

2 – No;

9 – Not applicable.

C0294

Regional Governments and Local Authorities (RGLA)

Identify assets issued or guaranteed by Regional Governments and Local Authorities (RGLA) listed and not listed in the Implementing Regulation (EU) 2015/2011, regarding assets classifiable with CIC 13 and 14.

One of the options in the following closed list shall be used:

1 – Listed in Implementing Regulation (EU) 2015/2011;

2 – Not listed in Implementing Regulation (EU) 2015/2011;

9 – Not applicable.

C0295

Crypto-assets

Identify assets linked to crypto-assets.

Crypto-asset means a digital representation of value or rights which may be transferred and stored electronically, using distributed ledger technology or similar technology.

One of the options in the following closed list shall be used:

1 – Electronic money token – a type of crypto-asset the main purpose of which is to be used as a means of exchange and that purports to maintain a stable value by referring to the value of a fiat currency that is legal tender;

2 – Asset-referenced token – a type of crypto-asset that purports to maintain a stable value by referring to the value of several fiat currencies that are legal tender, one or several commodities or one or several crypto-assets, or a combination of such assets;

3 – Utility token – a type of crypto-asset which is intended to provide digital access to a good or service, available on DLT, and is only accepted by the issuer of that token;

4 – Other crypto-assets;

5 – No.

C0296

Property type

Identify property type, according to ESRB Recommendation of 21 March 2019 amending Recommendation ESRB/2016/14 on closing real estate data gaps.

One of the options in the following closed list shall be used:

1 – Residential, e.g. multi-household premises;

2 – Retail, e.g. hotels, restaurants, shopping malls;

3 – Offices, e.g. a property primarily used as professional or business offices;

4 – Industrial, e.g. property used for the purposes of production, distribution and logistics;

5 – Other types of commercial property;

9 – Not applicable.

If a property has a mixed use, it shall be considered as different properties (based for example on the surface areas dedicated to each use) whenever it is feasible to make such breakdown; otherwise, the property can be classified according to its dominant use.

This item is only applicable to CIC category 9 – Property

C0297

Property location

Identify property location, according to ESRB Recommendation of 21 March 2019 amending Recommendation ESRB/2016/14 on closing real estate data gaps.

One of the options in the following closed list shall be used:

1 – Prime;

2 – Non-prime;

9 – Not applicable.

This item is only applicable to CIC category 9 – Property

C0300

Infrastructure investment

Identify if the asset is an infrastructure investment as defined in Article 1 (55a) and (55b) of Delegated Regulation (EU) 2015/35.

One of the options in the following closed list shall be used:

1 – Not an infrastructure 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 – Non–controlled participation in a related insurance and reinsurance undertaking under method 1

3 – Non–controlled participation in related insurance and reinsurance undertaking under method 2

4 – Participation in other financial sector

5 – Subsidiary under method 2

6 – Participation in other strategic related undertaking under method 1

7 – Participation in other non–strategic related undertaking under method 1

8 – Other participations (e.g. participation in other undertakings under method 2)

C0320

External rating

Applicable at least to CIC categories 1 – Government bonds, 2 – Corporate bonds, 5 – Structured notes, 6 – Collateralised securities, CIC 87 and CIC 88, where available.

This is the issue rating of the asset at the reporting reference date as provided by the nominated credit assessment institution (ECAI).

If an issue rating is not available, the item shall be left blank.

In case ‘Multiple ECAI’ is reported in C0330 report the most representative external rating.

C0330

Nominated ECAI

Identify the credit assessment institution (ECAI) giving the external rating in C0320, by using the name of the ECAI as published on ESMA’s website. In case of ratings issued by subsidiaries of the ECAI please report the parent ECAI (the reference is made to ESMA list of credit rating agencies registered or certified in accordance with Regulation (EC) No 1060/2009 on credit rating agencies).

Applicable at least to CIC categories 1 – Government bonds, 2 – Corporate bonds, 5 – Structured notes, 6 – Collateralised securities and 8 – Mortgages and Loans, (other than CIC 87 and CIC 88), where available.

This item shall be reported where External rating (C0320) is reported. In case ‘No ECAI has been nominated and a simplification is used to calculate the SCR’, the External rating (C0320) shall be left blank and in Credit quality step (C0340) one of the following options shall be used: 2a; 3a or 3b.

C0340

Credit quality step

Applicable to any asset for which Credit quality step needs to be attributed for the purpose of SCR calculation.

Identify the credit quality step attributed to the asset, as defined by Article 109a(1) of Directive 2009/138/EC, by applying the mapping table prescribed in Implementing Regulation (EU) 2016/1800.

The credit quality step shall in particular reflect any readjustments to the credit quality made internally by the undertakings that use the standard formula.

This item is not applicable to assets for which undertakings using internal model use internal ratings. If undertakings using internal model do not use internal rating, this item shall be reported.

One of the options in the following closed list shall be used:

0 – Credit quality step 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 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).

C0360

Duration

Only applies to CIC categories 1 – Government bonds, 2 – Corporate bonds, 4 – Collective Investments Undertakings (when applicable, e.g. for collective investment undertaking mainly invested in bonds), 5 – Structured notes and 6 – Collateralised securities.

Asset duration, defined as the ‘residual modified duration’ (modified duration calculated based on the remaining time for maturity of the security, counted from the reporting reference date). For assets without fixed maturity the first call date shall be used but the probability of the call option being exercised shall be taken into account. The duration shall be calculated based on economic value.

C0370

Unit Solvency II price

Amount in reporting currency for the asset, if relevant.

This item shall be reported if a ‘quantity’ (C0130) has been provided in the first part of the template (‘Information on positions held’).

This item shall not be reported if item Unit percentage of par amount Solvency II price (C0380) is reported.

C0380

Unit percentage of par amount Solvency II price

Amount in percentage of par value, clean price without accrued interest, for the asset, if relevant.

This item shall be reported if a ‘par amount’ information (C0140) has been provided in the first part of the template (‘Information on positions held’) except for CIC 71 and CIC category 9 – Property.

This item shall not be reported if item Unit Solvency II price (C0370) is reported.

C0390

Maturity date

Only applicable for CIC categories 1 – Government bonds, 2 – Corporate bonds, 5 – Structured notes, 6 – Collateralised securities, and 8 – Mortgages and Loans, CIC 74 and CIC 79.

Identify the ISO 8601 (yyyy–mm–dd) code of the maturity date.

It corresponds always to the maturity date, even for callable securities.

The following shall be considered:

—	For perpetual securities use ‘9999–12–31’;

—	For CIC 87 and CIC 88, the weighted (based on the loan amount) remaining maturity is to be reported.

S.06.03 – Collective investment undertakings – look–through approach

General comments:

This section relates to the quarterly and annual submission of information for groups.

This template contains information on the look through of collective investment undertakings, or investments packaged as funds and similar undertakings, including when they are participations by underlying asset category, country of issue and currency. Considering proportionality and specific instructions of the template, the look through shall be performed until the asset categories, countries and currencies are identified. In case of funds of funds the look–through shall follow the same approach.

The template shall include information corresponding to 100 % of the value invested in collective investment undertakings. However for the identification of countries the look–through shall be implemented in order to identify the exposures of 90 % of the total value of the funds minus the amounts related to CIC 8 and 9, and for the identification of currencies the look–through shall be implemented in order to identify the exposures of 90 % of the total value of the funds. Groups shall ensure that the 10 % not identified by country is diversified across geographical areas, for example that not more than 5 % is in one single country. The look-through shall be applied by groups starting from the major, considering the amount invested, to the lowest single fund and the approach shall be kept consistent over time.

Quarterly information shall only be reported when the ratio of collective investments undertakings held by the group to total investments, measured as the ratio between item C0010/R0180 of template S.02.01 plus collective investments undertakings included in item C0010/R0220 of template S.02.01 plus collective investments undertakings included in item C0010/R0090 and the sum of item C0010/R0070 and C0010/RC0220 of template S.02.01, is higher than 30 % when method 1 as defined in Article 230 of Directive 2009/138/EC is used exclusively. When method 1 is used in combination with method 2 as defined in Article 233 of Directive 2009/138/EC or method 2 is used exclusively the ratio needs to be adjusted in order to capture the items of all entities included in the scope of template S.06.02.

Items shall be reported with positive values unless otherwise stated in the respective instructions.

The asset categories referred to in this template are the ones defined in Annex IV – Assets Categories of this Regulation and references to CIC codes refer to Annex VI – CIC table of this Regulation.

This template shall include the look–through of all collective investment undertakings, or investments packaged as funds and similar undertakings, including when they are participations by underlying asset category, reported item–by–item in S.06.02. If one collective investment undertaking, or investment packaged as fund and similar undertaking is held by many undertakings, in this template it shall be reported only once.

ITEM

INSTRUCTIONS

C0010

Collective Investments Undertaking ID Code

Asset ID code using the following priority:

—	ISO 6166 code of ISIN when available

—	Other recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC)

—	Code attributed by the group, when the options above are not available, and must be consistent over time.

C0020

Collective Investments Undertaking ID Code type

Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:

1 – ISO/6166 for 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 group

C0030

Underlying asset category

Identify the assets categories, receivables and derivatives within the collective investment undertaking. One of the options in the following closed list shall be used:

1 – Government 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 Units’ shall be used only for non–material residual values for both ‘funds of funds’ and any other fund.

C0040

Country of issue

Breakdown of each asset category identified in C0030 by issuer country. Identify the country of localisation of the issuer.

The localisation of the issuer is assessed by the address of the entity issuing the asset.

One of the options shall be used:

—	ISO 3166–1 alpha–2 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.07.01 – Structured products

General comments:

This section relates to the annual submission of information for groups.

Structured products are defined as assets falling into the asset categories 5 (Structured notes) and 6 (Collateralised securities).

This template shall only be reported when the amount of structured products, measured as the ratio between assets classified as asset categories 5 (Structured notes) and 6 (Collateralised securities) as defined in Annex IV – Asset Categories of this Regulation and the sum of item C0010/R0070 and C0010/R0220 of template S.02.01, is higher than 5 % when method 1 as defined in Article 230 of Directive 2009/138/EC is used exclusively. When method 1 is used in combination with method 2 as defined in Article 233 of Directive 2009/138/EC or method 2 is used exclusively the ratio needs to be adjusted in order to capture the items of all entities included in the scope of template S.06.02.

In some cases the types of structured products (C0070) identify the derivative embedded in the structured product. In this case this classification shall be used when the structured product has the referred derivative embedded.

The template is applicable for method 1 (Accounting consolidation–based method), method 2 (Deduction and aggregation method) and a combination of methods 1 and 2.

Where method 1 is used exclusively, the reporting shall reflect the consolidated position of the structured notes and collateralised securities net of intra–group transactions held within the scope of group supervision in its portfolio. The reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;

—	The structured products held directly by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;

—	The structured products held by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;

—	The structured products held by other related undertakings shall not be included.

Where method 2 is used exclusively, the reporting shall include the detailed list of the structured notes and collateralised securities held by the participating undertakings, the insurance holding companies or mixed–financial holding companies and subsidiaries, and regardless of the proportional share used. The reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;

—	The structured products held directly by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item

—

The structured products held by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item by undertaking;

—	The structured products held by other related undertakings shall not be included.

Where a combination of methods 1 and 2 is used, one part of the reporting reflects the consolidated position of the structured notes and collateralised securities, net of intra–group transactions, held within the scope of group supervision which must be reported and the other part of the reporting shall include the detailed list of the structured notes and collateralised securities held by the participating undertakings, the insurance holding companies or mixed–financial holding companies and subsidiaries, regardless of the proportional share used.

The first part of the reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;

—	The structured products held directly by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;

—	The structured products held by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;

—	The structured products held by other related undertakings shall not be included

The second part of the reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;

—	The structured products held directly by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies under method 2 shall be reported item by item;

—

The structured products held by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries under method 2 (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area)shall be reported item by item by undertaking;

—	The structured products held by other related undertakings under method 2 shall not be included.

ITEM

INSTRUCTIONS

C0010

Legal name of the undertaking

Identify the legal name of the undertaking within the scope of group supervision that holds the structured product.

This item shall be filled in only when it relates to structured products held by participating undertakings, insurance holding companies or mixed–financial holding companies and subsidiaries under deduction and aggregation method.

C0020

Identification code of the undertaking

Identification code by this order of priority:

—	Legal Entity Identifier (LEI) mandatory if existing;

—	Specific code in case of absence of LEI code

Specific code:

—	For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;

—

identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits

C0030

Type of code of the ID of the undertaking

Type of ID Code used for the ‘Identification code of the undertaking’ item. One of the options in the following closed list shall be used:

1 – LEI

2 – Specific code

C0040

Asset ID Code

The Identification code of the structured product, as reported in S.06.02 using the following priority:

—	ISO 6166 ISIN when 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.

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

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 interest rate or yield benchmarks)

4 – Commodities (a selected, basic good or group of goods)

5 – Index (performance of a selected index)

6 – Multi (allowing for a combination of the possible types listed above)

9 – Others not covered by the previous options (e.g. other economic indicators)

C0100

Callable or Putable

Identify whether the product has call and/or put features, or both, if applicable. One of the options in the following closed list shall be used:

1 – Call by the 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 the quarterly and annual submission of information for groups.

The derivatives categories referred to in this template are the ones defined in Annex IV – Assets Categories of this Regulation and references to CIC codes refer to Annex VI – CIC table of this Regulation. This template contains an item–by–item list of derivatives held directly by the group (i.e. not on a look–through basis), classifiable as asset categories A to F.

This template covers derivatives traded on a stock exchange or equivalent centralised market, as well as derivatives traded over-the-counter.

When a derivative is traded on a stock exchange or equivalent centralised market, the counterparty is that a stock exchange or equivalent centralised market and not the end-counterparty, as is the case for derivatives traded over-the-counter.

Derivatives are considered assets if their Solvency II value is positive or zero. They are considered liabilities if their Solvency II value is negative. Both derivatives considered as assets or considered as liabilities shall be included.

Information shall include all derivatives contracts that existed during the reporting period and were not closed prior to the reporting reference date.

If there are frequent trades on the same derivative, resulting in multiple open positions, the derivative can be reported on an aggregated or net basis, as long as all the relevant characteristics are common and following the specific instruction for each relevant item.

Items shall be reported with positive values unless otherwise stated in the respective instructions.

A derivative is a financial instrument or other contract with all three of the following characteristics:

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.

Where method 1 is used exclusively, the reporting shall reflect the consolidated position of the derivatives net of intra–group transactions held within the scope of group supervision. The reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;

—	The derivatives held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;

—	The derivatives held by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;

—	The derivatives held by other related undertakings shall not be included

Where method 2 is used exclusively, the reporting shall include the detailed list of the derivatives held by the participating undertakings, the insurance holding companies or mixed–financial holding companies and subsidiaries, regardless of the proportional share used. The reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;

—	The derivatives held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;

—

The derivatives held by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item by undertaking;

—	The derivatives held by other related undertakings shall not be included.

Where a combination of methods 1 and 2 is used, one part of the reporting shall reflect the consolidated position of the derivatives, net of intra–group transactions held within the scope of group supervision which must be reported and the other part of the reporting shall include the detailed list of the derivatives held by the participating undertakings, the insurance holding companies or mixed–financial holding companies and subsidiaries, regardless of the proportional share used.

The first part of the reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;

—	The derivatives held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;

—	The derivatives held by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;

—	The derivatives held by other related undertakings shall not be included.

The second part of the reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;

—	The derivatives held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies under method 2 shall be reported item by item;

—

The derivatives held by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries under method 2 (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item by undertaking;

—	The derivatives held by other related undertakings under method 2 shall not be included.

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 254(2) of the 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

C0010

Legal name of the undertaking

Identify the legal name of the undertaking within the scope of group supervision that holds the derivative.

This item shall be filled in only when it relates to derivatives held by participating undertakings, insurance holding companies, mixed–financial holding companies and subsidiaries under deduction and aggregation method.

C0020

Identification code of the undertaking

Identification code by this order of priority:

—	Legal Entity Identifier (LEI) mandatory if existing;

—	Specific code in case of absence of LEI code.

Specific code:

—	For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;

—

identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits

C0030

Type of code of the ID of the undertaking

Type of ID Code used for the ‘Identification code of the undertaking’ item. One of the options in the following closed list shall be used:

1 – LEI

2 – Specific code

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 Transaction Identifiers

Identify the Trade IDs used in the trade reports to trade repositories according to Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories.

As many Trade IDs as needed to build the position being reported should be reported in this item. The trade IDs shall be reported separated by commas.

This item shall be reported with ‘No ID’ when the derivative not in the scope of Regulation (EU) No 648/2012.

C0050

Derivative ID Code type

Type of ID Code used for the ‘Derivative ID Code’ item. One of the options in the following closed list shall be used:

1 – ISO/6166 for 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

C0070

Fund number

Applicable to derivatives held in ring fenced funds or other internal funds defined at national level, in particular regarding funds (asset portfolios) supporting life products.

Number or code which is attributed by the undertaking, corresponding to the unique number or code assigned to each fund. This number or code has to be consistent over time and shall be used to identify the same funds in other templates (e.g. in S.06.02). It shall not be re–used for a different fund.

C0080

Derivatives held in unit linked and index linked contracts

Identify the derivatives that are held by unit linked and index linked contracts. One of the options in the following closed list shall be used:

1 – Unit–linked or index–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 underlying instrument when the options above are not available and must be unique and consistent over time for that instrument;

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

If the underlying instrument is an index, then the code of the index shall be reported.

C0100

Type of code of asset or liability underlying the derivative

Type of ID Code used for the ‘Instrument underlying the derivative’ item. One of the options in the following closed list shall be used:

1 – ISO/6166 for 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 it corresponds to contract size multiplied by the trigger value and by the number of contracts reported in that line. For swaps and forwards it corresponds to the contract amount of the contracts reported in that line. When the trigger value corresponds to a range, the average value of the range shall be used.

The notional amount refers to the amount that is being hedged/invested (when not covering risks). If several trades occur, it shall be the net amount at the reporting date.

C0140

Buyer/Seller

Only for futures and options, swaps and credit derivatives contracts.

Identify whether the derivative contract was bought or sold.

The buyer and seller position for swaps is defined relative to the security or notional amount and the swap flows.

A seller of a swap owns the security or notional amount at the contract inception and agrees to deliver during the contract term that security or notional amount, including any other outflows related to the contract, when applicable.

A buyer of a swap shall own the security or the notional amount at the end of the derivatives contact and shall receive during the contract term that security or notional amount, including any other inflows related to the contract, when applicable.

One of the options in the following closed list shall be used, with the exception of Interest Rate Swaps:

1 – 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 up–front, and periodical premium amounts paid for swaps, since the moment the undertaking entered into the derivative contract.

C0160

Premium received to date

The payment received (if sold), for options and up–front, and periodical premium amounts received for swaps, since the moment the undertaking entered into the derivative contract.

C0170

Number of contracts

Number of similar derivative contracts reported in the line. It shall be the number of contracts entered into. For Over–TheCounter derivatives, e.g. one swap contract, ‘1’ shall be reported, if ten swaps with the same characteristics, ‘10’ shall be reported.

The number of contracts can be non-integer, when there is a need to split contracts.

The number of contracts shall be the ones outstanding at the reporting date.

C0180

Contract size

Number of underlying assets in the contract (e.g. for equity futures it is the number of equities to be delivered per derivative contract at maturity, for bond futures it is the reference amount underlying each contract).

The way the contract size is defined varies according with the type of instrument. For futures on equities it is common to find the contract size defined as a function of the number of shares underlying the contract.

For futures on bonds, it is the bond nominal amount underlying the contract.

Only applicable for futures and options.

C0190

Maximum loss under unwinding event

Maximum amount of loss if an unwinding event occurs. Applicable to CIC category F.

Where a credit derivative is 100 % collateralised, the maximum loss under an unwinding event is zero.

C0200

Swap outflow amount

Amount delivered under the swap contract (other than premiums), during the reporting period. Corresponds to interest paid for IRS and amounts delivered for currency swaps, credit swaps, total return swaps and other swaps.

In the cases where the settlement is made on a net basis only one of the items C0200 and C0210 shall be reported.

C0210

Swap inflow amount

Amount received under the swap contract (other than premiums), during the reporting period. Corresponds to interest received for IRS and amounts received for currency swaps, credit swaps, total return swaps and other swaps.

In the cases where the settlement is made on a net basis only one of the items C0200 and C0210 shall be reported.

C0220

Initial date

Identify the ISO 8601 (yyyy–mm–dd) code of the date when obligations under the contract come into effect.

When various dates occur for the same derivative, only the one regarding the first trade date of the derivative and only one row for each derivative (no different rows for each trade) reflecting the total amount invested in that derivative considering the different dates of trade shall be reported.

In case of novation, the novation date becomes the trade date for that derivative.

C0230

Duration

Derivative duration, defined as the residual modified duration, for derivatives for which a duration measure is applicable.

Calculated as the net duration between in and out flows from the derivative, when applicable.

C0240

Solvency II value

Value of the derivative as of the reporting date calculated as defined by Article 75 of Directive 2009/138/EC. It can be positive, negative or zero.

C0250

Valuation method

Identify the valuation method used when valuing derivatives. One of the options in the following closed list shall be used:

1 – quoted market price in active markets for the same assets or 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

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 shall correspond to the entity name in LEI database. When not available, it shall correspond to the legal name.

The following shall be considered:

—	Name of the exchange market for exchanged traded derivatives; 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.

In case ‘Multiple ECAI’ is reported in C0300 the most representative external rating shall be reported.

C0300

Nominated ECAI

Identify the credit assessment institution (ECAI) giving the external rating in C0290, by using the name of the ECAI as published on ESMA’s website. In case of ratings issued by subsidiaries of the ECAI the parent ECAI shall be reported (the reference is made to ESMA list of credit rating agencies registered or certified in accordance with Regulation (EC) No 1060/2009 on credit rating agencies).

—	This item shall be reported when External rating (C0290) is reported.

C0310

Credit quality step

Identify the credit quality step attributed to the counterparty of the derivative, as defined by Article 109a(1) of Directive 2009/138/EC. The credit quality step shall reflect any readjustments to the credit quality made internally by the undertakings that use the standard formula.

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).

C0330

Counterparty group

Only applicable to Over–The–Counter derivatives, regarding contractual counterparties other than an exchange market and Central Counterparty (CCP).

Name of the ultimate parent entity of counterparty. When available, this item shall correspond to the entity name in the Legal Entity Identifier (LEI) database. When not available, it shall correspond to the legal name.

C0340

Counterparty group code

Only applicable to Over–The–Counter derivatives, regarding contractual counterparties other than an exchange market and Central Counterparty (CCP).

Identification code of the counterparty using the following priority:

—	LEI when available

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

When non-applicable this item shall not be reported.

C0350

Type of counterparty group code

Identification of the code used for the ‘Counterparty group Code’ item. One of the options in the following closed list shall be used:

1 – LEI

2 – Specific code

C0360

Contract name

Name of the derivative contract.

C0370

Currency

The ISO 4217 alphabetic code of the currency of the derivative shall be identified, i.e. currency of the notional amount of the derivative (e.g. option to have having an underlying amount in USD, currency for which the notional amount is expressed contractually for FX swap).

C0371

Currency of price

The ISO 4217 alphabetic code of the currency of the price of the derivative shall be identified, i.e. currency of the amount exchanged against the notional amount of the derivative. For example, if the undertaking is paying (or receiving) currency A for the notional amount (currency B), the currency of the price is A. The currency of the notional amount is B, reported in (C0370).

C0380

CIC

Complementary Identification Code used to classify assets, as set out in Annex – VI CIC Table of this Regulation. When classifying derivatives using the CIC table, undertakings shall take into consideration the most representative risk to which the derivative is exposed to.

C0390

Trigger value

Reference price for futures, strike price for options (for bonds, price shall be a percentage of the par amount), currency exchange rate or interest rate for forwards, etc.

Not applicable to CIC D3 – Interest rate and currency swaps. For CIC F1 – Credit default swaps it shall not be completed if not possible.

In the case of more than one trigger over time, report the next trigger occurring.

When the derivative has a range of trigger values, report the set separated by comma ‘,’ if the range is not continuous and report the range separated by ‘–’ if it is continuous.

C0400

Unwind trigger of contract

The event that causes the unwinding of the contract, out of the regular expiration or term conditions, shall be identified. One of the options in the following closed list shall be used:

1 – Bankruptcy of the underlying or reference 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 the annual submission of information for groups.

This template contains information on gains/income and losses by asset category (including derivatives). i.e., no item–by–item reporting is required. The asset categories considered in this template are the ones defined in Annex IV – Assets Categories.

At group level, the template is applicable for method 1 (Accounting consolidation–based method), method 2 (Deduction and aggregation method) and a combination of methods 1 and 2.

Where method 1 is used exclusively, the reporting shall reflect the consolidated position of the portfolios (i.e. net of IGT) within the scope of group supervision. The reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;

—	Gains/income and losses of portfolios held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported portfolio by portfolio, each by asset category;

—	Gains/income and losses of portfolios held undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported portfolio by portfolio, each by asset category;

—	Gains/income and losses of portfolios held by other related undertakings shall not be included;

Where method 2 is used exclusively, the reporting shall include the detailed list of the portfolios held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies and its subsidiaries and their profitability by asset category. The reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;

—	Gains/income and losses of portfolios held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported portfolio by portfolio, each by asset category;

—	Gains/income and losses of portfolios held by subsidiaries (EEA, equivalent non –EEA, non–equivalent non–EEA) shall be reported portfolio by portfolio, each by asset category;

—	Gains/income and losses of portfolios held by other related undertakings shall not be included;

Where a combination of methods 1 and 2 is used, one part of the reporting shall reflect the consolidated position of the portfolios (i.e. net of IGT) within the scope of group supervision which must be reported and the other part of the reporting shall include the detailed list of the portfolios held by subsidiaries and their profitability by asset category.

The first part of the reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;

—	Gains/income and losses of portfolios held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported portfolio by portfolio, each by asset category;

—	Gains/income and losses of portfolios held undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported portfolio by portfolio, each by asset category;

—	Gains/income and losses of portfolios held by other related undertakings shall not be included;

The second part of the reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;

—	Gains/income and losses of portfolios held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported portfolio by portfolio, each by asset category;

—	Gains/income and losses of portfolios held by subsidiaries (EEA, equivalent non –EEA, non–equivalent non–EEA) shall be reported portfolio by portfolio, each by asset category;

—	Gains/income and losses of portfolios held by other related undertakings shall not be included.

Items shall be reported with positive values unless otherwise stated in the respective instructions.

ITEM

INSTRUCTIONS

C0010

Legal name of the undertaking

Identify the legal name of the undertaking within the scope of group supervision for which the return on investment relates to.

This item shall be filled in only when it relates to the return on investment by asset category for assets held by subsidiaries consolidated under deduction and aggregation method.

The cell shall be filled in only when it relates to the list portfolio by portfolio of assets, each reported by asset category, held by subsidiaries under method 2.

When the cell is filled in, the portfolios held by subsidiaries under method 2 cannot be reconciled with template S.06.02.

When the cell is blank, the portfolios held by the group can be reconciled with template S.06.02.

C0020

Identification code of the undertaking

Identification code by this order of priority:

—	Legal Entity Identifier (LEI) mandatory if existing;

—	Specific code in case of absence of LEI code.

Specific code:

—	For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;

—

identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits

C0030

Type of code of the ID of the undertaking

Type of ID Code used for the ‘Identification code of the undertaking’ item. One of the options in the following closed list shall be used:

1 – LEI

2 – Specific code

C0040

Asset category

Identify the asset categories present in the portfolio.

Use the categories defined in Annex IV – Assets Categories.

C0050

Portfolio

Distinction between life, non–life, shareholder’s funds, general (no split) and ring-fenced funds.

Gains/income and losses regarding assets underlying life technical provisions shallbe assigned to life portfolio and gains/income and losses regarding assets underlying non-life technical provisions shall be assigned to non-life portfolio (by applying the available most precise split).

One of the options in the following closed list shall be used:

1 – Life

2 – Non–life

3 – Ring fenced funds

4 – Other internal funds

5 – Shareholders’ funds

6 – General

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 the annual submission of information for groups.

This template contains an item–by–item list of securities lending transactions and repurchase agreements (buyer and seller) contracts, which also include the liquidity swaps referred to in Article 309(2)(f) of Delegated Regulation (EU) 2015/35.

It shall be reported only when the value of the underlying securities on and off-balance sheet involved in lending or repurchase agreements, with maturity date falling after the reporting reference date represent more than 5 % of the total investments as reported in C0010/R0070 and C0010/R0220 of template S.02.01. when method 1 as defined in Article 230 of Directive 2009/138/EC is used exclusively. When method 1 is used in combination with method 2 as defined in Article 233 of Directive 2009/138/EC or method 2 is used exclusively the ratio needs to be adjusted in order to capture the items of all entities included in the scope of template S.06.02.

All contracts that are on the balance sheet or off-balance sheet shall be reported. The information shall include all contracts in the reporting period regardless of whether they were open or closed at the reporting date. For contracts which are part of a roll–over strategy, where they substantially are the same transaction, only open positions shall be reported.

A repurchase agreement (repo) is defined as the sale of securities together with an agreement for the seller to buy back the securities at a later date. Securities lending is defined as the lending of securities by one party to another, which requires that the borrower provides the lender with collateral.

Items shall be reported with positive values unless otherwise stated in the respective instructions.

Each repo and securities lending contract shall be reported in as many rows as needed to provide the information requested. If for one item one option fits one part of the instrument being reported and a different option fits the other part, then the contract needs to be unbundled unless is stated otherwise in the instructions.

The template is applicable for method 1 (Accounting consolidation–based method), method 2 (Deduction and aggregation method) and a combination of methods 1 and 2.

Where method 1 is used exclusively, the reporting shall reflect the consolidated position of the repos and securities lending contracts net of intra–group transactions held within the scope of group supervision. The reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;

—	The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;

—	The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;

—	The repurchase agreements and securities lending contracts held by other related undertakings shall not be included.

Where method 2 is used exclusively, the reporting shall include the detailed list of the repos and securities lending contracts held by the participating undertakings, the insurance holding companies or mixed–financial holding companies and its subsidiaries, regardless of the proportional share used. The reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;

—	The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;

—

The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item;

—	The repurchase agreements and securities lending contracts held by other related undertakings shall not be included.

Where a combination of methods 1 and 2 is used, one part of the reporting shall reflect the consolidated position of the repos and securities lending contracts, net of intra–group transactions, held within the scope of group supervision which must be reported and the other part of the reporting shall include the detailed list of the repos and securities lending contracts held by the participating undertakings, the insurance holding companies or mixed–financial holding companies and its subsidiaries, regardless of the proportional share used.

The first part of the reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;

—	The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;

—	The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;

—	The repurchase agreements and securities lending contracts held by other related undertakings shall not be included.

The second part of the reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;

—	The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies under method 2 shall be reported item by item;

—

The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis)by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries under method 2 (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item;

—	The repurchase agreements and securities lending contracts held by other related undertakings under method 2 shall not be included.

ITEM

INSTRUCTIONS

C0010

Legal name of the undertaking

Identify the legal name of the undertaking within the scope of group supervision that holds the repo and securities lending.

This item shall be filled in only when it relates to the repos and securities lending contracts held by participating undertakings, insurance holding companies or mixed–financial holding companies and subsidiaries under deduction and aggregation method.

C0020

Identification code of the undertaking

Identification code by this order of priority:

—	Legal Entity Identifier (LEI) mandatory if existing;

—	Specific code in case of absence of LEI code.

Specific code:

—	For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;

—

identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits

C0030

Type of code of the ID of the undertaking

Type of ID Code used for the ‘Identification code of the undertaking’ item. One of the options in the following closed list shall be used:

1 – LEI

2 – Specific code

C0040

Portfolio

Distinction between life, non–life, shareholder’s funds, general (no split) and ring-fenced funds. Underlying assets of life technical provisions shall be assigned to life portfolio and underlying assets of non-life technical provisions shall be assigned to non-life portfolio (by applying the available most precise split).

One of the options in the following closed list shall be used:

1 – Life

2 – Non–life

3 – Ring fenced funds

4 – Other internal fund

5 – Shareholders’ funds

6 – General

For assets held off–balance sheet this item shall not be reported.

C0050

Fund number

Applicable to assets held in ring fenced funds or other internal funds, defined according to national markets, in particular regarding funds (asset portfolios) supporting life products.

Number or code which is attributed by the undertaking, corresponding to the unique number or code assigned to each fund. This number or code has to be consistent over time and shall be used to identify the same funds in other templates (e.g. in S.06.02). It shall not be re–used for a different fund.

The Fund Number is not mandatory, unless otherwise required by the national supervisory authority.

C0060

Asset category

Identify the asset categories of the underlying asset lent/provided as part of a securities lending transactions or repurchase agreements).

Use the categories defined in Annex IV – Assets Categories of this Regulation.

C0070

Counterparty Name

Name of the counterparty of the contract.

When available, this item corresponds to the entity name in the LEI database. When not available, corresponds to the legal name.

C0080

Counterparty code

Identification code of the counterparty using the Legal Entity Identifier (LEI) if available.

If none is available, this item shall not be reported.

C0090

Type of counterparty code

Identification of the code used for the ‘Counterparty Code’ item. One of the options in the following closed list shall be used:

1 – 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 the annual submission of information for groups.

This template shall be reported annually when the ratio of the value of assets held as collateral to total balance sheet exceeds 10 %.

The pool of assets that secure the investment (e.g. the pool of asset that are a collateral for covered bonds) shall not be reported in this template. The collateral covering reinsurance receivables shall be reported in S.11.01 template.

This template contains an item–by–item list of off–balance sheet assets held as collateral for covering balance sheet at the end of the reporting period. Collaterals are considered ‘held’ when the undertakings included in the scope described below or one of undertakings that are part of the group has the ‘right of direct access to the collateral’, so the collateral has been committed to the entity and it is individually identifiable.

It consists of detailed information from the perspective of the assets held as collateral and not from the perspective of the collateral arrangement.

If there is a pool of collaterals or a collateral arrangement comprising multiple assets, as many rows as the assets in the pool or arrangement shall be reported.

This template comprises two tables: Information on positions held and Information on assets.

On the table Information on positions held, each asset held as collateral shall be reported separately in as many rows as needed in order to properly fill in all variables requested in that table. If for the same asset two values can be attributed to one variable, then this asset needs to be reported in more than one line. Real estate held as collateral of the mortgages related to individuals shall be reported in one single line.

On the table Information on assets, each asset held as collateral shall be reported separately, with one row for each asset, filling in all variables requested in that table.

All items except items ‘Type of asset for which the collateral is held’ (C0140), ‘Name of the counterparty pledging the collateral’ (C0060) and ‘Name of the group of the counterparty pledging the collateral’ (C0070) relate to information on the assets held as collateral. Item C0140 relates to the asset on the balance sheet for which the collateral is held while items C0060 and C0070 relate to the counterparty pledging the collateral.

Template S.11.01 includes the off-balance sheet assets held as collateral for covering balance sheet assets held directly by the undertaking and these amounts shall in fact be also reported in S.03.01 in C0020/R0100 to R0130.

The template is applicable for method 1 (Accounting consolidation–based method), method 2 (Deduction and aggregation method) and a combination of methods 1 and 2.

Where method 1 is used exclusively, the reporting shall reflect the consolidated position of the assets held as collateral within the scope of group supervision net of intra–group transactions. The reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;

—	The assets held directly (i.e. not on a look–through basis) as collateral by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;

—	The assets held directly (i.e. not on a look–through basis) as collateral by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;

—	The assets held as collateral by other related undertakings shall not be included.

Where method 2 is used exclusively, the reporting shall include the detailed list of the assets held as collateral by the participating undertakings, the insurance holding companies and subsidiaries, regardless of the proportional share used. The reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;

—	The assets held directly (i.e. not on a look-through basis) as collateral by participating insurance and reinsurance undertakings or insurance holding companies or mixed-financial holding companies under method 2 shall be reported item by item;

—

The assets held directly (i.e. not on a look–through basis) as collateral by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item by undertaking;

—	The assets held as collateral by other related undertakings shall not be included.

Where a combination of methods 1 and 2 is used, one part of the reporting shall reflect the consolidated position of the assets held as collateral within the scope of group supervision, net of intra–group transactions, which must be reported and the other part of the reporting shall include the detailed list of the assets held as collateral by the participating undertakings, the insurance holding companies or mixed–financial holding companies and subsidiaries, regardless of the proportional share used.

The first part of the reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;

—	The assets held directly (i.e. not on a look–through basis) as collateral by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;

—	The assets held directly (i.e. not on a look–through basis) as collateral by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;

—	The assets held as collateral by other related undertakings shall not be included.

The second part of the reporting shall be made as follows:

—	Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;

—	The assets held directly (i.e. not on a look–through basis) as collateral by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;

—

The assets held directly (i.e. not on a look–through basis) as collateral by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries under method 2 (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item by undertaking;

—	The assets held as collateral by other related undertakings under method 2 shall not be included.

ITEM

INSTRUCTIONS

Information on positions held

C0010

Legal name of the undertaking

Identify the legal name of the undertaking within the scope of group supervision that holds the asset as collateral.

This item shall be filled in only when it relates to assets held as collateral by participating undertakings, insurance holding companies, mixed–financial holding companies and subsidiaries under deduction and aggregation method.

C0020

Identification code of the undertaking

Identification code by this order of priority:

—	Legal Entity Identifier (LEI) mandatory if existing;

—	Specific code in case of absence of LEI code.

Specific code:

—	For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;

—

identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits

C0030

Type of code of the ID of the undertaking

Type of ID Code used for the ‘Identification code of the undertaking’ item. One of the options in the following closed list shall be used:

1 – LEI

2 – Specific code

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

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

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

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

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

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.

—

C0160

Issuer Name

Name of the issuer, defined as entity that issues assets to investors, representing part of its capital, part of its debt, derivatives, etc.

When available, this item corresponds to the entity name in the LEI database. When not available, corresponds to the legal name.

The following shall be considered:

—	Regarding CIC category 4 – Collective Investments Undertakings, the issuer name is the name of the fund manager;

—	Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer name is the name of the depositary 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 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.22.01 – Impact of long-term guarantees measures and transitionals

General comments:

This section relates to the annual submission of information for groups.

This template is relevant when at least one long-term guarantee measure or transitional is used by any undertaking within the scope of group supervision.

This template shall reflect the impact on the financial positions when no transitional is used and each LTG measures or transitional is set to zero. For that purpose, a step–by–step approach should be followed taking out each transitional and LTG measure one by one and without recalculating the impact of the remaining measures after each step. As it is possible within a group for both types of transitional measure to be applied the template follows a cumulative step by step approach.

The impacts need to be reported positive if they increase the amount of the item being reported and negative if they decrease the amount of the item (e.g. if amount of SCR increases or if amount of Own Funds increases then positive values shall be reported).

The amounts reported in this template shall be net of Intra Group Transactions.

	ITEM	INSTRUCTIONS
C0010/R0010	Amount with LTG measures and transitionals – Technical Provisions	Total amount of gross technical provisions including long-term guarantee measures and transitional measures
C0020/R0010	Without transitional on technical provisions – Technical Provisions	Total amount of gross technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping adjustments due to the volatility adjustment and the matching adjustment. If transitional deduction to technical provisions is not applicable report the same amount as in C0010.
C0030/R0010	Impact of transitional on technical provisions – Technical provisions	Amount of the adjustment to the gross technical provisions due to the application of the transitional deduction to technical provisions. It shall be the difference between the technical provisions without transitional deduction to technical provisions and the technical provisions with LTG and transitional measures.
C0040/R0010	Without transitional on interest rate – Technical Provisions	Total amount of gross technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping adjustments due to the volatility adjustment and the matching adjustment. If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020.
C0050/R0010	Impact of transitional on interest rate – Technical provisions	Amount of the adjustment to the gross technical provisions due to the application of the transitional adjustment to the relevant risk-free interest rate term structure. It shall be the difference between the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the technical provisions with LTG and transitional measures.
C0060/R0010	Without volatility adjustment and without other transitional measures – Technical Provisions	Total amount of gross technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping adjustments due to the matching adjustment, if any. If volatility adjustment is not applicable report the same amount as in C0040.
C0070/R0010	Impact of volatility adjustment set to zero – Technical provisions	Amount of the adjustment to the gross technical provisions due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero. It shall be the difference between the technical provisions without volatility adjustment and without other transitional measures and the maximum between the technical provisions reported under C0010, C0020 and C0040.
C0080/R0010	Without matching adjustment and without all the others – Technical Provisions	Total amount of gross technical provisions without any LTG measure. If matching adjustment is not applicable report the same amount as in C0060.
C0090/R0010	Impact of matching adjustment set to zero – Technical Provisions	Amount of the adjustment to the gross technical provisions due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero. It shall be the difference between the technical provisions without matching adjustment and without all the other transitional measures and the maximum between the technical provisions reported under C0010, C0020, C0040 and C0060.
C0100/R0010	Impact of all LTG measures and transitionals – Technical Provisions	Amount of the adjustment to the gross technical provisions due to the application of the LTG measures and transitionals.
C0010/R0020	Amount with LTG measures and transitionals – Basic own funds	Total amount of basic own funds calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures.
C0020/R0020	Without transitional on technical provisions – Basic own funds	Total amount of basic own funds calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment. If transitional deduction to technical provisions is not applicable report the same amount as in C0010.
C0030/R0020	Impact of transitional on technical provisions – Basic own funds	Amount of the adjustment to the Basic own funds due to the application of the transitional deduction to technical provisions. It shall be the difference between the basic own funds calculated considering the technical provisions without transitional deduction to technical provisions and the basic own funds calculated with the technical provisions with LTG and transitional measures.
C0040/R0020	Without transitional on interest rate – Basic own funds	Total amount of basic own funds calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment. If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020.
C0050/R0020	Impact of transitional on interest rate – Basic own funds	Amount of the adjustment to the basic own funds due to the application of the transitional adjustment to the relevant risk-free interest rate term structure. It shall be the difference between the basic own funds calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the basic own funds calculated with the technical provisions reported under C0020.
C0060/R0020	Without volatility adjustment and without other transitional measures – Basic own funds	Total amount of basic own funds calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment. If volatility adjustment is not applicable report the same amount as in C0040.
C0070/R0020	Impact of volatility adjustment set to zero – Basic own funds	Amount of the adjustment to the Basic own funds due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero. It shall be the difference between the basic own funds calculated considering the technical provisions without volatility adjustment and without other transitional measures and the basic own funds calculated with the technical provisions reported under C0040.
C0080/R0020	Without matching adjustment and without all the others – Basic own funds	Total amount of basic own funds calculated considering technical provisions without any LTG measure. If matching adjustment is not applicable report the same amount as in C0060.
C0090/R0020	Impact of matching adjustment set to zero – Basic own funds	Amount of the adjustment to the basic own funds due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero. It shall be the difference between the basic own funds calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the basic own funds calculated with the technical provisions reported under C0060.
C0100/R0020	Impact of all LTG measures and transitionals – Basic own funds	Amount of the adjustment to the basic own funds due to the application of the LTG measures and transitionals.
C0010/R0030	Amount with LTG measures and transitionals – Basic own funds – Excess of assets over liabilities	Total amount of excess of assets over liabilities calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures.
C0020/R0030	Without transitional on technical provisions – Basic own funds – Excess of assets over liabilities	Total amount of excess of assets over liabilities calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment. If transitional deduction to technical provisions is not applicable report the same amount as in C0010.
C0030/R0030	Impact of transitional on technical provisions – Basic own funds – Excess of assets over liabilities	Amount of the adjustment to the excess of assets over liabilities due to the application of the transitional deduction to technical provisions. It shall be the difference between the excess of assets over liabilities calculated considering the technical provisions without transitional deduction to technical provisions and the excess of assets over liabilities calculated with the technical provisions with LTG and transitional measures.
C0040/R0030	Without transitional on interest rate – Basic own funds – Excess of assets over liabilities	Total amount of excess of assets over liabilities calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment. If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020.
C0050/R0030	Impact of transitional on interest rate – Basic own funds – Excess of assets over liabilities	Amount of the adjustment to the excess of assets over liabilities due to the application of the transitional adjustment to the relevant risk-free interest rate term structure. It shall be the difference between the excess of assets over liabilities calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the excess of assets over liabilities calculated with the technical provisions reported under C0020.
C0060/R0030	Without volatility adjustment and without other transitional measures – Basic own funds – Excess of assets over liabilities	Total amount of excess of assets over liabilities calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment. If volatility adjustment is not applicable report the same amount as in C0040.
C0070/R0030	Impact of volatility adjustment set to zero – Basic own funds – Excess of assets over liabilities	Amount of the adjustment to the excess of assets over liabilities due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero. It shall be the difference between the excess of assets over liabilities calculated considering the technical provisions without volatility adjustment and without other transitional measures and the excess of assets over liabilities calculated with the technical provisions reported under C0040.
C0080/R0030	Without matching adjustment and without all the others – Basic own funds – Excess of assets over liabilities	Total amount of excess of assets over liabilities calculated considering Technical provisions without any LTG measure. If matching adjustment is not applicable report the same amount as in C0060.
C0090/R0030	Impact of matching adjustment set to zero – Basic own funds – Excess of assets over liabilities	Amount of the adjustment to the excess of assets over liabilities due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero. It shall be the difference between the excess of assets over liabilities calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the excess of assets over liabilities calculated with the technical provisions reported under C0060.
C0100/R0030	Impact of all LTG measures and transitionals – Basic own funds – Excess of assets over liabilities	Amount of the adjustment to the excess of assets over liabilities due to the application of the LTG measures and transitionals.
C0010/R0040	Amount with LTG measures and transitionals – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio	Total amount of restricted own funds due to ring–fencing calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures.
C0020/R0040	Without transitional on technical provisions – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio	Total amount of restricted own funds due to ring–fencing calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment. If transitional deduction to technical provisions is not applicable report the same amount as in C0010.
C0030/R0040	Impact of transitional on technical provisions – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio	Amount of the adjustment to the restricted own funds due to ring–fencing due to the application of the transitional deduction to technical provisions. It shall be the difference between the restricted own funds due to ring–fencing calculated considering the technical provisions without transitional deduction to technical provisions and the restricted own funds due to ring–fencing calculated with the technical provisions with LTG and transitional measures.
C0040/R0040	Without transitional on interest rate – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio	Total amount of restricted own funds due to ring–fencing calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment. If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020.
C0050/R0040	Impact of transitional on interest rate – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio	Amount of the adjustment to the restricted own funds due to ring–fencing due to the application of the transitional adjustment to the relevant risk-free interest rate term structure. It shall be the difference between the restricted own funds due to ring–fencing calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the restricted own funds due to ring–fencing calculated with the technical provisions reported under C0020.
C0060/R0040	Without volatility adjustment and without other transitional measures – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio	Total amount of restricted own funds due to ring–fencing calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment. If volatility adjustment is not applicable report the same amount as in C0040.
C0070/R0040	Impact of volatility adjustment set to zero – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio	Amount of the adjustment to the restricted own funds due to ring–fencing due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero. It shall be the difference between the restricted own funds due to ring–fencing calculated considering the technical provisions without volatility adjustment and without other transitional measures and the restricted own funds due to ring–fencing calculated with the technical provisions reported under C0040.
C0080/R0040	Without matching adjustment and without all the others – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio	Total amount of restricted own funds due to ring–fencing calculated considering technical provisions without any LTG measure. If matching adjustment is not applicable report the same amount as in C0060.
C0090/R0040	Impact of matching adjustment set to zero – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio	Amount of the adjustment to the restricted own funds due to ring–fencing due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero. It shall be the difference between the restricted own funds due to ring–fencing calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the restricted own funds due to ring–fencing calculated with the technical provisions reported under C0060.
C0100/R0040	Impact of all LTG measures and transitionals – Basic own funds – Restricted own funds due to ring–fencing and matching portfolio	Amount of the adjustment to the restricted own funds due to ring–fencing due to the application of the LTG measures and transitionals.
C0010/R0050	Amount with LTG measures and transitionals – Eligible own funds to meet SCR	Total amount of eligible own funds to meet SCR calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures.
C0020/R0050	Without transitional on technical provisions – Eligible own funds to meet SCR	Total amount of eligible own funds to meet SCR calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment. If transitional deduction to technical provisions is not applicable report the same amount as in C0010.
C0030/R0050	Impact of transitional on technical provisions – Eligible own funds to meet SCR	Amount of the adjustment to the eligible own funds to meet SCR due to the application of the transitional deduction to technical provisions. It shall be the difference between the eligible own funds to meet SCR calculated considering the technical provisions without transitional deduction to technical provisions and the eligible own funds to meet SCR calculated with the technical provisions with LTG and transitional measures.
C0040/R0050	Without transitional on interest rate – Eligible own funds to meet SCR	Total amount of eligible own funds to meet SCR calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment. If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020.
C0050/R0050	Impact of transitional on interest rate – Eligible own funds to meet SCR	Amount of the adjustment to the eligible own funds to meet SCR due to the application of the transitional adjustment to the relevant risk-free interest rate term structure. It shall be the difference between the eligible own funds to meet SCR calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the eligible own funds to meet SCR calculated with the technical provisions reported under C0020.
C0060/R0050	Without volatility adjustment and without other transitional measures – Eligible own funds to meet SCR	Total amount of eligible own funds to meet SCR calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment. If volatility adjustment is not applicable report the same amount as in C0040.
C0070/R0050	Impact of volatility adjustment set to zero – Eligible own funds to meet SCR	Amount of the adjustment to the eligible own funds to meet SCR due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero. It shall be the difference between the eligible own funds to meet SCR calculated considering the technical provisions without volatility adjustment and without other transitional measures and the eligible own funds to meet SCR calculated with the technical provisions reported under C0040.
C0080/R0050	Without matching adjustment and without all the others – Eligible own funds to meet SCR	Total amount of eligible own funds to meet SCR calculated considering technical provisions without any LTG measure. If matching adjustment is not applicable report the same amount as in C0060.
C0090/R0050	Impact of matching adjustment set to zero – Eligible own funds to meet SCR	Amount of the adjustment to the eligible own funds to meet SCR due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero. It shall be the difference between the eligible own funds to meet SCR calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the eligible own funds to meet SCR calculated with the technical provisions reported under C0060.
C0100/R0050	Impact of all LTG measures and transitionals – Eligible own funds to meet SCR	Amount of the adjustment to the eligible own funds to meet SCR due to the application of the LTG measures and transitionals.
C0010/R0060	Amount with LTG measures and transitionals – Eligible own funds to meet SCR–Tier 1	Total amount of eligible own funds to meet SCR–Tier 1 calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures.
C0020/R0060	Without transitional on technical provisions – Eligible own funds to meet SCR–Tier 1	Total amount of eligible own funds to meet SCR–Tier 1 calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment. If transitional deduction to technical provisions is not applicable report the same amount as in C0010.
C0030/R0060	Impact of transitional on technical provisions – Eligible own funds to meet SCR–Tier 1	Amount of the adjustment to the eligible own funds to meet SCR–Tier 1 due to the application of the transitional deduction to technical provisions. It shall be the difference between the eligible own funds to meet SCR–Tier 1 calculated considering the technical provisions without transitional deduction to technical provisions and the eligible own funds to meet SCR–Tier 1 calculated with the technical provisions with LTG and transitional measures.
C0040/R0060	Without transitional on interest rate – Eligible own funds to meet SCR–Tier 1	Total amount of eligible own funds to meet SCR–Tier 1 calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment. If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020.
C0050/R0060	Impact of transitional on interest rate – Eligible own funds to meet SCR–Tier 1	Amount of the adjustment to the eligible own funds to meet SCR–Tier 1 due to the application of the transitional adjustment to the relevant risk-free interest rate term structure. It shall be the difference between the eligible own funds to meet SCR–Tier 1 calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the eligible own funds to meet SCR–Tier 1 calculated with the technical provisions reported under C0020.
C0060/R0060	Without volatility adjustment and without other transitional measures – Eligible own funds to meet SCR–Tier 1	Total amount of eligible own funds to meet SCR–Tier 1 calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment. If volatility adjustment is not applicable report the same amount as in C0040.
C0070/R0060	Impact of volatility adjustment set to zero – Eligible own funds to meet SCR–Tier 1	Amount of the adjustment to the eligible own funds to meet SCR–Tier 1 due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero. It shall be the difference between the eligible own funds to meet SCR–Tier 1 calculated considering the technical provisions without volatility adjustment and without other transitional measures and the eligible own funds to meet SCR–Tier 1 calculated with the technical provisions reported under C0040.
C0080/R0060	Without matching adjustment and without all the others – Eligible own funds to meet SCR–Tier 1	Total amount of eligible own funds to meet SCR–Tier 1 calculated considering technical provisions without any LTG measure. If matching adjustment is not applicable report the same amount as in C0060.
C0090/R0060	Impact of matching adjustment set to zero – Eligible own funds to meet SCR–Tier 1	Amount of the adjustment to the eligible own funds to meet SCR–Tier 1 due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero. It shall be the difference between the eligible own funds to meet SCR–Tier 1 calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the eligible own funds to meet SCR–Tier 1 calculated with the technical provisions reported under C0060.
C0100/R0060	Impact of all LTG measures and transitionals – Eligible own funds to meet SCR–Tier 1	Amount of the adjustment to the eligible own funds to meet SCR–Tier 1 due to the application of the LTG measures and transitionals.
C0010/R0070	Amount with LTG measures and transitionals – Eligible own funds to meet SCR–Tier 2	Total amount of eligible own funds to meet SCR–Tier 2 calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures.
C0020/R0070	Without transitional on technical provisions – Eligible own funds to meet SCR–Tier 2	Total amount of eligible own funds to meet SCR–Tier 2 calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment. If transitional deduction to technical provisions is not applicable report the same amount as in C0010.
C0030/R0070	Impact of transitional on technical provisions – Eligible own funds to meet SCR–Tier 2	Amount of the adjustment to the eligible own funds to meet SCR–Tier 2 due to the application of the transitional deduction to technical provisions. It shall be the difference between the eligible own funds to meet SCR–Tier 2 calculated considering the technical provisions without transitional deduction to technical provisions and the eligible own funds to meet SCR–Tier 2 calculated with the technical provisions with LTG and transitional measures.
C0040/R0070	Without transitional on interest rate – Eligible own funds to meet SCR–Tier 2	Total amount of eligible own funds to meet SCR–Tier 2 calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment. If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020.
C0050/R0070	Impact of transitional on interest rate – Eligible own funds to meet SCR–Tier 2	Amount of the adjustment to the eligible own funds to meet SCR–Tier 2 due to the application of the transitional adjustment to the relevant risk-free interest rate term structure. It shall be the difference between the eligible own funds to meet SCR–Tier 2 calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the eligible own funds to meet SCR–Tier 2 calculated with the technical provisions reported under C0020.
C0060/R0070	Without volatility adjustment and without other transitional measures – Eligible own funds to meet SCR–Tier 2	Total amount of eligible own funds to meet SCR–Tier 2 calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment. If volatility adjustment is not applicable report the same amount as in C0040.
C0070/R0070	Impact of volatility adjustment set to zero – Eligible own funds to meet SCR–Tier 2	Amount of the adjustment to the eligible own funds to meet SCR–Tier 2 due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero. It shall be the difference between the eligible own funds to meet SCR–Tier 2 calculated considering the technical provisions without volatility adjustment and without other transitional measures and the eligible own funds to meet SCR–Tier 2 calculated with the technical provisions reported under C0040.
C0080/R0070	Without matching adjustment and without all the others – Eligible own funds to meet SCR–Tier 2	Total amount of eligible own funds to meet SCR–Tier 2 calculated considering technical provisions without any LTG measure. If matching adjustment is not applicable report the same amount as in C0060.
C0090/R0070	Impact of matching adjustment set to zero – Eligible own funds to meet SCR–Tier 2	Amount of the adjustment to the eligible own funds to meet SCR–Tier 2 due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero. It shall be the difference between the eligible own funds to meet SCR–Tier 2 calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the eligible own funds to meet SCR–Tier 2 calculated with the technical provisions reported under C0060.
C0100/R0070	Impact of all LTG measures and transitionals – Eligible own funds to meet SCR–Tier 2	Amount of the adjustment to the eligible own funds to meet SCR–Tier 2 due to the application of the LTG measures and transitionals.
C0010/R0080	Amount with LTG measures and transitionals – Eligible own funds to meet SCR–Tier 3	Total amount of eligible own funds to meet SCR–Tier 3 calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures.
C0020/R0080	Without transitional on technical provisions – Eligible own funds to meet SCR–Tier 3	Total amount of eligible own funds to meet SCR–Tier 3 calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment. If transitional deduction to technical provisions is not applicable report the same amount as in C0010.
C0030/R0080	Impact of transitional on technical provisions – Eligible own funds to meet SCR–Tier 3	Amount of the adjustment to the eligible own funds to meet SCR–Tier 3 due to the application of the transitional deduction to technical provisions. It shall be the difference between the eligible own funds to meet SCR–Tier 3 calculated considering the technical provisions without transitional deduction to technical provisions and the eligible own funds to meet SCR–Tier 3 calculated with the technical provisions with LTG and transitional measures.
C0040/R0080	Without transitional on interest rate – Eligible own funds to meet SCR–Tier 3	Total amount of eligible own funds to meet SCR–Tier 3 calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment. If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020.
C0050/R0080	Impact of transitional on interest rate – Eligible own funds to meet SCR–Tier 3	Amount of the adjustment to the eligible own funds to meet SCR–Tier 3 due to the application of the transitional adjustment to the relevant risk-free interest rate term structure. It shall be the difference between the eligible own funds to meet SCR–Tier 3 calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the eligible own funds to meet SCR–Tier 3 calculated with the technical provisions reported under C0020.
C0060/R0080	Without volatility adjustment and without other transitional measures – Eligible own funds to meet SCR–Tier 3	Total amount of eligible own funds to meet SCR–Tier 3 calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment. If volatility adjustment is not applicable report the same amount as in C0040.
C0070/R0080	Impact of volatility adjustment set to zero – Eligible own funds to meet SCR–Tier 3	Amount of the adjustment to the eligible own funds to meet SCR–Tier 3 due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero. It shall be the difference between the eligible own funds to meet SCR–Tier 3 calculated considering the technical provisions without volatility adjustment and without other transitional measures and the eligible own funds to meet SCR–Tier 3 calculated with the technical provisions reported under C0040.
C0080/R0080	Without matching adjustment and without all the others – Eligible own funds to meet SCR–Tier 3	Total amount of eligible own funds to meet SCR–Tier 3 calculated considering technical provisions without any LTG measure. If matching adjustment is not applicable report the same amount as in C0060.
C0090/R0080	Impact of matching adjustment set to zero – Eligible own funds to meet SCR–Tier 3	Amount of the adjustment to the eligible own funds to meet SCR–Tier 3 due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero. It shall be the difference between the eligible own funds to meet SCR–Tier 3 calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the eligible own funds to meet SCR–Tier 3 calculated with the technical provisions reported under C0060.
C0100/R0080	Impact of all LTG measures and transitionals – Eligible own funds to meet SCR–Tier 3	Amount of the adjustment to the eligible own funds to meet SCR–Tier 3 due to the application of the LTG measures and transitionals.
C0010/R0090	Amount with LTG measures and transitionals – SCR	Total amount of SCR calculated considering technical provisions including the adjustments due to the long-term guarantee measures and transitional measures
C0020/R0090	Without transitional on technical provisions – SCR	Total amount of SCR calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment. If transitional deduction to technical provisions is not applicable report the same amount as in C0010.
C0030/R0090	Impact of transitional on technical provisions – SCR	Amount of the adjustment to the SCR due to the application of the transitional deduction to technical provisions. It shall be the difference between the SCR calculated considering the technical provisions without transitional deduction to technical provisions and the SCR calculated with the technical provisions with LTG and transitional measures.
C0040/R0090	Without transitional on interest rate – SCR	Total amount of SCR calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment. If transitional adjustment to the relevant risk-free interest rate term structure is not applicable report the same amount as in C0020.
C0050/R0090	Impact of transitional on interest rate – SCR	Amount of the adjustment to the SCR due to the application of the transitional adjustment to the relevant risk-free interest rate term structure. It shall be the difference between the SCR calculated considering the technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and the SCR calculated with the technical provisions reported under C0020.
C0060/R0090	Without volatility adjustment and without other transitional measures – SCR	Total amount of SCR calculated considering Technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment. If volatility adjustment is not applicable report the same amount as in C0040.
C0070/R0090	Impact of volatility adjustment set to zero – SCR	Amount of the adjustment to the SCR due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero. It shall be the difference between the SCR calculated considering the technical provisions without volatility adjustment and without other transitional measures and the SCR calculated with the technical provisions reported under C0040.
C0080/R0090	Without matching adjustment and without all the others – SCR	Total amount of SCR calculated considering Technical provisions without any LTG measure. If matching adjustment is not applicable report the same amount as in C0060.
C0090/R0090	Impact of matching adjustment set to zero – SCR	Amount of the adjustment to the SCR due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero. It shall be the difference between the SCR calculated considering the technical provisions without matching adjustment and without all the other transitional measures and the SCR calculated with the technical provisions reported under C0060.
C0100/R0090	Impact of all LTG measures and transitionals – SCR	Amount of the adjustment to the SCR due to the application of the LTG measures and transitionals.
C0010-C0100/R0120	With LTG measures and transitionals – Solvency Capital Requirement Ratio	Solvency Capital Requirement ratio calculated considering technical provisions as reported in R0010 of each 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 Long Term Guarantee measures and transitionals – Minimum Capital Requirement Ratio	Minimum Capital Requirement ratio calculated considering technical provisions as reported in R0010 of each column. Total amount of eligible own funds to meet MCR (R0100) divided by the total amount of MCR (R0110) of each column.

S.23.01 – Own Funds

General comments:

This section relates to the quarterly and annual submission for groups.

The template is applicable under all three calculation methods for group solvency capital requirement. Since most of the items are applicable to the part of the group that is covered by method 1 (Accounting consolidation-based method), the items applicable when method 2 (Deduction and Aggregation method or D&A method) is used, exclusively or in combination with method 1, are clearly identified in the instructions.

ITEM

INSTRUCTIONS

Basic own funds before deduction for participations in other financial sector

R0010/C0010

Ordinary share capital (gross of own shares) – total

This is the total ordinary share capital, both held directly and indirectly (before deduction of own shares). This is the total ordinary share capital of the group that fully satisfies the criteria for Tier 1 or Tier 2 items. Any ordinary share capital that does not fully satisfy the criteria shall be treated as preference shares capital and classified accordingly notwithstanding their description or designation.

R0010/C0020

Ordinary share capital (gross of own shares) – tier 1 unrestricted

This is the amount of paid up ordinary share capital that meets unrestricted Tier 1– criteria.

R0010/C0040

Ordinary share capital (gross of own shares) – tier 2

This is the amount of called up ordinary share capital that meets the criteria for Tier 2.

R0020/C0010

Non–available called but not paid in ordinary share capital to be deducted at group level – total

This is the total amount of called but not paid in ordinary share capital which is deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC, to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0020/C0020

Non–available called but not paid in ordinary share capital to be deducted at group level – tier 1 unrestricted

This is the total amount of called but not paid in ordinary share capital which is deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meets tier 1 unrestricted criteria and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0020/C0040

Non–available called but not paid in ordinary share capital to be deducted at group level – tier 2

This is the amount of called but not paid in ordinary share capital which is deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC which meets the criteria for Tier 2 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0030/C0010

Share premium account related to ordinary share capital – total

The total share premium account related to ordinary share capital that fully satisfies the criteria for Tier 1 or Tier 2 items.

R0030/C0020

Share premium account related to ordinary share capital – tier 1 unrestricted

This is the amount of the share premium account related to ordinary shares that meets the criteria for Tier 1 unrestricted because it relates to ordinary share capital treated as unrestricted Tier 1.

R0030/C0040

Share premium account related to ordinary share capital – tier 2

This is the amount of the share premium account related to ordinary shares that meets the criteria for Tier 2 because it relates to ordinary share capital treated as Tier 2.

R0040/C0010

Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings – total

The initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings that fully satisfies the criteria for Tier 1 or Tier 2 items.

R0040/C0020

Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings – tier 1 unrestricted

This is the amount of the initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings that meets the criteria for Tier 1 unrestricted.

R0040/C0040

Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings – tier 2

This is the amount of the initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings that meets Tier 2 criteria.

R0050/C0010

Subordinated mutual member accounts – total

This is the total amount of subordinated mutual member accounts that fully satisfy the criteria for Tier 1 restricted, Tier 2 or Tier 3 items.

R0050/C0030

Subordinated mutual member accounts – tier 1 restricted

This is the amount of subordinated mutual member accounts that meet the criteria for Tier 1 restricted.

R0050/C0040

Subordinated mutual member accounts – tier 2

This is the amount of subordinated mutual member accounts that meet the criteria for Tier 2.

R0050/C0050

Subordinated mutual member accounts – tier 3

This is the amount of subordinated mutual member accounts that meet the criteria for Tier 3.

R0060/C0010

Non–available subordinated mutual member accounts to be deducted at group level – total

This is the total amount of subordinated mutual member accounts which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0060/C0030

Non–available subordinated mutual member accounts to be deducted at group level – tier 1 restricted

This is the amount of subordinated mutual member accounts which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 1 restricted and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0060/C0040

Non–available subordinated mutual member accounts to be deducted at group level – tier 2

This is the amount of subordinated mutual member accounts which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 2 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0060/C0050

Non–available subordinated mutual member accounts to be deducted at group level – tier 3

This is the amount of subordinated mutual member accounts which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 3 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0070/C0010

Surplus funds – total

This is the total amount of surplus funds that fall under Article 91(2) of Directive 2009/138/EC.

R0070/C0020

Surplus funds – tier 1 unrestricted

These are the surplus funds that fall under Article 91(2) of the Directive 2009/138/EC and that meet the criteria for Tier 1 unrestricted items.

R0080/C0010

Non–available surplus funds to be deducted at group level –total

This is the total amount of surplus funds which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0080/C0020

Non–available surplus funds to be deducted at group level – tier 1 unrestricted

This is the amount of surplus funds that are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 1 unrestricted items and has to be deducted as per Article 330 of the Delegated Regulation (EU) 2015/35.

R0090/C0010

Preference shares – total

This is the total amount of preference shares issued that fully satisfy the criteria for Tier 1 restricted, Tier 2 or Tier 3 items.

R0090/C0030

Preference shares – tier 1 restricted

This is the amount of the preference shares issued that meet the criteria for Tier 1 restricted.

R0090/C0040

Preference shares – tier 2

This is the amount of the preference shares issued that meet the criteria for Tier 2.

R0090/C0050

Preference shares – tier 3

This is the amount of the preference shares issued that meet the criteria for Tier 3.

R0100/C0010

Non–available preference shares to be deducted at group level – total

This is the total amount of preference shares which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0100/C0030

Non–available preference shares at group level to be deducted – tier 1 Restricted

This is the amount of preference shares which are deemed non – available as defined in Article 222(2)–(5) of Directive 2009/138/EC and which meet the criteria for Tier 1 restricted items and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0100/C0040

Non–available preference shares to be deducted at group level – tier 2

This is the amount of preference shares which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC and which meet the criteria for Tier 2 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0100/C0050

Non–available preference shares to be deducted at group level – tier 3

This is the amount of preference shares which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC and which meet the criteria for Tier 3 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0110/C0010

Share premium account related to preference shares – total

The total share premium account related to preference shares capital that fully satisfies the criteria for Tier 1 restricted, Tier 2 or Tier 3 items.

R0110/C0030

Share premium account related to preference shares – tier 1 restricted

This is the amount of the share premium account that relates to preference shares that meets the criteria for Tier 1 restricted items because it relates to preference shares treated as Tier 1 restricted items.

R0110/C0040

Share premium account related to preference shares – tier 2

This is the amount of the share premium account that relates to preference shares that meets the criteria for Tier 2 because it relates to preference shares treated as Tier 2.

R0110/C0050

Share premium account related to preference shares – tier 3

This is the amount of the share premium account that relates to preference shares that meets the criteria for Tier 3 because it relates to preference shares treated as Tier 3.

R0120/C0010

Non–available share premium account related to preference shares to be deducted at group level – total

This is the total amount of the share premium account relating to preference shares that is deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC.

R0120/C0030

Non–available share premium account related to preference shares to be deducted at group level – tier 1 restricted

This is the amount of the share premium account relating to preference shares that is deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC and which meets the criteria for Tier 1 restricted items and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0120/C0040

Non–available share premium account related to preference shares to be deducted at group level – tier 2

This is the amount of the share premium account relating to preference shares that is deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC and which meets the criteria for Tier 2 and has to be deducted as per Article 330 of the Delegated Regulation (EU) 2015/35.

R0120/C0050

Non–available share premium account related to preference shares to be deducted at group level – tier 3

This is the amount of the share premium account relating to preference shares that is deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC and which meets the criteria for Tier 3 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0130/C0010

Reconciliation reserve – total

The total reconciliation reserve represents reserves (e.g. retained earnings), net of adjustments (e.g. ring–fenced funds). It results mainly from differences between accounting valuation and valuation in accordance with Article 75 of Directive 2009/138/EC.

R0130/C0020

Reconciliation reserve – tier 1 unrestricted

The reconciliation reserve represents reserves (e.g. retained earnings), net of adjustments (e.g. ring–fenced funds). It results mainly from differences between accounting valuation and valuation in accordance with Directive 2009/138/EC.

R0140/C0010

Subordinated liabilities – total

This is the total amount of subordinated liabilities.

R0140/C0030

Subordinated liabilities – tier 1 restricted

This is the amount of subordinated liabilities that meet the criteria for Tier 1 restricted items.

R0140/C0040

Subordinated liabilities – tier 2

This is the amount of subordinated liabilities that meet the criteria for Tier 2.

R0140/C0050

Subordinated liabilities – tier 3

This is the amount of subordinated liabilities that meet the criteria for Tier 3.

R0150/C0010

Non–available subordinated liabilities to be deducted at group level – total

This is the total amount of subordinated liabilities that are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC.

R0150/C0030

Non–available subordinated liabilities to be deducted at group level – tier 1 restricted

This is the amount of subordinated liabilities that are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 1 restricted items.

R0150/C0040

Non–available subordinated liabilities to be deducted at group level – tier 2

This is the amount of subordinated liabilities that are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 2 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0150/C0050

Non–available subordinated liabilities to be deducted at group level – tier 3

This is the amount of subordinated liabilities that are deemed non–available as defined in Article 222(2)–(5) of the Directive 2009/138/EC that meet the criteria for Tier 3 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0160/C0010

An amount equal to the value of net deferred tax assets – total

This is the total amount of net deferred tax assets.

R0160/C0050

An amount equal to the value of net deferred tax assets – tier 3

This is the amount of net deferred tax assets that meet the tier 3 classification criteria.

R0170/C0010

The amount equal to the value of net deferred tax assets not available to be deducted at group level –total

This is the total amount of net deferred tax assets which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0170/C0050

The amount equal to the value of net deferred tax assets not available to be deducted at group level – Tier 3

This is the amount of net deferred tax assets which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 3 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0180/C0010

Other own fund items approved by the supervisory authority as basic own funds not specified above – total

This is the total of basic own fund items not identified above and that received supervisory approval.

R0180/C0020

Other own fund items approved by the supervisory authority as basic own funds not specified above – tier 1 unrestricted

This is the amount of basic own fund items not identified above that meet Tier 1 unrestricted criteria and that received supervisory approval.

R0180/C0030

Other own fund items approved by the supervisory authority as basic own funds not specified above – Tier 1 restricted

This is the amount of basic own fund items not identified above which meet the criteria for Tier 1, restricted items and that received supervisory approval.

R0180/C0040

Other own fund items approved by the supervisory authority as basic own funds not specified above – tier 2

This is the amount of basic own fund items not identified above that meet the criteria for Tier 2 and that received supervisory approval.

R0180/C0050

Other own fund items approved by the supervisory authority as basic own funds not specified above – tier 3

This is the amount of basic own fund items not identified above that meet the criteria for Tier 3 and that received supervisory approval.

R0190/C0010

Non–available own funds related to other own funds items approved by supervisory authority to be deducted – total

This is the total amount of own fund items related to other items approved by supervisory authority as basic own funds not specified above which are deemed non–available, as defined in Article 222(2)–(5) of Directive 2009/138/EC and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0190/C0020

Non–available own funds related to other own funds items approved by supervisory authority to be deducted – tier 1 unrestricted items

This is the amount of own fund items related to other items approved by supervisory authority as basic own funds not specified above which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 1 unrestricted items and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0190/C0030

Non–available own funds related to other own funds items approved by supervisory authority to be deducted – tier 1 restricted items

This is the amount of own fund items related to other items approved by supervisory authority as basic own funds not specified above which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 1 restricted items and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0190/C0040

Non–available own funds related to other own funds items approved by supervisory authority to be deducted – tier 2

This is the amount of own fund items related to other items approved by supervisory authority as basic own funds not specified above which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 2 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0190/C0050

Non–available own funds related to other own funds items approved by supervisory authority to be deducted – tier 3

This is the amount of own fund items related to other items approved by supervisory authority as basic own funds not specified above which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 3 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0200/C0010

Minority interests at group level– total

This is the total of minority interests in the group being reported upon.

R0200/C0020

Minority interests at group level– tier 1 unrestricted

The amount of minority interests in the group being reported upon that meet the criteria for Tier 1 unrestricted items.

R0200/C0030

Minority interests at group level– tier 1 restricted

The amount of minority interests in the group being reported upon that meet the criteria for Tier 1 restricted items.

R0200/C0040

Minority interests at group level– tier 2

The amount of minority interests in the group being reported upon that meet the criteria for Tier 2.

R0200/C0050

Minority interests at group level– tier 3

The amount of minority interests in the group being reported upon that meet the criteria for Tier 3.

R0210/C0010

Non-available minority interests to be deducted at group level – total

This is the total amount of minority interests which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC, and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0210/C0020

Non-available minority interests to be deducted at group level – tier 1 unrestricted

This is the amount of minority interests which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 1 unrestricted, and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0210/C0030

Non-available minority interests to be deducted at group level – tier 1 restricted

This is the amount of minority interests which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 1 restricted, and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0210/C0040

Non-available minority interests to be deducted at group level – tier 2

This is the amount of minority interests which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 2, and to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0210/C0050

Non-available minority interests to be deducted at group level – tier 3

This is the amount of minority interests which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 3, and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds

R0220/C0010

Own funds from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds – total

This is the total amount of own fund items from financial statements that are not represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds.

These own fund items are either:

i)	items that appear in the lists of own fund items, but fail to meet the classification criteria or the transitional provisions; 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

Deductions of participations in other financial undertakings, including non–regulated undertakings carrying out financial activities – total

This is the total deduction for participations in credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies, institutions for occupational retirement provisions, non–regulated undertakings carrying out financial activities, including the participations that are deducted in accordance with Article 228, paragraph 2 of Directive 2009/138/EC.

Those participations are deducted from basic own funds and added back as own funds in accordance with the relevant sectoral rules in the rows from R0410 to R0440.

R0230/C0020

Deductions of participations in other financial undertakings, including non–regulated undertakings carrying out financial activities – tier 1 unrestricted

This is the deduction of the participations in credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies, institutions for occupational retirement provisions, non–regulated undertakings carrying out financial activities, including the participations that are deducted in accordance with Article 228, paragraph 2 of Directive 2009/138/EC (to be showed separately in the row R0240).

Those participations are deducted from basic own funds and added back as own funds in accordance with the relevant sectoral rules in the rows from R0410 to R0440 – tier 1 unrestricted items.

R0230/C0030

Deductions of participations in other financial undertakings, including non–regulated undertakings carrying out financial activities – tier 1 restricted

Those participations are deducted from basic own funds and added back as own funds in accordance with the relevant sectoral rules in the rows from R0410 to R0440— tier 1 restricted items.

R0230/C0040

Deductions of participations in other financial undertakings, including non–regulated undertakings carrying out financial activities – tier 2

Those participations are deducted from basic own funds and added back as own funds in accordance with the relevant sectoral rules in the rows from R0410 to R0440 – tier 2.

R0230/C0050

Deductions of participations in other financial undertakings, including non–regulated undertakings carrying out financial activities – Tier 3

Those participations are deducted from basic own funds and added back as own funds in accordance with the relevant sectoral rules in the rows from R0410 to R0440 – Tier 3.

R0240/C0010

whereof deducted according to art 228 of the Directive 2009/138/EC– total

This is the total value of participations deducted in accordance with Article 228, paragraph 2 of Directive 2009/138/EC, as part of the value reported in row R0230 – total

R0240/C0020

whereof deducted according to art 228 of the Directive 2009/138/EC – tier 1 unrestricted

This is the value of participations that are deducted in accordance with Article 228, paragraph 2 of Directive 2009/138/EC, as part of the value reported in row R0230 – tier 1 unrestricted

R0240/C0030

whereof deducted according to art 228 of the Directive 2009/138/EC – tier 1 restricted

This is the value of participations deducted in accordance with Article 228, paragraph 2 of Directive 2009/138/EC, as part of the value reported in row R0230 – tier 1 restricted

R0240/C0040

whereof deducted according to art 228 of the Directive 2009/138/EC – tier 2

This is the value of participations deducted in accordance with Article 228, paragraph 2 of Directive 2009/138/EC, as part of the value reported in row R0230 – tier 2

R0250/C0010

Deductions of participations where there is non–availability of information (Article 229) – total

This is the total deduction of the participations in related undertakings when the information necessary for calculating the group solvency is not available, in accordance with Article 229 of Directive 2009/138/EC.

R0250/C0020

Deductions of participations where there is non–availability of information (Article 229) – tier 1 unrestricted

This is the deduction of the participations in related undertakings when the information necessary for calculating the group solvency is not available, in accordance with Article 229 of Directive 2009/138/EC – tier 1 unrestricted.

R0250/C0030

Deductions of participations where there is non–availability of information (Article 229) – tier 1 restricted

R0250/C0040

Deductions of participations where there is non–availability of information (Article 229) – tier 2

R0250/C0050

Deductions of participations where there is non–availability of information (Article 229) – tier 3

R0260/C0010

Deduction for participations included via Deduction and Aggregation method when the combination of methods is used – total

This is the total deduction of the participations in related undertakings included with the Deduction and Aggregation method when the combination of methods is used.

R0260/C0020

Deduction for participations included with Deduction and Aggregation method when the combination of methods is used – tier 1 unrestricted

This is the deduction of the participations in related undertakings included with the Deduction and Aggregation method when the combination of methods is used – tier 1 unrestricted.

R0260/C0030

Deduction for participations included with Deduction and Aggregation method when the combination of methods is used – tier 1 restricted

This is the deduction of the participations in related undertakings included with the Deduction and Aggregation method when a combination of methods is used – tier 1 restricted.

R0260/C0040

Deduction for participations included with Deduction and Aggregation method when the combination of methods is used – tier 2

This is the deduction of the participations in related undertakings included with the Deduction and Aggregation method when the combination of methods is used – tier 2.

R0260/C0050

Deduction for participations included with Deduction and Aggregation method when combination of methods is used – tier 3

This is the deduction of the participations in related undertakings included with the Deduction and Aggregation method when the combination of methods is used – tier 3.

R0270/C0010

Total of non–available own fund items to be deducted – total

This is the total of non– available own fund items and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0270/C0020

Total of non–available own fund items to be deducted – tier 1 unrestricted

This is the non– available own fund items in Tier 1 unrestricted items and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0270/C0030

Total of non–available own fund items to be deducted – tier 1 restricted

This is the non–available own fund items – tier 1 restricted items and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0270/C0040

Total of non–available own fund items to be deducted – tier 2

This is the non–available own fund items – tier 2 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0270/C0050

Total of non–available own fund items to be deducted – tier 3

This is the non–available own fund items – tier 3 and has to be deducted as per Article 330 of Delegated Regulation (EU) 2015/35.

R0280/C0010

Total deductions – total

This is the total amount of deductions not included in the reconciliation reserves.

R0280/C0020

Total deductions – tier 1 unrestricted

This is the amount of deductions from tier 1 unrestricted not included in the reconciliation reserves.

R0280/C0030

Total deductions – tier 1 restricted

This is the amount of deductions from tier 1 restricted not included in the reconciliation reserves.

R0280/C0040

Total deductions – tier 2

This is the amount of deductions from tier 2 not included in the reconciliation reserves.

R0280/C0050

Total deductions – tier 3

This is the amount of deductions from tier 3 not included in the reconciliation reserves.

Total basic own funds after deductions

R0290/C0010

Total basic own funds after deductions

This is the total amount of basic own fund items after deductions.

R0290/C0020

Total basic own funds after deductions – tier 1 unrestricted

This is the amount of basic own fund items after deductions that meet the criteria for Tier 1 unrestricted items.

R0290/C0030

Total basic own funds after deductions – tier 1 restricted

This is the amount of basic own fund items after deductions that meet the criteria for Tier 1 restricted items.

R0290/C0040

Total basic own funds after deductions – tier 2

This is the amount of basic own fund items after deductions that meet the criteria for Tier 2.

R0290/C0050

Total basic own funds after deductions – tier 3

This is the amount of basic own fund items after deductions that meet the criteria for Tier 3.

Ancillary own funds

R0300/C0010

Unpaid and uncalled ordinary share capital callable on demand – total

This is the total amount of issued ordinary share capital that has not been called up or paid up but that is callable on demand.

R0300/C0040

Unpaid and uncalled ordinary share capital callable on demand – tier 2

This is the amount of issued ordinary share capital that has not been called up or paid up but that is callable on demand that meets the criteria for Tier 2.

R0310/C0010

Unpaid and uncalled initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual – type undertakings, callable on demand – total

This is the total amount of initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings that has not been called up or paid up but that is callable on demand.

R0310/C0040

Unpaid and uncalled initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings, callable on demand – tier 2

This is the amount of initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual–type undertakings that has not been called up or paid up but that is callable on demand that meets the criteria for Tier 2.

R0320/C0010

Unpaid and uncalled preference shares callable on demand – total

This is the total amount of preference shares that have not been called up or paid up but that are callable on demand.

R0320/C0040

Unpaid and uncalled preference shares callable on demand – tier 2

This is the amount of preference shares that have not been called up or paid up but that are callable on demand that meet the criteria for Tier 2.

R0320/C0050

Unpaid and uncalled preference shares callable on demand – tier 3

This is the amount of preference shares that have not been called up or paid up but that are callable on demand that meet the criteria for Tier 3

R0330/C0010

A legally binding commitment to subscribe and pay for subordinated liabilities on demand – total

This is the total amount of legally binding commitments to subscribe and pay for subordinated liabilities on demand.

R0330/C0040

A legally binding commitment to subscribe and pay for subordinated liabilities on demand – tier 2

This is the amount of legally binding commitments to subscribe and pay for subordinated liabilities on demand that meet the criteria for Tier 2.

R0330/C0050

A legally binding commitment to subscribe and pay for subordinated liabilities on demand – tier 3

This is the amount of legally binding commitments to subscribe and pay for subordinated liabilities on demand that meet the criteria for Tier 3.

R0340/C0010

Letters of credit and guarantees under Article 96(2) of Directive 2009/138/EC – total

This is the total amount of letters of credit and guarantees that are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC.

R0340/C0040

Letters of credit and guarantees under Article 96(2) of Directive 2009/138/EC – tier 2

This is the amount of letters of credit and guarantees that are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC that meet the criteria for Tier 2.

R0350/C0010

Letters of credit and guarantees other than under Article 96(2) of Directive 2009/138/EC – total

This is the total amount of letters of credit and guarantees that satisfy criteria for Tier 2 or Tier 3, other than those that are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC.

R0350/C0040

Letters of credit and guarantees other than under Article 96(2) of Directive 2009/138/EC – tier 2

This is the amount of letters of credit and guarantees that meet the criteria for Tier 2, other than those which are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC.

R0350/C0050

Letters of credit and guarantees other than under Article 96(2) of Directive 2009/138/EC– tier 3

This is the amount of letters of credit and guarantees that meet the criteria for Tier 3, other than those which are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC.

R0360/C0010

Supplementary members calls under first subparagraph of Article 96(3) of Directive 2009/138/EC – total

This is the total amount of any future claims which mutual or mutual–type associations of ship owners with variable contributions solely insuring risks listed in classes 6, 12 and 17 in Part A of Annex I may have against their members by way of a call for supplementary contributions, within the following 12 months.

R0360/C0040

Supplementary members calls under first subparagraph of Article 96(3) of Directive 2009/138/EC – tier 2

This is the amount of any future claims which mutual or mutual–type associations of ship owners with variable contributions solely insuring risks listed in classes 6, 12 and 17 in Part A of Annex I may have against their members by way of a call for supplementary contributions, within the following 12 months.

R0370/C0010

Supplementary members calls – other than under first subparagraph of Article 96(3) of Directive 2009/138/EC – total

This is the total amount of any future claims which mutual or mutual–type associations with variable contributions may have against their members by way of a call for supplementary contributions, within the following 12 months, other than those described in the first subparagraph of Article 96(3) of the Directive 2009/138/EC.

R0370/C0040

Supplementary members calls – other than under first subparagraph of Article 96(3) of Directive 2009/138/EC – tier 2

This is the amount of any future claims which mutual or mutual–type associations of with variable contributions may have against their members by way of a call for supplementary contributions within the following 12 months, other than those described in the first subparagraph of Article 96(3) of Directive 2009/138/EC that meet the criteria for Tier 2.

R0370/C0050

Supplementary members calls – other than under first subparagraph of Article 96(3) of Directive 2009/138/EC – tier 3

This is the amount of any future claims which mutual or mutual–type associations with variable contributions may have against their members by way of a call for supplementary contributions within the following 12 months, other than those described in the first subparagraph of Article 96(3) of the Framework Directive 2009/138/EC that meet the criteria for Tier 3.

R0380/C0010

Non available ancillary own funds at group level to be deducted— total

This is the total amount of ancillary own funds which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC.

R0380/C0040

Non available ancillary own funds at group level to be deducted – tier 2

This is the amount of ancillary own funds which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 2.

R0380/C0050

Non available ancillary own funds at group level to be deducted – tier 3

This is the amount of ancillary own funds which are deemed non–available as defined in Article 222(2)–(5) of Directive 2009/138/EC that meet the criteria for Tier 3.

R0390/C0010

Other ancillary own funds – total

This is the total amount of other ancillary own funds.

R0390/C0040

Other ancillary own funds – tier 2

This is the amount of other ancillary own funds that meet criteria for Tier 2.

R0390/C0050

Other ancillary own funds – tier 3

This is the amount of other ancillary own funds that meet criteria for Tier 3.

R0400/C0010

Total ancillary own funds

This is the total amount of ancillary own fund items.

R0400/C0040

Total ancillary own funds tier 2

This is the amount of ancillary own fund items that meet the criteria for Tier 2.

R0400/C0050

Total ancillary own funds – tier 3

This is the amount of ancillary own fund items that meet the criteria for Tier 3.

Own funds of other financial sectors

The following items are applicable also in case of D&A method and combination of methods

R0410/C0010

Credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies – total

Total of own funds in credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies already net of any relevant Intragroup Transaction. The inclusion of other financial sectors follow Article 329 of Delegated Regulation (EU) 2015/35, if not deducted in accordance with Article 228, paragraph 2 of Directive 2009/138/EC.

R0410/C0020

Credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies – Tier 1 unrestricted

Own funds in credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies already net of any relevant Intragroup Transaction – tier 1 unrestricted.

Those items should be also deducted of any non–available own funds according to the relevant sectoral rules and deducted of own funds in accordance with Article 228, paragraph 2 of Directive 2009/138/EC.

R0410/C0030

Credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies – Tier 1 restricted

R0410/C0040

Credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies – Tier 2

R0420/C0010

Institutions for occupational retirement provision – total

Total of own funds in institutions for occupational retirement provision, already net of any relevant Intragroup Transaction. Those items should be also deducted of any non–available own funds according to the relevant sectoral rules.

R0420/C0020

Institutions for occupational retirement provision – tier 1 unrestricted

Own funds in institutions for occupational retirement provision, already net of any relevant Intragroup Transaction– tier 1 unrestricted.

Those items should be also deducted of any non–available own funds according to the relevant sectoral rules

R0420/C0030

Institutions for occupational retirement provision – tier 1 restricted

Own funds in institutions for occupational retirement provision, already net of any relevant Intragroup Transaction– tier 1 restricted.

Those items should be also deducted of any non–available own funds according to the relevant sectoral rules

R0420/C0040

Institutions for occupational retirement provision – tier 2

Own funds in institutions for occupational retirement provision, already net of any relevant Intragroup Transaction– tier 2.

Those items should be also deducted of any non–available own funds according to the relevant sectoral rules

R0420/C0050

Institutions for occupational retirement provision – tier 3

Own funds in institutions for occupational retirement provision, already net of any relevant Intragroup Transaction– tier 3.

Those items should be also deducted of any non–available own funds according to the relevant sectoral rules

R0430/C0010

Non–regulated undertakings carrying out financial activities – total

Total of own funds in non–regulated entities carrying out financial activities, already net of any relevant Intragroup Transaction. Those items should be also deducted of any non–available own funds according to the relevant sectoral rules and deducted of own funds in accordance with Article 228, paragraph 2 of Directive 2009/138/EC.

R0430/C0020

Non–regulated undertakings carrying out financial activities – tier 1 unrestricted

Own funds in non–regulated entities carrying out financial activities, already net of any relevant Intragroup Transaction – tier 1 unrestricted.

R0430/C0030

Non–regulated undertakings carrying out financial activities – tier 1 restricted

Own funds in non–regulated entities carrying out financial activities, already net of any relevant Intragroup Transaction – tier 1 restricted.

R0430/C0040

Non–regulated undertakings carrying out financial activities – tier 2

Own funds in non–regulated entities carrying out financial activities, already net of any relevant Intragroup Transaction – tier 2.

R0440/C0010

Total own funds of other financial sectors – total

Total of own funds in other financial sectors.

The value of the participation in the other financial sectors is deducted in R0230, and the own funds according to the own sectoral rule of own funds of such undertakings are reported in R0440.

R0440/C0020

Total own funds of other financial sectors – tier 1 unrestricted

Total of own funds in other financial sectors – tier 1 unrestricted.

The value of the participation in the other financial sectors is deducted in R0230, and the own funds according to the own sectoral rule of own funds of such undertakings are reported in R0440.

R0440/C0030

Total own funds of other financial sectors – tier 1 restricted

Total of own funds in other financial sectors – tier 1 restricted.

The value of the participation in the other financial sectors is deducted in R0230, and the own funds according to the own sectoral rule of own funds of such undertakings are reported in R0440.

R0440/C0040

Total own funds of other financial sectors – tier 2

Total of own funds in other financial sectors – tier 2.

The value of the participation in the other financial sectors is deducted in R0230, and the own funds according to the own sectoral rule of own funds of such undertakings are reported in R0440.

R0440/C0050

Total own funds of other financial sectors – Tier 3

Total of own funds in other financial sectors – Tier 3.

The value of the participation in the other financial sectors is deducted in R0230, and the own funds according to the own sectoral rule of own funds of such undertakings are reported in R0440.

Own funds when using the Deduction and Aggregation method (D&A) exclusively, or in combination with method 1

R0450/C0010

Own funds aggregated when using the Deduction and Aggregation method or combination of methods – Total

These are the total eligible own funds of the related undertakings that have to be added for the calculation of the aggregated own funds when using the Deduction and aggregation method or a combination of methods; after the deduction of non–available own funds at group level.

R0450/C0020

Own funds aggregated when using the Deduction and Aggregation method or combination of methods – Tier 1 unrestricted

These are the eligible own funds of the related undertakings that have to be added for the calculation of the aggregated own funds when using the Deduction and aggregation method or a combination of methods, classified as Tier 1 unrestricted after the deduction of non–available own funds at group level

R0450/C0030

Own funds aggregated when using the Deduction and Aggregation method, and combination of method – Tier 1 restricted

These are the eligible own funds of the related undertakings that have to be added for the calculation of the aggregated own funds when using the Deduction and aggregation method or a combination of methods, classified as Tier 1 restricted after the deduction of non-available own funds at group level

R0450/C0040

Own funds aggregated when using the Deduction and Aggregation method and combination of method – Tier 2

These are the eligible own funds of the related undertakings that have to be added for the calculation of the aggregated own funds when using the Deduction and aggregation method or a combination of methods, classified as Tier 2 after the deduction of non-available own funds at group level.

R0450/C0050

Own funds aggregated when using the Deduction and Aggregation method and combination of method – Tier 3

These are the eligible own funds of the related undertakings that have to be added for the calculation of the aggregated own funds when using the Deduction and aggregation method or a combination of methods, classified as Tier 3 after the deduction of non-available own funds at group level.

R0460/C0010

Own funds aggregated when using the Deduction and Aggregation method, and combination of method net of IGT – Total

These are the total eligible own funds after the elimination of the intra–group transactions for the calculation of the aggregated group eligible own funds.

The own funds figure reported here shall be net of non-available own funds and net of IGTs.

R0460/C0020

Own funds aggregated when using the Deduction and Aggregation method, and combination of method net of IGT – Tier 1 unrestricted

These are the eligible own funds after the elimination of the intra–group transactions for the calculation of the aggregated group eligible own funds, classified as Tier 1 unrestricted items.

The own funds figure reported here shall be net of non-available own funds and net of IGTs.

R0460/C0030

Own funds aggregated when using the Deduction and Aggregation method, and combination of method net of IGT – Tier 1 restricted

These are the eligible own funds after the elimination of the intra–group transactions for the calculation of the aggregated group eligible own funds, classified as Tier 1 restricted. The own funds figure reported here shall be net of non-available own funds and net of IGTs.

R0460/C0040

Own funds aggregated when using the Deduction and Aggregation method, and combination of method net of IGT – Tier 2

These are the eligible own funds after the elimination of the intra–group transactions for the calculation of the aggregated group eligible own funds, classified as Tier 2. The own funds figure reported here shall be net of non-available own funds and net of IGTs.

R0460/C0050

Own funds aggregated when using the Deduction and Aggregation method,and combination of method net of IGT – Tier 3

These are the eligible own funds after the elimination of the intra–group transactions for the calculation of the aggregated group eligible own funds, classified as Tier 3. The own funds figure reported here shall be net of non-available own funds and net of IGTs.

R0520/C0010

Total available own funds to meet the consolidated part of the group SCR (excluding own funds from other financial sectors and own funds from undertakings included via D&A method) –total

This is the total own funds of the undertaking, comprising basic own funds after deductions, plus ancillary own funds, that are available to meet the consolidated part of the group SCR but excluding the own funds from other financial sectors, and the own funds from the undertakings included via Deduction and aggregation method (D&A).

R0520/C0020

Total available own funds to meet the consolidated part of the group SCR (excluding own funds from other financial sectors and own funds from undertakings included via D&A method) – tier 1 unrestricted

This is the own funds of the undertaking, comprising basic own funds after deductions, that are available to meet the consolidated part of the group SCR but excluding the own funds from other financial sectors, and the own funds from the undertakings included via Deduction and aggregation method and meet the criteria to be included in Tier 1 unrestricted items.

R0520/C0030

This is the own funds of the undertaking, comprising basic own funds after deductions, that are available to meet the consolidated part of the group SCR but excluding the own funds from other financial sectors, and own funds from the undertakings included via Deduction and aggregation method and that meet the criteria to be included in Tier 1 restricted items.

R0520/C0040

Total available own funds to meet the consolidated part of the group SCR (excluding own funds from other financial sectors and own funds from undertakings included via D&A method) – tier 2

This is the own funds of the undertaking, comprising basic own funds after deductions, plus ancillary own funds, that are available to meet the consolidated part of the group SCR but excluding the own funds from other financial sectors, and own funds from the undertakings included via Deduction and aggregation method and that meet the criteria to be included in Tier 2.

R0520/C0050

Total available own funds to meet the consolidated part of the group SCR (excluding own funds from other financial sectors and own funds from undertakings included via D&A method) – tier 3

R0560/C0010

Total eligible own funds to meet the consolidated part of the group SCR (excluding own funds from other financial sectors, and own funds from undertakings included via D&A method) – total

This is the total group own funds which are eligible to cover the consolidated part of the group SCR (excluding own funds from other financial sectors, and from the undertakings included via Deduction and aggregation method) under the limits

For the purpose of the eligibility of those own fund items the consolidated group SCR shall not include the capital requirements from other financial sectors (Article 336 (c) of Delegated Regulation (EU) 2015/35) consistently

R0560/C0020

Total eligible own funds to meet the consolidated part of the group SCR (excluding own funds from other financial sectors, and own funds from undertakings included via D&A method) – tier 1 unrestricted

This is the group own funds which are eligible under the limits set out to meet the consolidated part of the group SCR (excluding own funds from other financial sectors, and from the undertakings included via Deduction and aggregation method), that meet the criteria for Tier 1 unrestricted items.

R0560/C0030

This is the own funds which are eligible under the limits set out to meet the consolidated part of the group SCR (excluding own funds from other financial sectors, and from the undertakings included via Deduction and aggregation method), that meet the criteria for Tier 1 restricted items.

R0560/C0040

Total eligible own funds to meet the consolidated part of the group SCR (excluding own funds from other financial sectors and own funds from undertakings included via D&A method) – tier 2

This is the own funds which are eligible under the limits set out to meet the consolidated part of the group SCR (excluding own funds from other financial sectors, and own funds from the undertakings included via Deduction and aggregation method), that meet the criteria for Tier 2.

R0560/C0050

Total eligible own funds to meet the consolidated part of the group SCR (excluding own funds from other financial sectors and own funds from undertakings included via D&A method) – tier 3

R0530/C0010

Total available own funds to meet the minimum consolidated group SCR – total

This is the total own funds of the group, comprising basic own funds after deductions, that are available to meet the minimum consolidated group SCR, excluding the own funds from other financial sectors, and own funds from the undertakings included via Deduction and aggregation method.

R0530/C0020

Total available own funds to meet the minimum consolidated group SCR– tier 1 unrestricted

This is the own funds of the group, comprising basic own funds after deductions, that are available to meet the minimum consolidated group SCR, excluding the own funds from other financial sectors, and own funds from the undertakings included via Deduction and aggregation method, and that meet the criteria to be included in Tier 1 unrestricted.

R0530/C0030

Total available own funds to meet the minimum consolidated group SCR – tier 1 restricted

R0530/C0040

Total available own funds to meet the minimum consolidated group SCR – tier 2

This is the own funds of the group, comprising basic own funds after deductions, that are available to meet the minimum consolidated group SCR, excluding the own funds from other financial sectors and own funds from the undertakings included via Deduction and aggregation method, and that meet the criteria to be included in Tier 2.

R0570/C0010

Total eligible own funds to meet the minimum consolidated group SCR – total

This is the total eligible own funds to meet the minimum consolidated group SCR excluding the own funds from other financial sectors and own funds from the undertakings included via Deduction and aggregation method.

R0570/C0020

Total eligible own funds to meet the minimum consolidated group SCR – tier 1 unrestricted

This is the eligible own funds of the group, that are available to meet the minimum consolidated group SCR excluding the own funds from other financial sectors and own funds from the undertakings included via Deduction and aggregation method, that meet the criteria to be included in Tier 1 unrestricted items.

R0570/C0030

Total eligible e own funds to meet the minimum consolidated group SCR – tier 1 restricted

R0570/C0040

Total eligible own funds to meet the minimum consolidated group SCR – tier 2

This is the eligible own funds of the group, that are available to meet the minimum consolidated group SCR, excluding the own funds from other financial sectors and own funds from the undertakings included via Deduction and aggregation method, that meet the criteria to be included in Tier 2.

R0800/C0010

Total eligible own funds to meet the consolidated group SCR (including own funds from other financial sectors, excluding own funds from undertakings included via D&A method) – Total

This is total eligible own funds that are available to meet the consolidated group SCR (including own funds from other financial sectors, excluding own funds from undertakings included via Deduction and aggregation method) – Total

R0800/C0020

Total eligible own funds to meet the consolidated group SCR (including own funds from other financial sectors, excluding own funds from undertakings included via D&A method) – tier 1 unrestricted

This is total eligible own funds that are available to meet the consolidated group SCR (i.e. including own funds from other financial sectors, excluding own funds from undertakings included via Deduction and Aggregation method) that meet the criteria to be included in Tier 1 unrestricted items.

R0800/C0030

Total eligible own funds to meet the consolidated group SCR (including own funds from other financial sectors, excluding own funds from undertakings included via D&A method) – tier 1 restricted

R0800/C0040

Total eligible own funds to meet the consolidated group SCR (including own funds from other financial sectors, excluding own funds from undertakings included via D&A method) – tier 2

R0800/C0050

Total eligible own funds to meet the consolidated group SCR (including own funds from other financial sectors, excluding own funds from undertakings included via D&A method method) – tier 3

R0810/C0010

Total eligible own funds to meet the group SCR (excluding own funds from other financial sectors, including own funds from undertakings included via D&A method) – total

Total eligible own funds to meet the group SCR (excluding own funds from other financial sectors, including own funds from the undertakings included via Deduction and Aggregation method) – Total

R0810/C0020

Total eligible own funds to meet the group SCR (excluding own funds from other financial sectors, including own funds from undertakings included via D&A method) – tier 1 unrestricted

Total eligible own funds to meet the group SCR (excluding own funds from other financial sectors, including own funds from the undertakings included via Deduction and Aggregation method) – that meet the criteria to be included in Tier 1 unrestricted items

R0810/C0030

Total eligible own funds to meet the group SCR (excluding own funds from other financial sectors, including own funds from undertakings included via D&A method) – tier 1 restricted

R0810/C0040

Total eligible own funds to meet the group SCR (excluding own funds from other financial sectors, including own funds from undertakings included via D&A method) – tier 2

R0810/C0050

Total eligible own funds to meet the group SCR (excluding own funds from other financial sectors, including own funds from undertakings included via D&A method) – tier 3

R0660/C0010

Total eligible own funds to meet the Total group SCR (including own funds from other financial sectors and own funds from undertakings included via D&A method) – total

This is the total eligible own funds, including the own funds from the other financial sectors, and own funds from the undertakings included via Deduction and aggregation method, to meet the total group SCR.

R0660/C0020

Total eligible own funds to meet the Total group SCR (including own funds from other financial sectors and own funds from undertakings included via D&A method) – tier 1 unrestricted

This is the eligible own funds, including the own funds from the other financial sectors, and own funds from the undertakings included via Deduction and aggregation method, to meet the total group SCR that meet the criteria to be included in Tier 1 unrestricted

R0660/C0030

Total eligible own funds to meet the Total group SCR (including own funds from other financial sectors and own funds from undertakings included via D&A method) – tier 1 restricted

This is the eligible own funds, including the own funds from the other financial sectors, and own funds from the undertakings included via Deduction and aggregation method to meet the total group SCR that meet the criteria to be included in Tier 1 restricted

R0660/C0040

Total eligible own funds to meet the Total group SCR (including own funds from other financial sectors and own funds from undertakings included via D&A method) tier 2

R0660/C0050

Total eligible own funds to meet the Total group SCR (including own funds from other financial sectors and own funds from undertakings included via D&A method) – tier 3

This is the eligible available own funds, including the own funds from the other financial sectors, and own funds from the undertakings included via Deduction and aggregation method to meet the total group SCR that meet the criteria to be included in Tier 3

R0820/C0010

Consolidated part of the Group SCR (excluding CR for other financial sectors and SCR for undertakings included via D&A method) – total

Consolidated part of Group SCR, excluding CR for other financial sectors and SCR for undertakings included via Deduction and aggregation method.

This is the SCR based on art 336 (a), (b), (d) and (e) of Delegated Regulation (EU) 2015/35 including any capital add-on

For quarterly reporting this is the latest SCR to be calculated and reported, either the annual one or a more recent one in case the SCR has been recalculated (e.g. due to a change in risk profile), including capital add on.

R0610/C0010

Minimum consolidated Group SCR

Minimum consolidated group SCR calculated for the consolidated data (method 1) as per Article 230 of Directive 2009/138/EC.

R0860/C0010

Capital requirements (CR) for other financial sectors

This is the total capital requirements for related undertakings belonging to other financial sectors, as calculated according to the sectoral rules

R0590/C0010

Consolidated Group SCR (including CR for other financial sectors, excluding SCR for undertakings included via D&A method)

Consolidated group SCR calculated for the consolidated data under method 1 in accordance with Article 336, (a), (b), (c), (d) and (e) of Delegated Regulation (EU) 2015/35. Including any capital add-on.

In case the minimum consolidated Group SCR (R0610/C0010) is higher than the sum of R0820/C0010 and R0860/C0010, that minimum (R0610/C0010) shall be reported

R0670/C0010

SCR for undertakings included via D&A method

This is the total of solvency capital requirements for related undertakings included with Deduction and Aggregation method. This cell shall include sum of the proportional share of the SCR for undertakings included via Deduction and aggregation method. It is only relevant in case of Deduction and aggregation method and combination of methods.

R0830/C0010

Group SCR (excluding CR for other financial sectors, including SCR for undertakings included via D&A method)

The group SCR is the sum of the consolidated part of the group SCR calculated in accordance with Article 336, (a), (b), (d) and (e) of Delegated Regulation (EU) 2015/35 and any capital-add on (R0820/C0010) and the SCR for undertakings included via Deduction and aggregation method (R0670/C0010).

In case the minimum consolidated Group SCR (R0610/C0010) is higher than the amount reported on R0820/C0100, then the group SCR is the sum of R0610/C0010 and R0670/C0010.

The group SCR shall not include the capital requirements from other financial sectors (Article 336 (c) of Delegated Regulation (EU) 2015/35).

R0680/C0010

Total Group SCR (including CR for other financial sectors and SCR for undertakings included via D&A method)

The total group SCR is the sum of the consolidated group SCR (R0590/C0010)and the SCR for undertakings included via Deduction and aggregation method (R0670/C0010).

R0630/C0010

Ratio of Eligible own funds (R0560) to the consolidated part of the group SCR (R0820) – ratio excluding other financial sectors, and undertakings included via D&A method

This is the solvency ratio calculated as the total of eligible own funds to meet the consolidated part of the group SCR divided by the consolidated part of the group SCR, excluding own funds and capital requirements from other financial sectors and own funds and solvency capital requirements from undertakings included via Deduction and aggregation method.

R0650/C0010

Ratio of Eligible own funds (R0570) to Minimum Consolidated Group SCR (R0610)

This is the minimum solvency ratio calculated as the total of eligible own funds to meet the Minimum Consolidated group SCR divided by the Minimum Consolidated group SCR (excluding other financial sectors and the undertakings included via Deduction and aggregation method).

R0840/C0010

Ratio of Eligible own funds (R0800) to the Consolidated group SCR(R0590) – ratio including other financial sectors but excluding undertakings included via D&A method

This is the solvency ratio calculated as the total of eligible own funds to meet the Consolidated group SCR divided by the Consolidated group SCR, including capital requirements and own funds from other financial sectors but excluding SCR and own funds from the undertakings included via Deduction and aggregation method.

R0850/C0010

Ratio of Eligible own funds (R0810) to the Group SCR (R0830) – ratio excluding other financial sectors, including undertakings included via D&A method

This is the solvency ratio calculated as the total eligible own funds to meet the consolidated part of the group SCR divided by the Consolidated group SCR excluding own funds and CR from the other financial sectors but including own funds and SCR from the undertakings included via Deduction and Aggregation method.

R0690/C0010

Ratio of Total Eligible own funds (R0660) to the Total group SCR (R0680) – ratio including other financial sectors and undertakings included via D&A method

This is solvency ratio calculated as the Total of eligible own funds to meet the Total group SCR divided by the total group SCR, including other financial sectors, and undertakings included via Deduction and aggregation method.

Reconciliation Reserve

R0700/C0060

Excess of assets over liabilities

This is the excess of assets over liabilities as reported in the Solvency 2 balance sheet.

R0710/C0060

Own shares (held directly and indirectly)

This is the amount of own shares held by the participating insurance or reinsurance undertaking, the insurance holding company or the mixed financial holding company and the related undertakings, both directly and indirectly.

R0720/C0060

Foreseeable dividends, distributions and charges

These are the dividends, distributions and charges foreseeable from the group.

R0730/C0060

Other basic own fund items

These are the basic own fund items included in points (a)(i) to (v) of Article 69, Article 72(a) and Article 76(a), as well as those basic own fund items approved by the supervisory authority in accordance with Article 79 of Delegated Regulation (EU) 2015/35.

R0740/C0060

Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring-fenced funds

This is the total amount of the adjustment to the reconciliation reserve due to the existence of restricted own fund items in respect of ring–fenced funds and matching portfolios at group level.

R0750/C0060

Other non-available own funds

These are other non-available own funds such as those of related undertakings according to Article 335(1)(d) and (f) of Delegated Regulation (EU) 2015/35.

R0760/C0060

Reconciliation reserve – total

This is the reconciliation reserve of the group.

R0770/C0060

Expected profits included in future premiums (EPIFP) – Life business

The reconciliation reserve includes an amount of the excess of assets over liabilities that corresponds to the expected profit in future premiums (EPIFP). This cell represents that amount for the life business of the group.

R0780/C0060

Expected profits included in future premiums (EPIFP) – Non– life business

R0790/C0060

Total Expected profits included in future premiums (EPIFP)

This is the total amount calculated as expected profits included in future premiums.

S.23.02 – Detailed information by tiers on own funds

General comments:

This section relates to the annual submission for groups when method 1 is used, either exclusively or in combination with method 2.

	ITEM	INSTRUCTIONS
R0010/C0010	Ordinary share capital –Paid in – total	This is the total of paid in ordinary share capital, including own shares.
R0010/C0020	Ordinary share capital – Paid in – tier 1	This is the total of paid in ordinary share capital that meets the criteria for Tier 1, including own shares.
R0020/C0010	Ordinary share capital –Called up but not yet paid in – total	This is the total amount of ordinary shares that have been called up but not yet paid in, including own shares.
R0020/C0040	Ordinary share capital –Called up but not yet paid in – tier 2	This is the amount of ordinary shares that have been called up but not yet paid in that meet the criteria for Tier 2, including own shares.
R0030/C0010	Own shares held – total	This is the total amount of own shares held by the undertaking.
R0030/C0020	Own shares held – tier 1	This is the total amount of own shares held by the undertaking, that meet the criteria for Tier 1.
R0100/C0010	Total ordinary share capital	This is the total of ordinary share capital. Note that own shares held will be included in either paid in or called up but not yet paid in.
R0100/C0020	Total ordinary share capital – tier 1	This is the total of ordinary share capital that meets the criteria for Tier 1. Note that own shares held will be included in either paid in or called up but not yet paid in.
R0100/C0040	Total ordinary share capital – tier 2	This is the total of ordinary share capital that meets the criteria for Tier 2.
R0110/C0010	Initial funds, members’ contributions or the equivalent basic own–fund items for mutual and mutual–type undertaking –Paid in – total	This is the total of paid in initial funds, members’ contributions or the equivalent basic own–fund item for mutual and mutual–type undertaking.
R0110/C0020	Initial funds, members’ contributions or the equivalent basic own–fund items for mutual and mutual–type undertaking –Paid in – tier 1	This is the total of initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking that meets the criteria for Tier 1.
R0120/C0010	Initial funds, members’ contributions or the equivalent basic own–fund items for mutual and mutual–type undertaking –Called up but not yet paid in – total	This is the total of called up but not yet paid in initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking
R0120/C0040	Initial funds, members’ contributions or the equivalent basic own–fund items for mutual and mutual–type undertaking –Called up but not yet paid in – tier 2	This is the total of initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking that meets the criteria for Tier 2.
R0200/C0010	Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking	This is the total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking.
R0200/C0020	Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking – tier 1	This is the total of the initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking that meets the criteria for Tier 1.
R0200/C0040	Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking – tier 2	This is the total of the initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertaking that meets the criteria for Tier 2.
R0210/C0010	Subordinated mutual member accounts – Dated subordinated – total	This is the total amount of dated subordinated mutual member accounts.
R0210/C0020	Subordinated mutual member accounts – Dated subordinated – tier 1	This is the total amount of dated subordinated mutual member accounts that meet the criteria for Tier 1.
R0210/C0030	Subordinated mutual member accounts – Dated subordinated – tier 1 of which counted under transitionals	This is the total amount of dated subordinated mutual member accounts that meet the criteria for Tier 1 that are counted under the transitional provisions.
R0210/C0040	Subordinated mutual member accounts – Dated subordinated – tier 2	This is the total amount of dated subordinated mutual member accounts that meet the criteria for Tier 2.
R0210/C0050	Subordinated mutual member accounts – Dated subordinated – tier 2 of which counted under transitionals	This is the total amount of dated subordinated mutual member accounts that meet the criteria for Tier 2 that are counted under the transitional provisions.
R0210/C0060	Subordinated mutual member accounts – Dated subordinated – tier 3	This is the total amount of dated subordinated mutual member accounts that meet the criteria for Tier 3.
R0220/C0010	Subordinated mutual member accounts – Undated subordinated with a call option – total	This is the total of undated subordinated mutual member accounts with a call option.
R0220/C0020	Subordinated mutual member accounts – Undated subordinated with a call option – tier 1	This is the total of undated subordinated mutual member accounts with a call option that meet the criteria for Tier 1.
R0220/C0030	Subordinated mutual member accounts – Undated subordinated with a call option – tier 1 of which counted under transitionals	This is the total of undated subordinated mutual member accounts with a call option that meet the criteria for Tier 1 that are counted under the transitional provisions.
R0220/C0040	Subordinated mutual member accounts – Undated subordinated with a call option – tier 2	This is the total of undated subordinated mutual member accounts with a call option that meet the criteria for Tier 2.
R0220/C0050	Subordinated mutual member accounts – Undated subordinated with a call option – tier 2 of which counted under transitionals	This is the total of undated subordinated mutual member accounts with a call option that meet the criteria for Tier 2 that are counted under the transitional provisions.
R0220/C0060	Subordinated mutual member accounts – Undated subordinated with a call option – tier 3	This is the total of undated subordinated mutual member accounts with a call option that meet the criteria for Tier 3.
R0230/C0010	Subordinated mutual member accounts – Undated subordinated with no contractual opportunity to redeem – total	This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem.
R0230/C0020	Subordinated mutual member accounts – Undated subordinated with no contractual opportunity to redeem – tier 1	This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem that meet the criteria for Tier 1.
R0230/C0030	Subordinated mutual member accounts – Undated subordinated with no contractual opportunity to redeem – tier 1 of which counted under transitionals	This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem that meet the criteria for Tier 1 that are counted under the transitional provisions.
R0230/C0040	Subordinated mutual member accounts – Undated subordinated with no contractual opportunity to redeem – tier 2	This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem that meet the criteria for Tier 2.
R0230/C0050	Subordinated mutual member accounts – Undated subordinated with no contractual opportunity to redeem – tier 2 of which counted under transitionals	This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem that meet the criteria for Tier 2 that are counted under the transitional provisions.
R0230/C0060	Subordinated mutual member accounts – Undated subordinated with no contractual opportunity to redeem – tier 3	This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem that meet the criteria for Tier 3.
R0300/C0010	Total subordinated mutual member accounts	This is the total subordinated mutual member accounts.
R0300/C0020	Total subordinated mutual member accounts – tier 1	This is the total of the subordinated mutual member accounts that meet the criteria for Tier 1.
R0300/C0030	Total subordinated mutual member accounts – tier 1 of which counted under transitionals	This is the total of the subordinated mutual member accounts that meet the criteria for Tier 1 that are counted under the transitional provisions.
R0300/C0040	Total subordinated mutual member accounts – tier 2	This is the total of the subordinated mutual member accounts that meet the criteria for Tier 2.
R0300/C0050	Total subordinated mutual member accounts – tier 2 of which counted under transitionals	This is the total of the subordinated mutual member accounts that meet the criteria for Tier 2 that are counted under the transitional provisions.
R0300/C0060	Total subordinated mutual member accounts – tier 3	This is the total of the subordinated mutual member accounts that meet the criteria for Tier 3.
R0310/C0010	Dated preference shares – total	This is the total dated preference shares.
R0310/C0020	Dated preference shares – tier 1	This is the total of dated preference shares that meet the criteria for Tier 1.
R0310/C0030	Dated preference shares – tier 1 of which counted under transitionals	This is the total of dated preference shares that meet the criteria for Tier 1 that are counted under the transitional provisions.
R0310/C0040	Dated preference shares – tier 2	This is the total of dated preference shares that meet the criteria for Tier 2.
R0310/C0050	Dated preference shares – tier 2 of which counted under transitionals	This is the total of dated preference shares that meet the criteria for Tier 2 that are counted under the transitional provisions.
R0310/C0060	Dated preference shares – tier 3	This is the total of dated preference shares that meet the criteria for Tier 3.
R0320/C0010	Undated preference shares with a call option – total	This is the total undated preference shares with a call option.
R0320/C0020	Undated preference shares with a call option – tier 1	This is the total of undated preference shares with a call option that meet the criteria for Tier 1.
R0320/C0030	Undated preference shares with a call option – tier 1 of which counted under transitionals	This is the total of undated preference shares with a call option that meet the criteria for Tier 1 that are counted under the transitional provisions.
R0320/C0040	Undated preference shares with a call option – tier 2	This is the total of undated preference shares with a call option that meet the criteria for Tier 2.
R0320/C0050	Undated preference shares with a call option – tier 2 of which counted under transitionals	This is the total of undated preference shares with a call option that meet the criteria for Tier 2 that are counted under the transitional provisions.
R0320/C0060	Undated preference shares with a call option – tier 3	This is the total of undated preference shares with a call option that meet the criteria for Tier 3.
R0330/C0010	Undated preference shares with no contractual opportunity to redeem – total	This is the total undated preference shares with no contractual opportunity to redeem.
R0330/C0020	Undated preference shares with no contractual opportunity to redeem – tier 1	This is the total of undated preference shares with no contractual opportunity to redeem that meet the criteria for Tier 1.
R0330/C0030	Undated preference shares with no contractual opportunity to redeem – tier 1 of which counted under transitionals	This is the total of undated preference shares with no contractual opportunity to redeem that meet the criteria for Tier 1 that are counted under the transitional provisions.
R0330/C0040	Undated preference shares with no contractual opportunity to redeem – tier 2	This is the total of undated preference shares with no contractual opportunity to redeem that meet the criteria for Tier 2.
R0330/C0050	Undated preference shares with no contractual opportunity to redeem – tier 2 of which counted under transitionals	This is the total of undated preference shares with no contractual opportunity to redeem that meet the criteria for Tier 2 that are counted under the transitional provisions.
R0330/C0060	Undated preference shares with no contractual opportunity to redeem – tier 3	This is the total of undated preference shares with no contractual opportunity to redeem that meet the criteria for Tier 3.
R0400/C0010	Total preference shares	This is the total preference shares.
R0400/C0020	Total preference shares – tier 1	This is the total of preference shares that meet the criteria for Tier 1.
R0400/C0030	Total preference shares – tier 1 of which counted under transitionals	This is the total of preference shares that meet the criteria for Tier 1 that are counted under the transitional provisions.
R0400/C0040	Total preference shares – tier 2	This is the total of preference shares that meet the criteria for Tier 2.
R0400/C0050	Total preference shares – tier 2 of which counted under transitionals	This is the total of preference shares that meet the criteria for Tier 2 that are counted under the transitional provisions.
R0400/C0060	Total preference shares – tier 3	This is the total of preference shares that meet the criteria for Tier 3.
R0410/C0010	Dated subordinated liabilities – total	This is the total of dated subordinated liabilities.
R0410/C0020	Dated subordinated liabilities– tier 1	This is the amount of dated subordinated liabilities that meet the criteria for Tier 1.
R0410/C0030	Dated subordinated liabilities – tier 1 of which counted under transitionals	This is the amount of dated subordinated liabilities that meet the criteria for Tier 1 that are counted under the transitional provisions.
R0410/C0040	Dated subordinated liabilities– tier 2	This is the amount of dated subordinated liabilities that meet the criteria for Tier 2.
R0410/C0050	Dated subordinated liabilities– tier 2 of which counted under transitionals	This is the amount of dated subordinated liabilities that meet the criteria for Tier 2 that are counted under the transitional provisions.
R0410/C0060	Dated subordinated liabilities– tier 3	This is the amount of dated subordinated liabilities that meet the criteria for Tier 3.
R0420/C0010	Undated subordinated liabilities with a contractual opportunity to redeem – total	This is the total of undated subordinated liabilities that have a contractual opportunity to redeem.
R0420/C0020	Undated subordinated liabilities with a contractual opportunity to redeem – tier 1	This is the amount of undated subordinated liabilities with contractual opportunity to redeem that meet the criteria for Tier 1.
R0420/C0030	Undated subordinated liabilities with a contractual opportunity to redeem – tier 1 of which counted under transitionals	This is the amount of undated subordinated liabilities with a contractual opportunity to redeem that meet the criteria for Tier 1 that are counted under the transitional provisions.
R0420/C0040	Undated subordinated liabilities with a contractual opportunity to redeem – tier 2	This is the amount of undated subordinated liabilities with a contractual opportunity to redeem that meet the criteria for Tier 2.
R0420/C0050	Undated subordinated liabilities with a contractual opportunity to redeem – tier 2 of which counted under transitionals	This is the amount of undated subordinated liabilities with contractual opportunity to redeem that meet the criteria for Tier 2 that are counted under the transitional provisions.
R0420/C0060	Undated subordinated liabilities with a contractual opportunity to redeem – tier 3	This is the amount of undated subordinated liabilities with contractual opportunity to redeem that meet the criteria for Tier 3.
R0430/C0010	Undated subordinated liabilities with no contractual opportunity to redeem – total	This is the total of undated subordinated liabilities with no contractual opportunity to redeem.
R0430/C0020	Undated subordinated liabilities with no contractual opportunity to redeem – tier 1	This is the amount of undated subordinated liabilities with no contractual opportunity to redeem that meet the criteria for Tier 1.
R0430/C0030	Undated subordinated liabilities with no contractual opportunity to redeem – tier 1 of which counted under transitionals	This is the amount of undated subordinated liabilities with no contractual opportunity to redeem that meet the criteria for Tier 1 that are counted under the transitional provisions.
R0430/C0040	Undated subordinated liabilities with no contractual opportunity to redeem – tier 2	This is the amount of undated subordinated liabilities with no contractual opportunity to redeem that meet the criteria for Tier 2.
R0430/C0050	Undated subordinated liabilities with no contractual opportunity to redeem – tier 2 of which counted under transitionals	This is the amount of undated subordinated liabilities with no contractual opportunity to redeem that meet the criteria for Tier 2 that are counted under the transitional provisions.
R0430/C0060	Undated subordinated liabilities with no contractual opportunity to redeem – tier 3	This is the amount of undated subordinated liabilities with no contractual opportunity to redeem that meet the criteria for Tier 3.
R0500/C0010	Total subordinated liabilities – total	This is the total of subordinated liabilities.
R0500/C0020	Total subordinated liabilities – tier 1	This is the total of subordinated liabilities that meet the criteria for Tier 1.
R0500/C0030	Total subordinated liabilities – tier 1 of which counted under transitionals	This is the total of subordinated liabilities that meet the criteria for Tier 1 that are counted under the transitional provisions.
R0500/C0040	Total subordinated liabilities – tier 2	This is the amount of subordinated liabilities that meet the criteria for Tier 2.
R0500/C0050	Total subordinated liabilities – tier 2 of which counted under transitionals	This is the amount of subordinated liabilities that meet the criteria for Tier 2 that are counted under the transitional provisions.
R0500/C0060	Total subordinated liabilities – tier 3	This is the amount of subordinated liabilities that meet the criteria for Tier 3.
R0510/C0070	Ancillary own fund items for which an amount was approved – tier 2 initial amounts approved	This the initial amount approved for ancillary own funds for which an amount was approved under Tier 2.
R0510/C0080	Ancillary own fund items for which an amount was approved – tier 2 current amounts	This is the current amount for ancillary own funds for which an amount was approved under Tier 2.
R0510/C0090	Ancillary own fund items for which an amount was approved – tier 3 initial amounts approved	This the initial amount approved for ancillary own funds for which an amount was approved under Tier 3.
R0510/C0100	Ancillary own fund items for which an amount was approved – tier 3 current amounts	This is the current amount for ancillary own funds for which an amount was approved under Tier 3.
R0520/C0080	Ancillary own fund items for which a method was approved – tier 2 current amounts	This is the current amount for ancillary own funds for which a method was approved under Tier 2.
R0520/C0100	Ancillary own fund items for which a method was approved – tier 3 current amounts	This is the current amount for ancillary own funds for which a method was approved under Tier 3.
R0600/C0110	Excess of assets over liabilities – attribution of valuation differences –Difference in the valuation of assets	This is the difference in the valuation of assets.
R0610/C0110	Excess of assets over liabilities – attribution of valuation differences – Difference in the valuation of technical provisions	This is the difference in the valuation of technical provisions.
R0620/C0110	Excess of assets over liabilities – attribution of valuation differences –Difference in the valuation of other liabilities	This is the difference in the valuation of other liabilities.
R0630/C0110	Total of reserves and retained earnings from financial statements	This is total reserves and retained earnings taken from the financial statements.
R0640/C0110	Other, please explain why you need to use this line.	This is the amount of any other items not already identified. When reporting a value in R0640/C0110, the value in R0640/C0120 shall provide an explanation and details of such items.
R0640/C0120	Other, please explain why you need to use this line	This is the explanation of other items reported in R0640/C0110.
R0650/C0110	Reserves from financial statements adjusted for Solvency II valuation differences	This is the total of reserves from the financial statements after adjustment for valuation differences. This item shall include values from financial statement such as retained earnings, reserve capital, net profit, profits from previous years, revaluation capital (fund), other reserve capital.
R0660/C0110	Excess of assets over liabilities attributable to basic own fund items (excluding the reconciliation reserve)	This is the excess of assets over liabilities attributable to basic own funds, excluding reconciliation reserve.
R0700/C0110	Excess of assets over liabilities	This is the amount of excess of assets over liabilities.

S.23.03 – Annual movements on own funds

General comments:

This template shall be reported if the amount of the own funds for any tier change more than 5 % compared to the previous year calculated as below.

This section relates to annual submission for groups when method 1 is used, either exclusively or in combination with method 2.

	ITEM	INSTRUCTIONS
Ordinary share capital – movements in the reporting period
R0010/C0010	Ordinary share capital –Paid in – balance brought forward	This is the balance of paid in ordinary share capital brought forward from the previous reporting period.
R0010/C0020	Ordinary share capital –Paid in – increase	This is the increase in paid in ordinary share capital over the reporting period.
R0010/C0030	Ordinary share capital –Paid in – reduction	This is the reduction in paid in ordinary share capital over the reporting period.
R0010/C0060	Ordinary share capital –Paid in – balance carried forward	This is the balance of paid in ordinary share capital carried forward to the next reporting period.
R0020/C0010	Ordinary share capital –Called up but not yet paid in – balance brought forward	This is the balance of called up but not yet paid in ordinary share capital brought forward from the previous reporting period.
R0020/C0020	Ordinary share capital –Called up but not yet paid in – increase	This is the increase in called up but not yet paid in ordinary share capital over the reporting period.
R0020/C0030	Ordinary share capital –Called up but not yet paid in – reduction	This is the reduction in called up but not yet paid in ordinary share capital over the reporting period.
R0020/C0060	Ordinary share capital –Called up but not yet paid in – balance carried forward	This is the balance of called up but not yet paid in ordinary share capital carried forward to the next reporting period.
R0030/C0010	Own shares held – balance brought forward	This is the balance of own shares held, brought forward from the previous reporting period.
R0030/C0020	Own shares held – increase	This is the increase in own shares held, brought over the reporting period.
R0030/C0030	Own shares held – reduction	This is the reduction in own shares held, brought over the reporting period.
R0030/C0060	Own shares held – balance carried forward	This is the balance of own shares held carried forward to the next reporting period.
R0100/C0010	Total ordinary share capital – balance brought forward	This is the balance of total ordinary share capital brought forward from the previous reporting period. R0100/C0010 includes own shares held.
R0100/C0020	Total ordinary share capital – increase	This is the increase in total ordinary share capital over the reporting period.
R0100/C0030	Total ordinary share capital – reduction	This is the reduction in total ordinary share capital over the reporting period.
R0100/C0060	Total ordinary share capital – balance carried forward	This is the balance of total ordinary share capital carried forward to the next reporting period.
Share premium account related to ordinary share capital – movements in the reporting period
R0110/C0010	Share premium account related to ordinary share capital – Tier 1 – balance brought forward	This is the balance of the share premium account related to ordinary share capital that is tier 1 brought forward from the previous reporting period.
R0110/C0020	Share premium account related to ordinary share capital – Tier 1 – increase	This is the increase in the share premium account related to ordinary share capital that is tier 1 over the reporting period.
R0110/C0030	Share premium account related to ordinary share capital – Tier 1 – reduction	This is the reduction in the share premium account related to ordinary share capital that is tier 1 over the reporting period.
R0110/C0060	Share premium account related to ordinary share capital – Tier 1 – balance carried forward	This is the balance of the share premium account related to ordinary share capital that is tier 1 carried forward to the next reporting period.
R0120/C0010	Share premium account related to ordinary share capital – Tier 2 – balance brought forward	This is the balance of the share premium account related to ordinary share capital that is tier 2 brought forward from the previous reporting period.
R0120/C0020	Share premium account related to ordinary share capital – Tier 2 – increase	This is the increase in the share premium account related to ordinary share capital that is tier 2 over the reporting period.
R0120/C0030	Share premium account related to ordinary share capital – Tier 2 – reduction	This is the reduction in the share premium account related to ordinary share capital that is tier 2 over the reporting period.
R0120/C0060	Share premium account related to ordinary share capital – Tier 2 – balance carried forward	This is the balance of the share premium account related to ordinary share capital that is tier 2 carried forward to the next reporting period.
R0200/C0010	Share premium account related to ordinary share capital –Total – balance brought forward	This is the total balance of the share premium account related to ordinary share capital brought forward from the previous reporting period.
R0200/C0020	Share premium account related to ordinary share capital –Total – increase	This is the increase in the total share premium account related to ordinary share capital over the reporting period.
R0200/C0030	Share premium account related to ordinary share capital –Total – reduction	This is the reduction in the total share premium account related to ordinary share capital over the reporting period.
R0200/C0060	Share premium account related to ordinary share capital –Total – balance carried forward	This is the balance of the share premium account related to ordinary share capital carried forward to the next reporting period.
Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings – movements in the reporting period
R0210/C0010	Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings —Paid in – balance brought forward	This is the balance of the paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings brought forward from the previous reporting period.
R0210/C0020	Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Paid in – increase	This is the increase in the paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings over the reporting period.
R0210/C0030	Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Paid in – reduction	This is the reduction in the paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings over the reporting period.
R0210/C0060	Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Paid in – balance carried forward	This is the balance of the paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings carried forward to the next reporting period.
R0220/C0010	Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Called up but not yet paid in – balance brought forward	This is the balance of the called up but not yet paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings brought forward from the previous reporting period.
R0220/C0020	Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Called up but not yet paid in – increase	This is the increase in the called up but not yet paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings over the reporting period.
R0220/C0030	Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Called up but not yet paid in – reduction	This is the reduction in the called up but not yet paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings over the reporting period.
R0220/C0060	Initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Called up but not yet paid in – balance carried forward	This is the balance of the called up but not yet paid in initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings carried forward to the next reporting period.
R0300/C0010	Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings – balance brought forward	This is the balance of the total initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings brought forward from the previous reporting period.
R0300/C0020	Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings – increase	This is the increase in the total initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings over the reporting period.
R0300/C0030	Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings – reduction	This is the decrease in the total initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings over the reporting period.
R0300/C0060	Total initial funds, members’ contributions or the equivalent basic own fund item for mutual and mutual type undertakings – balance carried forward	This is the balance of the total initial funds, members’ contributions or the equivalent basic own – fund item for mutual and mutual type undertakings carried forward to the next reporting period.
Subordinated mutual member accounts – movements in the reporting period
R0310/C0010	Subordinated mutual member accounts – Tier 1 – balance brought forward	This is the balance of tier 1 subordinated mutual member accounts brought forward from the previous reporting period.
R0310/C0070	Subordinated mutual member accounts – Tier 1 – issued	This is the amount of tier 1 subordinated mutual member accounts issued over the reporting period.
R0310/C0080	Subordinated mutual member accounts – Tier 1 – redeemed	This is the amount of tier 1 subordinated mutual member accounts redeemed over the reporting period.
R0310/C0090	Subordinated mutual member accounts – Tier 1 – movements in valuation	This is the amount reflecting movement in valuation tier 1 subordinated mutual member accounts over the reporting period.
R0310/C0100	Subordinated mutual member accounts – Tier 1 – regulatory action	This is the amount reflecting an increase/decrease in tier 1 subordinated mutual member accounts due to regulatory action over the reporting period.
R0310/C0060	Subordinated mutual member accounts – Tier 1 – balance carried forward	This is the balance of tier 1 subordinated mutual member accounts carried forward to the next reporting period.
R0320/C0010	Subordinated mutual member accounts – Tier 2 – balance brought forward	This is the balance of tier 2 subordinated mutual member accounts brought forward from the previous reporting period.
R0320/C0070	Subordinated mutual member accounts – Tier 2 – issued	This is the amount of tier 2 subordinated mutual member accounts issued over the reporting period.
R0320/C0080	Subordinated mutual member accounts – Tier 2 – redeemed	This is the amount of tier 2 subordinated mutual member accounts redeemed over the reporting period.
R0320/C0090	Subordinated mutual member accounts – Tier 2 – movements in valuation	This is the amount reflecting movement in valuation tier 2 subordinated mutual member accounts over the reporting period.
R0320/C0100	Subordinated mutual member accounts – Tier 2 – regulatory action	This is the amount reflecting an increase/decrease in tier 2 subordinated mutual member accounts due to regulatory action over the reporting period.
R0320/C0060	Subordinated mutual member accounts – Tier 2 – balance carried forward	This is the balance of tier 2 subordinated mutual member accounts carried forward to the next reporting period.
R0330/C0010	Subordinated mutual member accounts – Tier 3 – balance brought forward	This is the balance of tier 3 subordinated mutual member accounts brought forward from the previous reporting period.
R0330/C0070	Subordinated mutual member accounts – Tier 3 – issued	This is the amount of tier 3 subordinated mutual member accounts issued over the reporting period.
R0330/C0080	Subordinated mutual member accounts – Tier 3 – redeemed	This is the amount of tier 3 subordinated mutual member accounts redeemed over the reporting period.
R0330/C0090	Subordinated mutual member accounts – Tier 3 – movements in valuation	This is the amount reflecting movement in valuation tier 3 subordinated mutual member accounts over the reporting period.
R0330/C0100	Subordinated mutual member accounts – Tier 3 – regulatory action	This is the amount reflecting an increase/decrease in tier 3 subordinated mutual member accounts due to regulatory action over the reporting period.
R0330/C0060	Subordinated mutual member accounts – Tier 3 – balance carried forward	This is the balance of tier 3 subordinated mutual member accounts carried forward to the next reporting period.
R0400/C0010	Total subordinated mutual member accounts — balance brought forward	This is the total balance of subordinated mutual member accounts brought forward from the previous reporting period.
R0400/C0070	Total subordinated mutual member accounts – issued	This is the total amount of subordinated mutual member accounts issued over the reporting period.
R0400/C0080	Total subordinated mutual member accounts – redeemed	This is the total amount of subordinated mutual member accounts redeemed over the reporting period.
R0400/C0090	Total subordinated mutual member accounts– movements in valuation	This is the amount reflecting the total movement in valuation subordinated mutual member accounts over the reporting period.
R0400/C0100	Total subordinated mutual member accounts – regulatory action	This is the amount reflecting the total increase/decrease in subordinated mutual member accounts due to regulatory action over the reporting period.
R0400/C0060	Total subordinated mutual member accounts – balance carried forward	This is the total balance of subordinated mutual member accounts carried forward to the next reporting period.
Surplus funds
R0500/C0010	Surplus funds –Balance brought forward	This is the balance of surplus funds brought forward from the previous reporting period.
R0500/C0060	Surplus funds –Balance carried forward	This is the balance of surplus funds carried forward to the next reporting period.
Preference shares – movements in the reporting period
R0510/C0010	Preference shares – Tier 1 – balance brought forward	This is the balance of Tier 1 preference shares brought forward from the previous reporting period.
R0510/C0020	Preference shares – Tier 1 – increase	This is the increase in Tier 1 preference shares over the reporting period.
R0510/C0030	Preference shares – Tier 1 – reduction	This is the reduction in Tier 1 preference shares over the reporting period.
R0510/C0060	Preference shares – Tier 1 – balance carried forward	This is the balance of Tier 1 preference shares carried forward to the next reporting period.
R0520/C0010	Preference shares – Tier 2 – balance brought forward	This is the balance of Tier 2 preference shares brought forward from the previous reporting period.
R0520/C0020	Preference shares – Tier 2 – increase	This is the increase in Tier 2 preference shares over the reporting period.
R0520/C0030	Preference shares – Tier 2 – reduction	This is the reduction in Tier 2 preference shares over the reporting period.
R0520/C0060	Preference shares – Tier 2 – balance carried forward	This is the balance of Tier 2 preference shares carried forward to the next reporting period.
R0530/C0010	Preference shares – Tier 3 – balance brought forward	This is the balance of Tier 3 preference shares brought forward from the previous reporting period.
R0530/C0020	Preference shares – Tier 3 – increase	This is the increase in Tier 3 preference shares over the reporting period.
R0530/C0030	Preference shares – Tier 3 – reduction	This is the reduction in Tier 3 preference shares over the reporting period.
R0530/C0060	Preference shares – Tier 3 – balance carried forward	This is the balance of Tier 3 preference shares carried forward to the next reporting period.
R0600/C0010	Total preference shares – balance brought forward	This is the balance of total preference shares brought forward from the previous reporting period.
R0600/C0020	Total preference shares – increase	This is the increase in total preference shares over the reporting period.
R0600/C0030	Total preference shares – reduction	This is the reduction in total preference shares over the reporting period.
R0600/C0060	Total preference shares – balance carried forward	This is the balance of total preference shares carried forward to the next reporting period.
Share premium relating to preference shares
R0610/C0010	Share premium relating to preference shares – Tier 1 – balance brought forward	This is the balance of the share premium account relating to preference shares that is tier 1 brought forward from the previous reporting period.
R0610/C0020	Share premium relating to preference shares – Tier 1 – increase	This is the increase in the share premium account relating to preference shares that is tier 1 over the reporting period.
R0610/C0030	Share premium relating to preference shares – Tier 1 – reduction	This is the reduction in the share premium account relating to preference shares that is tier 1 over the reporting period.
R0610/C0060	Share premium relating to preference shares – Tier 1 – balance carried forward	This is the balance of the share premium account relating to preference shares that is tier 1 carried forward to the next reporting period.
R0620/C0010	Share premium relating to preference shares – Tier 2 – balance brought forward	This is the balance of the share premium account relating to preference shares that is tier 2 brought forward from the previous reporting period.
R0620/C0020	Share premium relating to preference shares – Tier 2– increase	This is the increase in the share premium account relating to preference shares that is tier 2 over the reporting period.
R0620/C0030	Share premium relating to preference shares – Tier 2 – reduction	This is the reduction in the share premium account relating to preference shares that is tier 2 over the reporting period.
R0620/C0060	Share premium relating to preference shares – Tier 2 – balance carried forward	This is the balance of the share premium account relating to preference shares that is tier 2 carried forward to the next reporting period.
R0630/C0010	Share premium relating to preference shares – Tier 3 – balance brought forward	This is the balance of the share premium account relating to preference shares that is tier 3 brought forward from the previous reporting period.
R0630/C0020	Share premium relating to preference shares – Tier 3 – increase	This is the increase in the share premium account relating to preference shares that is tier 3 over the reporting period.
R0630/C0030	Share premium relating to preference shares – Tier 3 – reduction	This is the reduction in the share premium account relating to preference shares that is tier 3 over the reporting period.
R0630/C0060	Share premium relating to preference shares – Tier 3 – balance carried forward	This is the balance of the share premium account relating to preference shares that is tier 3 carried forward to the next reporting period.
R0700/C0010	Share premium relating to preference shares –Total – balance brought forward	This is the balance of the total share premium account relating to preference shares that is brought forward from the previous reporting period.
R0700/C0020	Share premium relating to preference shares –Total – increase	This is the increase in the total share premium account relating to preference shares over the reporting period.
R0700/C0030	Share premium relating to preference shares –Total – reduction	This is the reduction in the total share premium account relating to preference shares over the reporting period.
R0700/C0060	Share premium relating to preference shares –Total – balance carried forward	This is the balance of the total share premium account relating to preference shares that is carried forward to the next reporting period.
Subordinated liabilities – movements in the reporting period
R0710/C0010	Subordinated liabilities – Tier 1 – balance brought forward	This is the balance of Tier 1 subordinated liabilities brought forward from the previous reporting period.
R0710/C0070	Subordinated liabilities – Tier 1 – issued	This is the amount of Tier 1 subordinated liabilities issued over the reporting period.
R0710/C0080	Subordinated liabilities – Tier 1 – redeemed	This is the amount of Tier 1 subordinated liabilities redeemed over the reporting period.
R0710/C0090	Subordinated liabilities – Tier 1 – movements in valuation	This is an amount reflecting the movements in valuation of Tier 1 subordinated liabilities over the reporting period.
R0710/C0100	Subordinated liabilities – Tier 1 – regulatory action	This is an amount reflecting change to Tier 1 subordinated liabilities due to regulatory action.
R0710/C0060	Subordinated liabilities – Tier 1 – balance carried forward	This is the balance of Tier 1 subordinated liabilities carried forward to the next reporting period.
R0720/C0010	Subordinated liabilities – Tier 2 – balance brought forward	This is the balance of Tier 2 subordinated liabilities brought forward from the previous reporting period.
R0720/C0070	Subordinated liabilities – Tier 2 – issued	This is the amount of Tier 2 subordinated liabilities issued over the reporting period.
R0720/C0080	Subordinated liabilities – Tier 2 – redeemed	This is the amount of Tier 2 subordinated liabilities redeemed over the reporting period.
R0720/C0090	Subordinated liabilities – Tier 2 – movements in valuation	This is an amount reflecting the movements in valuation of Tier 2 subordinated liabilities over the reporting period.
R0720/C0100	Subordinated liabilities – Tier 2 – regulatory action	This is an amount reflecting change to Tier 2 subordinated liabilities due to regulatory action.
R0720/C0060	Subordinated liabilities – Tier 2 – balance carried forward	This is the balance of Tier 2 subordinated liabilities carried forward to the next reporting period.
R0730/C0010	Subordinated liabilities – Tier 3– balance brought forward	This is the balance of Tier 3 subordinated liabilities brought forward from the previous reporting period.
R0730/C0070	Subordinated liabilities – Tier 3 – issued	This is the amount of Tier 3 subordinated liabilities issued over the reporting period.
R0730/C0080	Subordinated liabilities – Tier 3 – redeemed	This is the amount of Tier 3 subordinated liabilities redeemed over the reporting period.
R0730/C0090	Subordinated liabilities – Tier 3 – movements in valuation	This is an amount reflecting the movements in valuation of Tier 3 subordinated liabilities over the reporting period.
R0730/C0100	Subordinated liabilities – Tier 3 – regulatory action	This is an amount reflecting change to Tier 3 subordinated liabilities due to regulatory action.
R0730/C0060	Subordinated liabilities – Tier 3 – balance carried forward	This is the balance of Tier 3 subordinated liabilities carried forward to the next reporting period.
R0800/C0010	Total subordinated liabilities – balance brought forward	This is the balance of total subordinated liabilities brought forward from the previous reporting period.
R0800/C0070	Total subordinated liabilities – issued	This is the amount of total subordinated liabilities issued over the reporting period.
R0800/C0080	Total subordinated liabilities – redeemed	This is the amount of total subordinated liabilities redeemed over the reporting period.
R0800/C0090	Total subordinated liabilities – movements in valuation	This is an amount reflecting the movements in valuation of total subordinated liabilities over the reporting period.
R0800/C0100	Total subordinated liabilities – regulatory action	This is an amount reflecting change to total subordinated liabilities due to regulatory action.
R0800/C0060	Total subordinated liabilities – balance carried forward	This is the balance of total subordinated liabilities carried forward to the next reporting period.
An amount equal to the value of deferred tax assets
R0900/C0010	An amount equal to the value of net deferred tax assets –Balance brought forward	This is the balance of an amount equal to the value of deferred tax assets brought forward from the previous reporting period.
R0900/C0060	An amount equal to the value of net deferred tax assets –Balance carried forward	This is the balance of an amount equal to the value of deferred tax assets carried forward to the next reporting period.
Other items approved by supervisory authority as basic own funds not specified above – movements in the reporting period
R1000/C0010	Other items approved by supervisory authority as basic own funds not specified above – Tier 1 unrestricted items – balance brought forward	This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as unrestricted items brought forward from the previous reporting period.
R1000/C0070	Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as unrestricted items – issued	This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as unrestricted items issued over the reporting period.
R1000/C0080	Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as unrestricted items – redeemed	This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as unrestricted items redeemed over the reporting period
R1000/C0090	Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as unrestricted items – movements in valuation	This is an amount reflecting movements in valuation of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as unrestricted items.
R1000/C0060	Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as unrestricted items – balance carried forward	This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as unrestricted items carried forward to the next reporting period.
R1010/C0010	Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as restricted items — balance brought forward	This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as restricted items brought forward from the previous reporting period.
R1010/C0070	Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as restricted items — issued	This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as restricted items issued over the reporting period.
R1010/C0080	Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as restricted items — redeemed	This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as restricted items redeemed over the reporting period
R1010/C0090	Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as restricted items — movements in valuation	This is an amount reflecting movements in valuation of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as restricted items.
R1010/C0060	Other items approved by supervisory authority as basic own funds not specified above – Tier 1 to be treated as restricted items — balance carried forward	This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as restricted items carried forward to the next reporting period.
R1020/C0010	Other items approved by supervisory authority as basic own funds not specified above – Tier 2 – balance brought forward	This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 2 brought forward from the previous reporting period.
R1020/C0070	Other items approved by supervisory authority as basic own funds not specified above – Tier 2 – issued	This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 2 issued over the reporting period.
R1020/C0080	Other items approved by supervisory authority as basic own funds not specified above – Tier 2 – redeemed	This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 2 redeemed over the reporting period
R1020/C0090	Other items approved by supervisory authority as basic own funds not specified above – Tier 2 – movements in valuation	This is an amount reflecting movements in valuation of other items approved by supervisory authority as basic own funds not specified above that are Tier 2.
R1020/C0060	Other items approved by supervisory authority as basic own funds not specified above – Tier 2– balance carried forward	This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 2 carried forward to the next reporting period.
R1030/C0010	Other items approved by supervisory authority as basic own funds not specified above – Tier 3 – balance brought forward	This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 3 brought forward from the previous reporting period.
R1030/C0070	Other items approved by supervisory authority as basic own funds not specified above – Tier 3 – issued	This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 3 issued over the reporting period.
R1030/C0080	Other items approved by supervisory authority as basic own funds not specified above – Tier 3 – redeemed	This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 3 redeemed over the reporting period.
R1030/C0090	Other items approved by supervisory authority as basic own funds not specified above – Tier 3 – movements in valuation	This is an amount reflecting movements in valuation of other items approved by supervisory authority as basic own funds not specified above that are Tier 3.
R1030/C0060	Other items approved by supervisory authority as basic own funds not specified above – Tier 3 – balance carried forward	This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 3 carried forward to the next reporting period.
R1100/C0010	Total of other items approved by supervisory authority as basic own fund items not specified above – balance brought forward	This is the balance of total other items approved by supervisory authority as basic own funds not specified above brought forward from the previous reporting period.
R1100/C0070	Total of other items approved by supervisory authority as basic own fund items not specified above – issued	This is the amount of total other items approved by supervisory authority as basic own funds not specified above issued over the reporting period.
R1100/C0080	Total of other items approved by supervisory authority as basic own fund items not specified above redeemed	This is the amount of total other items approved by supervisory authority as basic own funds not specified above that are redeemed over the reporting period.
R1100/C0090	Total of other items approved by supervisory authority as basic own fund items not specified above – movements in valuation	This is an amount reflecting movements in valuation of total other items approved by supervisory authority as basic own funds not specified above.
R1100/C0060	Total of other items approved by supervisory authority as basic own fund items not specified above – balance carried forward	This is the balance of total other items approved by supervisory authority as basic own funds not specified above carried forward to the next reporting period.
Ancillary own funds – movements in the reporting period
R1110/C0010	Ancillary own funds – Tier 2 – balance brought forward	This is the balance of Tier 2 ancillary own funds brought forward from the previous reporting period.
R1110/C0110	Ancillary own funds – Tier 2 – new amount made available	This is the new amount of Tier 2 ancillary own funds to be made available over the reporting period.
R1110/C0120	Ancillary own funds – Tier 2 – reduction to amount available	This is the reduction to the amount available Tier 2 ancillary own funds over the reporting period.
R1110/C0130	Ancillary own funds – Tier 2 – called up to basic own fund	This is the amount of Tier 2 ancillary own funds that are called up to a basic own fund item over the reporting period.
R1110/C0060	Ancillary own funds – Tier 2 – balance carried forward	This is the balance of Tier 2 ancillary own funds carried forward to the next reporting period.
R1120/C0010	Ancillary own funds – Tier 3 – balance brought forward	This is the balance of Tier 3 ancillary own funds brought forward from the previous reporting period.
R1120/C0110	Ancillary own funds – Tier 3– new amount made available	This is the new amount of Tier 3 ancillary own funds to be made available over the reporting period.
R1120/C0120	Ancillary own funds – Tier 3 – reduction to amount available	This is the reduction to the amount available Tier 3 ancillary own funds over the reporting period.
R1120/C0130	Ancillary own funds – Tier 3 – called up to basic own fund	This is the amount of Tier 3 ancillary own funds that are called up to a basic own fund item over the reporting period.
R1120/C0060	Ancillary own funds – Tier 3– balance carried forward	This is the balance of Tier 3 ancillary own funds carried forward to the next reporting period.
R1200/C0010	Total ancillary own funds – balance brought forward	This is the balance of total ancillary own funds brought forward from the previous reporting period.
R1200/C0110	Total ancillary own funds – new amount made available	This is the new amount of Tier 2 ancillary own funds to be made available over the reporting period.
R1200/C0120	Total ancillary own funds – reduction to amount available	This is the reduction to the amount available total ancillary own funds over the reporting period.
R1200/C0130	Total ancillary own funds – called up to basic own fund	This is the amount of total ancillary own funds that are called up to a basic own fund item over the reporting period.
R1200/C0060	Total ancillary own funds – balance carried forward	This is the balance of total ancillary own funds carried forward to the next reporting period.

S.23.04 – List of items on own funds

General comments:

This section relates to the annual submission for groups regardless of the method used for the calculation of the group solvency.

This template shall be reported if the amount of the own funds for any tier change more than 5 % compared to the previous year calculated as below

In case of non-available OF items, the threshold doesn’t apply and the whole template is to be reported.

ITEM

INSTRUCTIONS

C0010

Description of subordinated mutual member accounts

This shall list subordinated mutual member accounts for a group.

C0020

Subordinated mutual member accounts – Amount (in reporting currency)

This is the amount of individual subordinated mutual member accounts.

C0030

Subordinated mutual member accounts – Tier

This shall indicate the tier of the subordinated mutual member accounts.

One of the options in the following closed list shall be used:

1 – Tier 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.

C0050

Subordinated mutual member accounts –issuing entity

This shall indicate whether the issuing entity of the subordinated mutual member accounts is within the group in the meaning of Article 212(1)(c) of Directive 2009/138/EC. The following closed list shall be used:

1 – Belonging to the same group

2 – Not belonging to the same group

C0060

Subordinated mutual member accounts – Lender (if specific)

Indicate the lender of the mutual member accounts.

C0070

Subordinated mutual member accounts – Counted under transitionals?

This shall indicate whether the subordinated mutual member accounts are counted under the transitional provisions.

One of the options in the following closed list shall be used:

1 – Counted under 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 ISO8601 format (yyyy–mm–dd).

C0100

Subordinated mutual member accounts – Maturity date

This is the maturity date of the subordinated mutual member accounts. This shall be in ISO8601 format (yyyy–mm–dd).

C0110

Subordinated mutual member accounts – First call date

This is the first call date of the subordinated mutual member accounts. This shall be in ISO8601 format (yyyy–mm–dd).

C0120

Subordinated mutual member accounts – Details of further call dates

These are the further call dates of the subordinated mutual member accounts.

C0130

Subordinated mutual member accounts – Details of incentives to redeem

These are the incentives to redeem the subordinated mutual member accounts.

C0140

Subordinated mutual member accounts – Notice period

This is the notice of the subordinated mutual member accounts. The date shall be entered here, using ISO8601 format (yyyy–mm–dd).

C0150

Subordinated mutual member account – Name of supervisory authority having given authorisation

This is the name of the supervisory authority which has issued the authorisation, with country in parenthesis.

C0160

Subordinated mutual member account – Buy back during the year

Explanation if the item has been bought back during the year.

C0170

Subordinated mutual member accounts – % of the issue held by entities in the group

This is the % of the issue of subordinated mutual member accounts held by entities within the group in the meaning of Article 212(1)(c) of Directive 2009/138/EC.

C0180

Subordinated mutual member accounts – Contribution to group subordinated mutual member accounts

This is the contribution of the mutual member accounts to total group subordinated mutual member accounts.

C0190

Description of preference shares

This shall list individual preference shares

C0200

Preference shares – Amount

This is the amount of the preference shares.

C0210

Preference shares – Counted under transitionals?

This shall indicate whether the preference shares are counted under the transitional provisions.

One of the options in the following closed list shall be used:

1 – Counted under 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 a group.

C0280

Subordinated liabilities –Amount

This is the amount of individual subordinated liabilities.

C0290

Subordinated liabilities – Tier

This shall indicate the tier of the subordinated liabilities.

C0300

Subordinated liabilities – Currency Code

Identify the ISO 4217 alphabetic code of the currency.

C0311

Subordinated liabilities – Issuing entity

This shall indicate the code of the issuing entity of the subordinated liabilities belonging to the group in the meaning of Article 212(1)(c) of Directive 2009/138/EC.

C0320

Subordinated liabilities – Lender (if specific)

This shall list the lender of the subordinated liabilities if specific. If not specific this item shall not be reported.

C0330

Subordinated liabilities – Counted under transitionals?

This shall indicate whether the subordinated liability is counted under the transitional provisions.

One of the options in the following closed list shall be used:

1 – Counted under transitionals

2 – Not counted under transitionals

C0340

Subordinated liabilities – Counterparty of subordinated liabilities – (if specific)

This shall list the counterparty of the subordinated liabilities belonging to the group in the meaning of Article 212(1)(c) of Directive 2009/138/EC, if any. If not specific this item shall not be reported. This column is kept for the internal lenders, if any.

C0350

Subordinated liabilities – Issue date

This is the issue date of the subordinated liabilities. This shall be in ISO 8601 format (yyyy–mm–dd).

C0360

Subordinated liabilities – Maturity date

This is the maturity date of the subordinated liabilities. This shall be in ISO 8601 format (yyyy–mm–dd).

C0370

Subordinated liabilities – First call date

This is the first future call date of the subordinated liabilities. This shall be in ISO 8601 format (yyyy–mm–dd).

C0380

Subordinated liabilities – Further call dates

These are the further call dates of the subordinated liabilities.

C0390

Subordinated liabilities – Details of incentives to redeem

These are the details about the incentives to redeem the subordinated liabilities.

C0400

Subordinated liabilities – Notice period

This is the notice of the subordinated liabilities. The date shall be entered here, using ISO8601 format (yyyy–mm–dd).

C0430

Subordinated liabilities – % of the issue held by entities in the group

This is the % of the issue held by any counterparty belonging to the group in the meaning of Article 212(1)(c) of Directive 2009/138/EC.

C0440

Subordinated liabilities – Contribution to group subordinated liabilities

This is the value of the subordinated liabilities that is included in the total group subordinated liabilities and that contributes to group own funds.

C0450

Other items approved by supervisory authority as basic own funds not specified above

This shall list the other individual items approved by the supervisory authority for an individual undertaking.

C0460

Other items approved by supervisory authority as basic own funds not specified above –Amount

This is the amount of other individual items approved by the supervisory authority.

C0470

Other items approved by supervisory authority as basic own funds not specified above –Currency code

Identify the ISO 4217 alphabetic code of the currency.

C0480

Other items approved by supervisory authority as basic own funds not specified above – Tier 1

This is the amount of other individual items approved by the supervisory authority that meet the criteria for Tier 1.

C0490

Other items approved by supervisory authority as basic own funds not specified above – Tier 2

This is the amount of other individual items approved by the supervisory authority that meet the criteria for Tier 2.

C0500

Other items approved by supervisory authority as basic own funds not specified above – Tier 3

This is the amount of other individual items approved by the supervisory authority that meet the criteria for Tier 3.

C0510

Other items approved by supervisory authority as basic own funds not specified above –Date of authorisation

This is the date of authorisation of other individual items approved by the supervisory authority. It shall be in ISO8601 format (yyyy–mm–dd).

C0520

Other items approved by supervisory authority as basic own funds not specified above –Name of supervisory authority having given authorisation for other basic own fund items not specified above

This is the name of the supervisory authority which has issued the authorisation, with country in parenthesis.

C0530

Other items approved by supervisory authority as basic own funds not specified above – Name of entity concerned

This is the name of the entity concerned.

C0540

Other items approved by supervisory authority as basic own funds not specified above –Buy back during the year

Explanation if the item has been bought back.

C0550

Other items approved by supervisory authority as basic own funds not specified above –% of the issue held by entities in the group

This is the % of the issue held by entities within the group in the meaning of Article 212(1)(c) of Directive 2009/138/EC.

C0560

Other items approved by supervisory authority as basic own funds not specified above –Contribution to group other basic own funds

This is the contribution of the other individual items approved by the supervisory authority to group other basic own funds.

C0570

Own funds– from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds – Description of item

This cell shall contain a description of the own fund items from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds.

C0580

Own funds from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds – Total amount

This is the total amount of the own fund items from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds.

C0590

Ancillary own funds –Description of ancillary own funds

This is details of each ancillary own fund for an individual undertaking.

C0600

Ancillary own funds – Amount

This is the amount for each ancillary own fund.

C0610

Ancillary own funds – Counterpart

This is the counterpart of each ancillary own fund.

C0620

Ancillary own funds – Issue date

This is the issue date of each ancillary own fund. This shall be in ISO8601 format (yyyy–mm–dd).

C0630

Ancillary own fund – Date of authorisation

This is the date of authorisation of each ancillary own fund. This shall be in 1SO8601 format (yyyy–mm–dd).

C0640

Ancillary own fund – Name of supervisory authority having given authorisation

This is the name of the supervisory authority which has issued the authorisation, with country in parenthesis.

C0650

Ancillary own fund – Name of entity concerned

This is the name of the entity concerned by the ancillary own fund.

Adjustment for ring fenced funds and matching adjustment portfolios

C0660

Ring–fenced fund/matching adjustment portfolio – Number

Identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates.

C0670

Ring–fenced fund/matching adjustment portfolio – Notional SCR

This is the notional SCR of each ring–fenced fund/each matching adjustment portfolio.

C0680

Ring–fenced fund/matching adjustment portfolio – Notional SCR (negative results set to zero)

This is the notional SCR. When the value is negative zero shall be reported.

C0690

Ring–fenced fund/matching adjustment portfolio – Excess of assets over liabilities

This is the amount of excess of assets over liabilities of each ring–fenced fund/matching adjustment portfolio. This value shall reflect any deduction of future transfers attributable to shareholders.

C0700

Ring–fenced fund/matching adjustment portfolio – Future transfers attributable to shareholders

Value of future transfers attributable to shareholders in accordance with Article 80(2) of Delegated Regulation (EU) 2015/35.

C0710

Ring fenced funds/matching adjustment portfolio – Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring-fenced funds

This is the deduction for each ring–fenced fund/matching adjustment portfolio in accordance with Article 81 of Delegated Regulation (EU) 2015/35.

RFF/matching adjustment portfolios deduction

C0970/R0010

Ring fenced funds/matching adjustment portfolio – Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring-fenced funds

This is the total deduction for ring–fenced funds and matching adjustment portfolios reported in C0710.

Calculation of non available own funds at group level (such a calculation has to be done undertaking by undertaking)

Non available own funds at group level – exceeding the contribution of solo SCR to group SCR

C0720

Related (Re)insurance undertakings, Insurance Holding Company, Mixed Financial Holding Company, Ancillary services undertakings and SPV included in the scope of the group calculation

Name of undertaking

C0730

Country

ISO 3166–1 alpha–2 code of the country where the entity has its head office

C0740

Contribution of solo SCR to Group SCR

Contribution of solo SCR to group SCR

If the method 1 is applied, the contribution of a subsidiary undertaking to the group shall be calculated according to the formula:

Where:

—	SCRi solo is the solo SCR of the parent undertaking and each insurance, reinsurance and intermediate insurance holding and mixed financial holding company over which a dominant influence is exercised and that are included in the SCR fully consolidated

—	SCRj is the solo SCR of the entity j

—	the ratio is the proportional adjustment due to the recognition of diversification effects in the part fully consolidated,the value of the ratio is capped to 1.

The assessment of non-available own funds shall be made also for own funds in non controlled undertakings taking into account the proportionality principle.

For method 2 the contribution of the related undertaking to the group SCR is the proportional share of the individual SCR.

C0760

Non available own funds related to other own fund items approved by supervisory authority

Non available own funds related to other own fund items approved by supervisory authority.

C0770

Non available surplus funds

Non available surplus funds at group level both in EEA and non–EEA (re)insurance undertakings (Article 222(2) to (5) of Directive 2009/138/EC and Article 330 of Delegated Regulation (EU) 2015/35)

C0780

Non available called up but not yet paid in capital

Non available called up but not yet paid in capital at group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330 of Delegated Regulation (EU) 2015/35)

C0790

Non available ancillary own funds

Non available ancillary own funds at group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330(3) of Delegated Regulation (EU) 2015/35)

C0800

Non available subordinated mutual member accounts

Non available subordinated mutual member accounts at group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330(3) of Delegated Regulation (EU) 2015/35)

C0810

Non available preference shares

Non available preference shares at group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330(3) of Delegated Regulation (EU) 2015/35)

C0820

Non available Subordinated Liabilities

Non available Subordinated Liabilities at group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330(3) of Delegated Regulation (EU) 2015/35)

C0830

An amount equal to the value of non available net deferred tax assets

An amount equal to the value of non available net deferred tax assets at the group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330(3) of Delegated Regulation (EU) 2015/35)

C0840

Non available share premium account related to preference shares

Non available share premium account related to preference shares at group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330(3) of Delegated Regulation (EU) 2015/35)

C0841

Non-available own funds in the reconciliation reserve

Non-available own funds related to own-funds in the reconciliation reserve

C0842

Total non-available own funds

Total of non-available own funds identified after the availability assessment at group level, in accordance with Article 222(4) of Directive 2009/138/EC, the total non available own funds is calculated, undertaking by undertaking, by adding up own funds indicated in Article 222(2) of Directive 2009/138/EC (i.e. surplus funds and any subscribed but not paid–up capital) and in Article 330 of Delegated Regulation (EU) 2015/35 (e.g. ancillary own funds, preferences shares, subordinated mutual member account, subordinated liabilities and the value of net deferred tax assets).

C0850

Total non available own funds to be deducted

Total non-available own funds to be deducted at group level.

In accordance with Article 222(4) of Directive 2009/138/EC, the total non available own funds is calculated, undertaking by undertaking, by adding up own funds indicated in Article 222(2) of Directive 2009/138/EC (i.e. surplus funds and any subscribed but not paid–up capital) and in Article 330 of Delegated Regulation (EU) 2015/35 (e.g. ancillary own funds, preferences shares, subordinated mutual member account, subordinated liabilities and the value of net deferred tax assets).

The part of such own funds that exceeds the contribution of the related undertaking to the group SCR cannot be considered as available for covering the group SCR.

If the total amount of such own funds in C0842 does not exceed the contribution of the related undertaking to the group SCR, this deduction in C0850 is not needed as part of the calculation.

C0851

Non-Available Minority interests

Minority interest at group level when method 1 is applied, in subsidiary EEA and non-EEA (re)insurance undertakings, insurance holding companies, mixed financial holding companies or ancillary services undertakings (Article 330(4) of Delegated Regulation (EU) 2015/35)

C0750

Non-Available Minority interests to be deducted from the group own funds

Non available minority interests to be deducted from the group own funds, when the method 1 is applied, that is any minority interests in the eligible own funds (after considering the deduction of non available own funds in C0850) of (re) insurance subsidiary exceeding the contribution of the solo SCR to the group SCR. (Article 330(4) of Delegated Regulation (EU) 2015/35)

C0870

Non-available own funds related to other own fund items approved by supervisory authority

This is the total amount for non-available own funds related to other own fund items approved by supervisory authority at group level

C0880

Non-available surplus funds

This is the overall total amount of non-available surplus funds at group level.

C0890

Non-available called but not paid in capital

This is the total overall amount of non-available called but not paid in capital at group level.

C0900

Non-available ancillary own funds

This is the total overall amount of non-available ancillary own funds at group level.

C0910

Non-available subordinated mutual member accounts

This is the total overall amount of non-available subordinated mutual member accounts at group level

C0920

Non-available preference shares

This is the total overall amount of non-available preference shares at group level.

C0930

Non available Subordinated Liabilities

This is the total overall amount of non-available subordinated liabilities at group level.

C0940

An amount equal to the value of non-available net deferred tax assets

This is the total overall amount equal to the value of non-available net deferred tax assets at the group level

C0950

Non-available share premium account related to preference shares

This is the total overall amount of non-available share premium account related to preference shares at group level

C0951

Non-available own funds in the reconciliation reserve

This is the total of non-available own funds related to own funds in the reconciliation reserve at group level.

C0962

Total non-available own funds

C0960

Total non-available own funds to be deducted

This is the total overall amount of non-available own funds to be deducted from the group own funds.

The part of such own funds that exceeds the contribution of the related undertaking to the group SCR cannot be considered as available for covering the group SCR.

If the total amount of such own funds in C0842 does not exceed the contribution of the related undertaking to the group SCR, this deduction in C0850 is not needed as part of the calculation.

C0861

Minority interests

This is the overall total amount of minority interests at group level

C0860

Minority interests to be deducted from the group own funds

This is the overall total amount of minority interests to be deducted at group level.

S.25.01 – Solvency Capital Requirement – for groups on Standard Formula

General comments:

This section relates to the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.

Template SR.25.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of template S.01.03.

Template SR.25.01 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).

Where the entity has MAP or RFF (except those under the scope of Article 304 of Directive 2009/138/EC) when reporting at the level of the whole undertaking, the notional Solvency Capital Requirement (‘nSCR’) at risk module level and the loss–absorbing capacity (LAC) of technical provisions and deferred taxes to be reported shall be calculated as follows:

—	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:

where

—	adjustment	=	Adjustment calculated according to one of the three methods referred above
—	BSCR’	=	Basic solvency capital requirement calculated according to the information reported in this template (C0040/R0100)
—	nSCRint	=	nSCR for intangible assets risk according to the information reported in this template (C0040/R0070)

—	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)

For group reporting the following specific requirements shall be met:

a)	The information until R0460 is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;

b)	When combination method is being used, the information until R0460 is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC.

ITEM

INSTRUCTIONS

Z0010

Article 112

Identifies whether the reported figures have been requested under Article 112(7) of Solvency II, to provide an estimate of the SCR using standard formula.

One of the options in the following closed list shall be used:

1 – Article 112(7) 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 within the scope of group supervision and must be consistent over time and with the fund/portfolio number reported in other templates.

R0010–R0050/C0030

Net solvency capital requirement

Amount of the net capital charge for each risk module, as calculated using the standard formula.

The difference between the net and the gross SCR is the consideration of the future discretionary benefits in accordance with Article 205 of Delegated Regulation (EU) 2015/35.

This amount shall fully consider diversification effects in accordance with Article 304 of Directive 2009/138/EC where applicable.

These cells do not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level. These figures represent the SCR as if there was no loss of diversification.

R0010–R0050/C0040

Gross solvency capital requirement

Amount of the gross capital charge for each risk module, as calculated using the standard formula.

The difference between the net and the gross SCR is the consideration of the future discretionary benefits as laid down in Article 206 of Delegated Regulation (EU) 2015/35.

This amount shall fully consider diversification effects as laid down in Article 304 of Directive 2009/138/EC where applicable.

R0010–R0050/C0050

Allocation of RFF adjustment due to RFF and Matching adjustments portfolios

Part of the adjustment allocated to each risk module according to the procedure described in the general comments.

This amount shall be positive.

R0060/C0030

Net solvency capital requirement – Diversification

Amount of the diversification effects between Basic SCR of net risk modules, including diversification within each risk module, due to the application of the correlation matrix defined in Annex IV of Directive 2009/138/EC.

This amount shall be reported as a negative value.

R0060/C0040

Gross solvency capital requirement – Diversification

Amount of the diversification effects between Basic SCR of gross risk modules, including diversification within each risk module, due to the application of the correlation matrix defined in Annex IV of Directive 2009/138/EC.

This amount shall be reported as a negative value.

R0070/C0030

Net solvency capital requirement – Intangible asset risk

Amount of the capital charge, after the adjustment for the loss–absorbing capacity of technical provisions, for intangible assets risk, as calculated using the standard formula.

R0070/C0040

Gross solvency capital requirement – Intangible assets risk

The future discretionary benefits in accordance with Article 205 of Delegated Regulation (EU) 2015/35 for intangible assets risk is zero under standard formula hence R0070/C0040 equals R0070/C0030.

R0100/C0030

Net solvency capital requirement – Basic Solvency Capital Requirement

Amount of the basic capital requirements, after the consideration of future discretionary benefits as laid down in Article 206 of Delegated Regulation (EU) 2015/35, as calculated using the standard formula.

This amount shall fully consider the diversification effects referred to in Article 304 of Directive 2009/138/EC where applicable.

This cell does not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level. These figures represent the SCR as if there was no loss of diversification.

This amount shall be calculated as a sum of the net capital charges for each risk module within the standard formula, including adjustment for diversification effect within standard formula.

R0100/C0040

Gross solvency capital requirement – Basic Solvency Capital Requirement

Amount of the basic capital requirements, before the consideration of future discretionary benefits referred to in Article 205 of Delegated Regulation (EU) 2015/35, as calculated using the standard formula.

This amount shall fully consider diversification effects as laid down in Article 304 of Directive 2009/138/EC where applicable.

This amount shall be calculated as a sum of the gross capital charges for each risk module within the standard formula, including adjustment for diversification effect within standard formula

Calculation of Solvency Capital Requirement

R0120/C0100

Adjustment due to RFF/MAP nSCR aggregation

Adjustment to correct the bias on SCR calculation due to aggregation of RFF/MAP nSCR at risk module level.

This amount shall be positive.

R0130/C0100

Operational risk

Amount of the capital requirements for operational risk module as calculated using the standard formula.

R0140/C0100

Loss–absorbing capacity of technical provisions

Amount of the adjustment for loss–absorbing capacity of technical provisions calculated in accordance with the standard formula.

This amount shall be reported as a negative value.

At RFF/MAP level and at entity level where there are no RFF (other than those under Article 304 of Directive 2009/138/EC) nor MAP it is the maximum between zero and the amount corresponding to the minimum between the amount of technical provisions without risk margin in relation to future discretionary benefits net of reinsurance and the difference between gross and net basic solvency capital requirement.

Where there are RFF (other than those under Article 304 of Directive 2009/138/EC) or MAP, this amount shall be calculated as the sum of the loss–absorbing capacity of technical provisions of each RFF/MAP and remaining part, taking into account the net future discretionary benefits as a top limit.

R0150/C0100

Loss–absorbing capacity of deferred taxes

Amount of the adjustment for loss–absorbing capacity of deferred taxes calculated according to the standard formula.

This amount shall be negative.

R0160/C0100

Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC

Amount of the capital requirement, calculated in accordance with the rules stated in Article 17 of Directive 2003/41/EC, for ring–fenced funds relating to pension business operated under Article 4 of Directive 2003/41/EC to which transitional measures are applied. This item is to be reported only during the transitional period.

R0200/C0100

Solvency Capital Requirement calculated on the basis of Art. 336 (a) of Delegated Regulation (EU) 2015/35, excluding capital add–on

Amount of the SCR, before any capital add–on, calculated in accordance with Article 336 (a), i.e. on the basis of consolidated data as referred to in Article 335(1) points (a), (b) and (c) of the Delegated Regulation (EU) 2015/35 including data of controlled collective investment undertakings and investments packaged as funds.

R0210/C0100

Capital add-ons already set

Amount of capital add–on that had been set at the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority.

R0211/C0100

of which, capital add–ons already set – Article 37(1) Type a

Amount of capital add–on that had been set at the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data.

R0212/C0100

of which, capital add–ons already set – Article 37(1) Type b

R0213/C0100

of which, capital add–ons already set – Article 37(1) Type c

R0214/C0100

of which, capital add–ons already set – Article 37(1) Type d

R0220/C0100

Consolidated Group SCR

Amount of the Solvency Capital Requirement for undertakings under method 1 as defined in Article 230 of Directive 2009/138/EC.

It shall include all components of the consolidated group SCR; SCR calculated on the basis of consolidated data (R0200), including capital add-ons (R0210), and including capital requirements of undertakings from other financial sectors (R0500), capital requirement for non-controlled participation requirements (R0540), capital requirement for residual undertakings (R0550) and capital requirements for collective investment undertakings or investments packaged as funds (R0555).

Other information on SCR

R0400/C0100

Capital requirement for duration–based equity risk sub–module

Amount of the capital requirement for duration–based equity risk sub–module.

R0410/C0100

Total amount of notional Solvency Capital Requirements for remaining part

Amount of the notional SCRs of remaining part when group has RFF.

R0420/C0100

Total amount of notional Solvency Capital Requirements for ring–fenced funds

Amount of the sum of notional SCRs of all ring-fenced funds when group has RFF (other than those related to business operated in accordance with Article 4 of Directive 2003/41/EC (transitional)).

R0430/C0100

Total amount of Notional Solvency Capital Requirements for matching adjustment portfolios

Amount of the sum of notional SCRs of all matching adjustment portfolios.

R0440/C0100

Diversification effects due to RFF nSCR aggregation for Article 304

Amount of the adjustment for a diversification effect between ring–fenced funds under Article 304 of Directive 2009/138/EC and the remaining part where applicable.

R0450/C0100

Method used to calculate the adjustment due to RFF/MAP nSCR aggregation

Method used to calculate the adjustment due to RFF nSCR aggregation. One of the options in the following closed list shall be used:

1 – Full recalculation

2 – Simplification at risk sub–module level

3 – Simplification at risk module level

4 – No adjustment

When the group has no RFF (or have only RFF under Article 304 of Directive 2009/138/EC) it shall select option 4.

R0460/C0100

Net future discretionary benefits

Amount of technical provisions without risk margin in relation to future discretionary benefits net of reinsurance.

R0470/C0100

Minimum consolidated group solvency capital requirement

Amount of the minimum consolidated group Solvency Capital Requirement as stated in Article 230 of Directive 2009/138/EC.

R0500/C0100

Capital requirement for other financial sectors (Non–insurance capital requirements)

Amount of capital requirement for other financial sectors.

R0500 is expected to be equal to the sum of R0510, R0520 and R0530.

This item is only applicable to group reporting where the group includes an undertaking which is subject to non–insurance capital requirements, such as a bank, and is the capital requirement calculated in accordance with the appropriate requirements.

R0510/C0100

Capital requirement for other financial sectors (Non–insurance capital requirements) – Credit institutions, investment firms and financial institutions, alternative investment funds managers, UCITS management companies

Amount of capital requirement for credit institutions, investment firms and financial institutions.

This item is only applicable to group reporting where the group includes undertakings which are credit institutions, investment firms and financial institutions, alternative investment funds managers, UCITS management companies and they are subject to capital requirements, calculated in accordance with the relevant sectoral rules.

R0520/C0100

Capital requirement for other financial sectors (Non–insurance capital requirements) – Institutions for occupational retirement provisions

Amount of capital requirement for institutions for occupational retirement provisions.

This item is only applicable to group reporting where the group includes undertaking which are institutions for occupational retirement provision and subject to non–insurance capital requirements calculated in accordance with the relevant sectoral rules.

R0530/C0100

Capital requirement for other financial sectors (Non–insurance capital requirements) – Capital requirement for non–regulated undertakings carrying out financial activities

Amount of capital requirement for non-regulated undertakings carrying out financial activities. This figure represents a notional solvency requirement, calculated if the relevant sectoral rules were to be applied.

This item is only applicable to group reporting where the group includes undertakings which are non – regulated undertakings carrying out financial activities.

R0540/C0100

Capital requirement for non–controlled participations

Amount of the proportional share of the Solvency Capital Requirements of the related insurance and reinsurance undertakings and insurance holding companies or mixed financial holding companies which are not subsidiaries, in accordance with Article 336(1)(b) of Delegated Regulation (EU) 2015/35. This item is only applicable to group reporting and corresponds, for those entities which are not subsidiaries, to the capital requirement calculated in accordance with Solvency 2.

R0550/C0100

Capital requirement for residual undertakings

Amount determined in accordance with Article 336(1)(d) of Delegated Regulation (EU) 2015/35.

R0555/C0100

Capital requirement for collective investment undertakings or investments packaged as funds

Amount determined in accordance with Article 336(1)(e) of Delegated Regulation (EU) 2015/35.

R0560/C0100

SCR for undertakings included via D&A method

Amount of the Solvency Capital Requirement for undertakings included under method 2 as defined in Article 233 of Directive 2009/138/EC when the combination of methods is used.

R0570/C0100

Total group Solvency capital requirement

Overall SCR for all undertakings regardless of the method used.

The total group solvency capital requirement is expected to be equal to the sum of R0220 and R0560.

In case the minimum consolidated group SCR (R0470) is higher than the Consolidated group SCR (R0220), then the total group solvency capital requirement is expected to be equal to the sum of R0470 and R0560.

S.25.05 – Solvency Capital Requirement – for groups using an internal model (partial or full)

General comments:

This Annex contains additional instructions in relation to the templates included in Annex I of this Regulation. The first column of the next table identifies the items to be reported by identifying the columns and lines as showed in the template in Annex I.

This annex relates to opening and annual submission of information for groups, ring fenced-funds, matching adjustment portfolios and remaining part.

This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and groups.

The purpose of this template is to collect data on an aggregate level and show diversification benefits between separate risk modules. All values should be reported before any tax effects unless otherwise stated.

For group reporting the following specific requirements shall be met:

a)	The information until R0470 (S.25.05.04.02) is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;

b)	When combination method is being used, the information until R0470 (S.25.05.04.02) is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC.

Template SR.25.05 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).

Partial internal model:

All rows for C0010 refer to the amount of the capital charge for each component regardless of the method of calculation (either standard formula or partial internal model), after the adjustments for loss-absorbing capacity of technical provision and/or deferred taxes when they are embedded in the component calculation.

For the components Loss absorbing capacity of technical provisions and/or deferred taxes when reported as a separate component it should be the amount of the loss-absorbing capacity (these amounts should be reported as negative values)

For components calculated using the standard formula this cell represents the gross nSCR. For components calculated using the partial internal model, this represents the value considering the future management actions with are embedded in the calculation, but not whose which are modelled as a separate component.

These amounts shall fully consider diversification effects according to Article 304 of Directive 2009/138/EC where applicable.

When applicable, these cells do not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level.

Template SR.25.05 shall be reported by ring-fenced fund, matching adjustment portfolio and the remaining part for every group under a partial internal model. This includes undertakings where a partial internal model is applied to a full ring-fenced fund and/or matching adjustment portfolio while the other ring-fenced funds and/or matching adjustment portfolios are under the standard formula. This template should be reported for all sub-funds of a material RFF/MAP as identified in the second table of S.01.03.

For those groups under a partial internal model to which the adjustment due to the aggregation of the nSCR of RFF/MAP is applicable, where the entity has MAP or RFF (except those under the scope of Article 304 of Directive 2009/138/EC) when reporting at the level of the whole undertaking, the nSCR at risk module level and the loss-absorbing capacity (LAC) of technical provisions and deferred taxes to be reported shall be calculated as follows:

—	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:

—

, 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

— nSCRint = 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 model:

Template SR.25.05 has to be filled in for each ring-fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part for every group under a full internal model. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template should be reported for all sub-funds of a material RFF/MAP as identified in the second table of S.01.03.

ITEM

INSTRUCTIONS

Z0020

Ring-fenced fund, matching adjustment portfolio or Remaining Part

Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used:

1 – RFF/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.26.08.04 C0010/R0030.

C0010/R0040

Total diversified risk after tax

Amount of diversified capital charges after tax.

Same as S.26.08.04 C0010/R0040.

C0010/R0070

Total market & credit risk

Same as S.26.08.04 C0010/R0070.

C0010/R0080

Market & Credit risk – diversified

Same as S.26.08.04 C0010/R0080.

C0010/R0190

Credit event risk not covered in market & credit risk

Same as S.26.08.04 C0010/R0190.

C0010/R0200

Credit event risk not covered in market & credit risk – diversified

Same as S.26.08.04 C0010/R0200.

C0010/R0270

Total Business risk

Same as S.26.08.04 C0010/R0270.

C0010/R0280

Total Business risk – diversified

Same as S.26.08.04 C0010/R0280.

C0010/R0310

Total Net Non-life underwriting risk

Same as S.26.08.04 C0010/R0310.

C0010/R0320

Total Net Non-life underwriting risk – diversified

Same as S.26.08.04 C0010/R0320.

C0010/R0400

Total Life & Health underwriting risk

Same as S.26.08.04 C0010/R0400.

C0010/R0410

Total Life & Health underwriting risk – diversified

Same as S.26.08.04 C0010/R0410.

C0010/R0480

Total Operational risk

Same as S.26.08.04 C0010/R0480.

C0010/R0490

Total Operational risk – diversified

Same as S.26.08.04 C0010/R0490.

C0010/R0500

Other risk

Same as S.26.08.04 C0010/R0500.

C0050/R0020-R0530

Allocation from adjustments due to RFF and Matching adjustment portfolios

Where applicable, part of the adjustment allocated to each risk module and submodule according to the procedure described in the general comments. This amount shall be positive.

Applicable only for partial internal models.

C0060/R0020-R0530

Consideration of the future management actions regarding technical provisions and/or deferred taxes

To identify if the future management actions relating to the loss absorbing capacity of technical provisions and/or deferred taxes are embedded in the calculation. The following closed list of options shall be used:

1 – Future management actions regarding the loss-absorbing capacity of technical provisions embedded within the 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.

Applicable only for partial internal models.

R0110/C0100

Total undiversified components

Sum of all components.

R0060/C0100

Diversification

The total amount of the diversification among components reported in C0030.

This amount does not include diversification effects inside each component, which shall be embedded in the values reported in C0030.

This amount should be reported as negative value.

R0120/C0100

Adjustment due to RFF/MAP nSCR aggregation

When applicable, adjustment to correct the bias on SCR calculation due to aggregation of RFF/MAP nSCR at risk module level.

Applicable only for partial internal models.

R0160/C0100

Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC

Amount of the capital requirement, calculated in accordance with the rules stated in Article 17 of Directive 2003/41/EC, for ring-fenced funds relating to pension business operated under Article 4 of Directive 2003/41/EC to which transitional measures are applied. This item is to be reported only during the transitional period.

R0200/C0100

Solvency Capital Requirement calculated on the basis of Art. 336 (a) of Delegated Regulation (EU) 2015/35, excluding capital add–on

R0210/C0100

Capital add–ons already set

Amount of capital add–on that had been set at the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority.

R0211/C0100

Of which, capital add-ons already set – Article 37(1) Type a

Amount of type (a) capital add-on in accordance with Article 37(1) of Directive 2009/138/EC (2014/51/EU) that had been set at the reporting reference date. It does not include capital add-ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data.

R0212/C0100

Of which, capital add-ons already set – Article 37(1) Type b

Amount of type (b) capital add-on in accordance with Article 37(1) of Directive 2009/138/EC (2014/51/EU) that had been set at the reporting reference date. It doesnot include capital add-ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data.

R0213/C0100

Of which, capital add-ons already set – Article 37(1) Type c

Amount of type (c) capital add-on in accordance with Article 37(1) of Directive 2009/138/EC (2014/51/EU) that had been set at the reporting reference date. It doesnot include capital add-ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data.

R0214/C0100

Of which, capital add-ons already set – Article 37(1) Type d

Amount of type (d) capital add-on in accordance with Article 37(1) of Directive 2009/138/EC (2014/51/EU) that had been set at the reporting reference date. It doesnot include capital add-ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data.

R0220/C0100

Consolidated Group SCR

Overall capital requirement including capital add-ons for undertakings under method 1 as defined in Article 230 of Directive 2009/138/EC. It shall include all components of the consolidated SCR, including capital requirements of undertakings from other financial sectors, capital requirement for non-controlled participation, capital requirement for residual undertakings and capital requirement for collective investment undertakings or investments packaged as funds.

Other information on SCR

R0300/C0100

Amount/estimate of the overall loss-absorbing capacity of technical provisions

Amount/Estimate of the overall adjustment for loss-absorbing capacity of technical provisions, including the part embedded in the components and the part reported as a single component. This amount shall be reported as a negative amount.

R0310/C0100

Amount/estimate of the loss absorbing capacity for deferred taxes

Amount/Estimate of the overall adjustment for deferred taxes, including the part embedded in the components and the part reported as a single component. This amount shall be reported as a negative amount.

R0400/C0100

Capital requirement for duration-based equity risk sub-module

Amount of the capital requirement for duration-based equity risk sub-module.

Applicable only for partial internal models.

R0410/C0100

Total amount of notional Solvency Capital Requirements for remaining part

Amount of the notional SCRs of remaining part when undertaking has RFF.

R0420/C0100

Total amount of Notional Solvency Capital Requirements for ring-fenced funds

Amount of the sum of notional SCRs of all ring-fenced funds when undertaking has RFF (other than those related to business operated in accordance with Article 4 of Directive 2003/41/EC (transitional)).

R0430/C0100

Total amount of Notional Solvency Capital Requirements for matching adjustment portfolios

Amount of the sum of notional SCRs of all matching adjustment 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.

R0470/C0100

Minimum consolidated group solvency capital requirement

Amount of the minimum consolidated group Solvency Capital Requirement as stated in art. 230 of Directive 2009/138/EC. This item is applicable to group reporting only.

R0500/C0100

Capital requirement for other financial sectors (Non-insurance capital requirements)

Amount of capital requirement for other financial sectors.

This item is only applicable to group reporting where the group includes an undertaking which is subject to non-insurance capital requirements, such as a bank, and is the capital requirement calculated in accordance with the appropriate requirements.

R0510/C0100

Capital requirement for other financial sectors (Non-insurance capital requirements) – Credit institutions, investment firms and financial institutions, alternative investment funds managers, UCITS management companies

Amount of capital requirement for credit institutions, investment firms and financial institutions.

R0520/C0100

Capital requirement for other financial sectors (Non-insurance capital requirements) – Institutions for occupational retirement provisions

Amount of capital requirement for institutions for occupational retirement provisions.

This item is only applicable to group reporting where the group includes undertaking which are institutions for occupational retirement provision and subject to non-insurance capital requirements calculated in accordance with the relevant sectoral rules.

R0530/C0100

Capital requirement for other financial sectors (Non-insurance capital requirements) – Capital requirement for non-regulated undertakings carrying out financial activities

This item is only applicable to group reporting where the group includes undertakings which are non-regulated entities carrying out financial activities.

R0540/C0100

Capital requirement for non-controlled participation

R0550/C0100

Capital requirement for residual undertakings

Amount determined in accordance with Article 336(1)(d) of Delegated Regulation (EU) 2015/35.

R0555/C0100

Capital requirement for collective investment undertakings or investments packaged as funds

Amount determined in accordance with Article 336(1)(e) of Delegated Regulation (EU) 2015/35.

R0560/C0100

SCR for undertakings included via D&A method

Amount of the Solvency Capital Requirement for undertakings included under method 2 as defined in Article 233 of Directive 2009/138/EC when the combination of methods is used.

R0570/C0100

Total group Solvency capital requirement

Overall SCR for all undertakings regardless of the method used.

The total group solvency capital requirement is expected to be equal to the sum of R0220 and R0560.

S.26.01 – Solvency Capital Requirement – Market risk

General comments:

This section relates to the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.

The template S.26.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.

Template S.26.01 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).

Amounts before and after shock shall be filled in with the amount of assets and liabilities sensitive to that shock. For the liabilities the assessment shall be done at the most granular level available between contract and homogeneous risk group. This means that if a contract/HRG is sensitive to a shock the amount of liabilities associated to that contract/HRG shall be reported as amount sensitive to that shock.

For group reporting the following specific requirements shall be met:

a)	This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;

b)	When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;

c)	This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.

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

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 within the scope of group supervision used simplifications for the calculation of interest rate risk. The following options shall be used:

1 – Simplifications used

2 – Simplifications not used

Where R0020/C0010 = 1, only C0060 and C0080 shall be filled in for R0100–R0120

R0030/C0010

Captives simplifications – spread risk on bonds and loans

Identify whether a captive undertaking within the scope of group supervision used simplifications for the calculation of spread risk with regard to bonds and loans. The following options shall be used:

1 – Simplifications used

2 – Simplifications not used

R0040/C0010

Captives simplifications – market risk concentration

Identify whether a captive undertaking within the scope of group supervision used simplifications for the calculation of market risk concentration. The following options shall be used:

1 – Simplifications 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 within the scope of group supervision.

R0100/C0080

Absolute value after shock – Gross solvency capital requirement – interest rate risk

This is the gross capital charge for interest rate risk, i.e. before the loss absorbing capacity of technical provisions.

If R0020/C0010 = 1, this item represents the gross capital charge for interest rate risk calculated using simplified calculations for captive undertakings within the scope of group supervision.

R0110–R0120/C0020

Initial absolute values before shock – Assets – Interest rate risk – interest rate down/up shock

This is the total value of the assets sensitive to interest rate down/up risk, before shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0110–R0120/C0030

Initial absolute values before shock – Liabilities – Interest rate risk – interest rate down/up shock

This is the total value of the liabilities sensitive to interest rate down/up risk, before shock.

The amount of technical provisions (‘TP’) shall be net of reinsurance and SPV recoverables.

R0110–R0120/C0040

Absolute values after shock – Assets – Interest rate risk – interest rate down/up shock

This is the absolute value of assets sensitive to interest rate down/up risks after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0110–R0120/C0050

Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Interest rate risk– interest rate down/up shock

This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to interest rate down/up risks after the shock.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0110–R0120/C0060

Absolute value after shock – Net solvency capital requirement – interest rate risk– interest rate down/up shock

This is the net capital charge for interest rate down/up risk, after adjustment for the loss absorbing capacity of technical provisions.

If R0020/C0010 = 1, this item represents the net capital charge for interest rate down/up risk calculated using simplifications.

R0110–R0120/C0070

Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Interest rate risk – Interest rate down/up shock

This is the absolute value of liabilities (before the loss absorbing capacity of technical provisions) sensitive to interest rate down/up risks after the shock.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0110–R0120/C0080

Absolute value after shock – Gross solvency capital requirement – interest rate risk – interest rate down/up shock

This is the gross capital charge for the interest rate down/up risk, i.e. before the loss absorbing capacity of Technical 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 equity.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0291/C0030

Initial absolute values before shock – Liabilities – Equity risk – qualifying infrastructure corporate equities

This is the initial absolute value of liabilities sensitive to the equity risk for each kind of qualifying infrastructure corporate equity.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0291/C0040, R0293-R0295/C0040

Absolute values after shock – Assets – Equity risk – qualifying infrastructure corporate equities

This is the absolute value of the assets sensitive to equity risk for each kind of qualifying infrastructure corporate equity, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0291/C0050

Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – Equity risk – qualifying infrastructure corporate equities

This is the absolute value of liabilities sensitive to equity risk (for each kind of qualifying infrastructure corporate equity), after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0291/C0060

Absolute value after shock – Net solvency capital requirement – Equity risk –qualifying infrastructure corporate equities

This is the net capital charge for equity risk (for each kind of qualifying infrastructure corporate equity), after the application of the adjustment for the loss-absorbing capacity of technical provisions.

R0291/C0070

Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions) – Equity risk – qualifying infrastructure corporate equities

This is the absolute value of the liabilities sensitive to equity risk (for each kind of qualifying infrastructure corporate equity), after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0291/C0080

Absolute value after shock – Gross solvency capital requirement – Equity risk – qualifying infrastructure corporate equities

This is the gross capital charge for equity risk for each kind of qualifying infrastructure corporate equity, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions.

R0292/C0020, R0296-R0298/C0020

Initial absolute values before shock – Assets – Equity risk – qualifying infrastructure equities other than corporate equities

This is the initial absolute value of the assets sensitive to the equity risk for each kind of qualifying infrastructure equity, other than corporate equities.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0292/C0030

Initial absolute values before shock – Liabilities – Equity risk – qualifying infrastructure equities other than corporate equities

This is the initial absolute value of liabilities sensitive to the equity risk for each kind of qualifying infrastructure equity, other than corporate equities.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0292/C0040, R0296-R0298/C0040

Absolute values after shock – Assets – Equity risk – qualifying infrastructure equities other than corporate equities

This is the absolute value of the assets sensitive to equity risk for each kind of qualifying infrastructure equity, other than corporate equities, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0292/C0050

Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – Equity risk – qualifying infrastructure equities other than corporate equities

This is the absolute value of liabilities sensitive to equity risk (for each kind of qualifying infrastructure equity, other than corporate equities), after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0292/C0060

Absolute value after shock – Net solvency capital requirement – Equity risk –qualifying infrastructure equities other than corporate equities

This is the net capital charge for equity risk (for each kind of qualifying infrastructure equity other than corporate equities), after the application of the adjustment for the loss-absorbing capacity of technical provisions.

R0292/C0070

Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions) – Equity risk – qualifying infrastructure equities other than corporate equities

This is the absolute value of the liabilities sensitive to equity risk (for each kind of qualifying infrastructure equity other than corporate equities), after the shock, but before the application of the adjustment for the loss-absorbing capacity of technical provisions.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0292/C0080

Absolute value after shock – Gross solvency capital requirement – Equity risk – qualifying infrastructure equities other than corporate equities

This is the gross capital charge for equity risk for each kind of qualifying infrastructure equity, other than corporate equities, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions.

Property risk

R0300/C0020

Initial absolute values before shock – Assets – Property risk

This is the absolute value of the assets sensitive to the property risk.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0300/C0030

Initial absolute values before shock – Liabilities – Property risk

This is the value of the liabilities sensitive to the property risk.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0300/C0040

Absolute values after shock – Assets – Property risk

This is the absolute value of the assets sensitive to property risk charge, after the property shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0300/C0050

Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Property risk

This is the absolute value of the liabilities underlying property risk charge, after the property shock and after the loss absorbing capacity of technical provisions.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0300/C0060

Absolute value after shock – Net solvency capital requirement – property risk

This is the net capital charge for property risk, after adjustment for the loss absorbing capacity of technical provisions.

R0300/C0070

Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – property risk

This is the absolute value of the liabilities underlying property risk charge, after the property shock but before the loss absorbing capacity of technical provisions.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0300/C0080

Absolute value after shock – Gross solvency capital requirement – Property risk

This is the gross capital charge for property risk, i.e. before the loss absorbing capacity of technical provisions.

Spread risk

R0400/C0060

Absolute value after shock – Net solvency capital requirement – spread risk

This is the net capital charge for spread risk, after adjustment for the loss absorbing capacity of technical provisions.

R0400/C0080

Absolute value after shock – Gross solvency capital requirement – spread risk

This is the gross capital charge for spread risk, before the loss absorbing capacity of technical provisions.

R0410/C0020

Initial absolute values before shock – Assets – spread risk – bonds and loans

This is the absolute value of the assets sensitive to the spread risk on bonds and loans.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0410/C0030

Initial absolute values before shock – Liabilities – spread risk – bonds and loans

This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0410/C0040

Absolute values after shock – Assets – spread risk – bonds and loans

This is the absolute value of the assets sensitive to the spread risk on bonds and loans, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0410/C0050

Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – spread risk – bonds and loans

This is the absolute value of the liabilities underlying the spread risk charge for bonds and loans, after the shock and after the loss absorbing capacity of technical provisions.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0410/C0060

Absolute value after shock – Net solvency capital requirement – spread risk – bonds and loans

This is the net capital charge for spread risk on bonds and loans, after adjustment for the loss absorbing capacity of technical provisions.

If R0012/C0010 = 1 and/or 2, this item represents the net solvency capital requirement for spread risk – bonds and loans, calculated using simplifications

R0410/C0070

Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions)– spread risk – bonds and loans

This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans, after the shock but before the loss absorbing capacity of technical provisions.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0410/C0080

Absolute value after shock – Gross solvency capital requirement – spread risk – bonds and loans

This is the gross capital charge for spread risk on bonds and loans, i.e. before the loss absorbing capacity of technical provisions.

If R0012/C0010 = 1 and/or 2, this item represents gross solvency capital requirement for spread risk – bonds and loans calculated using simplifications.

R0412/C0020

Initial absolute values before shock – Assets – Spread risk – bonds and loans (other than qualifying infrastructure investment)

This is the initial absolute value of the assets sensitive to the spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0412/C0030

Initial absolute values before shock – Liabilities – Spread risk – bonds and loans (other than qualifying infrastructure investment)

This is the initial absolute value of the liabilities sensitive to the spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0412/C0040

Absolute values after shock – Assets – Spread risk – bonds and loans (other than qualifying infrastructure investment)

This is the absolute value of the assets sensitive to the spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0412/C0050

Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (other than qualifying infrastructure investment)

This is the absolute value of the liabilities underlying the spread risk charge for bonds and loans other than qualifying infrastructure investment and infrastructure corporate, after the shock and after the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0412/C0060

Absolute value after shock – Net solvency capital requirement – Spread risk – bonds and loans (other than qualifying infrastructure investment)

This is the net capital charge for spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate, after adjustment for the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.

If R0012/C0010 = 1 and/or 2, this item shall not be reported.

R0412/C0070

Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (other than qualifying infrastructure investment)

This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate, after the shock but before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0412/C0080

Absolute value after shock – Gross solvency capital requirement – Spread risk – bonds and loans (other than qualifying infrastructure investment)

This is the gross capital charge for spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate, i.e. before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.

If R0012/C0010 = 1 and/or 2, this item shall not be reported.

R0413/C0020

Initial absolute values before shock – Assets – Spread risk – bonds and loans (qualifying infrastructure investment)

This is the initial absolute value of the assets sensitive to the spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0413/C0030

Initial absolute values before shock – Liabilities – Spread risk – bonds and loans (qualifying infrastructure investment)

This is the initial absolute value of the liabilities sensitive to the spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. If splitting is not possible, only R0410 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0413/C0040

Absolute values after shock – Assets – Spread risk – bonds and loans (qualifying infrastructure investment)

This is the absolute value of the assets sensitive to the spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0413/C0050

Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (qualifying infrastructure investment)

This is the absolute value of the liabilities underlying the spread risk charge for bonds and loans that are qualifying infrastructure investment other than infrastructure corporate, after the shock and after the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0413/C0060

Absolute value after shock – Net solvency capital requirement – Spread risk – bonds and loans (qualifying infrastructure investment)

This is the net capital charge for spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate, after adjustment for the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.

If R0012/C0010 = 1 and/or 2, this item shall not be reported.

R0413/C0070

Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (qualifying infrastructure investment)

This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate, after the shock but before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0413/C0080

Absolute value after shock – Gross solvency capital requirement – Spread risk – bonds and loans (qualifying infrastructure investment)

This is the gross capital charge for spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate, i.e. before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.

If R0012/C0010 = 1 and/or 2, this item shall not be reported.

R0414/C0020

Initial absolute values before shock – Assets – Spread risk – bonds and loans (qualifying infrastructure corporate investment)

This is the initial absolute value of the assets sensitive to the spread risk on bonds and loans that are qualifying infrastructure corporate investment.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0414/C0030

Initial absolute values before shock – Liabilities – Spread risk – bonds and loans (qualifying infrastructure corporate investment)

This is the initial absolute value of the liabilities sensitive to the spread risk on bonds and loans that are qualifying infrastructure corporate investment. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0414/C0040

Absolute values after shock – Assets – Spread risk – bonds and loans (qualifying infrastructure corporate investment)

This is the absolute value of the assets sensitive to the spread risk on bonds and loans that are qualifying infrastructure corporate investment, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0414/C0050

Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (qualifying infrastructure corporate investment)

This is the absolute value of the liabilities underlying the spread risk charge for bonds and loans that are qualifying infrastructure corporate investment, after the shock and after the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0414/C0060

Absolute value after shock – Net solvency capital requirement – Spread risk – bonds and loans (qualifying infrastructure corporate investment)

This is the net capital charge for spread risk on bonds and loans that are qualifying infrastructure corporate investment, after adjustment for the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.

If R0012/C0010 = 1 and/or 2, this item shall not be reported.

R0414/C0070

Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (qualifying infrastructure corporate investment)

This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans that are qualifying infrastructure corporate investment, after the shock but before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0414/C0080

Absolute value after shock – Gross solvency capital requirement – Spread risk – bonds and loans (qualifying infrastructure corporate investment)

This is the gross capital charge for spread risk on bonds and loans that are qualifying infrastructure corporate investment, i.e. before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in.

If R0012/C0010 = 1 and/or 2, this item shall not be reported.

R0420/C0060

Absolute value after shock – Net solvency capital requirement – spread risk – credit derivatives

This is the net capital charge for spread risk on credit derivatives, after adjustment for the loss absorbing capacity of technical provisions.

R0420/C0080

Absolute value after shock – Gross solvency capital requirement – spread risk – credit derivatives

This is the gross capital charge for spread risk on credit derivatives, i.e. before the loss absorbing capacity of technical provisions.

R0430–R0440/C0020

Initial absolute values before shock – Assets – spread risk – credit derivatives – downward/upward shock on credit derivatives

This is the absolute value of assets sensitive to the downward/upward shock in respect to the spread risk on credit derivatives.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0430–R0440/C0030

Initial absolute values before shock – Liabilities – spread risk – credit derivatives – downward/upward shock on credit derivatives

This is the absolute value of the liabilities sensitive to the downward/upward shock in respect to spread risk on credit derivatives.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0430–R0440/C0040

Absolute values after shock – Assets – spread risk – credit derivatives – downward/upward shock on credit derivatives

This is the absolute value of the assets sensitive the downward/upward shock for spread risk on credit derivatives, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0430–R0440/C0050

Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – spread risk –credit derivatives – downward/upward shock on credit derivatives

This is the absolute value of the liabilities sensitive to the downward/upward shock for spread risk on credit derivatives, after the shock and after the loss absorbing capacity of technical provisions.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0430–R0440/C0060

Absolute value after shock – Net solvency capital requirement – spread risk – credit derivatives – downward/upward shock on credit derivatives

This is the net capital charge for the downward/upward shock for spread risk on credit derivatives, after adjustment for the loss absorbing capacity of technical provisions.

R0430–R0440/C0070

Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions)– spread risk –credit derivatives – downward/upward shock on credit derivatives

This is the absolute value of the liabilities sensitive to the downward/upward shock for spread risk on credit derivatives, after the shock but before the loss absorbing capacity of technical provisions.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0430–R0440/C0080

Absolute value after shock – Gross solvency capital requirement – spread risk – credit derivatives – downward/upward shock on credit derivatives

This is the gross capital charge for the downward/upward shock for spread risk on credit derivatives, i.e. before the loss absorbing capacity of technical provisions.

R0450/C0020

Initial absolute values before shock – Assets – spread risk – securitisation positions

This is the absolute value of the assets sensitive to the spread risk on securitisation positions.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0450/C0030

Initial absolute values before shock – Liabilities – spread risk – securitisation positions

This is the absolute value of the liabilities sensitive to the spread risk on securitisation positions.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0450/C0040

Absolute values after shock – Assets – spread risk – securitisation positions

This is the absolute value of the assets sensitive to the spread risk on securitisation positions, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0450/C0050

Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – spread risk – securitisation positions

This is the absolute value of the liabilities sensitive to the spread risk on securitisation positions, after the shock and after the loss absorbing capacity of technical provisions.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0450/C0060

Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions

This is the net capital charge for spread risk on securitisation positions, after adjustment for the loss absorbing capacity of technical provisions.

R0450/C0070

Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – spread risk – securitisation positions

This is the absolute value of the liabilities sensitive to the spread risk on securitisation positions, after the shock but before the loss absorbing capacity of technical provisions.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0450/C0080

Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions

This is the gross capital charge for spread risk on securitisation positions, i.e. before the loss absorbing capacity of technical provisions.

R0461/C0020

Initial absolute values before shock – Assets – spread risk – securitisation positions – senior STS securitisation

This is the absolute value of the assets sensitive to the spread risk on senior STS securitisation positions.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0461/C0030

Initial absolute values before shock – Liabilities – spread risk – securitisation positions – senior STS securitisation

This is the absolute value of the liabilities sensitive to the spread risk on senior STS securitisation positions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0461/C0040

Absolute values after shock – Assets – spread risk – securitisation positions – senior STS securitisation

This is the absolute value of the assets sensitive to the spread risk on senior STS securitisation positions, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0461/C0050

Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – spread risk – securitisation positions – senior STS securitisation)

This is the absolute value of the liabilities sensitive to the spread risk on senior STS securitisation positions, after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0461/C0060

Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – senior STS securitisation

This is the net capital charge for spread risk on senior STS securitisation positions, after the application of the adjustment for the loss-absorbing capacity of technical provisions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

R0461/C0070

Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions)– spread risk – securitisation positions – senior STS securitisation

This is the absolute value of the liabilities sensitive to the spread risk on senior STS securitisation positions, after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0461/C0080

Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – senior STS securitisation

This is the gross capital charge for spread risk on senior STS securitisation positions, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

R0462/C0020

Initial absolute values before shock – Assets – spread risk – securitisation positions – non-senior STS securitisation

This is the absolute value of the assets sensitive to the spread risk on non-senior STS securitisation positions.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0462/C0030

Initial absolute values before shock – Liabilities – spread risk – securitisation positions – non-senior STS securitisation

This is the absolute value of the liabilities sensitive to the spread risk on non-senior STS securitisation positions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0462/C0040

Absolute values after shock – Assets – spread risk – securitisation positions – non-senior STS securitisation

This is the absolute value of the assets sensitive to the spread risk on non-senior STS securitisation positions, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0462/C0050

Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – spread risk – securitisation positions – non-senior STS securitisation)

This is the absolute value of the liabilities sensitive to the spread risk on non-senior STS securitisation positions, after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0462/C0060

Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – non-senior STS securitisation

This is the net capital charge for spread risk on non-senior STS securitisation positions, after the application of the adjustment for the loss-absorbing capacity of technical provisions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

R0462/C0070

Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions)– spread risk – securitisation positions – non-senior STS securitisation

This is the absolute value of the liabilities sensitive to the spread risk on non-senior STS securitisation positions, after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0462/C0080

Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – non-senior STS securitisation

This is the gross capital charge for spread risk on non-senior STS securitisation positions, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

R0480/C0020

Initial absolute values before shock – Assets – spread risk – securitisation positions – resecuritisation

This is the absolute value of the assets sensitive to the spread risk on resecuritisation positions.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0480/C0030

Initial absolute values before shock – Liabilities – spread risk – securitisation positions – resecuritisation

This is the absolute value of the liabilities sensitive to the spread risk on resecuritisation positions.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0480/C0040

Absolute values after shock – Assets – spread risk – securitisation positions – resecuritisation

This is the absolute value of the assets sensitive to the spread risk on resecuritisation positions, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0480/C0050

Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – spread risk – securitisation positions – resecuritisation)

This is the absolute value of the liabilities sensitive to the spread risk on resecuritisation positions, after the shock and after the loss absorbing capacity of technical provisions.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0480/C0060

Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – resecuritisation

This is the net capital charge for spread risk on resecuritisation positions, after adjustment for the loss absorbing capacity of technical provisions.

R0480/C0070

Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – spread risk – securitisation positions – resecuritisation

This is the absolute value of the liabilities sensitive to the spread risk on resecuritisation positions, after the shock but before the loss absorbing capacity of technical provisions.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0480/C0080

Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – resecuritisation

This is the gross capital charge for spread risk on resecuritisation positions, i.e. before the loss absorbing capacity of technical provisions.

R0481/C0020

Initial absolute values before shock – Assets – spread risk – securitisation positions – other securitisation

This is the absolute value of the assets sensitive to the spread risk on other securitisation positions.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0481/C0030

Initial absolute values before shock – Liabilities – spread risk – securitisation positions – other securitisation

This is the absolute value of the liabilities sensitive to the spread risk on other securitisation positions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0481/C0040

Absolute values after shock – Assets – spread risk – securitisation positions – other securitisation

This is the absolute value of the assets sensitive to the spread risk on other securitisation positions, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0481/C0050

Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – spread risk – securitisation positions – other securitisation)

This is the absolute value of the liabilities sensitive to the spread risk on other securitisation positions, after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible only R0450 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0481/C0060

Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – other securitisation

This is the net capital charge for spread risk on other securitisation positions, after the application of the adjustment for the loss-absorbing capacity of technical provisions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

R0481/C0070

Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions)– spread risk – securitisation positions – other securitisation

This is the absolute value of the liabilities sensitive to the spread risk on other securitisation positions, after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions.

This value shall be reported only where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible only R0450 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0481/C0080

Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – other securitisation

This is the gross capital charge for spread risk on other securitisation positions, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions.

This value shall be reported only where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

R0482/C0020

Initial absolute values before shock – Assets – spread risk – securitisation positions – transitional type 1 securitisation

This is the absolute value of the assets sensitive to the spread risk on transitional type 1 securitisation positions.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0482/C0030

Initial absolute values before shock – Liabilities – spread risk – securitisation positions – transitional type 1 securitisation

This is the absolute value of the liabilities sensitive to the spread risk on transitional type 1 securitisation positions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0482/C0040

Absolute values after shock – Assets – spread risk – securitisation positions – transitional type 1 securitisation

This is the absolute value of the assets sensitive to the spread risk on transitional type 1 securitisation positions, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0482/C0050

Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – spread risk – securitisation positions – transitional type 1 securitisation)

This is the absolute value of the liabilities sensitive to the spread risk on transitional type 1 securitisation positions, after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0482/C0060

Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – transitional type 1 securitisation

This is the net capital charge for spread risk on transitional type 1 securitisation positions, after application of the adjustment for the loss-absorbing capacity of technical provisions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

R0482/C0070

Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions)– spread risk – securitisation positions – transitional type 1 securitisation

This is the absolute value of the liabilities sensitive to the spread risk on transitional type 1 securitisation positions, after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0482/C0080

Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – transitional type 1 securitisation

This is the gross capital charge for spread risk on transitional type 1 securitisation positions, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

R0483/C0020

Initial absolute values before shock – Assets – spread risk – securitisation positions – guaranteed STS securitisation

This is the absolute value of the assets sensitive to the spread risk on guaranteed STS securitisation positions.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0483/C0030

Initial absolute values before shock – Liabilities – spread risk – securitisation positions – guaranteed STS securitisation

This is the absolute value of the liabilities sensitive to the spread risk on guaranteed STS securitisation positions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0483/C0040

Absolute values after shock – Assets – spread risk – securitisation positions – guaranteed STS securitisation

This is the absolute value of the assets sensitive to the spread risk on guaranteed STS securitisation positions, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0483/C0050

Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – spread risk – securitisation positions – guaranteed STS securitisation

This is the absolute value of the liabilities sensitive to the spread risk on guaranteed STS securitisation positions, after the shock and after application of the adjustment for the loss-absorbing capacity of technical provisions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0483/C0060

Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – guaranteed STS securitisation

This is the net capital charge for spread risk on guaranteed STS securitisation positions, after the application of the adjustment for the loss-absorbing capacity of technical provisions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

R0483/C0070

Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions)– spread risk – securitisation positions – guaranteed STS securitisation

This is the absolute value of the liabilities sensitive to the spread risk on guaranteed STS securitisation positions, after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0483/C0080

Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – guaranteed STS securitisation

This is the gross capital charge for spread risk on guaranteed STS securitisation positions, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions.

This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in.

Concentration risk

R0500/C0020

Initial absolute values before shock – Assets – market risk concentrations

This is the absolute value of the asset sensitive to the market risk concentrations

For captive undertakings within the scope of group supervision, if R0040/C0010 = 1, this item represents the absolute value of the assets sensitive to the market risk concentration, after taking into account simplifications allowed for captives.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0500/C0060

Absolute value after shock – Net solvency capital requirement – market risk concentrations

This is the net capital charge for market risk concentrations, after adjustment for the loss absorbing capacity of technical provisions, aggregated for each single name exposure.

For captive undertakings within the scope of group supervision, if cell R0040/C0010 = 1, this item represents net capital charge for market risk concentration, calculated using simplified calculation.

R0500/C0080

Absolute value after shock – Gross solvency capital requirement – market risk concentrations

This is the gross capital charge for market risk concentrations, aggregated for each single name exposure, i.e. before the loss absorbing capacity of technical provisions.

Currency risk

R0600/C0060

Absolute value after shock – Net solvency capital requirement (after the loss absorbing capacity of technical provisions) – currency risk

This is the sum for the different currencies of:

—	the capital requirement (including after the loss absorbing capacity of technical provisions) for an increase in value of the foreign currency against the local currency;

—	the capital requirement (including after the loss absorbing capacity of technical provisions) for a decrease in value of the foreign currency against the local currency.

R0600/C0080

Absolute value after shock – Gross solvency capital requirement – currency risk

This is the sum for the different currencies of:

—	the capital requirement (before the loss absorbing capacity of technical provisions) for an increase in value of the foreign currency against the local currency;

—	the capital requirement (before the loss absorbing capacity of technical provisions) for a decrease in value of the foreign currency against the local currency.

R0610–R0620/C0020

Initial absolute values before shock – Assets – Currency risk – increase/decrease in the value of the foreign currency

This is the total value of the assets sensitive to currency increase/decrease risk, before shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0610–R0620/C0030

Initial absolute values before shock – Liabilities – Currency risk – increase/decrease in the value of the foreign currency

This is the total value of the liabilities sensitive to currency increase/decrease risk, before shock.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0610–R0620/C0040

Absolute values after shock – Assets – Currency risk – increase/decrease in the value of the foreign currency

This is the absolute value of assets sensitive to currency increase/decrease risk after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0610–R0620/C0050

Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Currency risk – increase/decrease in the value of the foreign currency

This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to currency increase/decrease risk after the shock.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0610–R0620/C0060

Absolute value after shock – Net solvency capital requirement (after the loss absorbing capacity of technical provisions) – Currency risk – increase/decrease in the value of the foreign currency

This is the net capital charge for currency increase/decrease risk, after adjustment for the loss absorbing capacity of technical provisions. In R0610 only the currencies where the increase shock is the largest shall be reported and in R0620 only the currencies where the decrease shock is the largest shall be reported.

R0610–R0620/C0070

Absolute values after shock (before the loss–absorbing capacity of technical provisions) – Currency risk – increase/decrease in the value of the foreign currency

This is the absolute value of liabilities (before the loss absorbing capacity of technical provisions) sensitive to currency increase/decrease risk after the shock.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0610–R0620/C0080

Absolute value after shock – Gross solvency capital requirement (excluding the loss–absorbing capacity of technical provisions) – Currency risk – increase/decrease in the value of the foreign currency

This is the gross capital charge for the currency increase/decrease risk, i.e. excluding the loss absorbing capacity of Technical provisions. In R0610 only the currencies where the increase shock is the largest shall be reported and in R0620 only the currencies where the decrease shock is the largest shall be reported.

Diversification within market risk module

R0700/C0060

Diversification within market risk module –net

This is the diversification effect within the market risk module as a result of the aggregation of the net capital requirements (after loss absorbing capacity of technical provisions) of the single risk sub–modules.

Diversification shall be reported as a negative value when it reduces the capital requirement.

R0700/C0080

Diversification within market risk module – gross

This is the diversification effect within the market risk module as a result of the aggregation of the gross capital requirements (before loss absorbing capacity of technical provisions) of the single risk sub–modules.

Diversification shall be reported as a negative value when it reduces the capital requirement.

Total solvency capital requirement for market risk

R0800/C0060

Total market risk – Net solvency capital requirement

This is the total net capital charge for all market risks, after loss absorbing capacity of technical provisions, calculated using the standard formula.

R0800/C0080

Gross solvency capital for market risk

This is the total gross capital charge for all market risks, excluding loss absorbing capacity of technical provisions, calculated using the standard formula.

Currency used as a reference to calculate the currency risk

R0810/C0090

Currency used as a reference to calculate the currency risk

Identify the ISO 4217 alphabetic code of the currency that is used as a reference to calculate the currency risk

S.26.02 – Solvency Capital Requirement – Counterparty default risk

General comments

This section relates to the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.

Template SR.26.02 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.

Template SR.26.02 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).

For group reporting the following specific requirements shall be met:

a)	This information is applicable when method 1 as defined in Article 230 of Solvency II Directive is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;

b)	When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;

c)	This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.

ITEM

INSTRUCTIONS

Z0010

Article 112

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 within the scope of group supervision and must be consistent over time and with the fund/portfolio number reported in other templates.

R0010/C0010

Simplifications

Identify whether an undertaking used simplifications for the calculation of counter party default risk. The options in the following closed list shall be used:

3 – Simplification pooling arrangements, for the purposes of Article 109

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

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

6 – Simplification for type 1 exposures, for the purposes of Article 112b

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

9 – Simplifications not used

Options 3 to 7 may be used simultaneously.

Where R0010/C0010 = 4 or 6, for Type 1 exposures, only R0100/C0080 shall be filed in for R0100

R0100/C0080

Type 1 exposures – Gross solvency capital requirement

This is the gross capital charge (before the application of the adjustment for the loss–absorbency capacity of technical provisions) for counterparty default risk arising from all Type 1 exposures.

Where R0010/C0010 = 4 or 6, this item shall represent the Gross solvency capital requirement using simplifications.

R0110–R0200/C0020

Name of single name exposure

Describe the name of the 10 largest single exposures.

R0110–R0200/C0030

Code of single name exposure

Identification code using the Legal Entity Identifier (LEI) if available.

If not available this item shall not be reported

R0110–R0200/C0040

Type of code of the single name exposure

Identification of the code used in item ‘Code of single name exposure’. One of the options in the following closed list shall be used:

1 – 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 exposure.

R0110–R0200/C0060

Type 1 exposures – Single name exposure X – Probability of Default

The Probability of Default for each of the 10 largest single name exposure.

R0300/C0080

Type 2 exposures – Gross solvency capital requirement

This is the gross capital charge (before the loss–absorbency capacity of technical provisions) for counterparty default risk arising from all Type 2 exposures, as defined for Solvency II purposes

R0310/C0050

Type 2 exposures – Receivables from Intermediaries due for more than 3 months – Loss Given Default

This is the value of Loss Given Default for Type 2 counterparty risk arising from intermediaries due for more than 3 months.

R0320/C0050

Type 2 exposures – All type 2 exposures other than receivables from Intermediaries due for more than 3 months – Loss Given Default

This is the value of Loss Given Default for Type 2 counterparty risk arising from all type 2 exposures other than receivables from Intermediaries due for more than 3 months.

R0330/C0080

Diversification within counterparty default risk module – gross solvency capital requirement

This is the amount of gross diversification effects allowed in aggregation of capital requirements for counterparty default risk for Type 1 and Type 2 exposures.

R0400/C0070

Total net solvency capital requirement for counterparty default risk

This is the total amount of the net capital charge (after the loss–absorbency capacity of technical provisions) for counterparty default risk.

R0400/C0080

Total gross solvency capital requirement for counterparty default risk

This is the total amount of the gross capital charge (before the loss–absorbency capacity of technical provisions) for counterparty default risk.

Further details on mortgages

R0500/C0090

Losses stemming from type 2 mortgage loans

Amount of the overall losses stemming from mortgage loans that has been classified as type 2 exposures according to Article 191(13) of Delegated Regulation (EU) 2015/35.

R0510/C0090

Overall losses stemming from mortgage loans

Amount of the overall losses stemming from mortgage loans according to Article 191(13) of Delegated Regulation (EU) 2015/35.

S.26.03 – Solvency Capital Requirements – Life underwriting risk

General comments:

This section relates to the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.

Template SR.26.03 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.

Template SR.26.03 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).

All values shall be reported net of reinsurance and other risk mitigating techniques.

For group reporting the following specific requirements shall be met:

a)	This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;

b)	When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;

c)	This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.

ITEM

INSTRUCTIONS

Z0010

Article 112

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

R0010/C0010

Simplifications used: mortality risk

Identify whether an undertaking within the scope of group supervision used simplifications for a calculation of mortality risk. The following options shall be used:

1 – Simplifications 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 within the scope of group supervision 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 within the scope of group supervision 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 – life lapse risk

Identify whether an undertaking within the scope of group for the SCR calculation used simplifications for the calculation of lapse risk. The following options shall be used:

1 – Simplification for the purposes of Article 95

2 – Simplification for the purposes of Article 95a

9 – Simplifications not used

Options 1 and 2 may be used simultaneously.

Where R0040/C0010 = 1, only C0060 and C0080 shall be filled in for R0400 to R0420.

R0050/C0010

Simplifications used: life expense risk

Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of life expense risk. The following options shall be used:

1 – Simplifications 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 within the scope of group supervision 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 and/or 2, this item represents gross capital charge for a permanent decrease in lapse rates, calculated using simplified calculation for lapse rate

R0430/C0020

Initial absolute values before shock – Assets – Lapse risk– mass lapse risk

This is the absolute value of the assets sensitive to mass lapse risk, before the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0430/C0030

Initial absolute values before shock – Liabilities – Lapse risk –mass lapse risk

This is the absolute value of liabilities sensitive to mass lapse risk, before the shock.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0430/C0040

Absolute values after shock – Assets – Lapse risk – mass lapse risk

This is the absolute value of the assets sensitive to mass lapse risk charge, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0430/C0050

Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Lapse risk – mass lapse risk

This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to mass lapse risk charge, after the shock.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0430/C0060

Absolute value after shock – Net solvency capital requirement – Lapse risk – mass lapse risk

This is the net capital charge for mass lapse risk, after adjustment for the loss absorbing capacity of technical provisions.

R0430/C0070

Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Lapse risk – mass lapse risk

This is the absolute value of the liabilities sensitive to mass lapse risk charge, after the shock (before the loss absorbing capacity of technical provisions).

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0430/C0080

Absolute value after shock – Gross solvency capital requirement – Lapse risk – mass lapse risk

This is the gross capital charge for mass lapse risk, after the shock (before the loss absorbing capacity of technical provisions).

R0500/C0020

Initial absolute values before shock – Assets – Life – expense risk

This is the absolute value of the assets sensitive to life – expense risk, before the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0500/C0030

Initial absolute values before shock – Liabilities – Life – expense risk

This is the absolute value of liabilities sensitive to life –expense risk, before the shock.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0500/C0040

Absolute values after shock – Assets – Life – expense risk

This is the absolute value of the assets sensitive to life expense risk, after the shock (i.e. shock as prescribed by standard formula: a 10 % increase the amount of expenses taken into account in the calculation of technical provisions and increase in 1 percentage point to the expense inflation rate (expressed as a percentage) used for the calculation of technical provision).

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0500/C0050

Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Life – expense risk

This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to expense risk, after the shock (i.e. a shock. as prescribed by standard formula, refer to description provided within definition to cell R0500/C0040).

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0500/C0060

Absolute value after shock – Net solvency capital requirement – Life expense risk

This is the net capital charge for expense risk, including adjustment for the loss absorbing capacity of technical provisions.

If R0050 = 1, this cell represents net capital charge for life expense risk calculated using simplified calculation.

R0500/C0070

Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Life – expense risk

This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to expense risk, after the shock (i.e. shock as prescribed by standard formula, refer to description provided within definition to cell R0500/C0040).

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0500/C0080

Absolute value after shock – Gross solvency capital requirement – Life –expense risk

This is the gross capital charge for expense risk (before the loss absorbing capacity of technical provisions).

If R0050/C0010 = 1, this cell represents gross capital charge for life expense risk calculated using simplified calculations.

R0600/C0020

Initial absolute values before shock – Assets – Revision risk

This is the absolute value of the assets sensitive to revision risk, before the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0600/C0030

Initial absolute values before shock – Liabilities – Revision risk

This is the absolute value of liabilities sensitive to revision risk, before the shock.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0600/C0040

Absolute values after shock – Assets – Revision risk

This is the absolute value of the assets sensitive to revision risk, after the shock (i.e. shock as prescribed by standard formula: a % increase in the amount of annuity benefits taken into account in the calculation of technical provisions.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0600/C0050

Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Revision risk

This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to revision risk charge, after the shock (i.e. as prescribed by standard formula, refer to a definition in item R0600/C0040).

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0600/C0060

Absolute value after shock – Net solvency capital requirement – Revision risk

This is the net capital charge for revision risk after adjustment for the loss absorbing capacity of technical provisions.

R0600/C0070

Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Revision risk

This is the absolute value of the liabilities (excluding the loss–absorbing capacity of technical provisions) underlying revision risk charge, after the shock ((i.e. shock as prescribed by standard formula, refer to a definition provided in item R0600/C0040), as used to compute the risk.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0600/C0080

Absolute value after shock – Gross solvency capital requirement – Revision risk

This is the gross capital charge (before the loss–absorbing capacity of technical provisions) for revision risk.

R0700/C0020

Initial absolute values before shock – Assets – Life Catastrophe risk

This is the absolute value of the assets sensitive to life catastrophe risk, before the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0700/C0030

Initial absolute values before shock – Liabilities – Life Catastrophe risk

This is the absolute value of liabilities sensitive to life catastrophe risk, before the shock.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0700/C0040

Absolute values after shock – Assets – Life Catastrophe risk

This is the absolute value of the assets sensitive to life catastrophe risk, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0700/C0050

Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Life catastrophe risk

This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to life catastrophe risk charge, after the shock.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0700/C0060

Absolute value after shock – Net solvency capital requirement – life catastrophe risk

This is the net capital charge for life catastrophe risk after adjustment for the loss absorbing capacity of technical provisions.

If R0060/C0010 = 1, this item represents net capital charge for life catastrophe risk calculated using simplified calculations.

R0700/C0070

Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – life catastrophe risk

This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to life catastrophe risk, after the shock.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0700/C0080

Absolute value after shock – Gross solvency capital requirement – life catastrophe risk

This is the gross capital charge for life catastrophe risk (before the loss absorbing capacity of technical provisions).

If R0060/C0010 = 1, this item represents gross capital charge for life catastrophe risk calculated using simplified calculations.

R0800/C0060

Diversification within life underwriting risk module – Net

This is the diversification effect within the life underwriting risk module as a result of the aggregation of the net capital requirements (after adjustment for the loss absorbing capacity of technical provisions) of the single risk sub–modules.

Diversification shall be reported as a negative value if they reduce the capital requirement.

R0800/C0080

Diversification within life underwriting risk module – Gross

This is the diversification effect within the life underwriting risk module as a result of the aggregation of the gross capital requirements (before the loss absorbing capacity of technical provisions) of the single risk sub–modules.

Diversification shall be reported as a negative value if they reduce the capital requirement.

R0900/C0060

Total net solvency capital requirement for life underwriting risk

This is the total net capital charge for life underwriting risk, after adjustment for the loss absorbing capacity of technical provisions.

R0900/C0080

Total gross solvency capital requirement for life underwriting risk

This is the total gross capital charge for life underwriting risk, before the loss absorbing capacity of technical provisions.

Further details on revision risk

R1000/C0090

USP – Factors applied for the revision risk shock

Revision shock – group specific parameter (‘USP’) as calculated by the group and approved by the supervisory authority.

This item is not reported where no group specific parameter is used.

S.26.04 – Solvency Capital Requirement – Health underwriting risk

General Comments:

This section relates to the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.

Template SR.26.04 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where a RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.

Template SR.26.04 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).

All values shall be reported net of reinsurance and other risk mitigating techniques.

For group reporting the following specific requirements shall be met:

a)	This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;

b)	When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;

c)	This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.

ITEM

INSTRUCTIONS

Z0010

Article 112

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

R0010/C0010

Simplifications used – health mortality risk

Identify whether an undertakings within the scope of group supervision used simplifications for the calculation of health mortality risk. The following options shall be used:

1 – Simplifications 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 within the scope of group supervision 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 within the scope of group supervision used simplifications for the calculation of health disability morbidity risk – Medical expense. The following options shall be used:

1 – Simplifications used

2 – Simplifications not used

If R0030/C0010 = 1, only C0060/R0310 and C0080/R0310 shall be filled in.

R0040/C0010

Simplifications used: health disability– morbidity risk – Income protection

Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of health disability morbidity risk – Income protection. The following options shall be used:

1 – Simplifications 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 within the scope of group supervision used simplifications for the calculation of lapse risk. The following options shall be used:

1 – Simplification for the purposes of Article 102

2 – Simplification for the purposes of Article 102a

9 – Simplifications not used

Options 1 and 2 may be used simultaneously.

Where R0050/C0010 = 1, only C0060 and C0080 shall be filled in for R0400 to R0420.

R0051/C0010

Simplifications – NSLT lapse risk

Identify whether an undertaking within the scope of group for the SCR calculation used simplifications for the calculation of lapse risk. The following options shall be used:

1 – Simplification for the purposes of Article 96a

9 – Simplifications not used

R0060/C0010

Simplifications used: health expense risk

Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of health expense risk. The following options shall be used:

1 – Simplifications 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 an decrease of medical payments, before the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

If R0030/C0010 = 1, this row shall not be filled in.

R0330/C0030

Initial absolute values before shock – Liabilities – Health disability – morbidity risk – Medical expense – decrease of medical payments

This is the absolute value of liabilities sensitive to health disability – morbidity risk – Medical expense charge due to an decrease of medical payments, before the shock.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

If R0030/C0010 = 1, this row shall not be filled in.

R0330/C0040

Absolute values after shock – Assets – Health disability – morbidity risk – Medical expense – decrease of medical payments

This is the absolute value of the assets sensitive to health disability – morbidity risk – Medical expense charge due to an decrease of medical payments, after the shock (i.e. as prescribed by standard formula).

Recoverables from reinsurance and SPVs shall not be included in this cell.

If R0030/C0010 = 1, this row shall not be filled in.

R0330/C0050

Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Health disability – morbidity risk – Medical expense – decrease of medical payments

This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to health disability – morbidity risk – Medical expense charge due to an decrease of medical payments, after the shock (i.e. as prescribed by standard formula).

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

If R0030/C0010 = 1, this row shall not be filled in.

R0330/C0060

Absolute value after shock – Net solvency capital requirement –Health disability – morbidity risk – Medical expense – decrease of medical payments

This is the net capital charge for health disability – morbidity risk – Medical expense – decrease of medical payments, after adjustment for the loss absorbing capacity of technical provisions.

If R0030/C0010 = 1, this row shall not be filled in.

R0330/C0070

Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health disability – morbidity risk – Medical expense – decrease of medical payments

This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) underlying health disability – morbidity risk – Medical expense charge – decrease of medical payments, after the shock (i.e. as prescribed by standard formula) as used to compute the risk.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

If R0030/C0010 = 1, this row shall not be filled in.

R0330/C0080

Absolute value after shock – Gross solvency capital requirement – Health disability – morbidity risk – Medical expense – increase of medical payments

This is the gross capital charge (before the loss absorbing capacity of technical provisions) for health disability – morbidity risk – Medical expense – decrease of medical payments.

If R0030/C0010 = 1, this row shall not be filled in.

R0340/C0020

Initial absolute values before shock – Assets – Health disability – morbidity risk – Income protection

This is the absolute value of the assets sensitive to health disability – morbidity risk – Income protection, before the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0340/C0030

Initial absolute values before shock – Liabilities – Health disability – morbidity risk – Income protection

This is the absolute value of liabilities sensitive to health disability – morbidity risk – Income protection charge, before the shock.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0340/C0040

Absolute values after shock – Assets – Health disability – morbidity risk – Income protection

This is the absolute value of the assets sensitive to health disability – morbidity risk – Income protection charge, after the shock (i.e. as prescribed by standard formula).

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0340/C0050

Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Health disability – morbidity risk – Income protection

This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to health disability – morbidity risk – Income protection, after the shock (i.e. as prescribed by standard formula).

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0340/C0060

Absolute value after shock – Net solvency capital requirement –Health disability – morbidity risk – Income protection

This is the net capital charge for health disability – morbidity risk – Income protection, after adjustment for the loss absorbing capacity of technical provisions.

If R0040/C0010 = 1, this item represents net capital charge for health disability – morbidity risk – Income protection calculated using simplifications.

R0340/C0070

Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health disability – morbidity risk – Income protection

This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) underlying health disability – morbidity risk – Income protection charge, after the shock (i.e. as prescribed by standard formula) as used to compute the risk.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0340/C0080

Absolute value after shock – Gross solvency capital requirement – Health disability – morbidity risk – Income protection

This is the gross capital charge (before the loss absorbing capacity of technical provisions) for health disability – morbidity risk – Income protection.

If R0040/C0010 = 1, this item represents gross capital charge for health disability – morbidity risk – Income protection calculated using simplifications.

R0400/C0060

Absolute value after shock – Net solvency capital requirement – SLT Health lapse risk

This is the overall net capital charge for SLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, after adjustment for the loss absorbing capacity of technical provisions.

R0400/C0080

Absolute value after shock – Gross solvency capital requirement – SLT Health lapse risk

This is the overall gross capital charge (before the loss absorbing capacity for technical provisions) for SLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35.

R0410/C0020

Initial absolute values before shock – Assets – SLT health lapse risk– risk of increase in lapse

This is the absolute value of the assets sensitive to the risk of an increase in lapse rates, before the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0410/C0030

Initial absolute values before shock – Liabilities – SLT health lapse risk – risk of increase in lapse

This is the absolute value of liabilities sensitive to the risk of an increase in lapse rates, before the shock.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0410/C0040

Absolute values after shock – Assets – SLT health lapse risk –risk of increase in lapse

This is the absolute value of the assets sensitive to the risk of an increase in lapse rates after the shock (i.e. permanent increase in the rates of lapse).

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0410/C0050

Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – SLT health lapse risk –risk of increase in lapse

This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to the risk of an increase in lapse rates, after the shock (i.e. permanent increase of the rates of lapse).

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0410/C0060

Absolute value after shock – Net solvency capital requirement – SLT health lapse risk –risk of increase in lapse

This is the net capital charge for the risk of a permanent increase in lapse rates, after adjustment for the loss absorbing capacity of technical provisions.

If R0050/C0010 = 1, this item represents net capital charge for a permanent increase in SLT health lapse rates referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, calculated using simplified calculation for SLT health lapse rate

R0410/C0070

Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – SLT health lapse risk – risk of increase in lapse

This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) underlying the risk of a permanent increase in lapse rates, after the shock (permanent increase in lapse rates) as used to compute the risk.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0410/C0080

Absolute value after shock – Gross solvency capital requirement – SLT health lapse risk –risk of increase in lapse

This is the gross capital charge (excluding the loss absorbing capacity for technical provisions) for the risk of a permanent increase in lapse rates.

If R0050/C0010 = 1, this item represents gross capital charge for a permanent increase in lapse rates, calculated using simplified calculation for SLT health lapse rate referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35.

R0420/C0020

Initial absolute values before shock – Assets – SLT health lapse risk– risk of decrease in lapse

This is the absolute value of the assets sensitive to the risk of a permanent decrease in lapse rates, before the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0420/C0030

Initial absolute values before shock – Liabilities – SLT health lapse risk – risk of decrease in lapse

This is the absolute value of liabilities sensitive to the risk of a permanent decrease in lapse rates, before the shock.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0420/C0040

Absolute values after shock – Assets – SLT health lapse risk –risk of decrease in lapse

This is the absolute value of the assets sensitive to the risk of a permanent decrease in lapse rates, after the shock (i.e. permanent decrease in the rates of lapse).

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0420/C0050

Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – SLT health lapse risk –risk of decrease in lapse

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

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, referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, after adjustment for the loss absorbing capacity of technical provisions.

R0430/C0070

Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health lapse risk – mass lapse risk

This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to mass lapse risk, after the shock.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0430/C0080

Absolute value after shock – Gross solvency capital requirement – SLT health lapse risk – mass lapse risk

This is the gross capital charge (excluding the loss absorbing capacity for technical provisions) for SLT health lapse risk – mass lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35.

R0500/C0020

Initial absolute values before shock – Assets – Health expense risk

This is the absolute value of the assets sensitive to expense risk, before the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0500/C0030

Initial absolute values before shock – Liabilities – Health expense risk

This is the absolute value of liabilities sensitive to expense risk, before the shock.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0500/C0040

Absolute values after shock – Assets – Health expense risk

This is the absolute value of the assets sensitive to health expense risk, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0500/C0050

Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Health expense risk

This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to health expense risk, after the shock.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0500/C0060

Absolute value after shock – Net solvency capital requirement – Health expense risk

This is the net capital charge for health expense risk, after adjustment for the loss absorbing capacity of technical provisions.

If R0060/C0010 = 1, this item represents net capital charge for health expense risk calculated using simplified calculations.

R0500/C0070

Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health expense risk

This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to expense risk charge, after the shock.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0500/C0080

Absolute value after shock – Gross solvency capital requirement – Health expense risk

This is the gross capital charge (excluding the loss absorbing capacity of technical provisions) for health expense risk.

If R0060/C0010 = 1, this item represents gross capital charge for health expense risk calculated using simplified calculations.

R0600/C0020

Initial absolute values before shock – Assets – Health revision risk

This is the absolute value of the assets sensitive to health revision risk, before the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0600/C0030

Initial absolute values before shock – Liabilities –Health revision risk

This is the absolute value of liabilities sensitive to health revision risk charge, before the shock.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0600/C0040

Absolute values after shock – Assets – Health revision risk

This is the absolute value of the assets sensitive to health revision risk, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0600/C0050

Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Health revision risk

This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to health revision risk, after the shock.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0600/C0060

Absolute value after shock – Net solvency capital requirement – Health revision risk

This is the net capital charge for health revision risk, after adjustment for the loss absorbing capacity of technical provisions.

R0600/C0070

Absolute value after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Health revision risk

This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to health revision risk charge, after the shock (i.e. as prescribed by standard formula, a % increase in the annual amount payable for annuities exposed to revision risk).

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R0600/C0080

Absolute value after shock – Gross solvency capital requirement – Health revision risk

This is the gross capital charge (before the loss absorbing capacity of technical provisions) for health revision risk.

R0700/C0060

Diversification within SLT health underwriting risk module – Net

This is the diversification effect within the SLT health underwriting risk module referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, as a result of the aggregation of the net capital requirements (after adjustment for the loss absorbing capacity of technical provisions) of the single risk sub–modules.

Diversification shall be reported as a negative value if they reduce the capital requirement.

R0700/C0080

Diversification within SLT health underwriting risk module – Gross

This is the diversification effect within the SLT health underwriting risk module referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, as a result of the aggregation of the gross capital requirements (before the loss absorbing capacity of technical provisions) of the single risk sub–modules.

Diversification shall be reported as a negative value if they reduce the capital requirement.

R0800/C0060

Net solvency capital requirements – SLT health underwriting risk

This is the total net capital charge for SLT health underwriting risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, after adjustment of the loss absorbing capacity of technical provisions.

R0800/C0080

Gross solvency capital – SLT health underwriting risk

This is the total gross capital charge for SLT health underwriting risk, before adjustment of the loss absorbing capacity of technical provisions.

Further details on revision risk

R0900/C0090

Revision shock USP

Revision shock – group specific parameter as calculated by the group and approved by the supervisory authority.

This item is not reported where no group specific parameter is used.

NSLT health premium and reserve risk

R1000–R1030/C0100

Standard deviation for premium risk – USP

This is the group specific standard deviation for premium risk for each lines of business and its proportional reinsurance as calculated by the group and approved or prescribed by the supervisory authority.

This item is not reported where no group specific parameter is used.

R1000–R1030/C0110

USP Standard Deviation gross/net

Identify if the USP standard Deviation was applied gross or net. One of the options in the following closed list shall be used:

1 – USP gross

2 – USP net

R1000–R1030/C0120

Standard deviation for premium risk – USP – Adjustment factor for non – proportional reinsurance

This is the group specific adjustment factor for non–proportional reinsurance of each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, which allows groups to take into account the risk–mitigating effect of particular per risk excess of loss reinsurance – as calculated by the group and approved or prescribed by the supervisory authority

Where no group specific parameter is used, this cell shall be left blank.

R1000–R1030/C0130

Standard deviation for reserve risk – USP

This is the group specific standard deviation for reserve risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance as calculated by the group and approved or prescribed by the supervisory authority.

This item is not reported where no group specific parameter is used.

R1000–R1030/C0140

Volume measure for premium and reserve risk – volume measure for premium risk: Vprem

The volume measure for premium risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance

R1000–R1030/C0150

Volume measure for premium and reserve risk –Volume measure reserve risk: Vres

The volume measure for reserve risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance

R1000–R1030/C0160

Volume measure for premium and reserve risk – Geographical Diversification

This represents the geographical diversification to be used for the volume measure for premium and reserve risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance.

If the factor for geographical diversification is not calculated, then this item is set to the default value of 1.

R1000–R1030/C0170

Volume measure for premium and reserve risk – V

The volume measure for NSLT health premium and reserve risk referred to in Title I Chapter V Sections 4 and 12 of Delegated Regulation (EU) 2015/35, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance.

R1040/C0170

Total Volume measure for premium and reserve risk – V

The total volume measure for premium and reserve risk, equal to the sum of the volume measures for premium and reserve risk for all lines of business.

R1050/C0100

Combined standard deviation

This is the combined standard deviation for premium and reserve risk for all segments.

R1100/C0180

Solvency capital requirement – NSLT health premium and reserve risk

This is the total capital charge for the NSLT health premium and reserve risk sub module referred to in Title I Chapter V Sections 4 and 12 of Delegated Regulation (EU) 2015/35.

R1200/C0190

Initial absolute values before shock – Assets – Lapse risk

This is the absolute value of the assets sensitive to the NSLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, before the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R1200/C0200

Initial absolute values before shock – Liabilities – Lapse risk

This is the absolute value of liabilities sensitive to the NSLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, before the shock.

The amount of TP shall be net of reinsurance and SPV recoverables.

R1200/C0210

Absolute values after shock – Assets – Lapse risk

This is the absolute value of the assets sensitive to the NSLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R1200/C0220

Absolute values after shock Liabilities – Lapse risk

This is the absolute value of the liabilities sensitive to lapse risk, after the shock.

The amount of Technical Provisions shall be net of reinsurance and SPV recoverables.

R1200/C0230

Absolute value after shock– Solvency capital requirement – Lapse risk

This is the capital charge for NSLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35.

R1300/C0240

Diversification within NSLT health underwriting risk – gross

This is the diversification effect within the NSLT health underwriting risk sub–module referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, as a result of the aggregation of the capital requirements for NSLT health premium and reserve risk and NSLT health lapse risk.

Diversification shall be reported as a negative value if they reduce the capital requirement.

R1400/C0240

Total solvency capital requirement for NSLT health underwriting

This is the total capital charge for the NSLT health underwriting risk sub module referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35.

Health catastrophe risk

R1500/C0250

Net solvency capital requirement for health catastrophe risks – Mass accident risk sub module

The net solvency capital requirement for the mass risk sub–module calculated after loss absorbing capacity of technical provisions

R1500/C0260

Gross solvency capital requirement for health catastrophe risks – Mass accident risk sub module

The gross solvency capital requirement for the mass risk sub–module, calculated before loss absorbing capacity of technical provisions.

R1510/C0250

Net solvency capital requirement for health catastrophe risks – Accident concentration risk

The net solvency capital requirement for the accident concentration risk sub–module, calculated after loss absorbing capacity of technical provisions

R1510/C0260

Gross solvency capital requirement for health catastrophe risks– Accident concentration risk

The gross solvency capital requirement for the accident concentration risk sub–module calculated before loss absorbing capacity of technical provisions.

R1520/C0250

Net solvency capital requirement for health catastrophe risks – Pandemic risk

The net solvency capital requirement for the pandemic risk sub–module, calculated after loss absorbing capacity of technical provisions.

R1520/C0260

Gross solvency capital requirement for health catastrophe risks – Pandemic risk

The gross solvency capital requirement for the pandemic risk sub–module is calculated before loss absorbing capacity of technical provisions.

R1530/C0250

Diversification within health catastrophe risk – Net

This is the diversification effect within the health catastrophe risk sub–module as a result of the aggregation of the capital requirements for the risks of a mass accident, accident concentration and pandemic risk, calculated after loss absorbing capacity of technical provisions

R1530/C0260

Diversification within health catastrophe risk – Gross

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 the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.

Template SR.26.05 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.

Template SR.26.05 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).

All values shall be reported net of reinsurance and other risk mitigating techniques.

For group reporting the following specific requirements shall be met:

a)	This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;

b)	When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;

c)	This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.

ITEM

INSTRUCTIONS

Z0010

Article 112

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

R0010/C0010

Captives simplifications – non life premium and reserve risk

Identify whether a captive undertaking within the scope of group supervision used simplifications for the calculation of non–life premium and reserve risk. One of the options in the following closed list shall be used:

1 – Simplifications 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 within the scope of group for the SCR calculation used simplifications for the calculation of non-life underwriting risk. The following options shall be used:

1 – Simplification for the purposes of Article 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 group specific standard deviation for premium risk for each segment as calculated by the group and approved or prescribed by the supervisory authority.

This item is not reported where no group specific parameter is used.

R0100–R0210/C0030

USP Standard Deviation gross/net

Identify if the USP standard Deviation was applied gross or net. One of the options in the following closed list shall be used:

1 – USP gross

2 – USP net

R0100–R0210/C0040

Standard deviation for premium risk – USP – Adjustment factor for non – proportional reinsurance

This is the group specific adjustment factor for non – proportional reinsurance of each segment allows groups to take into account the risk – mitigating effect of particular per risk excess of loss reinsurance – as calculated by the group and approved or prescribed by the supervisory authority.

This item is not reported where no group specific parameter is used.

R0100–R0210/C0050

Standard deviation for reserve risk – USP

This is the group specific standard deviation for reserve risk each segment as calculated by the group and approved or prescribed by the supervisory authority.

This item is not reported where no group specific parameter is used.

R0100–R0210/C0060

Volume measure for premium and reserve risk – volume measure for premium risk: Vprem

The volume measure for premium risk for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35.

R0100–R0210/C0070

Volume measure for premium and reserve risk –Volume measure reserve risk: Vres

The volume measure for reserve risk for each segment, equal to the best estimate for the provisions for claims outstanding for the segment, after deduction of the amount recoverable from reinsurance contracts and special purpose vehicles.

R0100–R0210/C0080

Volume measure for premium and reserve risk – Geographical Diversification —

Geographical diversification used for the volume measure for each 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 the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.

Template SR.26.06 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.

Template SR.26.06 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).

For group reporting the following specific requirements shall be met:

a)	This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;

b)	When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;

c)	This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.

ITEM

INSTRUCTIONS

Z0010

Article 112

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

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 the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.

Template SR.26.07 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.

Template SR.26.07 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).

For group reporting the following specific requirements shall be met:

a)	This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;

b)	When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;

c)	This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.

ITEM

INSTRUCTIONS

Z0010

Article 112

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

Z0040

Currency for interest rate risk (captives)

Identify the ISO 4217 alphabetic code of the currency of issue. Each currency shall be reported in a different line.

Market risk (including captives)

R0010/C0010–C0070

Spread risk (bonds and loans) – Market value – by credit quality step

Market value of the assets subject to a capital requirement for spread risk on bonds and loans for each credit quality step where a credit assessment by a nominated ECAI is available.

R0010/C0080

Spread risk (bonds and loans) – Market value – No rating available

Market value of the assets subject to a capital requirement for spread risk on bonds and loans where no credit assessment by a nominated ECAI is available.

R0020/C0010–C0070

Spread risk (bonds and loans) – Modified duration – by credit quality step

Modified duration in years of the assets subject to a capital requirement for spread risk on bonds and loans for each credit quality step where a credit assessment by a nominated ECAI is available.

R0020/C0080

Spread risk (bonds and loans) – Modified duration – No rating available

Modified duration in years of the assets subject to a capital requirement for spread risk on bonds and loans where no credit assessment by a nominated ECAI is available.

R0030/C0090

Spread risk (bonds and loans) – Increase in unit–linked and index–linked technical provisions

Increase in the technical provisions less risk margin for policies where the policyholders bear the investment risk with embedded options and guarantees that would result from an instantaneous decrease in the value of the assets subject to the capital requirement for spread risk on bonds according to the simplified calculation.

Interest rate risk (captives)

R0040/C0100

Interest rate risk (captives) – Capital requirement – Interest rate up – by currency

Capital requirement for the risk of an increase in the term structure of interest rates according to the captive simplified calculation for each currency reported.

R0040/C0110

Interest rate risk (Captives) – Capital requirement – Interest rate down – by currency

Capital requirement for the risk of a decrease in the term structure of interest rates according to the captive simplified calculation for each currency reported.

Life underwriting risk

R0100/C0120

Mortality risk – Capital at risk

Sum of positive capitals at risk as defined in Article 91 of Delegated Regulation (EU) 2015/35 for all obligations subject to mortality risk.

R0100/C0160

Mortality risk – Average rate t+1

Average mortality rate during the following 12 (t + 1) months weighted by sum insured for policies with a positive capital at risk.

R0100/C0180

Mortality risk – Modified duration

Modified duration in years of all payments payable on death included in the best estimate for policies with a positive capital at risk.

R0110/C0150

Longevity risk – Best estimate

Best estimate of obligations subject to longevity risk.

R0110/C0160

Longevity risk – Average rate t+1

Average mortality rate during the following 12 months (t+1) weighted by sum insured for policies where a decrease in the mortality rate leads to an increase in technical provisions.

R0110/C0190

Longevity risk – Modified duration

Modified duration in years of all payments to beneficiaries included in the best estimate for policies where a decrease in the mortality rate leads to an increase in technical provisions.

R0120/C0120

Disability–morbidity risk – Capital at risk

Sum of positive capitals at risk as defined in Article 93 of Delegated Regulation (EU) 2015/35 for all obligations subject to disability–morbidity risk.

R0120/C0130

Disability–morbidity risk – Capital at risk t+1

Capital at risk as defined in R0120/C0120 after 12 months.

R0120/C0150

Disability–morbidity risk – Best estimate

Best estimate of obligations subject to disability–morbidity risk.

R0120/C0160

Disability–morbidity risk – Average rate t+1

Average disability–morbidity rate during the following 12 months (t+1) weighted by sum insured for policies with a positive capital at risk.

R0120/C0170

Disability–morbidity risk – Average rate t+2

Average disability–morbidity rate during the 12 months after the following 12 months (t+2) weighted by sum insured for policies with a positive capital at risk.

R0120/C0180

Disability–morbidity risk – Modified duration

Modified duration in years of all payments on disability–morbidity included in the best estimate for policies with a positive capital at risk.

R0120/C0200

Disability–morbidity risk – Termination rates

Expected termination rates during the following 12 months (t+1) for policies with a positive capital at risk.

R0130/C0140

Lapse risk (up) – Surrender strain

Sum of all positive surrender strains as defined in Article 95 of Delegated Regulation (EU) 2015/35.

R0130/C0160

Lapse risk (up) – Average rate t+1

Average lapse rate for policies with positive surrender strains.

R0130/C0190

Lapse risk (up) – Average run off period

Average period in years over which the policies with a positive surrender strain run off.

R0140/C0140

Lapse risk (down) – Surrender strain

Sum of all negative surrender strains as defined in Article 95 of Delegated Regulation (EU) 2015/35.

R0140/C0160

Lapse risk (down) – Average rate t+1

Average lapse rate for policies with negative surrender strains.

R0140/C0190

Lapse risk (down) – Average run off period

Average period in years over which the policies with a negative surrender strain run off.

R0150/C0180

Life expense risk – Modified duration

Modified duration in years of the cash flows included in the best estimate of life insurance and reinsurance obligations.

R0150/C0210

Life expense risk – Payments

Expenses paid related to life insurance and reinsurance during the last 12 months.

R0150/C0220

Life expense risk – Average inflation rate

Weighted average inflation rate included in the calculation of the best estimate of those obligations, where the weights are based on the present value of expenses included in the calculation of the best estimate for servicing existing life obligations.

R0160/C0120

Life catastrophe risk – Capital at risk

Sum of positive capitals at risk as defined in Article 96 of Delegated Regulation (EU) 2015/35.

Health underwriting risk

R0200/C0120

Health mortality risk – Capital at risk

Sum of positive capitals at risk as defined in Article 97 of Delegated Regulation (EU) 2015/35 for all obligations subject to health mortality risk.

R0200/C0160

Health mortality risk – Average rate t+1

Average mortality rate during the following 12 months (t+1) weighted by sum insured for policies with a positive capital at risk.

R0200/C0180

Health mortality risk – Modified duration

Modified duration in years of all payments payable on death included in the best estimate for policies with a positive capital at risk.

R0210/C0150

Health longevity risk – Best estimate

Best estimate of obligations subject to health longevity risk.

R0210/C0160

Health longevity risk – Average rate t+1

Average mortality rate during the following 12 months (t+1) weighted by sum insured for policies where a decrease in the mortality rate leads to an increase in technical provisions.

R0210/C0180

Health longevity risk – Modified duration

Modified duration in years of all payments to beneficiaries included in the best estimate for policies where a decrease in the mortality rate leads to an increase in technical provisions.

R0220/C0180

Health disability–morbidity risk (medical expense) – Modified duration

Modified duration in years of the cash flows included in the best estimate of medical expense insurance and reinsurance obligations.

R0220/C0210

Health disability–morbidity risk (medical expense) – Payments

Expenses paid related to medical expense insurance and reinsurance during the last 12 months.

R0220/C0220

Health disability–morbidity risk (medical expense) – Average inflation rate

Weighted average rate of inflation on medical payments included in the calculation of the best estimate of those obligations, where the weights are based on the present value of medical payments included in the calculation of the best estimate of those obligations.

R0230/C0120

Health disability–morbidity risk (income protection) – Capital at risk

Sum of positive capitals at risk as defined in Article 100 of Delegated Regulation (EU) 2015/35 for all obligations subject to disability–morbidity risk (income protection).

R0230/C0130

Health disability–morbidity risk (income protection) – Capital at risk t+1

Capital at risk as defined in R0230/C0120 after 12 months.

R0230/C0150

Health disability–morbidity risk (income protection) – Best estimate

Best estimate of obligations subject to disability–morbidity risk.

R0230/C0160

Health disability–morbidity risk (income protection) – Average rate t+1

Average disability–morbidity rate during the following 12 months (t+1) weighted by sum insured for policies with a positive capital at risk.

R0230/C0170

Health disability–morbidity risk (income protection) – Average rate t+2

Average disability–morbidity rate during the 12 months after the following 12 months (t+2) weighted by sum insured for policies with a positive capital at risk.

R0230/C0180

Health disability–morbidity risk (income protection) – Modified duration

Modified duration in years of all payments on disability–morbidity included in the best estimate for policies with a positive capital at risk.

R0230/C0200

Health disability–morbidity risk (income protection) – Termination rates

Expected termination rates during the following 12 months for policies with a positive capital at risk.

R0240/C0140

Health SLT lapse risk (up) – Surrender strain

Sum of all positive surrender strains as defined in Article 102 of Delegated Regulation (EU) 2015/35.

R0240/C0160

Health SLT lapse risk (up) – Average rate t+1

Average lapse rate for policies with positive surrender strains.

R0240/C0190

Health SLT lapse risk (up) – Average run off period

Average period in years over which the policies with a positive surrender strain run off.

R0250/C0140

Health SLT lapse risk (down) – Surrender strain

Sum of all negative surrender strains as defined in Article 102 of Delegated Regulation (EU) 2015/35.

R0250/C0160

Health SLT lapse risk (down) – Average rate t+1

Average lapse rate for policies with negative surrender strains.

R0250/C0190

Health SLT lapse risk (down) – Average run off period

Average period in years over which the policies with a negative surrender strain run off.

R0260/C0180

Health expense risk – Modified duration

Modified duration in years of the cash flows included in the best estimate of health insurance and reinsurance obligations.

R0260/C0210

Health expense risk – Payments

Expenses paid related to health insurance and reinsurance during the last 12 months.

R0260/C0220

Health expense risk – Average inflation rate

Weighted average inflation rate included in the calculation of the best estimate of these obligations, weighted by the present value of expenses included in the calculation of the best estimate for servicing existing health obligations.

Market risk – Market risk concentrations

R0300/C0300

Debt portfolio share

The share of the debt portfolio for which a simplified SCR calculation has been made.

To be reported only in case undertaking is exempted from reporting template S.06.02

NAT CAT simplifications

R0400/C0330

Windstorm – sum of exposures subject to the NAT CAT simplifications

Include sum of exposures subject to windstorm simplifications

R0410/C0330

Hail – sum of exposures subject to the NAT CAT simplifications

Include sum of exposures subject to hail simplifications

R0420/C0330

Earthquake – sum of exposures subject to the NAT CAT simplifications

Include sum of exposures subject to earthquake simplifications

R0430/C0330

Flood – sum of exposures subject to the NAT CAT simplifications

Include sum of exposures subject to flood simplifications

R0440/C0330

Subsidence – sum of exposures subject to the NAT CAT simplifications

Include sum of exposures subject to subsidence simplifications

S.26.08 – Solvency Capital Requirement – for groups using an internal model (partial or full)

General comments:

This section relates to the annual submission of information for groups, ring fenced-funds, matching adjustment portfolios and remaining part.

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:

These amounts shall fully consider diversification effects according to Article 304 of Directive 2009/138/EC where applicable.

When applicable, these cells do not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level.

Template SR.26.08 shall be reported by ring-fenced fund, matching adjustment portfolio and the remaining part for every undertaking under an internal model. For partial internal models, this includes undertakings where a partial internal model is applied to a full ring-fenced fund and/or matching adjustment portfolio while the other ring-fenced funds and/or matching adjustment portfolios are under the standard formula. This template should be reported for all sub-funds of a material RFF/MAP as identified in the second table of S.01.03.

The template is applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).

For those undertakings under a partial internal model to which the adjustment due to the aggregation of the nSCR of RFF/MAP is applicable, where the entity has MAP or RFF (except those under the scope of Article 304 of Directive 2009/138/EC) when reporting at the level of the whole undertaking, the nSCR at risk module level and the loss-absorbing capacity (LAC) of technical provisions and deferred taxes to be reported shall be calculated as follows:

—	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:

—

, where

— 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

— nSCRint = 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 = 2, then report ‘0’

C0010/R0010

Total stand-alone risk

Sum of diversified capital charges for each risk module. Diversification between risk modules is not included.

S.26.09.04 C0020/R0020 + S.26.11.04 C0110/R0210 + S.26.12.01 C0070/R0220 + S.26.13.01 C0450/R2120 + S.26.13.01 C0150/R1210 + S.26.14.01 C0320/R0630 + S.26.15.01 C0220/R0070 + the part calculated using the Standard formula for groups using a partial internal model where relevant

C0010/R0020

Total diversification

Amount of the diversification effects between risk modules.

This amount should be reported as a negative value.

C0010/R0030

Total diversified risk before tax

Amount of diversified capital charges before tax.

C0010/R0040

Total diversified risk after tax

Amount of diversified capital charges after tax.

C0010/R0050

Loss absorbing capacity of deferred taxes

Amount of the adjustment for loss-absorbing capacity of deferred taxes.

This amount should be reported as a negative value.

C0010/R0060

Loss absorbing capacity of technical provisions

Amount of the adjustment for loss-absorbing capacity of technical provisions.

This amount should be reported as a negative value.

C0010/R0070

Total market & credit risk

Same as S.26.09.04 C0020/R0010 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant.

C0010/R0080

Market & Credit risk – diversified

S.26.08.01 C0010/R0070 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus part of total diversification allocated to Market & Credit risk by the undertaking’s algorithm.

C0010/R0090

Interest rate risk

Same as S.26.09.04 C0020/R0060 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant.

C0010/R0100

Interest rate volatility risk

Same as S.26.09.04 C0020/R0070 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant.

C0010/R0110

Inflation risk

Same as S.26.09.04 C0020/R0080 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant.

C0010/R0120

Equity risk

Same as S.26.09.04 C0020/R0110 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant.

C0010/R0130

Equity volatility risk

Same as S.26.09.04 C0020/R0120 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant.

C0010/R0140

Property risk

Same as S.26.09.04 C0020/R0130 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant.

C0010/R0150

Currency risk

Same as S.26.09.04 C0020/R0140 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant.

C0010/R0160

Credit spread risk

Same as S.26.09.04 C0020/R0180 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant.

C0010/R0170

Credit event risk (migration & default)

Same as S.26.09.04 C0020/R0170 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant.

C0010/R0180

Credit risk sum (spread, migration & default)

Same as S.26.09.04 C0020/R0150 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant.

C0010/R0190

Credit event risk not covered in market & credit risk

SCR allocated to credit event risk that is not covered by the market & credit risk module.

C0010/R0200

Credit event risk not covered in market & credit risk – diversified

S.26.08.04 C0010/R0190 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus diversification allocated to credit event risk that is not covered by the market & credit risk module.

C0010/R0210

Basis risk financial instruments

Capital charge allocated to basis risk for financial instruments (risk of imperfect hedges. Sum of price differences between asset and hedging instrument).

To be reported only if undertaking models this explicitly in its own module and has indicated so in C0140/R0760.

C0010/R0220

Derivatives risk

Capital charge allocated to derivatives risk (all derivatives not used for hedging purposes).

To be reported only if undertaking models this explicitly in its own module and has indicated so in C0140/R0770.

C0010/R0230

Participations

Capital charge allocated to participations.

To be reported only if undertaking models this explicitly in its own module and has indicated so in C0140/R0720.

C0010/R0240

Liquidity risk

Capital charge allocated to liquidity risk.

To be reported only if undertaking models this explicitly in its own module and has indicated so in C0140/R0730.

C0010/R0250

Pension risk

Capital charge allocated to pension risk.

To be reported only if undertaking models this explicitly in its own module and has indicated so in C0140/R0740.

C0010/R0260

Concentration risk

Capital charge allocated to concentration risk.

For undertakings using a full internal model this shall be reported only if the undertaking models this explicitly in its own module and has indicated so in C0140/R0750.

C0010/R0270

Total Business risk

Capital charge allocated to business risk.

To be reported only if undertaking models this explicitly in its own module.

C0010/R0280

Total Business risk – diversified

S.26.08.04 C0010/R0240 minus part of total diversification allocated to Business risk by the undertaking’s algorithm.

C0010/R0290

Total underwriting risk

S.26.08.04 C0010/R0310 + S.26.08.04 C0010/R0400 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant

C0010/R0300

Total underwriting risk – diversified

S.26.08.04 C0010/R0290 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus part of total diversification allocated to underwriting risk by the undertaking’s algorithm.

C0010/R0310

Total Net Non-life underwriting risk

Sum of S.26.08.04 C0010/R0360, R0370, R0380 + R0390 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant.

C0010/R0320

Total Net Non-life underwriting risk – diversified

S.26.08.04 C0010/R0310 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus part of total diversification allocated to Non-Life underwriting risk by the undertaking’s algorithm.

C0010/R0330

Net Nat-cat risk

S.26.13.04 C0430/R1690 + S.26.13.04 C0430/R1700 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant

C0010/R0340

Net Man-made risk

S.26.13.04 C0430/R1710 + S.26.13.04 C0430/R1720 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant

C0010/R0350

Gross reserve risk

Same as S.26.13.04 C0050/R0090 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant.

C0010/R0360

Gross premium risk

Same as S.26.13.04 C0080/R0540 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant.

C0010/R0370

Total Life & Health underwriting risk

Sum of S.26.08.04 C0010/R0420-R0480 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant

or sum of S.26.08.04 C0010/R0480-R0500 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant.

C0010/R0380

Total Life & Health underwriting risk – diversified

S.26.08.04 C0010/R0400 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus part of total diversification allocated to Life & Health risk by the undertaking’s algorithm.

C0010/R0390

Mortality risk

S.26.14.04 C0070/R0010 + S.26.14.04 C0070/R0310 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant

C0010/R0400

Longevity risk

S.26.14.04 C0070/R0050 + S.26.14.04 C0070/R0360 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant

C0010/R0410

Disability-Morbidity risk

S.26.14.04 C0070/R0110 + S.26.14.04 C0070/R0410 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant

C0010/R0420

Lapse

S.26.14.04 C0070/R0160 + S.26.14.04 C0070/R0470 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant

C0010/R0430

Expense risk

S.26.14.04 C0070/R0240 + S.26.14.04 C0070/R0550 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant

C0010/R0440

Revision risk

S.26.14.04 C0070/R0260 + S.26.14.04 C0070/R0570 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant

C0010/R0450

Catastrophe risk

Same as S.26.14.04 C0070/R0250 + S.26.14.04 C0070/R0560 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant or S.26.14.04 C0070/R0300 + S.26.14.04 C0070/R0600 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant depending on the model structure.

C0010/R0460

Trend risk

Same as S.26.14.04 C0070/R0280 + S.26.14.04 C0070/R0580.

C0010/R0470

Level risk

Same as S.26.14.04 C0070/R0290 + S.26.14.04 C0070/R0590.

C0010/R0480

Total Operational risk

Same as S.26.15.04 C0220/R0070 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant.

C0010/R0490

Total Operational risk – diversified

S.26.08.04 C0010/R0510 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus part of total diversification allocated to Operational risk by the undertaking’s algorithm.

C0010/R0500

Other risk

Capital charge not allocated to the categories listed here + the part calculated using the Standard formula for undertakings using a partial internal model where relevant.

C0050/R0010-R0500

Allocation from adjustments due to RFF and Matching adjustment portfolios

Where applicable, part of the adjustment allocated to each risk module according to the procedure described in the general comments. This amount shall be positive.

C0060/R0010-R0500

Consideration of the future management actions regarding technical provisions and/or deferred taxes

To identify if the future management actions relating to the loss absorbing capacity of technical provisions and/or deferred taxes are embedded in the calculation, the following closed list of options shall be used:

1 – Future management actions regarding the loss–absorbing capacity of technical provisions embedded within the 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 & 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 & Credit risk – for financial instruments

General comments:

This section relates to the annual submission of information for groups.

If not indicated differently, ‘Solvency II values’ shall be used, i.e. applying the valuation principles set out in the Directive2009/138/EC, Delegated Regulation (EU) 2015/35, Solvency 2 Technical Standards and Guidelines.

This part of the reporting requirements covers the market and credit risk arising from the level or volatility of market prices of financial instruments, which have an impact upon the value of assets and liabilities of the undertaking or the group. Credit risk covers the usual three facets ‘spread’, ‘migration’ and ‘default’.

The figures shall include the impact on assets and liabilities including any impacts on the options and guarantees and on future discretionary benefits for policyholders (‘loss absorbing capacity of technical provisions’).

The figures shall not include the loss absorbing capacity of deferred taxes.

The template consists of three main building blocks:

1.	‘General information’ on few key aspects of the modelling approach

2.	‘Stand-alone capital requirements for market & credit risk and supplementing distribution data’

3.	‘Sensitivities and exposure data’

S.26.09.04.01: General information

Regarding market and credit risk models two facts on the modelling approach and scope are requested here, as these are important for the analysis of data, namely: Whether the model includes ‘ageing effects’ and if non-financial instruments are covered in credit risk. For further details see below.

S.26.09.04.02: Stand-alone capital requirements for market & credit risk and supplementing distribution data

Based on the requirements of Article 228 of Delegated Regulation (EU) 2015/35, the probability distribution forecast underlying the internal model shall assign probabilities to changes in either the amount of basic own funds of the insurance or reinsurance undertaking or to other monetary amounts, such as profit and loss, provided that those monetary amounts can be used to determine the changes in basic own funds. The exhaustive set of mutually exclusive future events, referred to in Article 13(38) of Directive 2009/138/EC, shall contain a sufficient number of events to reflect the risk profile of the undertaking.

In template S.26.09.04.02, internal model users are requested to provide certain basic statistical values from the distribution of own funds impacts associated with the ‘probability distribution forecast’ when restricting the events to those associated with a certain type of risk only (‘stand-alone risk’ or ‘marginal risk’). For example, the ‘marginal risk’ for interest rates would especially cover changes in the level of the interest rate, but, inter alia, the value of equity would typically not be changed in the simulations.

S.26.09.04.02 covers the typical sub-risks of market and credit risk and requires figures in two subsets:

‘SCR’ like figures under variation of the allowance for ‘long-term guarantee measures’ similar to the QRT S.22 ‘LTGM impacts’:

These figures should be associated with the 99,5 % VaR under the risk measure used for the calculation of the Solvency Capital Requirement (SCR). Broadly speaking, you are expected to apply your modelled ‘SCR definition’ to the basic own funds without eligibility restrictions and without the loss absorbing capacity of deferred taxes. Hence requested figure might differ from the 0,5 % sample quantile on the simulated impacts (with negative sign), owing to the statistical estimator for the 0,5 percentile (e.g. including any interpolation or smoothing scheme).

For the purpose of these reporting requirements this value is called the ‘modelled VaR’ (mVaR) for the 99,50 % of basic own funds.

You are requested to provide this ‘mVaR 99,50 %’ for the following variations of the ‘long-term guarantee measures’ (LTGM):

—	mVaR 99,50 % including all LTGM you regularly apply

—	mVaR 99,50 % without transitional on technical provisions

—	mVaR 99,50 % without transitional on interest rates

—	mVaR 99,50 % without volatility adjustment (VA) and without transitionals

—	mVaR 99,50 % without matching adjustment (MA) and without all the other LTGMs

II.

Basic statistical data from the ‘marginal distribution’

From the distribution for the marginal risk under consideration provide the impacts associated with the following data. These values should be directly taken from the distribution, i.e. in case the mVaR would be different from the 99,50 % quantile, please provide the figures without allowing for features from your statistical estimator:

—

Mean

—	Standard deviation

—	Impacts corresponding to the mVaR for the identified quantiles

S.26.09.04.03: Sensitivities and exposure data

In template S.26.09.04.03, data is requested which should support the analysis of results and risk profile, namely ‘sensitivities’ of the own funds and ‘exposure’ information with respect to market and credit risk for financial instruments.

S.26.09.04.03 for each of the sub-risks covered by S.26.09.01.02 asks for exposure data in the base case and under certain stressed scenarios. Exposure data is the Solvency II value of the following items but only for those entries under these items, which are subject to the respective risk:

—

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/R0020

Type of shock model for market risk

For market & credit risk, internal models regarding the 1-year-time-horizon of Solvency II roughly follow two approaches. Instantaneous shock models or a projection over 1 year, at the end of which e.g. a bond with two years maturity at the beginning of the projection would have a maturity of one year. The undertaking is asked to answer the question for ‘market risk’.

One of the options in the following closed list shall be used:

1 – Instantaneous shock model

2 – Projection model

C0010/R0030

Type of shock model 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 & credit risk, this risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the inflation.

As inflation in certain internal models is also allowed for e.g. in the underwriting risk, please ensure, that there is no double-counting.

C0020-C0060/R0090

Equity risk sum

Sum of the respective values of C0020-C0060/R0110 and C0020-C0060/R0120.

C0020-C0300/R0100

Equity risk sum of which: Equity risk diversified

Within the market and credit risk, the equity risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the level, or in the volatility of market prices of equities.

In this line, diversification between changes in the level and changes in the volatility of market prices should be taken into account.

C0020-C0300/R0110

Equity risk sum of which: Equity risk

Equity risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the level of market prices of equities.

C0020-C0300/R0120

Equity risk sum of which: Equity volatility risk

Equity volatility risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the volatility of market prices of equities.

C0020-C0300/R0130

Property risk

Within the market & credit risk, the property risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the level, or in the volatility of market prices of real estate.

Differently from e.g. equity risk no split in ‘level’ and ‘volatility’ is requested.

C0020-C0300/R0140

Currency risk

Within the market & credit risk, the currency risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the level, or in the volatility of currency exchange rates.

Differently from e.g. equity risk no split in ‘level’ and ‘volatility’ is requested.

C0020-C0060/R0150

Credit risk sum

Sum of the respective following values:

—	Credit Event Risk (‘migration and default’) (R0170)

—	Credit Spread risk ‘Government and central banks’ (R0190)

—	Credit Spread risk other (R0200)

If the split in ‘Government and central banks’ (R0190) and ‘other’ (R0200) is not available in the model, please use ‘Credit Spread Risk’ (R0180) instead in the sum.

C0020-C0300/R0160

Credit risk sum of which: Credit risk diversified

Within the market and credit risk, the credit risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the value of assets due to changes in credit spreads or credit migration or by credit default.

In this line, diversification between changes in credit spreads or credit migration or credit default should be taken into account.

Credit risk shall be given according to the scope as defined in the internal model and could cover only financial instruments or could cover any assets and also off-balance sheet items.

C0020-C0300/R0170

Credit risk sum of which: Credit event risk (‘migration and default’)

Credit event risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the value of assets due to changes in credit migration or by credit default.

Diversification between credit migration and credit default should be taken into account.

Credit risk shall be given according to the scope as defined in the internal model and could cover only financial instruments or could cover any assets and also off-balance sheet items.

C0020-C0300/R0180

Credit risk sum of which: Credit Spread risk

Credit spread risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the value of financial instruments due to changes in spreads over the risk-free term structure which are not owed to migration or (partial) default.

C0020-C0300/R0190

Credit Spread risk – Spread risk ‘Government and central banks’

Credit spread risk ‘Government and central banks’ comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the value of financial instruments issued by governments and central banks due to changes in spreads over the risk-free term structure which are not owed to migration or (partial) default.

The following list enumerates the CIC codes of the asset classes that are attributed to government or central banks: 13, 14, 15, 16, 17, 19. The CIC codes 13 and 14 were used to identify bonds issued by Regional government and local authorities (RGLA). RGLA should be allocated to government portfolio if they are listed in the Commission Implementing Regulation (EU) 2015/2011 and otherwise to non-financial corporate portfolio according to their credit quality step.

C0020-C0300/R0200

Credit Spread risk other

Credit spread risk ‘other’ comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the value of financial instruments not issued by governments and central banks due to changes in spreads over the risk-free term structure which are not owed to migration or (partial) default.

STAND ALONE MARKET AND CREDIT RISK: Combined market and credit risk

C0020-C0060/R0020

Market and credit risk diversified

In this line, please provide data for the combined market & credit risk, i.e. the risk arising from the level or volatility of market prices of assets, which have an impact upon the value of assets and liabilities of the undertaking or the group. Credit risk covers the usual three facets ‘spread’, ‘migration’ and ‘default’.

Credit risk shall be given according to the scope as defined in the internal model and could cover only financial instruments or could cover any assets and also off-balance sheet items.

C0020-C0060/R0010

Market and credit risk sum (level 2 components)

Sum of the respective following values:

—	Interest rate risk diversified (R0050)

—	Inflation risk (R0080)

—	Equity risk diversified (R0100)

—	Property risk (R0130)

—	Currency risk (R0140)

—	Credit risk sum (R0150)

C0020-C0060/R0030

Market and credit risk diversification

Amount corresponding to the difference between C0020-C0060/R0020 and C0020-C0060/R0010.

This amount should be reported as a negative value.

STAND ALONE MARKET AND CREDIT RISK: Sensitivities & exposure data

C0310-C0360/R0210

Exposure sensitive to interest rates – base case/no shock

Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to interest rate risk.

C0310-C0360/R0220

Interest Rates (parallel shift all maturities) by – 100bps

Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a parallel – 100 bps shift on interest rates for all maturities. This shift impacts all maturities not only those before the ‘last liquid point’ (LLP).

C0310-C0360/R0230

Interest Rates (parallel shift all maturities) by + 100bps

Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a parallel + 100 bps shift on interest rates for all maturities. Please note that this shift impacts all maturities not only those before the ‘last liquid point’ (LLP).

C0310-C0360/R0240

Interest Rates (parallel shift all maturities) by – 50bps

Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a parallel – 50 bps shift on interest rates for all maturities. Please note that this shift impacts all maturities not only those before the ‘last liquid point’ (LLP).

C0310-C0360/R0250

Interest Rates (parallel shift all maturities) by + 50bps

Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a parallel + 50 bps shift on interest rates for all maturities. Please note that this shift impacts all maturities not only those before the ‘last liquid point’ (LLP).

C0310-C0360/R0260

Exposure sensitive to inflation rates – base case/no shock

Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to inflation risk.

C0310-C0360/R0270

Inflation rates – 100bps

Solvency II value of the exposure subject to inflation risk as specified above but under the scenario of a decrease of – 100 bps on inflation rates.

This sensitivity should be applied in line with the internal models definition and allocation of inflation risk.

C0310-C0360/R0280

Inflation rates + 100bps

Solvency II value of the exposure subject to inflation risk as specified above but under the scenario of an increase of + 100 bps on inflation rates.

This sensitivity should be applied in line with the internal models definition and allocation of inflation risk.

C0310-C0360/R0290

Exposure sensitive to credit spreads – base case/no shock

Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to credit spread risk.

C0310-C0360/R0300

Spread (uniform shift all maturities and assets) – 100 bps

Solvency II value of the exposure subject to credit spread risk as specified above but under the scenario of uniform shift in credit spreads for all maturities and assets by – 100 bps.

C0310-C0360/R0310

Spread (uniform shift all maturities and assets) + 100 bps

Solvency II value of the exposure subject to credit spread risk as specified above but under the scenario of uniform shift in credit spreads for all maturities and assets by + 100 bps.

C0310-C0360/R0320

Exposure sensitive to equity level risk – base case/no shock

Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to equity level risk.

C0310-C0360/R0330

Equity (uniform shift in values) – 30 %

Solvency II value of the exposure subject to equity level risk as specified above but under the scenario of uniform decrease in values by – 30 %.

C0310-C0360/R0340

Equity (uniform shift in values) + 30 %

Solvency II value of the exposure subject to equity level risk as specified above but under the scenario of uniform increase in values by + 30 %.

C0310-C0360/R0350

Exposure sensitive to Property risk – base case/no shock

Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to property risk.

C0310-C0360/R0360

Property (uniform shift in values) – 30 %

Solvency II value of the exposure subject to property risk as specified above but under the scenario of uniform decrease in values by – 30 %.

C0310-C0360/R0370

Property (uniform shift in values) + 30 %

Solvency II value of the exposure subject to property risk as specified above but under the scenario of uniform increase in values by + 30 %.

C0310-C0360/R0380

Exposure sensitive to Currency risk – base case/no shock

Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to currency risk.

C0310-C0360/R0390

Currency (uniform shift in exchange rates) – 10 %

Solvency II value of the exposure subject to currency risk as specified above but under the scenario of uniform decrease in exchange rates by – 10 %.

C0310-C0360/R0400

Currency (uniform shift in exchange rates) + 10 %

Solvency II value of the exposure subject to currency risk as specified above but under the scenario of uniform increase in exchange rates by + 10 %.

C0310-C0360/R0410

Exposure sensitive to interest rate volatility – base case/no shock

Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to interest rate volatility risk.

C0310-C0360/R0420

Interest rate volatility down – 25 %

Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a decrease of interest rate volatility by – 25 %.

This shift is a parallel shift of the whole volatility surface for log-normal and normal vols.

Only one of the rows R0420 or R0430 may be reported.

C0310-C0360/R0430

Interest rate volatility down – 20bp for normal vols

Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a decrease of interest rate volatility by – 20 bp for normal vols.

This shift is a parallel shift of the whole volatility surface for log-normal and normal vols.

Only one of the rows R0420 or R0430 may be reported.

C0310-C0360/R0440

Interest rate volatility up + 25 %

Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of an increase of interest rate volatility by + 25 %.

This shift is a parallel shift of the whole volatility surface for log-normal and normal vols.

Only one of the rows R0440 or R0450 may be reported.

C0310-C0360/R0450

Interest rate volatility up + 20bp for normal vols

Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of an increase of interest rate volatility by + 20 bp for normal vols.

This shift is a parallel shift of the whole volatility surface for log-normal and normal vols.

Only one of the rows R0440 or R0450 may be reported.

C0310-C0360/R0460

Exposure sensitive to equity volatility – base case/no shock

Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to equity volatility risk.

C0310-C0360/R0470

Equity volatility down – 25 %

Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a decrease of equity volatility by – 25 %.

C0310-C0360/R0480

Equity volatility up + 25 %

Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of an increase of equity volatility by + 25 %.

S.26.10 – Internal model: Credit event risk – portfolio view details

General comments:

This section relates to the annual submission of information for groups.

The following data requirements ask for six kinds of views on the asset portfolio which is subject to credit migration and credit default risk from a portfolio perspective. All kinds of exposures are covered, especially investments and reinsurance.

The four main views are:

—	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 these 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 incl. 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.

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 ncl. 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.

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 risk incl. diversification, i.e. the sum of entries in this column gives the credit risk SCR:

—	in R0420 to R0510 for the top 10 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 class

C0020/R0530-R0640

Market value

Market value according to the valuation used for solvency purposes split by asset class:

—	Bond and loans

—	Covered bonds

—	Sovereign bonds

—

Mortgages

—	Asset backed

—

Other

—

Cash

—	Receivables

—	Reinsurance and derivatives

—	Credit insurance

—	Off BS and other

—

Total

C0030/R0530-R0640

Exposure at default

Exposure at default split by asset class:

—	Bond and loans

—	Covered bonds

—	Sovereign bonds

—

Mortgages

—	Asset backed

—

Other

—

Cash

—	Receivables

—	Reinsurance and derivatives

—	Credit insurance

—	Off BS and other

—

Total

C0040/R0530-R0640

Credit Risk Contribution

Contribution to the credit SCR (in reporting currency) incl. diversification, i.e. the sum of entries in this column gives the credit risk SCR.

Contribution split by asset class:

—	Bond and loans

—	Covered bonds

—	Sovereign bonds

—

Mortgages

—	Asset backed

—

Other

—

Cash

—	Receivables

—	Reinsurance and derivatives

—	Credit insurance

—	Off BS and other

—

Total

C0050/R0530-R0630

Average Probability of Default (in %)

Average 1Y probability of default in % for the assets as sorted in the asset class split:

—	Bond and loans

—	Covered bonds

—	Sovereign bonds

—

Mortgages

—	Asset backed

—

Other

—

Cash

—	Receivables

—	Reinsurance and derivatives

—	Credit insurance

—	Off BS and other

C0060/R0530-R0630

Average Loss Given Default (in %)

Average loss given default in % for the assets as sorted in the asset class split:

—	Bond and loans

—	Covered bonds

—	Sovereign bonds

—

Mortgages

—	Asset backed

—

Other

—

Cash

—	Receivables

—	Reinsurance and derivatives

—	Credit insurance

—	Off BS and other

C0070/R0530-R0640

Market value (% of total sum)

Share of the market value (in %) relative to the total sum of market values of exposures to credit event risk split by asset classes

—	Bond and loans

—	Covered bonds

—	Sovereign bonds

—

Mortgages

—	Asset backed

—

Other

—

Cash

—	Receivables

—	Reinsurance and derivatives

—	Credit insurance

—	Off BS and other

—

Total

C0080/R0530-R0640

Credit Risk Contribution (% of total sum)

Share of the credit risk contribution (in %) relative to the total credit risk SCR split by asset classes

—	Bond and loans

—	Covered bonds

—	Sovereign bonds

—

Mortgages

—	Asset backed

—

Other

—

Cash

—	Receivables

—	Reinsurance and derivatives

—	Credit insurance

—	Off BS and other

—

Total

Split by credit quality step (CQS)

C0020/R0650-R0730

Market value

Market value in reporting currency according to the valuation used for solvency purposes split by credit quality step

—

C0030/R0650-R0730

Exposure at default

—	Exposure at default in reporting currency split by credit quality step.

C0040/R0650-R0730

Credit Risk Contribution

Contribution to the credit SCR (in reporting currency) incl. diversification, i.e. the sum of entries in this column gives the credit risk SCR.

—

C0050/R0650-R0720

Average Probability of Default (in %)

Average 1Y probability of default in % for the assets as sorted in the credit quality steps.

C0060/R0650-R0720

Average Loss Given Default (in %)

Average loss given default in % for the assets as sorted in the credit quality steps.

C0070/R0650-R0730

Market value (% of total sum)

Share of the market value (in %) relative to the total sum of market values of exposures to credit event risk split by credit quality step.

C0080/R0650-R0730

Credit Risk Contribution (% of total sum)

Share of the credit risk contribution (in %) relative to the total credit risk SCR split by credit quality step.

C0100/R0740

Credit event risk (‘migration and default’) – 99,5 %

This is the total amount of the capital charge for credit event risk (‘migration and default’) for 99,5 % quantile.

C0100/R0750

Expected loss – mean

This is the total amount of mean of the probability distribution of expected loss for credit event risk (‘migration and default’).

S.26.11 – Internal model: Credit risk – details for financial instruments

General comments:

This section relates to the annual submission of information for groups.

CODE	ITEM	INSTRUCTIONS
Exposure at Default
C0010-C0090/R0010	Overall Exposure at Default	Exposure at Default for different Credit Quality Steps.
C0010-C0090/R0020-R0080	Exposure at Default breakdown	Amount of Exposure at Default for different asset classes and different Credit Quality Steps.
Probability of Default – weighted average where the weight is Exposure at Default
R0100	Overall Probability of Default	Probability of Default for different Credit Quality Steps.
C0010-C0090/R0110-R0170	Probability of Default breakdown	Probability of Default for different asset classes and different Credit Quality Steps.
C0100/R0180	Other description	Summary of content of Other category referred in rows R0080 and R0170 so materiality can be judged.
Solvency Capital Requirements
C0110/R0190	Total undiversified credit risk	This is the total amount of the capital charge for credit risk before any diversification effects.
C0110/R0200	Diversification: credit risk	This is the amount of gross diversification effects allowed in aggregation of capital requirements for credit risk. This amount should be reported as a negative value.
C0110/R0210	Diversified risk: credit risk	This is the total amount of the capital charge for credit risk.

S.26.12 – Internal model: Credit risk – for non-financial instruments

General comments:

This section relates to the annual submission of information for groups.

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 the annual submission of information for groups.

This template collects information on Non-Life and Health NSLT underwriting risk in the following different risk granularities gross and net of reinsurance (1):

—	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).

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.

C0090

Internal Line of Business

Reserve risk gross/net of reinsurance for each internal LoB.

R0070

Provision for claims outstanding – discounted

The best estimate of claims (gross of reinsurance) that have not been settled. It includes all claims not yet settled, reported and not reported. Based on Article 77 Solvency II Directive, the best estimate corresponds to the probability-weighted average of future cash-flows, taking account of the time value of money (expected present value of future cash-flows), using the relevant risk-free interest rate term structure.

R0080

Premium Provision – discounted (only if premium provision allocated to reserve risk)

The discounted sum of future cash flows that comprise the premium provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance regarding direct and accepted business. This cell should be filled in if the premium provision at the reporting reference date is allocated to reserve risk.

R0090

Solvency Capital Requirement

This is the amount of funds that insurance and reinsurance groups need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoB and aggregate level based on gross of reinsurance data.

This cell represents the stand-alone risk of the respective granularity with the approved risk measure of the Internal Model.

R0100

Simulated (output) mean

This is the mean of the profit and loss distribution forecast according to the approved model setup, i.e. as relevant for the calculation of the official SCR. It is the output obtained based on the simulation process (gross of reinsurance and on an undiscounted basis)

R0110

Simulated (output) standard deviation

This is the standard deviation of the probability distribution of the future cash out-flows (Combined ratio styled) relating to claims events on a one-year time horizon basis as at the reporting reference date. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis).

R0120-R0330

Percentiles from 0,001 to 0,999

The undertaking is expected to indicate the amounts of the percentiles required in the table related to the probability distribution of the future cash out-flows relating to claims events on a one-year time horizon basis as at the reporting reference date obtained based on the simulation process (gross of reinsurance and on a discounted basis).

If the risk measure definition is in line with the risk measure definition of Article 101 of the Solvency II Directive, the 99.5 percentile will differ by the Simulated (output) mean from the SCR.

Net Reserve risk model data

R0340

Provision for claims outstanding – discounted

The best estimate of claims (net of reinsurance recoverables) that have not been settled. It includes all claims not yet settled, reported and not reported. Based on Article 77 Solvency II Directive, the best estimate corresponds to the probability-weighted average of future cash-flows, taking account of the time value of money (expected present value of future cash-flows), using the relevant risk-free interest rate term structure.

R0350

Premium Provision – discounted (only if premium provision allocated to reserve risk)

The discounted sum of future cash flows that comprise the premium provisions net of reinsurance recoverables. This cell should be filled in if the premium provision at the reporting reference date is allocated to reserve risk.

R0360

Solvency Capital Requirement

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.

C0120

Internal Line of Business

Premium risk gross/net of reinsurance for each internal LoB.

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)

R0660

Solvency Capital Requirement

This is the amount of funds that insurance and reinsurance groups need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoBs and aggregate level based on gross of reinsurance data.

R0670

Simulated (output) mean

This is the mean loss ratio of the probability distribution. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis).

R0680

Simulated (output) standard deviation

This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis).

R0690-R0900

Percentiles from 0,001 to 0,999

The undertaking is expected to indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (gross of reinsurance and on a discounted basis).

Net Premium risk model data

R0910

Net Written Premium

Net premiums written shall comprise all amounts due during the financial year in respect of insurance contracts, arising from direct business, regardless of the fact that such amounts may relate in whole or in part to a later financial year.

R0920

Net Earned Premium

It is the sum of net premiums written minus the change in the net provision for unearned premiums related to insurance direct business.

R0930

Net written premium planned in the 12 months post the Reference Date

Net premium planned to be written within the 12 months following the reporting reference date via binder agreements either signed before or after the reference date.

R0940

Net written unearned premium at the Reference Date (only if premium provision allocated to premium risk)

Written unearned premium net of reinsurance. This cell should be filled in if the premium provision at the reporting reference date is allocated to premium risk.

R0950

Premium Provision – discounted (only if premium provision allocated to premium risk)

R0960

Solvency Capital Requirement

This is the amount of funds that insurance and reinsurance groups need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoBs and aggregate level based on net of reinsurance data.

R0970

Simulated (output) mean

This is the mean of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on a discounted basis).

R0980

Simulated standard deviation

This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on a discounted basis).

R0990-R1200

Percentiles from 0,001 to 0,999

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

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

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.

C0410/R1960-R1990

Gross Annual Premium – Reinsurance

The insurance or reinsurance undertaking is expected to split their gross annual written premium for reinsurance by geographical region. Geographical regions to be used are Europe, North America and Rest of World. Any unallocated premium should be put in the Unallocated bucket.

C0420/R1960-R1990

Total Sum Insured – Reinsurance

The insurance or reinsurance undertaking is expected to split their total sum insured for reinsurance by geographical region. Geographical regions to be used are Europe, North America and Rest of World. Any unallocated premium should be put in the Unallocated bucket.

SPLIT OF PREMIUM INCOME

C0430/R2000

Direct insurance

Premium income (gross allocated written premium forecasted for the next 12 months as used in the model) for the insurance or reinsurance undertaking direct business.

C0430/R2010

Reinsurance

Premium income (gross allocated written premium forecasted for the next 12 months as used in the model) for the insurance or reinsurance undertaking reinsurance business.

C0430/R2020

Retrocession

Premium income (gross allocated written premium forecasted for the next 12 months as used in the model) for the insurance or reinsurance undertaking retrocession.

SIGNIFICANT OTHER PERILS

C0440/R2030

Significant other perils

The insurance or reinsurance undertaking should here indicate if their business contains other significant perils not included in the NatCat or Man-made perils above with a Yes, otherwise this cell should contain a No.

C0440/R2040

Description of other perils

If the above cell is Yes the insurance or reinsurance undertaking should provide here a text description of those other significant peril(s).

CATASTROPHE SCR AGGREGATION – Reported net of reinsurance

C0450/R2050

Total undiversified NatCat risk

Sum of separate SCR for all NatCat risk perils.

C0450/R2060

Diversification between NatCat perils

Diversification effect on SCR between NatCat perils. Calculated as SCR for NatCat risk perils – Sum of separate SCR for all NatCat risk perils.

C0450/R2070

Total undiversified man-made risk

Sum of SCR for all Man-made risk perils.

C0450/R2080

Diversification between man-made perils

Diversification effect on SCR between Man-made perils. Calculated as SCR for Man-made risk perils – Sum of separate SCR for all Man-made risk perils.

C0450/R2090

Other non-life catastrophe risk

SCR for other non-life Catastrophe risk.

C0450/R2100

Diversification between other non-life catastrophe perils

Diversification effect on SCR between Other perils. Calculated as SCR for Other risk perils – Sum of separate SCR for all Other risk perils.

C0450/R2110

Non-life catastrophe risk – total diversification

Diversification effect on SCR between NatCat, Man-made and Other perils. Calculated as SCR for Catastrophe risk – SCR for NatCat risk perils – SCR for all Man-made risk perils -SCR for all Other risk perils.

C0450/R2120

Total Non-life catastrophe risk – diversified

SCR for Catastrophe risk.

S.26.14 – Internal model: Life and Health underwriting risk

General comments:

This section relates to the annual submission of information for groups.

In this template, the results of internal models for Life and Health SLT underwriting risk are reported. If insurers also integrate Health NSLT underwriting risk in the Life + Health SLT underwriting risk model structure, the results of the Health NSLT model should also be reported in this template.

Depending on the structure of Life and Health SLT underwriting risk modelling, one of the two blocks for longevity and mortality risk should be used. If the internal model structure is such that Mortality and Longevity risks are modelled together, then for these risks only R0270 where these risks are combined, shall be reported.

In general, if cells cannot be sensibly reported an alternative should be selected. For example, if an undertaking cannot separate trend, level or volatility modelling within a submodule, then information should be provided at the corresponding aggregate level.

CODE

ITEM

INSTRUCTIONS

OPTION 1 – LIFE RISK

C0010/R0010, R0060, R0250, 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’).

C0050/R0010, R0060, R0110, R0250, R0270

Net Written Premiums

The total of the written premiums net of reinsurance shall be reported for the products of the life insurance portfolio that are sensitive to the relevant risk category.

C0060/R0010, R0060, R0110, R0250, R0270

Sum insured

The total sum insured shall be reported for the products of the life insurance portfolio that are sensitive to the relevant risk category.

C0070/R0010-R0270

Solvency Capital Requirements

The SCR for the relevant risk category, net of reinsurance.

The following explanations apply for C0070 – C0260:

For the aggregate risks, the SCR after aggregation over the underlying sub-risks should be reported.

For lapse risk the following applies:

—	‘Lapse’ covers exercising contractual options in a general sense.

—	Risk of increase in lapse rates (R0170) and decrease of lapse rates (R0180) are lapse risks other than mass lapse risk, where R0170 (R0180) covers the part of the business leading to a loss if lapse rates increase (decrease) as defined in the internal model.

—	Risk of mass lapse (R0190) is risk of accumulation or catastrophe risk for lapse as defined in the internal model.

—

‘Lapse type split (other than mass lapse)’ covers non-mass lapse risk if a split in increase/decrease is not available and offers a split in three rough categories: ‘full surrender’, i.e. termination of the contract, ‘partial surrender’ and ‘other’ exercising of contractual options or ‘Policyholder behaviour’.

C0080/R0010-R0270

Mean

The mean of the probability distribution of the net SCR

C0090/R0010-R0270

Standard deviation

The Standard deviation of the probability distribution of the net SCR

C0100-C0310/R0010-R0270

Percentiles from 0,001 to 0,999

It is expected that the insurance and reinsurance undertakings indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on discounted basis).

OPTION 2 – LIFE 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

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.

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

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

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

SOLVENCY CAPITAL REQUIREMENTS

C0320/R0610

Total undiversified risk: Life underwriting,

Health underwriting, Life and Health underwriting

The sum of all (sub-) SCRs.

For lapse, please choose the sum as appropriate to the splits presented on the most granular level.

Examples: (1) If lapse increase and lapse decrease and mass lapse are available please sum up these. Irrespectively if the lapse split is additionally available. (2) If mass lapse and lapse split are available and also lapse split sublevels, please take the sum of mass lapse and lapse split. If only sublevels of lapse split are available, please chose those.

C0320/R0620

Diversification:

Life underwriting,

Health underwriting, Life and Health underwriting

The diversification between the sub risks.

This amount should be reported as a negative value.

C0320/R0630

Diversified risk:

Life underwriting,

Health underwriting, Life and Health underwriting

The aggregated SCR Life and Health risk after aggregating all sub risks.

S.26.15 – Internal model: Operational risk

General comments:

This section relates to the annual submission of information for groups.

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

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

C0020

Scenario name

This table should be completed by all groups, also in the cases where the undertaking answers ‘No’ to ‘C0010/R0010’ and/or ‘C0010/R0020’, with the names of the internal scenarios used for Operational risk calculations by the internal model.

C0030

Unique ID

This is a unique ID of the internal scenario. This should be consistent across different reporting periods. This is a numeric field.

C0040

Unique ID of parent level.

This is a unique ID of the immediate parent internal scenario. This should be consistent across different reporting periods. This is a numeric field.

C0050

Basel L1 classification mapping

For completion by undertakings which answer ‘Yes’ in C0010/R0010 or the mapping to Basel L1 exists. Field should be empty if the scenario is higher than level 2 in the classification.

One of the options in the following closed list shall be used:

1.	Internal 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

Lognormal

3.	Poisson-Pareto

Empirical

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 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 the annual submission of information for groups.

The purpose of this template is to collect information on the characteristics of the changes to the model according to the approved model change policy and on how the SCR has moved in an annual reporting period due to these changes, that were implemented in that period. This period may be different from the one determined by the model change policy on the accumulation of minor changes, for instance.

Minor changes to the model should not be double counted within or across reporting periods. Therefore, if a major change includes minor changes or is the accumulation of minor changes, then either:

—	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

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

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

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

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

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

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

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

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. (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 the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.

Template S.27.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.

Template SR.27.01 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).

This template is designed to allow an understanding of how the catastrophe risk module of the SCR has been calculated and what are the main drivers.

For every type of catastrophe risk the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles must be determined. This calculation is prospective and must be based on the reinsurance program of the next reporting year as described in the reinsurance templates for Facultative covers (S.30.01 and S.30.02 of Annex II) and Outgoing reinsurance program in the next reporting year (S.30.03 and S.30.04 of Annex II).

Undertakings need to estimate their recoveries from risk mitigation in line with the Directive 2009/138/EC, Delegated Regulation (EU) 2015/35 and any relevant technical standard. Undertakings shall complete the catastrophe reporting template only to the granularity required to perform this calculation.

Under the non–life and health underwriting risk modules, catastrophe risk is defined as the risk of loss, or of adverse change in the value of insurance liabilities, resulting from significant uncertainty of pricing and provisioning assumptions related to extreme or exceptional events as set out in Article 105(2)(b) and (4)(c) of Directive 2009/138/EC.

The reported capital requirements reflects the capital requirements before and after risk mitigation which is the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles. The reported capital requirement after risk mitigation is before the loss absorbing capacity of technical provisions. The default value of the risk mitigation shall be reported as a positive value in order to be deducted.

In case the diversification effect reduces the capital requirement the default value of the diversification shall be reported as a negative value.

For group reporting the following specific requirements shall be met:

a)	This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;

b)	When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;

c)	This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.

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

R0001/C0001

Simplifications used – fire risk

Identify whether an undertaking within the scope of group for the SCR calculation used simplifications for the calculation of fire risk. The following options shall be used:

1 – Simplifications for the purposes of Article 90c

9 – Simplifications not used

Where R0001/C0001 = 1, only C0880 shall be filled in for R2600.

R0002/C0001

Simplifications used – natural catastrophe risk

Identify whether an undertaking within the scope of group for the SCR calculation used simplifications for the calculation of natural catastrophe risk. The following options shall be used:

1 – Simplification for the purposes of Article 90b 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 group’s specific reinsurance contracts and special purpose vehicles arising from all natural catastrophe perils and taking into consideration the diversification effect between the perils given in C0020/R0070.

C0020/R0020–R0060

Total risk mitigation – Natural catastrophe risk perils

This is the total risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles per natural catastrophe peril.

C0020/R0070

Total risk mitigation – Diversification between perils

C0030/R0010

SCR after risk mitigation – Natural catastrophe risk

This is the total catastrophe risk after risk mitigation arising from all natural catastrophe perils and taking into consideration the diversification effect between the perils given in C0030/R0070.

C0030/R0020–R0060

SCR after risk mitigation – Natural catastrophe risk perils

This is the total capital requirement after risk mitigation per natural catastrophe peril, taking into consideration the diversification effect between zones and regions.

Per natural peril this amount is equal to the Catastrophe Risk Charge after risk mitigation.

C0030/R0070

SCR after risk mitigation – Diversification between perils

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different natural catastrophe perils.

C0010/R0080

SCR before risk mitigation – Catastrophe risk non–proportional property reinsurance

This is the total catastrophe risk before risk mitigation arising from non–proportional property reinsurance.

C0020/R0080

Total risk mitigation – Catastrophe risk non–proportional property reinsurance

This is the total risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles for non–proportional property reinsurance.

C0030/R0080

SCR after risk mitigation – Catastrophe risk non–proportional property reinsurance

This is the total catastrophe risk after risk mitigation arising from non–proportional property reinsurance.

C0010/R0090

SCR before risk mitigation – Man–made catastrophe risk

This is the total catastrophe risk before risk mitigation arising from all man–made perils and taking into consideration the diversification effect between the perils given in C0010/R0160.

C0010/R0100–R0150

SCR before risk mitigation – Man–made catastrophe risk perils

This is the total capital requirement before risk mitigation per man–made peril, taking into consideration the diversification effect between sub–perils.

Per man–made peril this amount is equal to the Catastrophe Risk Charge before risk mitigation.

C0010/R0160

SCR before risk mitigation – Diversification between perils

Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different man–made perils.

C0020/R0090

Total risk mitigation – Man–made catastrophe risk

This is the total risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles arising from all man–made perils and taking into consideration the diversification effect between the perils given in C0020/R0160.

C0020/R0100–R0150

Total risk mitigation – Man–made catastrophe risk perils

This is the total risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles per man–made catastrophe peril.

C0020/R0160

Total risk mitigation – Diversification between perils

Diversification effect arising from the aggregation of the risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to different man–made perils.

C0030/R0090

SCR after risk mitigation – Man–made catastrophe risk

This is the total catastrophe risk after risk mitigation arising from all man–made catastrophe perils and taking into consideration the diversification effect between the perils given in C0030/R0160.

C0030/R0100–R0150

SCR after risk mitigation – Man–made catastrophe risk perils

This is the total capital requirement after risk mitigation per man–made catastrophe peril, taking into consideration the diversification effect between sub–perils.

Per man–made peril this amount is equal to the Catastrophe Risk Charge after risk mitigation.

C0030/R0160

SCR after risk mitigation – Diversification between perils

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different man–made catastrophe perils.

C0010/R0170

SCR before risk mitigation – Other non–life catastrophe risk

This is the total catastrophe risk before risk mitigation arising from all ‘other non–life’ perils and taking into consideration the diversification effect between the perils given in C0010/R0180.

C0010/R0180

SCR before risk mitigation – Diversification between perils

Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different ‘other non–life’ perils.

C0020/R0170

Total risk mitigation – Other non–life catastrophe risk

This is the total risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles arising from all ‘other non–life’ perils and taking into consideration the diversification effect between the perils given in C0020/R0180.

C0020/R0180

Total risk mitigation – Diversification between perils

C0030/R0170

SCR after risk mitigation – Other non–life catastrophe risk

This is the total catastrophe risk after risk mitigation arising from all ‘other non–life’ catastrophe perils and taking into consideration the diversification effect between the perils given in C0030/R0180.

C0030/R0180

SCR after risk mitigation – Diversification between perils

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different ‘other non–life’ catastrophe perils.

C0010/R0190

SCR before risk mitigation – Total Non–life catastrophe risk before diversification

This is the total catastrophe risk before risk mitigation arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks) before the diversification effect between the sub–modules.

C0010/R0200

SCR before risk mitigation – Diversification between sub–modules

Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks).

C0010/R0210

SCR before risk mitigation – Total Non–life catastrophe risk after diversification

This is the total catastrophe risk before risk mitigation arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), taking into consideration the diversification effect between the sub–modules given in C0010/R0200.

C0020/R0190

Total risk mitigation – Total Non–life catastrophe risk before diversification

This is the total risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), before the diversification effect between the sub–modules.

C0020/R0200

Total risk mitigation – Diversification between sub–modules

Diversification effect arising from the aggregation of the risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to different sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks).

C0020/R0210

Total risk mitigation – Total Non–life catastrophe risk after diversification

This is the total risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), taking into consideration the diversification effect between the sub–modules given in C0020/R0200.

C0030/R0190

SCR after risk mitigation – Total Non–life catastrophe risk before diversification

This is the total catastrophe risk after risk mitigation arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), before the diversification effect between the sub–modules.

C0030/R0200

SCR after risk mitigation – Diversification between sub–modules

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks).

C0030/R0210

SCR after risk mitigation – Total Non–life catastrophe risk after diversification

This is the total catastrophe risk after risk mitigation arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), taking into consideration the diversification effect between the sub–modules given in item C0030/R0200.

Health catastrophe risk – Summary

C0010/R0300

SCR before risk mitigation – Health catastrophe risk

This is the total catastrophe risk before risk mitigation arising from all Health catastrophe risk sub–modules and taking into consideration the diversification effect between the sub–modules given in C0010/R0340.

C0010/R0310–R0330

SCR before risk mitigation – Health catastrophe risk sub–modules

This is the total capital requirement before risk mitigation per Health catastrophe risk sub–modules, taking into consideration the diversification effect between the countries.

Per Health catastrophe risk sub–module this amount is equal to the Catastrophe Risk Charge before risk mitigation.

C0010/R0340

SCR before risk mitigation – Diversification between sub–modules

Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different Health catastrophe risk sub–modules.

C0020/R0300

Total risk mitigation – Health catastrophe risk

This is the total risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles arising from all Health catastrophe risk sub–modules and taking into consideration the diversification effect between the sub–modules given in C0020/R0340.

C0020/R0310–R0330

Total risk mitigation – Health catastrophe risk sub–modules

This is the total risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles per Health catastrophe risk sub–module.

C0020/R0340

Total risk mitigation – Diversification between sub–modules

C0030/R0300

SCR after risk mitigation – Health catastrophe risk

This is the total catastrophe risk after risk mitigation arising from all Health catastrophe risk sub–modules and taking into consideration the diversification effect between the sub–modules given in C0030/R0340.

C0030/R0310–R0330

SCR after risk mitigation – Health catastrophe risk sub–modules

This is the total capital requirement after risk mitigation per Health catastrophe risk sub–module, taking into consideration the diversification effect between countries.

Per Health catastrophe risk sub–module this amount is equal to the Catastrophe Risk Charge after risk mitigation.

C0030/R0340

SCR after risk mitigation – Diversification between sub–modules

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different Health catastrophe risk sub–modules.

Non–life catastrophe risk

Natural catastrophe risk – Windstorm

C0040/R0610–R0780

Estimation of the gross premium to be earned – Other Regions

An estimate of the premiums to be earned by the insurance or reinsurance group, during the following year in relation to the 14 regions other than the specified regions(include regions as specified in Annex III, except the ones specified in Annex V or in Annex XIII of Delegated Regulation (EU) 2015/35), for the contract in relation to the obligations of lines of business fire and other damage covering windstorm risk, including the proportional reinsurance obligations and marine, aviation and transport insurance covering onshore property damage by windstorm, including the proportional reinsurance obligations.

Premiums shall be gross, without deduction of premiums for reinsurance contracts.

C0040/R0790

Estimation of the gross premium to be earned – Total Windstorm Other Regions before diversifications

Total of the estimate of the premiums to be earned by the insurance or reinsurance group before diversification, during the following year for the other 14 regions other than the specified regions.

C0050/R0400–R0590

Exposure —specified Region

The sum of the total insured per each of the 23 specified regions for lines of business:

Fire and other damage, including the proportional reinsurance obligations, in relation to contracts that cover windstorm risk and where the risk is situated in this particular specified region; 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 group’s specific reinsurance contracts and special purpose vehicles relating to this peril, shall be taken into account.

C0090/R0400–R0590

Catastrophe Risk Charge before risk mitigation —specified Region

Capital requirement before risk mitigation arising from Windstorm for each of the 23 specified Regions corresponding to the larger of scenario A or B.

C0090/R0600

Catastrophe Risk Charge before risk mitigation – Total Windstorm specified Regions before diversification

Total of the capital requirement before risk mitigation arising from Windstorm for the 23 specified regions.

C0090/R0790

Catastrophe Risk Charge before risk mitigation – Total Windstorm Other Regions before diversifications

The capital requirement before risk mitigation for Windstorm risk in regions other than the specified Regions. It is the amount of the instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles.

C0090/R0800

Catastrophe Risk Charge before risk mitigation – Total Windstorm all Regions before diversification

Total of the capital requirement before risk mitigation arising from Windstorm for all regions.

C0090/R0810

Catastrophe Risk Charge before risk mitigation – Diversification effect between regions

Diversification effect arising from the aggregation of the Windstorm risks relating to the different regions (both specified Regions and ‘other regions’)

C0090/R0820

Catastrophe Risk Charge before risk mitigation – Total Windstorm after diversification

This is the total capital requirement before risk mitigation for Windstorm risk, taking into consideration the diversification effect reported in item C0090/R0810.

C0100/R0400–R0590

Estimated Risk Mitigation —specified Region

Per each of the 23 specified Regions, the estimated risk mitigation effect, corresponding to the selected scenario, of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums.

C0100/R0600

Estimated Risk Mitigation – Total Windstorm specified Regions before diversification

Total of the estimated risk mitigation arising from Windstorm for the 23 specified regions.

C0100/R0790

Estimated Risk Mitigation – Total Windstorm Other Regions before diversifications

For all the regions other the specified Regions, the estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums.

C0100/R0800

Estimated Risk Mitigation – Total Windstorm all Regions before diversification

Total of the estimated risk mitigation arising from Windstorm for all regions.

C0110/R0400–R0590

Estimated Reinstatement Premiums —specified Region

For each of the 23 specified Regions, the estimated reinstatement premiums, corresponding to the selected scenario, as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril.

C0110/R0600

Estimated Reinstatement Premiums – Total Windstorm specified Regions before diversification

Total of the estimated reinstatement premiums for the 23 specified regions.

C0110/R0790

Estimated Reinstatement Premiums – Total Windstorm Other Regions before diversifications

For all the regions other than the specified Regions, the estimated reinstatement premiums, as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril.

C0110/R0800

Estimated Reinstatement Premiums – Total Windstorm all Regions before diversification

Total of the estimated reinstatement premiums for all regions.

C0120/R0400–R0590

Catastrophe Risk Charge after risk mitigation —specified Region

Capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Windstorms in each of the specified regions, corresponding to the selected scenario.

C0120/R0600

Catastrophe Risk Charge after risk mitigation – Total Windstorm specified Regions before diversification

Total of the capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles for the 23 specified regions.

C0120/R0790

Catastrophe Risk Charge after risk mitigation – Total Windstorm Other Regions before diversifications

Capital requirement after risk mitigation for Windstorm risk in regions other than the specified Regions. It is the amount of the instantaneous loss, including the deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles.

C0120/R0800

Catastrophe Risk Charge after risk mitigation – Total Windstorm all Regions before diversification

Total of the capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles for all regions.

C0120/R0810

Catastrophe Risk Charge after risk mitigation – Diversification effect between regions

Diversification effect arising from the aggregation of the capital requirement after risk mitigations for Windstorm risks relating to the different regions (both specified Regions and ‘other regions’).

C0120/R0820

Catastrophe Risk Charge after risk mitigation – Total Windstorm after diversification

This is the total capital requirement after risk mitigation for Windstorm risk, taking into consideration the diversification effect given in item C0120/R0810.

Natural catastrophe risk – Earthquake

C0130/R1040–R1210

Estimation of the gross premium to be earned – Other Regions

An estimate of the premiums to be earned by the insurance or reinsurance group, during the following year in relation to each of the 14 regions other than the specified Regions(include regions as specified in Annex III, except the ones specified in Annex V or in Annex XIII of Delegated Regulation (EU) 2015/35), for the contract in relation to the obligations of lines of business:

Fire and other damage covering earthquake risk, including the proportional reinsurance obligations; 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 group, during the following year for the other regions.

C0140/R0830–R1020

Exposure —specified Region

The sum of the total insured per each of the 20 specified regions for the lines of business:

Fire and other damage, including the proportional reinsurance obligations, in relation to contracts that cover Earthquake risk and where the risk is situated in this particular specified region; 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 group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums.

C0180/R1030

Estimated Risk Mitigation – Total Earthquake specified Regions before diversification

Total of the estimated Risk Mitigation for the 20 specified regions.

C0180/R1220

Estimated Risk Mitigation – Total Earthquake – Other Regions before diversification

For all the regions other than the specified Regions, the estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums.

C0180/R1230

Estimated Risk Mitigation – Total Earthquake – All Regions before diversification

Total of the estimated Risk Mitigation for all regions.

C0190/R0830–R1020

Estimated Reinstatement Premiums —specified Region

Per each of the 20 specified Regions the estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril.

C0190/R1030

Estimated Reinstatement Premiums – Total Earthquake specified Regions before diversification

Total of the estimated reinstatement premiums for the 20 specified regions.

C0190/R1220

Estimated Reinstatement Premiums – Total Earthquake – Other Regions before diversification

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

C0200/R1030

Catastrophe Risk Charge after risk mitigation – Total Earthquake specified Regions before diversification

Total of the capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Earthquake for the 20 specified regions.

C0200/R1220

Catastrophe Risk Charge after risk mitigation – Total Earthquake – Other Regions before diversification

Capital requirement after risk mitigation for Earthquake risk in regions other than the specified Regions. It is the amount of the instantaneous loss, including the deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles.

C0200/R1230

Catastrophe Risk Charge after risk mitigation – Total Earthquake – All Regions before diversification

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

Fire and other damage covering flood risk, including the proportional reinsurance obligations;

Marine, aviation and transport insurance covering onshore property damage by flood, including the proportional reinsurance obligations;

Other motor insurance, including the proportional reinsurance obligations.

Premiums shall be gross, without deduction of premiums for reinsurance contracts.

C0210/R1590

Estimation of the gross premium to be earned – Total Flood Other Regions before diversification

Total of the estimate of the premiums to be earned, by the insurance or reinsurance group, during the following year for the other regions.

C0220/R1260–R1390

Exposure —specified Region

The sum of the total insured per each of the 14 specified regions of lines of business:

Fire and other damage, including the proportional reinsurance obligations, in relation to contracts that cover Flood risk and where the risk is situated in this particular specified region;

Marine, aviation and transport insurance, including the proportional reinsurance obligations, in relation to contracts that cover onshore property damage by Flood and where the risk is situated in this particular specified region; 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.

C0260/R1260–R1390

Catastrophe Risk Charge before risk mitigation —specified Region

Capital requirement before risk mitigation arising from Floods in each of the 14 specified Regions, corresponding to the larger of scenario A or B.

C0260/1400

Catastrophe Risk Charge before risk mitigation – Total Flood specified Regions before diversification

Total of the capital requirement before risk mitigation arising from Floods for the 14 specified regions.

C0260/R1590

Catastrophe Risk Charge before risk mitigation – Total Flood Other Regions before diversification

The capital requirement before risk mitigation for Flood risk in regions other than the specified Regions. It is the amount of the instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles.

C0260/R1600

Catastrophe Risk Charge before risk mitigation – Total Flood All Regions before diversification

Total of the capital requirement before risk mitigation arising from Floods for all regions.

C0260/R1610

Catastrophe Risk Charge before risk mitigation – Diversification effect between regions

Diversification effect arising from the aggregation of the Flood risks relating to the different regions (both specified Regions and Other regions).

C0260/R1620

Catastrophe Risk Charge before risk mitigation – Total Flood after diversification

This is the total capital requirement before risk mitigation for Flood risk, taking into consideration the diversification effect given in C0260/R1610.

C0270/R1260–R1390

Estimated Risk Mitigation —specified Region

Per each of the 14 specified Regions the estimated risk mitigation effect, corresponding to the selected scenario, of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums.

C0270/R1400

Estimated Risk Mitigation – Total Flood specified Regions before diversification

Total of the estimated Risk Mitigation for the 14 specified regions.

C0270/R1590

Estimated Risk Mitigation – Total Flood Other Regions before diversification

C0270/R1600

Estimated Risk Mitigation – Total Flood All Regions before diversification

Total of the estimated Risk Mitigation for all regions.

C0280/R1260–R1390

Estimated Reinstatement Premiums —specified Region

Per each of the 14 specified Regions the estimated reinstatement premiums, corresponding to the selected scenario, as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril.

C0280/R1400

Estimated Reinstatement Premiums – Total Flood —specified Regions before diversification

Total of the estimated reinstatement premiums for the 14 specified regions.

C0280/R1590

Estimated Reinstatement Premiums – Total Flood – Other Regions before diversification

C0280/R1600

Estimated Reinstatement Premiums – Total Flood – All Regions before diversification

Total of the estimated reinstatement premiums for all regions.

C0290/R1260–R1390

Catastrophe Risk Charge after risk mitigation —specified Region

Capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Flood in each of the 14 specified regions, corresponding to the selected scenario.

C0290/R1400

Catastrophe Risk Charge after risk mitigation – Total Flood —specified Regions before diversification

Total of the capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles for the 14 specified regions.

C0290/R1590

Catastrophe Risk Charge after risk mitigation – Total Flood – Other Regions before diversification

Capital requirement after risk mitigation for Flood risk in regions other than the specified Regions. It is the amount of the instantaneous loss, including the deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles.

C0290/R1600

Catastrophe Risk Charge after risk mitigation – Total Flood – All Regions before diversification

Total of the capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles all regions.

C0290/R1610

Catastrophe Risk Charge after risk mitigation – Diversification effect between regions

Diversification effect arising from the aggregation of the capital requirement after risk mitigations for Flood risks relating to the different regions (both specified Regions and Other regions).

C0290/R1620

Catastrophe Risk Charge after risk mitigation – Total Flood after diversification

This is the total capital requirement after risk mitigation for Flood risk, taking into consideration the diversification effect given in C0290/R1610.

Natural catastrophe risk – Hail

C0300/R1730–R1900

Estimation of the gross premium to be earned – Other Regions

An estimate of the premiums to be earned by the insurance or reinsurance group, during the following year and in relation to each of the 9 regions other than the specified Regions(include regions as specified in Annex III, except the ones specified in Annex V or in Annex XIII of Delegated Regulation (EU) 2015/35), for the contract in relation to the obligations of lines of business:

Fire and other damage covering hail risk, including the proportional reinsurance obligations;

Marine, aviation and transport insurance covering onshore property damage by hail, including the proportional reinsurance obligations; 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 group, during the following year for the other regions.

C0310/R1630–R1710

Exposure —specified Region

The sum of the total insured per each of the 11 specified regions for lines of business:

Fire and other damage, including the proportional reinsurance obligations, in relation to contracts that cover Hail risk and where the risk is situated in this particular specified region;

Marine, aviation and transport insurance, including the proportional reinsurance obligations, in relation to contracts that cover onshore property damage by Hail and where the risk is situated in this particular specified region; 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 11 specified regions, taking into consideration the effect of diversification effect between zones.

C0320/R1720

Specified Gross Loss – Total Hail specified Regions before diversification

Total of the specified gross Hail loss for the 11 specified regions.

C0330/R1630–R1710

Catastrophe Risk Charge Factor before risk mitigation —specified Region

The Risk Charge Factor per each of the 9 specified regions for Hail according to the Standard Formula, taking into consideration the effect of diversification effect between zones.

C0330/R1720

Catastrophe Risk Charge Factor before risk mitigation – Total Hail specified Regions before diversification

Ratio between total specified gross loss and total exposure.

C0340/R1630–R1710

Scenario A or B —specified Region

The larger of the capital requirement for Hail risk in each of the 11 specified regions according to scenario A or scenario B.

C0350/R1630–R1710

Catastrophe Risk Charge before risk mitigation – specified Region

Capital requirement before risk mitigation arising from Hails in each of the 11 specified Regions corresponding to the larger of scenario A or B.

C0350/R1720

Catastrophe Risk Charge before risk mitigation – Total Hail specified Regions before diversification

Total of the capital requirement before risk mitigation arising from Hails for the 11 specified regions.

C0350/R1910

Catastrophe Risk Charge before risk mitigation – Total Hail Other Regions before diversification

The capital requirement before risk mitigation for Hail risk in regions other than the specified Regions. It is the amount of the instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles.

C0350/R1920

Catastrophe Risk Charge before risk mitigation – Total Hail All Regions before diversification

Total of the capital requirement before risk mitigation arising from Hails for all regions.

C0350/R1930

Catastrophe Risk Charge before risk mitigation – Diversification effect between regions

Diversification effect arising from the aggregation of the Hail risks relating to the different regions (both specified Regions and other regions).

C0350/R1940

Catastrophe Risk Charge before risk mitigation – Total Hail after diversification

This is the total capital requirement before risk mitigation for Hail risk, taking into consideration the diversification effect given in C0350/R1930.

C0360/R1630–R1710

Estimated Risk Mitigation —specified Region

Per each of the 11 specified Regions the estimated risk mitigation effect, corresponding to the selected scenario, of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums.

C0360/R1720

Estimated Risk Mitigation – Total Hail specified Region before diversification

Total of the estimated risk mitigation for the 11 specified regions.

C0360/R1910

Estimated Risk Mitigation – Total Hail Other Regions before diversification

C0360/R1820

Estimated Risk Mitigation – Total Hail All Regions before diversification

Total of the estimated risk mitigation for all regions.

C0370/R1630–R1710

Estimated Reinstatement Premiums —specified Region

Per each of the 11 specified Regions the estimated reinstatement premiums, corresponding to the selected scenario, as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril.

C0370/R1720

Estimated Reinstatement Premiums – Total Hail specified Regions before diversification

Total of the estimated reinstatement premiums for the 11 specified regions.

C0370/R1910

Estimated Reinstatement Premiums – Total Hail Other Regions before diversification

C0370/R1920

Estimated Reinstatement Premiums – Total Hail All Regions before diversification

Total of the estimated reinstatement premiums for all regions.

C0380/R1630–R1710

Catastrophe Risk Charge after risk mitigation —specified Region

Capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Hail in each of the 11 specified Regions, corresponding to the selected scenario.

C0380/R1720

Catastrophe Risk Charge after risk mitigation – Total Hail specified Regions before diversification

Total of the capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles for the 11 specified regions.

C0380/R1910

Catastrophe Risk Charge after risk mitigation – Total Hail Other Regions before diversification

Capital requirement after risk mitigation for Hail risk in regions other than the specified Regions. It is the amount of the instantaneous loss, including the deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles.

C0380/R1920

Catastrophe Risk Charge after risk mitigation – Total Hail All Regions before diversification

Total of the capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles for all regions.

C0380/R1930

Catastrophe Risk Charge after risk mitigation – Diversification effect between regions

Diversification effect arising from the aggregation of the capital requirement after risk mitigations for Hail risks relating to the different regions (both specified Regions and Other regions).

C0380/R1940

Catastrophe Risk Charge after risk mitigation – Total Hail after diversification

This is the total capital requirement after risk mitigation for Hail risk, taking into consideration the diversification effect given in C0380/R1930.

Natural catastrophe risk – Subsidence

C0390/R1950

Estimation of the gross premium to be earned – Total Subsidence before diversification

An estimate of the premiums to be earned, by the insurance or reinsurance group, during the following year, for the contract in relation to the obligations of fire and other damage, including the proportional reinsurance obligations.

Premiums shall be gross, without deduction of premiums for reinsurance contracts, and in relation to the territory of France.

C0400/R1950

Exposure – Total Subsidence before diversification

The sum of the total insured made up of the geographical divisions of the territory of France for fire and other damage, including the proportional reinsurance obligations, which are sufficiently homogeneous in relation to the subsidence risk that the insurance and reinsurance groups are exposed to in relation to the territory. Together the zones shall comprise the whole territory.

C0410/R1950

Specified Gross Loss – Total Subsidence before diversification

Specified gross subsidence loss, before taking into consideration the effect of diversification effect between zones.

C0420/R1950

Catastrophe Risk Charge Factor before risk mitigation – Total Subsidence before diversification

The Risk Charge Factor of the territory of France for subsidence, before taking into consideration the effect of diversification effect between zones.

C0430/R1950

Catastrophe Risk Charge before risk mitigation – Total Subsidence before diversification

The capital requirement before risk mitigation for Subsidence risk in the territory of France. It is the amount of the instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles, which for subsidence is equal to the Specified Gross Loss (item C0410/R1950).

C0430/R1960

Catastrophe Risk Charge before risk mitigation – Diversification effect between zones – Total Subsidence before diversification

Diversification effect arising from the aggregation of the Subsidence risks relating to the different zones of the territory of France.

C0430/R1970

Catastrophe Risk Charge before risk mitigation – Total Subsidence – Total Subsidence before diversification

This is the total capital requirement before risk mitigation for subsidence risk, taking into consideration the diversification effect given in item C0430/R1960.

C0440/R1950

Estimated Risk Mitigation – Total Subsidence before diversification

The estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums.

C0450/R1950

Estimated Reinstatement Premiums – Total Subsidence before diversification

The estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril.

C0460/R1950

Catastrophe Risk Charge after risk mitigation – Total Subsidence before diversification

Capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from subsidence.

C0460/R1960

Catastrophe Risk Charge after risk mitigation – Diversification effect between zones

Diversification effect arising from the aggregation of the capital requirement after risk mitigations for Subsidence risks relating to the different zones of the territory of France.

C0460/R1970

Catastrophe Risk Charge after risk mitigation – Total Subsidence after diversification

This is the total capital requirement after risk mitigation for subsidence risk, taking into consideration the diversification effect given in item C0460/R1960.

Natural catastrophe risk – Non–proportional property reinsurance

C0470/R2000

Estimation of the gross premium to be earned

An estimate of the premiums to be earned, by the insurance or reinsurance group, during the following year, for the contract in relation to the obligations of the line of business non–proportional property reinsurance, as defined in Annex I to Delegated Regulation (EU) 2015/35.

Premiums shall be gross, without deduction of premiums for reinsurance contracts.

C0480/R2000

Catastrophe Risk Charge before risk mitigation

The capital requirement before risk mitigation for non–proportional property reinsurance. It is the amount of the instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles.

C0490/R2000

Estimated Risk Mitigation

The estimated risk mitigation effect of the group’s specific retrocession contracts and special purpose vehicles relating to risks arising from accepted non–proportional property reinsurance, excluding the estimated reinstatement premiums.

C0500/R2000

Estimated Reinstatement Premiums

The estimated reinstatement premiums as a result of the group’s specific retrocession contracts and special purpose vehicles relating to risks arising from accepted non–proportional property reinsurance.

C0510/R2000

Catastrophe Risk Charge after risk mitigation

Capital requirement, after the deduction of the risk mitigating effect of the group’s specific retrocession contracts and special purpose vehicles relating to risks arising from accepted non–proportional property reinsurance.

Man–made catastrophe risk – Motor Vehicle Liability

C0520/R2100

Number of vehicles policy limit above 24M EUR

Number of vehicles insured by the insurance or reinsurance group in lines of business Motor vehicle liability insurance, including proportional reinsurance obligations, with a deemed policy limit above 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 group in lines of business lines of business Motor vehicle liability insurance, including proportional reinsurance obligations, with a deemed policy limit below or equal to 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 group’s specific retrocession contracts and special purpose vehicles relating to risks arising from Motor Vehicle Liability, excluding the estimated reinstatement premiums.

C0560/R2100

Estimated Reinstatement Premiums

The estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Motor Vehicle Liability.

C0570/R2100

Catastrophe Risk Charge Motor Vehicle Liability after risk mitigation

Capital requirement, after the deduction of the risk mitigating effect of the group’s specific retrocession contracts and special purpose vehicles, relating to risks arising from Motor Vehicle Liability.

Man–made catastrophe risk – Marine Tanker Collision

C0580/R2200

Type of cover Catastrophe Risk Charge Share marine hull in tanker t before risk mitigation

This is the capital requirement before risk mitigation, per each marine hull cover, for risks arising from Marine Tanker Collision.

The maximum relates to all oil and gas tankers insured by the insurance or reinsurance group in respect of tanker collision in lines of business:

Marine, aviation and transport, including proportional reinsurance obligations; 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 group for marine insurance and reinsurance in relation to each tanker.

C0590/R2200

Catastrophe Risk Charge Share marine liability in tanker t before risk mitigation

This is the capital requirement before risk mitigation, per marine liability cover, for risks arising from Marine Tanker Collision.

The maximum relates to all oil and gas tankers insured by the insurance or reinsurance group in respect of tanker collision in lines of business:

Marine, aviation and transport, including proportional reinsurance obligations; 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 group for marine insurance and reinsurance in relation to each tanker.

C0600/R2200

Catastrophe Risk Charge Share marine oil pollution liability in tanker t before risk mitigation

This is the capital requirement before risk mitigation, per marine oil pollution liability cover, for risks arising from Marine Tanker Collision.

The maximum relates to all oil and gas tankers insured by the insurance or reinsurance group in respect of tanker collision in lines of business:

Marine, aviation and transport, including proportional reinsurance obligations; 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 group for marine insurance and reinsurance in relation to each tanker.

C0610/R2200

Catastrophe Risk Charge Marine Tanker Collision before risk mitigation

This is the total capital requirement before risk mitigation for risks arising from Marine Tanker Collision.

C0620/R2200

Estimated Risk Mitigation

The estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Marine Tanker Collision, excluding the estimated reinstatement premiums.

C0630/R2200

Estimated Reinstatement Premiums

The estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Marine Tanker Collision.

C0640/R2200

Catastrophe Risk Charge Marine Tanker Collision after risk mitigation

The total capital requirement after risk mitigation, after the deduction of the risk mitigating effect of the group’s specific retrocession contracts and special purpose vehicles, relating to risks arising from Marine Tanker Collision.

C0650/R2200

Name vessel

Name of the corresponding vessel.

Man–made catastrophe risk – Marine Platform Explosion

C0660–C0700/R2300

Catastrophe Risk Charge Marine Platform Explosion – Type of cover – before risk mitigation

This is the capital requirement before risk mitigation, per type of cover (Property damage, Removal of wreckage, Loss of production income, Capping of the well or making the well secure, Liability insurance and reinsurance obligations), for risks arising from Marine Platform Explosion.

The maximum relates to all oil and gas offshore platforms insured by the insurance or reinsurance group in respect of platform explosion in lines of business:

Marine, aviation and transport, including proportional reinsurance obligations; 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 group in relation to the selected platform.

C0710/R2300

Catastrophe Risk Charge Marine Platform Explosion before risk mitigation

This is the total capital requirement before risk mitigation for risks arising from Marine Platform Explosion.

C0720/R2300

Estimated Risk Mitigation

The estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Marine Platform Explosion, excluding the estimated reinstatement premiums.

C0730/R2300

Estimated Reinstatement Premiums

The estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Marine Platform Explosion.

C0740/R2300

Catastrophe Risk Charge Marine Platform Explosion after risk mitigation

C0750/R2300

Name platform

Name of the corresponding platform.

Number of vessels

C0781/R2421

Number of vessels below the threshold of EUR 250k

This is the number of vessels below the threshold of EUR 250k

Man–made catastrophe risk – Marine

C0760/R2400

Catastrophe Risk Charge Marine before risk mitigation – Total before diversification

This is the total capital requirement before risk mitigation, before diversification effect between types of events, for marine risks.

C0760/R2410

Catastrophe Risk Charge Marine before risk mitigation – Diversification between type of event

Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different type of events for marine risks.

C0760/R2420

Catastrophe Risk Charge Marine before risk mitigation – Total after diversification

This is the total capital requirement before risk mitigation, after diversification effect between the types of events, for marine risks.

C0770/R2400

Estimated Total Risk Mitigation – Total before diversification

This is the total risk mitigation effect, before diversification effect between types of events, of the group’s specific reinsurance contracts and special purpose vehicles arising from the marine risks.

C0780/R2400

Catastrophe Risk Charge Marine after risk mitigation – Total before diversification

This is the total capital requirement after risk mitigation, before diversification effect between types of events, for marine risks.

C0780/R2410

Catastrophe Risk Charge Marine after risk mitigation – Diversification between type of event

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different type of events for marine risks.

C0780/R2420

Catastrophe Risk Charge Marine after risk mitigation – Total after diversification

This is the total capital requirement after risk mitigation, after diversification effect between the types of events, for marine risks.

Man–made catastrophe risk – Aviation

C0790–C0800/R2500

Catastrophe Risk Charge Aviation before risk mitigation – Type of cover– before risk mitigation

This is the capital requirement before risk mitigation, per type of cover (Aviation hull and Aviation liability), for risks arising from Aviation.

The maximum relates to all aircrafts insured by the insurance or reinsurance group in lines of business:

Marine, aviation and transport, including proportional reinsurance obligations; 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 group for aviation insurance and reinsurance and in relation to the selected aircraft.

C0810/R2500

Catastrophe Risk Charge Aviation before risk mitigation

This is the total capital requirement before risk mitigation for risks arising from Aviation.

C0820/R2500

Estimated Risk Mitigation

The estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Aviation, excluding the estimated reinstatement premiums.

C0830/R2500

Estimated Reinstatement Premiums

The estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Aviation.

C0840/R2500

Catastrophe Risk Charge Aviation after risk mitigation – Total (row)

Man–made catastrophe risk – Fire

C0850/R2600

Catastrophe Risk Charge Fire before risk mitigation

This is the total capital requirement before risk mitigation for Fire risks.

Amount is equal to the largest fire risk concentration of an insurance or reinsurance group being the set of buildings with the largest sum insured that meets the following conditions:

The insurance or reinsurance group has insurance or reinsurance obligations in lines of business Fire and other damage to property insurance, including proportional reinsurance obligations, in relation to each building which cover damage due to fire or explosion, including as a result of terrorist attacks.

All buildings are partly or fully located within a radius of 200 meters.

C0860/R2600

Estimated Risk Mitigation

The estimated risk mitigation effect of the group’s specific retrocession contracts and special purpose vehicles relating to risks arising from Fire, excluding the estimated reinstatement premiums.

C0870/R2600

Estimated Reinstatement Premiums

The estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Fire.

C0880/R2600

Catastrophe Risk Charge after risk mitigation Fire

Man–made catastrophe risk – Liability

C0890/R2700–R2740

Earned premium following 12 months –Type of cover

Premiums earned, per type of cover, by the insurance or reinsurance group, during the following 12 months, in relation to insurance and reinsurance obligations in liability risks, for the following type of covers:

Professional malpractice liability insurance and proportional reinsurance obligations other than professional malpractice liability insurance and reinsurance for self–employed crafts persons or artisans;

Employers liability insurance and proportional reinsurance obligations;

Directors and officers liability insurance and proportional reinsurance obligations;

Liability insurance and reinsurance obligations included in lines of business General liability insurance, including proportional reinsurance obligations, other than obligations included in liability risk groups 1 to 3 and other than personal liability insurance and proportional reinsurance and other than professional malpractice liability insurance and reinsurance for self–employed crafts persons or artisans;

Non–proportional reinsurance.

For this purpose premiums shall be gross, without deduction of premiums for reinsurance contracts.

C0890/R2750

Earned premium following 12 months – Total

Total for all types of covers of premiums earned by the insurance or reinsurance group, during the following 12 months.

C0900/R2700–R2740

Largest liability limit provided –Type of cover

The largest liability limit, per type of cover, provided by the insurance or reinsurance group in liability risks.

C0910/R2700–R2740

Number of claims –Type of cover

The number of claims, per type of cover, which is equal to the lowest integer that exceeds the amount according to the provided formula.

C0920/R2700–R2740

Catastrophe Risk Charge Liability before risk mitigation –Type of cover

This is the capital requirement before risk mitigation, per type of cover, for liability risks.

C0920/R2750

Catastrophe Risk Charge Liability before risk mitigation – Total

Total for all types of cover of the capital requirement before risk mitigation for liability risks.

C0930/R2700–R2740

Estimated Risk Mitigation – Type of cover

The estimated risk mitigation effect, per type of cover, of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Liability, excluding the estimated reinstatement premiums.

C0930/R2750

Estimated Risk Mitigation – Total

Total for all types of cover of the estimated risk mitigation.

C0940/R2700–R2740

Estimated Reinstatement Premiums – Type of cover

The estimated reinstatement premiums, per type of cover, as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from Liability.

C0940/R2750

Estimated Reinstatement Premiums – Total

Total for all types of cover of the estimated reinstatement premiums.

C0950/R2700–R2740

Catastrophe Risk Charge Liability after risk mitigation – Type of cover

Capital requirement, per type of cover, after the deduction of the risk mitigating effect of the group’s specific retrocession contracts and special purpose vehicles, relating to risks arising from Liability.

C0950/R2750

Catastrophe Risk Charge Liability after risk mitigation – Total

Total for all types of cover of the capital requirement after the deduction of the risk mitigating effect of the group’s specific retrocession contracts and special purpose vehicles, relating to risks arising from Liability.

C0960/R2800

Catastrophe Risk Charge Liability before risk mitigation – Total before diversification

This is the total capital requirement before risk mitigation, before diversification effect between types of cover, for liability risks.

C0960/R2810

Catastrophe Risk Charge Liability before risk mitigation – Diversification between type of cover

Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different type of covers for liability risks.

C0960/R2820

Catastrophe Risk Charge Liability before risk mitigation – Total after diversification

This is the total capital requirement before risk mitigation, after diversification effect between the types of covers, for liability risks.

C0970/R2800

Estimated Total Risk Mitigation – Total before diversification

This is the estimated total risk mitigation, before diversification effect between types of cover, for liability risks.

C0980/R2800

Catastrophe Risk Charge Liability after risk mitigation – Total before diversification

This is the total capital requirement after risk mitigation, before diversification effect between types of cover, for liability risks.

C0980/R2810

Catastrophe Risk Charge Liability after risk mitigation – Diversification between type of cover

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different type of covers for liability risks.

C0980/R2820

Catastrophe Risk Charge Liability after risk mitigation – Total after diversification

This is the total capital requirement after risk mitigation, after diversification effect between the types of covers, for liability risks.

Man–made catastrophe risk – Credit & Suretyship

C0990/R2900–R2910

Exposure (individual or group) – Largest exposure

Two largest gross credit insurance exposures of the insurance or reinsurance group based on a comparison of the net loss–given–default of the credit insurance exposures, being the loss–given–default after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles.

C0990/R2920

Exposure (individual or group) – Total

Total of the two largest gross credit insurance exposures of the insurance or reinsurance group based on a comparison of the net loss–given–default of the credit insurance exposures, being the loss–given–default after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles.

C1000/R2900–R2910

Proportion of damage caused by scenario – Largest exposure

Percentage representing the loss given default of the gross credit exposure without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, for each of the two largest gross credit insurance exposures of the insurance or reinsurance group.

C1000/R2920

Proportion of damage caused by scenario – Total

Average loss given default of the two largest gross credit exposures without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles.

C1010/R2900–R2910

Catastrophe Risk Charge Credit & Suretyship before risk mitigation – Large Credit Default –Largest exposure

This is the capital requirement before risk mitigation, per largest exposure, arising from the Large Credit Default scenario of Credit & Suretyship risks.

C1010/R2920

Catastrophe Risk Charge Credit & Suretyship before risk mitigation – Large Credit Default – Total

This is the total capital requirement before risk mitigation arising from the Large Credit Default scenario of Credit & Suretyship risks.

C1020/R2900–R2910

Estimated Risk Mitigation – Largest exposure

The estimated risk mitigation effect, per largest exposure, of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from the Large Credit Default scenario of Credit & Suretyship, excluding the estimated reinstatement premiums.

C1020/R2920

Estimated Risk Mitigation – Total

The estimated risk mitigation effect, for the two largest exposures, of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from the Large Credit Default scenario of Credit & Suretyship, excluding the estimated reinstatement premiums.

C1030/R2900–R2910

Estimated Reinstatement Premiums – Largest exposure

The estimated reinstatement premiums, per largest exposure, as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from the Large Credit Default scenario of Credit & Suretyship.

C1030/R2920

Estimated Reinstatement Premiums – Total

The estimated reinstatement premiums, for the two largest exposures, as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from the Large Credit Default scenario of Credit & Suretyship.

C1040/R2900–R2910

Catastrophe Risk Charge Credit & Suretyship after risk mitigation – Large Credit Default – Largest exposure

Net capital requirement, per largest exposure, after the deduction of the risk mitigating effect of the group’s specific retrocession contracts and special purpose vehicles, relating to risks arising from the Large Credit Default scenario of Credit & Suretyship.

C1040/R2920

Catastrophe Risk Charge Credit & Suretyship after risk mitigation – Large Credit Default – Total

C1050/R3000

Earned premium following 12 months

Gross premiums earned by the insurance or reinsurance group, during the following 12 months, in lines of business Credit and Suretyship insurance including proportional reinsurance obligations.

C1060/R3000

Catastrophe Risk Charge Credit & Suretyship before risk mitigation – Recession Risk

This is the total capital requirement before risk mitigation for the Recession scenario of Credit & Suretyship risks.

C1070/R3000

Estimated Risk Mitigation

The estimated risk mitigation effect of the group’s specific retrocession contracts and special purpose vehicles relating to risks arising from the Recession scenario of Credit & Suretyship, excluding the estimated reinstatement premiums.

C1080/R3000

Estimated Reinstatement Premiums

The estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to risks arising from the Recession scenario of Credit & Suretyship.

C1090/R3000

Catastrophe Risk Charge Credit & Suretyship after risk mitigation – Recession Risk

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

C1120/R3100

Catastrophe Risk Charge Credit & Suretyship after risk mitigation – Total before diversification

This is the total capital requirement after risk mitigation, before diversification effect between types of events, for Credit & Suretyship risks.

C1120/R3110

Catastrophe Risk Charge Credit & Suretyship after risk mitigation – Diversification between type of event

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different type of events for Credit & Suretyship risks.

C1120/R3120

Catastrophe Risk Charge Credit & Suretyship after risk mitigation – Total after diversification

This is the total capital requirement after risk mitigation, after diversification effect between the types of events, for Credit & Suretyship risks.

Man–made catastrophe risk – Other non–life catastrophe risk

C1130/R3200–R3240

Estimation of the gross premium to be earned – Group of obligations

An estimate of the premiums to be earned by the insurance or reinsurance group, during the following year, for the contracts in relation to the following group of obligations:

Insurance and reinsurance obligations included in lines of business Marine, aviation and transport insurance, including proportional reinsurance obligations, other than marine insurance and reinsurance and aviation insurance and reinsurance;

Reinsurance obligations included in line of business Non–proportional marine, aviation and transport reinsurance, other than marine reinsurance and aviation reinsurance, as defined in Annex I to Delegated Regulation (EU) 2015/35;

Insurance and reinsurance obligations included in lines of business Miscellaneous financial loss, including proportional reinsurance obligations other than extended warranty insurance and reinsurance obligations provided that the portfolio of these obligations is highly diversified and these obligation do not cover the costs of product recalls;

Reinsurance obligations included in line of business Non–proportional casualty reinsurance, other than general liability reinsurance, as defined in Annex I to Delegated Regulation (EU) 2015/35;

Non–proportional reinsurance obligations relating to insurance obligations included in lines of business Credit and Suretyship insurance, including proportional reinsurance obligations.

Premiums shall be gross, without deduction of premiums for reinsurance contracts.

C1140/R3200–R3240

Catastrophe Risk Charge Other non–life catastrophe risk before risk mitigation – Group of obligations

This is the capital requirement before risk mitigation, per group of obligations, for Other non–life catastrophe risks.

C1140/R3250

Catastrophe Risk Charge Other non–life catastrophe risk before risk mitigation – Total before diversification

This is the total capital requirement before risk mitigation, before diversification effect between groups of obligations, for Other non–life catastrophe risks.

C1140/R3260

Catastrophe Risk Charge Other non–life catastrophe risk before risk mitigation – Diversification between groups of obligations

Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different groups of obligations for Other non–life catastrophe risks.

C1140/R3270

Catastrophe Risk Charge Other non–life catastrophe risk before risk mitigation – Total after diversification

This is the total capital requirement before risk mitigation, after diversification effect between groups of obligations, for Other non–life catastrophe risks.

C1150/R3250

Estimated Total Risk Mitigation – Total before diversification

This is the estimated total risk mitigation, before diversification effect between groups of obligations, for Other non–life catastrophe risks.

C1160/R3250

Catastrophe Risk Charge Other non–life catastrophe risk after risk mitigation – Total before diversification

This is the total capital requirement after risk mitigation, before diversification effect between groups of obligations, for Other non–life catastrophe risks.

C1160/R3260

Catastrophe Risk Charge Other non–life catastrophe risk after risk mitigation – Diversification between groups of obligations

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different groups of obligations for Other non–life catastrophe risks.

C1160/R3270

Catastrophe Risk Charge Other non–life catastrophe risk after risk mitigation – Total after diversification

This is the total capital requirement after risk mitigation, after diversification effect between groups of obligations, for Other non–life catastrophe risks.

Health catastrophe risk

Health catastrophe risk – Mass accident

C1170/R3300–R3600,

C1190/R3300–R3600,

C1230/R3300–R3600,

C1250/R3300–R3600

Policyholders – per type of event

All insured persons of the insurance or reinsurance group who are inhabitants of each of the countries and are insured against the following types of event:

Death caused by an accident;

Permanent disability caused by an accident;

Disability that lasts 12 months caused by an accident;

Medical treatment caused by an accident.

C1180/R3300–/R3600,

C1200/R3300–R3600,

C1240/R3300–R3600,

C1260/R3300–R3600

Value of benefits payable – per type of event

The value of the benefits shall be the sum insured or where the insurance contract provides for recurring benefit payments the best estimate of the benefit payments, using the cash–flow projection, per event type.

Where the benefits of an insurance contract depend on the nature or extent of any injury resulting from event types, the calculation of the value of the benefits shall be based on the maximum benefits obtainable under the contract which are consistent with the event.

For medical expense insurance and reinsurance obligations the value of the benefits shall be based on an estimate of the average amounts paid in case of event types taking into account the specific guarantees the obligations include.

C1270/R3300–R3600

Catastrophe Risk Charge before risk mitigation

Capital requirement before risk mitigation, for each of the countries, arising from the mass accident risk sub–module to health insurance and reinsurance obligations.

C1270/R3610

Catastrophe Risk Charge before risk mitigation – Total Mass accident all countries before diversification

This is the total capital requirement before risk mitigation, before diversification effect between countries, for the mass accident risk sub–module to health insurance and reinsurance obligations.

C1270/R3620

Catastrophe Risk Charge before risk mitigation – Diversification effect between countries

Diversification effect arising from the aggregation of the mass accident risk sub–module to health insurance and reinsurance obligations relating to the different countries.

C1270/R3630

Catastrophe Risk Charge before risk mitigation – Total Mass accident all countries after diversification

This is the total capital requirement before risk mitigation, after diversification effect between countries, for the mass accident risk sub–module to health insurance and reinsurance obligations.

C1280/R3300–R3600

Estimated Risk Mitigation

For each country the estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums.

C1280/R3610

Estimated Risk Mitigation – Total Mass accident all countries before diversification

Total amount of estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles for all countries.

C1290/R3300–R3600

Estimated Reinstatement Premiums

For each country the estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril.

C1290/R3610

Estimated Reinstatement Premiums – Total

Total amount of estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles for all countries.

C1300/R3300–R3600

Catastrophe Risk Charge after risk mitigation

Capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from the mass accident risk sub–module to health insurance and reinsurance obligations, for each country.

C1300/R3610

Catastrophe Risk Charge after risk mitigation – Total Mass accident all countries before diversification

This is the total capital requirement after risk mitigation, before diversification effect between countries, for the mass accident risk sub–module to health insurance and reinsurance obligations.

C1300/R3620

Catastrophe Risk Charge after risk mitigation – Diversification effect between countries

Diversification effect arising from the aggregation of the capital requirement after risk mitigations for the mass accident risk sub–module to health insurance and reinsurance obligations relating to the different countries.

C1300/R3630

Catastrophe Risk Charge after risk mitigation – Total Mass accident all countries after diversification

This is the total capital requirement after risk mitigation for the mass accident risk sub–module to health insurance and reinsurance obligations, taking into consideration the diversification effect given in C1300/R3620.

Health catastrophe risk – Concentration accident

C1310/R3700–R4010

Largest known accident risk concentration – Countries

The largest accident risk concentration of an insurance or reinsurance group, for each country, shall be equal to the largest number of persons for which the following conditions are met:

The insurance or reinsurance group has a workers’ compensation insurance or reinsurance obligation or a group income protection insurance or reinsurance obligation in relation to each of the persons;

The obligations in relation to each of the persons cover at least one of the events set out in the next item;

The persons are working in the same building which is situated in this particular country.

These persons are insured against the following types of event:

Death caused by an accident;

Permanent disability caused by an accident;

Disability that lasts 10 years caused by an accident;

Disability that lasts 12 months caused by an accident;

Medical treatment caused by an accident.

C1320/R3700–R4010,

C1330/R3700–R4010,

C1350/R3700–R4010,

C1360/R3700–R4010

Average sum insured per type of event

The average value of benefits payable by insurance and reinsurance undertakings for the largest accident risk concentration.

C1370/R3700–R4010

Catastrophe Risk Charge before risk mitigation

Capital requirement before risk mitigation, for each country, arising from the health sub–module concentration accident.

C1410

Other countries to be considered in the Concentration accident

Identify the ISO code of other countries to be considered in the Concentration accident.

C1370/R4020

Catastrophe Risk Charge before risk mitigation – Total Concentration accident all countries before diversification

This is the total capital requirement before risk mitigation, before diversification effect between countries, for the health sub–module concentration accident.

C1370/R4030

Catastrophe Risk Charge before risk mitigation – Diversification effect between countries

Diversification effect arising from the aggregation of the health sub–module concentration accident relating to the different countries.

C1370/R4040

Catastrophe Risk Charge before risk mitigation – Total Concentration accident all countries after diversification

This is the total capital requirement before risk mitigation, after diversification effect between countries, for the health sub–module concentration accident.

C1380/R3700–R4010

Estimated Risk Mitigation – Countries

For each of the countries identified the estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums.

C1380/R4020

Estimated Risk Mitigation – Total Concentration accident all countries before diversification

Total of estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles for all countries.

C1390/R3700–R4010

Estimated Reinstatement Premiums – Countries

For each of the countries identified the estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril.

C1390/R4020

Estimated Reinstatement Premiums – Total Concentration accident all countries before diversification

Total of the estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles for all countries.

C1400/R3700–R4010

Catastrophe Risk Charge after risk mitigation – Countries

Capital requirement, after the deduction of the risk mitigating effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, arising from the health sub–module concentration accident for each of the countries identified.

C1400/R4020

Catastrophe Risk Charge after risk mitigation – Total Concentration accident all countries before diversification

The total capital requirement after risk mitigation, before diversification effect between countries, for the health sub–module concentration accident.

C1400/R4030

Catastrophe Risk Charge after risk mitigation – Diversification effect between countries

Diversification effect arising from the aggregation of the capital requirement after risk mitigations for the health sub–module concentration accident risks relating to the different countries.

C1400/R4040

Catastrophe Risk Charge after risk mitigation – Total Concentration accident all countries after diversification

This is the total capital requirement after risk mitigation for the health sub–module concentration accident risk, taking into consideration the diversification effect given in C1400/R4020.

Health catastrophe risk – Pandemic

C1440/R4100–R4410

Medical expense – Number of insured persons – Countries

The number of insured persons of insurance and reinsurance groups, for each of the countries identified, which meet the following conditions:

The insured persons are inhabitants of this particular country;

The insured persons are covered by medical expense insurance or reinsurance obligations, other than workers’ compensation insurance or reinsurance obligations that cover medical expense resulting from an infectious disease.

These insured persons may claim benefits for the following healthcare utilisation:

Hospitalisation;

Consultation with a medical practitioner;

No formal medical care sought.

C1450/R4100–R4410,

C1470/R4100–R4410,

C1490/R4100–R4410

Medical expense – Unit claim cost per type of healthcare – Countries

Best estimate of the amounts payable, using the cash–flow projection, by insurance and reinsurance groups for an insured person in relation to medical expense insurance or reinsurance obligations, other than workers’ compensation insurance or reinsurance obligations per healthcare utilisation type, in the event of a pandemic, for each of the countries identified.

C1460/R4100–R4410,

C1480/R4100–R4410,

C1500/R4100–R4410

Medical expense – Ratio of insured persons per type of healthcare – Countries

The ratio of insured persons with clinical symptoms utilising healthcare type, for each of the countries identified.

C1510/R4100–R4410

Catastrophe Risk Charge before risk mitigation – Countries

Capital requirement before risk mitigation, for each of the countries identified, arising from the health sub–module pandemic.

C1550

Other countries to be considered in the Pandemic

Identify the ISO code of other countries to be considered in the Pandemic.

C1420/R4420

Income protection – Number of insured persons – Total Pandemic all countries

Total number of insured persons for all countries identified covered by the income protection insurance or reinsurance obligations other than workers’ compensation insurance or reinsurance obligations.

C1430/R4420

Income protection – Total pandemic exposure – Total Pandemic all countries

The total of all income protection pandemic exposure for all countries identified of insurance and reinsurance groups.

The value of the benefits payable for the insured person shall be the sum insured or where the insurance contract provides for recurring benefit payments the best estimate of the benefit payments assuming that the insured person is permanently disabled and will not recover.

C1510/R4420

Catastrophe Risk Charge before risk mitigation – Total Pandemic all countries

This is the total capital requirement before risk mitigation for the health sub–module pandemic for all countries identified.

C1520/R4420

Estimated Risk Mitigation – Total Pandemic all countries

The total estimated risk mitigation effect of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums for all countries identified.

C1530/R4420

Estimated Reinstatement Premiums – Total Pandemic all countries

The total estimated reinstatement premiums as a result of the group’s specific reinsurance contracts and special purpose vehicles relating to this peril for all countries identified.

C1540/R4420

Catastrophe Risk Charge after risk mitigation – Total Pandemic all countries

The total capital requirement after risk mitigation for the health sub–module pandemic for all countries identified.

S.31.01 – Share of reinsurers (including Finite Reinsurance and SPV’s)

General comments:

This section relates to the annual submission of information for groups.

This template shall be filled by the insurance and reinsurance groups where a recoverable is recognised by related insurance undertakings in relation to the EEA or Non–EEA–reinsurer which is not in the scope of the group (even if all contracts with that reinsurer have terminated).

The template collects information on reinsurers and not on separate treaties. All ceded technical provisions, including those ceded under Finite reinsurance (as defined in S.30.03 Column C0060 of Annex II), shall be completed. This also means that if an SPV or a syndicate of Lloyd’s acts as a reinsurer the SPV or the syndicate must be listed.

ITEM

INSTRUCTIONS

C0010

Legal name of reinsured undertaking

Name of reinsured entity, identifying the cedent (re)insurance undertaking. This item is only applicable to groups.

C0020

Identification code of the undertaking

Identification code of the undertaking, using the following priority:

—	Legal Entity Identifier (LEI) mandatory if existing;

—	Specific code in case of absence of LEI code.

When the undertaking uses the option ‘Specific code’ the following shall be considered:

—

identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits

C0030

Type of code of the ID of the undertaking

Type of ID Code used for the ‘Identification code of the undertaking’ item. One of the options in the following closed list shall be used:

1 – LEI

2 – Specific code

C0040

Code reinsurer

Identification code of the reinsurer by this order of priority:

—	Legal Entity Identifier (LEI);

—	Specific code attributed by the undertaking

C0050

Type of code Reinsurer

Identification of the code used in item ‘Code reinsurer’. The following closed list shall be used:

1 – 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

C0080

Reinsurance recoverables – Technical provisions Life including SLT Health

C0090

Adjustment for expected losses due to counterparty default

Per reinsurer the adjustment for expected losses due to counterparty default. The adjustment shall be calculated separately and must be in line with Delegated Regulation (EU) 2015/35.

This value shall be reported as negative value.

C0100

Reinsurance recoverables: Total reinsurance recoverables

The result of ceded technical provisions (i.e. claims + premiums provisions), including the adjustment for expected losses due to counterparty default.

C0110

Net receivables

The amounts past due resulting from: claims paid by the insurer but not yet reimbursed by the reinsurer plus commissions to be paid by the reinsurer and other receivables minus debts to the reinsurer. Cash deposits are excluded and are to be considered as guarantees received.

C0120

Assets pledged by reinsurer

Amount of assets pledged by the reinsurer to mitigate the counterparty default risk of the reinsurer.

C0130

Financial guarantees

Amount of guarantees received by the undertaking from the reinsurer to guarantee the payment of the liabilities due by the undertaking (includes letter of credit, undrawn committed borrowing facilities).

C0140

Cash deposits

Amount of cash deposits received by the undertaking from the reinsurers.

C0150

Total guarantees received

Total amount of types of guarantees.

Corresponds to the sum of the amounts reported in C0120, C0130 and C0140.

C0155

Currency

Where applicable, identify the ISO 4217 alphabetic code of the currency of the reinsurance recoverables.

The breakdown by currency is only be required to cover 90 % of reinsurance recoverables. For the remaining 10 % it is possible to group it under "other currencies".

Information on reinsurers

C0160

Code reinsurer

Identification code of the reinsurer by this order of priority:

—	Legal Entity Identifier (LEI);

—	Specific code attributed by the undertaking

C0170

Type of 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 scope of group supervision)

6 – External reinsurer (reinsurance undertaking that takes risks from undertakings other than from insurance undertakings within the scope of group supervision)

7 – Captive reinsurance 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 group.

If the rating is not available the item shall be left blank and the reinsurer shall be identified as ‘9 – no rating available’ in column C0230 (Credit quality step).

This item is not applicable to reinsurers for which undertakings using internal model use internal ratings. If undertakings using internal model do not use internal rating, this item shall be reported.

In case ‘Multiple ECAI’ is reported in C0220 report the most representative external rating.

C0220

Nominated ECAI

Identify the credit assessment institution (ECAI) giving the external rating in C0210, by using the name of the ECAI as published on ESMA’s website. In case of ratings issued by subsidiaries of the ECAI please report the parent ECAI (the reference is to ESMA list of credit rating agencies registered or certified in accordance with Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies).

—

C0230

Credit quality step

Identify the credit quality step attributed to the reinsurer. The credit quality step shall reflect any readjustments to the credit quality made internally by the group that use the standard formula.

One of the options in the following closed list shall be used:

0 – Credit quality step 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 groups using internal model to the extent that the internal ratings are used in their internal modelling. If an internal model undertaking is using solely external ratings this item shall not be reported.

S.31.02 – Special Purpose Vehicles

General comments:

This section relates to the annual submission of information for groups.

This template is relevant for each group transferring risk(s) to a Special Purpose Vehicle (SPV), to ensure sufficient disclosure has been made where SPVs are used as alternative risk transfer methods to traditional reinsurance treaties.

The template applies to the use of:

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 within the scope of group supervision whereby a SPV assumes risks from the undertaking within the scope of group supervision through a reinsurance contract; or assume insurance risks from the undertaking within the scope of group supervision transferred through a similar arrangement that is ‘reinsurance like’.

This template shall include data of special purpose vehicles to which the participating insurance or reinsurance undertaking or one of its insurance or reinsurance subsidiaries has transferred risk.

ITEM

INSTRUCTIONS

C0010

Name of reinsured undertaking

Identify the legal name of the reinsured undertaking, identifying the cedent (re)insurance undertaking within the scope of group supervision.

C0020

Identification code of the undertaking

Identification code by this order of priority:

—	Legal Entity Identifier (LEI) mandatory if existing;

—	Specific code in case of absence of LEI code.

Specific code:

—	For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;

—

identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits

C0030

Internal code of SPV

Internal code attributed to the SPV by the undertaking by this order of priority:

—	Legal Entity Identifier (LEI);

—	Specific 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 within the scope of group supervision identify the ID code by this order of priority if existent:

—	ISO 6166 ISIN when available;

—	Other ‘recognised’ codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC);

—	Code attributed by the undertaking within the scope of group supervision, when the options above are not available, and must be consistent over time.

C0050

ID Code Type of SPV notes or other financing mechanism issued

Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used:

1 – ISO 6166 for ISIN 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 within the scope of group supervision

C0060

Lines of Business SPV securitisation relates

Identification of the line of business as defined in Annex I to Delegated Regulation (EU) 2015/35 reported. The following closed list shall be used:

1 – Medical expense 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)

Where the reinsurance treaty or a similar arrangement provides cover for more than one line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and the terms of cover differ between lines of business then the treaty needs to be specified over multiple rows. The first row entry for the treaty needs to be entered as ‘Multiline’ that provides details of the overall terms of the treaty, with the subsequent rows providing details of the individual terms of the reinsurance treaty to each relevant line of business. Where the term of the cover do not differ by line of business only the dominant line of business is required.

C0070

Type of Trigger(s) in the SPV

Identify the trigger mechanisms used by the SPV as trigger events that would oblige the SPV to make payment to the ceding (re)insurance undertaking within the scope of group supervision. The following closed list shall be used:

1 – 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 within the scope of group supervision. This information should be complementary to the information on ‘Type of Trigger(s) in the SPV’ and should be descriptive enough to allow supervisors to identify the concrete trigger, e.g. specific weather/storm indices for cat risks or general mortality tables for longevity risks.

C0090

Same trigger as in underlying cedant’s portfolio

Identify if the trigger defined in the underlying (re)insurance policy with the pay–out trigger defined in the treaty is the same as the one defined in the SPV. The following closed list shall be used:

1 – Same 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 within the scope of group supervision). 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 undertaking within the scope of group supervision (prior to adjustments made for expected losses due to counterparty default). This should be calculated in accordance with the requirements of Article 41of Delegated Regulation (EU) 2015/35.

C0180

Identification of material investments held by cedant in SPV

Identify whether material investments held by the cedant in the SPV exist, according to Article 210 of Delegated Regulation (EU) 2015/35.

1 – Not 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 within the scope of group supervision by this order of priority:

—	Legal Entity Identifier (LEI);

—	Specific code

Specific code:

—	For EEA insurance and reinsurance undertakings and other EEA regulated undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;

—

identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits

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 groups shall report the regulatory number or equivalent number obtained from the supervisory authority at the time of authorisation.

C0250

SPV country of authorisation

Identify the ISO 3166–1 alpha–2 code for the country where the SPV is established and has received authorisation, where applicable.

C0260

SPV authorisation conditions

Identify authorisation conditions of the SPV according to Article 211 of Directive 2009/138/EC or equivalent legal instrument. One of the options in the following closed list shall be used:

1 – SPV authorised under Article 211(1) of Directive 2009/138/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.

In case ‘Multiple ECAI’ is reported in C0280 report the most representative external rating.

C0280

Nominated ECAI

Identify the credit assessment institution (ECAI) giving the external rating in C0270, by using the name of the ECAI as published on ESMA’s website. In case of ratings issued by subsidiaries of the ECAI please report the parent ECAI (the reference is to ESMA list of credit rating agencies registered or certified in accordance with Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies).

C0290

Credit quality step

Identify the credit quality step attributed to the SPV. The credit quality step shall reflect any readjustments to the credit quality made internally by the group.

One of the options in the following closed list shall be used:

0 – Credit quality step 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 groups using internal model to the extent that the internal ratings are used in their internal modelling. If an internal model group is using solely external ratings this item shall not be reported.

S.32.01 – Undertakings in the scope of the group

General comments:

This section relates to opening and the annual submission of information for groups.

This template is relevant under method 1 as defined in Article 230 of Directive 2009/138/EC, method 2 as defined in Article 233 of Directive 2009/138/EC and a combination of methods. It is a list of all undertakings in the scope of the group, in the meaning of Article 212(1)(c) of Directive 2009/138/EC, subject to full group supervision according to art 213(2)(a)(b)(c) of Directive 2009/138/EC including the participating insurance and reinsurance undertakings, insurance holding companies, mixed financial holding companies at the top of the group.

—	Cells C0010 to C0080 are related to the identification of the undertaking;

—	Cells C0090 to C0170 are related to ranking criteria (in the group reporting currency);

—	Cells C0180 to C0230 are related to criteria of influence;

—	Cells C0240 and C0250 are related to the inclusion in the scope of group supervision;

—	Cell C0260 is related to group solvency calculation.

ITEM

INSTRUCTIONS

C0010

Country

Identify the ISO 3166–1 alpha–2 code of the country in which the registered head office of each undertaking within the scope of the group, in the meaning of Article 212(1)(c) of Directive 2009/138/EC, is located

C0020

Identification code of the undertaking

Identification code by this order of priority:

—	Legal Entity Identifier (LEI) mandatory if existing;

—	Specific code in case of absence of LEI code.

Specific code:

—	For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of the group, in the meaning of Article 212(1)(c) of Directive 2009/138/EC: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;

—

For non–EEA undertakings and non–regulated undertakings within the scope of the group, in the meaning of Article 212(1)(c) of Directive 2009/138/EC, identification code will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, the group should comply with the following format in a consistent manner:

identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits

C0030

Type of code of the ID of the undertaking

Identification of the code used in item ‘Identification code of the undertaking’:

1 – LEI

2 – Specific code

C0040

Legal name of the undertaking

C0050

Type of undertaking

Identify the type of undertaking giving information on the type of activity of the undertaking. This is applicable to both EEA and third–country undertakings. The type of undertakings is linked to how the undertakings are brought into the group solvency calculation, as reported in C0260 of this template. The following closed list of options shall be used:

1 – Life insurance undertaking

2 – Non life insurance undertaking

3 – Reinsurance undertaking

4 – Composite undertaking

5 – Insurance holding company as defined in Article 212(1)(f) of Directive 2009/138/EC

6 – Mixed–activity insurance holding company as defined in Article 212(1)(g) of Directive 2009/138/EC

7 –Mixed financial holding company as defined in Article 212(1)(h) of Directive 2009/138/EC

8 – Credit institution, investment firm and financial institution

9 – Institution for occupational retirement provision

10 – Ancillary services undertaking as defined in Article 1(53) of Delegated Regulation (EU) 2015/35

11 – Non–regulated undertaking carrying out financial activities as defined in Article 1(52) of Delegated Regulation (EU) 2015/35

12 – Special purpose vehicle authorised in accordance with Article 211 of Directive 2009/138/EC

13 – Special purpose vehicle other than special purpose vehicle authorised in accordance with Article 211 of Directive 2009/138/EC

14 – UCIT management company as defined in Article 1(54) of Delegated Regulation (EU) 2015/35

15 – Alternative investment fund manager as defined in Article 1(55) of Delegated Regulation (EU) 2015/35

99 – Other

C0060

Legal form

Identify the form of the undertaking.

For categories 1 to 4 in cell ‘Type of undertaking’, the legal form shall be consistent with Annex III of Directive 2009/138/EC.

C0070

Category (mutual/non mutual)

Indicate high level information on the legal form, i.e. whether the undertaking is a mutual or not.

The following closed list shall be used:

1 – Mutual

2 – Non–mutual

C0080

Supervisory Authority

Name of the Supervisory Authority responsible for the supervision of the individual undertaking, where applicable.

Please use the full name of the authority.

Ranking criteria (in the group reporting currency)

C0090

Total Balance Sheet (for (re)insurance undertakings)

For EEA (re)insurance undertakings, total amount of Solvency II balance sheet as reported in item C0010/R0500 in S.02.01. For non EEA (re)insurance undertakings, total amount of balance–sheet according to the relevant sectoral rules.

The currency used shall be the group reporting currency.

C0100

Total Balance Sheet (for other regulated undertakings)

For other regulated undertakings, total amount of balance sheet according to the relevant sectoral rules. The currency used shall be the group reporting currency.

C0110

Total Balance Sheet (non–regulated undertakings)

For non–regulated undertakings, total amount of balance sheet used for IFRS or local GAAP. The currency used shall be the group reporting currency.

C0120

Written premiums net of reinsurance ceded under IFRS or local GAAP for (re)insurance undertakings

For insurance and reinsurance undertakings written premiums net of reinsurance ceded under IFRS or local GAAP. The currency used shall be the group currency.

C0130

Turn over defined as the gross revenue under IFRS or local GAAP for other types of undertakings, insurance holding companies or mixed financial holding companies

For other types of undertakings turn over defined as the gross revenue under IFRS or local GAAP.

For insurance holding companies or mixed financial holding companies where appropriate turnover defined as the gross revenue under IFRS or local GAAP will be used as a ranking criteria.

The currency used shall be the group reporting currency.

C0140

Underwriting performance

(Re)insurance undertakings shall report their underwriting performance in accordance with their financial statements. A monetary amount shall be reported. The currency used shall be the group reporting currency.

C0150

Investment performance

(Re)insurance undertakings shall report their investment performance in accordance with their financial statements. A monetary amount shall be reported. The currency used shall be the group reporting currency.

This value shall not include any value already reported in C0140.

C0160

Total performance

All the related undertakings within the scope of group supervision, in the meaning of Article 212(1)(c) of Directive 2009/138/EC, shall report their total performance in accordance with their financial statements. A monetary amount shall be reported. The currency used shall be the group reporting currency.

C0170

Accounting standard

Identification of the accounting standard used for reporting items in cells C0100 to C0160. All items shall be reported consistently on the same accounting standard. The following closed list of options shall be used:

1 – IFRS

2 – Local GAAP

Criteria of influence

C0180

% capital share

Proportion of the subscribed capital that is held, directly or indirectly, by the participating undertaking in the related undertaking (as referred to in Article 221 of Directive 2009/138/EC).

This cell is not applicable for the ultimate parent undertaking.

C0190

% used for establishment of consolidated accounts

Percentage as defined by IFRS or local GAAP for the integration of consolidated undertakings into the consolidation which may differ from item C0180. For full integration, minority interests shall also be reported in this item.

This cell is not applicable for the ultimate parent undertaking.

C0200

% voting rights

Proportion of voting rights that is held, directly or indirectly, by the participating undertaking in the related undertaking

This cell is not applicable for the ultimate parent undertaking.

C0210

Other criteria

Other criteria useful to assess the level of influence exercised by the participating undertaking, e.g. relationship referred to in art 22(7) of Directive 2013/34/EU, centralised risk management.

This cell is not applicable for the ultimate parent undertaking.

C0220

Level of influence

Influence can be either dominant or significant, depending on criteria mentioned above; the group is responsible for assessing the level of influence exercised by the participating undertaking over any undertaking but as stated in Article 212(2) of Directive 2009/138/EC the group supervisor may have a differing view from the group’s assessment and if so the group shall take into account any decision made by the group supervisor.

This cell is not applicable for the ultimate parent undertaking.

The following closed list shall be used:

1 – Dominant

2 – Significant

C0230

Proportional share used for the group solvency calculation

Proportional share is the proportion that will be used to calculate the group solvency.

This cell is not applicable for the ultimate parent undertaking.

Inclusion in the scope of Group supervision

C0240

Inclusion in the scope of group supervision – Yes/No

Indicate if the undertaking is included or not in the scope of group supervision as referred in Article 214 of Directive 2009/138/EC; if an undertaking is not included in the scope of group supervision as provided for in Article 214, then it shall be indicated which paragraph from Article 214(2) is the reason.

The following closed list shall be used:

1 – Included in the scope

2 – Not included in the scope (Article 214 (a)

3 – Not included in the scope (Article 214 (b)

4 – Not included in the scope (Article 214 (c)

C0250

Inclusion in the scope of group supervision – Date of decision if art.214 is applied

Identify the ISO 8601 (yyyy–mm–dd) code of the date where the decision of exclusion has been taken.

Group solvency calculation

C0260

Method used and under method 1, treatment of the undertaking

The item gathers information on the method used for group solvency calculation and the treatment of each undertaking.

The following closed list shall be used:

1 – Method 1: Full consolidation

2 – Method 1: Proportional consolidation

3 – Method 1: Adjusted equity method

4 – Method 1: Sectoral rules

5 – Method 2: Solvency II

6 – Method 2: sectoral Rules

7 – Method 2: Local rules

8 – Deduction of the participation in relation to Article 229 of Directive 2009/138/EC

9 – No inclusion in the scope of group supervision as defined in Article 214 Directive 2009/138/EC

10 – Other method

C0270

Covered by internal model for Group SCR calculations

1 – Yes

2 – No

C0280

Type of VA being used in the group internal model

Type of Volatility Adjustment used for the group solvency calculation by undertakings in scope of the group internal model. The following closed list shall be used:

1 – None

2 – Constant VA

3 – Dynamic VA

If an internal model is used without VA or the Standard Formula is used for the group solvency calculation then ‘None’ should be selected.

S.33.01 – Insurance and reinsurance individual requirements

General comments:

This section relates to opening and the annual submission of information for groups.

—

The first part of it (Cells C0060 to C0230) collects the information on all insurance and reinsurance undertakings of the group from EEA and non–EEA countries applying Directive 2009/138/EC reported in accordance with the rules therein; regardless of the method used for the calculation of the group solvency.

—

The second part of it (Cells C0240 to C0260) collects information on the local capital requirements, local Minimum Capital Requirements, eligible own funds of all non–EEA insurance and reinsurance undertakings of the group which shall be reported in accordance with local rules, regardless of the method used for the calculation of the group solvency.

—	The last cell C0270 collects the information on the solo contribution to the group SCR of all EEA and non EEA insurance and reinsurance undertakings.

—	The purpose of the data in this template is to provide information to supervisors that improves the assessment of availability of own funds as well as that facilitates assessing the amount of diversification effects.

ITEM

INSTRUCTIONS

C0010

Legal name of the undertaking

Legal name of each undertaking

C0020

Identification code of the undertaking

Identification code by this order of priority:

—	Legal Entity Identifier (LEI) mandatory if existing;

—	Specific code in case of absence of LEI code.

Specific code:

—	For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;

—

identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits

C0030

Type of code of the ID of the undertaking code

Identification of the code used in item ‘Identification code of the undertaking’:

1 – LEI

2 – Specific code

C0040

Entity Level/RFF or MAP/Remaining Part

Identify to which the information is related to. The following closed list shall be used:

1 – Entity level

2 – Material Ring fenced fund or Matching Adjustment Portfolio

3 – Remaining part

C0050

Fund Number

When C0040 = 2, this is the unique number of each material ring–fenced fund or matching adjustment portfolio as attributed by the group. It shall remain unvarying over time. It shall not be re–used for other funds or portfolios). The number shall be used consistently across all templates, where relevant, to identify the fund/portfolio.

When C0040 = 1 or 3, it shall be reported ‘0’.

EEA and non EEA insurance and reinsurance undertakings (using Solvency II rules)

C0060

SCR Market Risk

Individual (gross) SCR Market Risk for each undertaking.

C0070

SCR Counterparty Default Risk

Individual (gross) SCR Counterparty Default Risk for each undertaking.

C0080

SCR Life Underwriting Risk

Individual (gross) SCR Life Underwriting Risk for each undertaking.

C0090

SCR Health Underwriting Risk

Individual (gross) SCR Health Underwriting Risk for each undertaking.

C0100

SCR Non–life Underwriting Risk

Individual (gross) SCR Non–life Underwriting Risk for each undertaking.

C0110

SCR Operational Risk

Individual SCR Operational Risk for each undertaking.

C0120

Individual SCR

Individual SCR for each undertaking (including any capital add–on).

C0130

Individual MCR

Individual MCR for each undertaking.

C0140

Eligible Individual Own Funds to cover the SCR

Eligible Individual Own Funds to cover the SCR. Total own funds are to be reported in this item. No restrictions on availability for the group apply.

C0150

Use of undertaking specific parameters

When an undertaking uses undertaking specific parameters for calculating individual SCR, report the area(s) for which these parameters are used. The following closed list shall be used:

1 – Life underwriting risk/revision risk

2 – Health SLT underwriting risk/revision risk

3 – Health NSLT premium and reserve risk,

4 – Non Life premium and reserve risk,

Include as many options as needed, separated by a ‘,’.

C0160

Use of simplifications

When an undertaking uses simplifications for calculating individual SCR, report the area(s) for which these simplifications are used. The following closed list shall be used:

1 – Market risk/spread risk (bonds and loans)

2 – Market risk/interest rate risk (captives)

3 – Market risk/spread risk (bonds and loans) (captives)

4 – Market risk/market risk concentration (captives)

5 – Counterparty default risk

6 – Life underwriting risk/mortality risk

7 – Life underwriting risk/longevity risk

8 – Life underwriting risk/disability–morbidity risk

9 – Life underwriting risk/lapse risk

10 – Life underwriting risk/life expense risk

11 – Life underwriting risk/life catastrophe risk

12 – Health underwriting risk/mortality risk

13 – Health underwriting risk/longevity risk

14 – Health underwriting risk/disability–morbidity risk (medical expense)

15 – Health underwriting risk/disability–morbidity risk (income protection)

16 – Health SLT underwriting risk/lapse risk

17 – Health underwriting risk/life expense risk

18 – Non–Life underwriting risk/premium and reserve risk (captives)

Include as many options as needed, separated by a ‘,’.

C0170

Use of Partial Internal Model

When an undertaking uses a partial internal model(s) for calculating individual SCR, report the area(s) for which this/these are used.

C0180

Group or individual internal model

When an undertaking uses a full internal model for calculating individual SCR, it has to be stated whether this regards a individual internal model or group internal model. The following closed list shall be used:

1 – Individual Internal Model

2 – Group Internal Model

C0190

Date of initial approval of IM

In case a group or individual internal model is approved by individual supervisor, identify the ISO 8601 (yyyy–mm–dd) code of the date of this approval.

C0200

Date of approval of latest major change of IM

In case a major change of group or individual internal model is approved by individual supervisor (Article 115), identify the ISO 8601 (yyyy–mm–dd) code of the date of this approval.

C0210

Date of decision of capital add–on

In case a capital add–on applies to any of the undertakings listed here (Article 37 of Directive 2009/138/EC), identify the ISO 8601 (yyyy–mm–dd) code of the date of the decision.

C0220

Amount of capital add–on

In case a capital add–on applies to any of the entities listed here (Article 37 of Directive 2009/138/EC), report the exact amount.

C0230

Reason of capital add–on

In case a capital add–on applies to any of the undertakings listed here (Article 37 of Directive 2009/138/EC), report the reason(s) stated by the supervisor in its decision.

Non EEA insurance and reinsurance undertakings (both using Solvency II rules and not using Solvency II rules) regardless of the method used

C0240

Local capital requirement

Local individual capital requirement that triggers first intervention by local supervisor.

C0250

Local minimum capital requirement

Local individual minimum capital requirement that triggers final intervention – withdrawal of the authorisation – by local supervisor. This figure is needed to calculate the minimum consolidated group SCR.

C0260

Eligible own funds in accordance with local rules

Eligible Individual Own Funds to cover the local capital requirement, as calculated according to local rules, without applying restrictions on availability for the group.

C0270

Contribution of solo SCR to the group SCR

Contribution of solo SCR to group SCR

If the method 1 is applied, the contribution of a subsidiary undertaking to the group SCR shall be calculated according to the formula:

Contrj = SCRj × SCRdiversified/Σi SCRisolo

Where:

—	SCRj is the SCR at individual entity level of the undertaking j;

—	SCRdiversified = SCR calculated in accordance to Article 336(a) of Delegated Regulation (EU) 2015/35;

—	SCRisolo is the SCR at individual entity level of the participating undertaking and each related insurance or

reinsurance undertaking and third-country insurance and reinsurance undertaking included in the calculation of the SCRdiversified;

—	the ratio is the proportional adjustment due to the recognition of diversification effects at group level.

For related insurance and reinsurance undertakings which are not subsidiaries (art 335 1.d of the DR) included via method 1, the contribution of the related undertaking to the group SCR is the proportional share of the individual SCR.

For method 2, the contribution of the related undertaking to the group SCR is the proportional share of the individual SCR.

S.34.01 – Other regulated and non–regulated financial undertakings including insurance holding companies and mixed financial holding companies individual requirements

General comments:

This section relates to opening and the annual submission of information for groups.

This template is relevant under method 1 as defined in Article 230 of Directive 2009/138/EC, method 2 as defined in Article 233 of the Directive 2009/138/EC and a combination of methods and covers the individual requirements of financial undertakings other than insurance and reinsurance undertakings, and of non-regulated undertakings carrying out financial activities as defined in Article 1(52) of Delegated Regulation (EU) 2015/35, such as credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies, institutions for occupational retirement provisions, non–regulated undertakings carrying out financial activities, insurance holding companies and mixed financial holding companies.

ITEM

INSTRUCTIONS

C0010

Legal name of the undertaking

Legal name of each undertaking.

C0020

Identification code of the undertaking

Identification code by this order of priority:

—	Legal Entity Identifier (LEI) mandatory if existing;

—	Specific code in case of absence of LEI code.

Specific code:

—	For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;

—

identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits

C0030

Type of code of the ID of the undertaking

Identification of the code used in item ‘Identification code of the undertaking’:

1 – LEI

2 – Specific code

C0040

Aggregated or not

When the entities of other financial sectors form a group with a specific capital requirement, this consolidated capital requirement can be accepted instead of the list of each individual requirement. The following closed list shall be used:

1 – Aggregated

2 – Not aggregated

C0050

Type of capital requirement

Identify the type of capital requirement. The following closed list shall be used:

1 – Sectoral (for credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies, institutions for occupational retirement provisions)

2 – Notional (for non–regulated undertakings)

3 – No capital requirement

C0060

Notional SCR or Sectoral capital requirement

The capital requirement, either sectoral or notional, that triggers first intervention by individual supervisor, assuming a so–called intervention ladder.

C0070

Notional MCR or Sectoral minimum capital requirement

Minimum capital requirement, either sectoral or notional, that triggers final intervention, assuming a so–called intervention ladder where available.

This item is not requested for entities for which a final trigger level is not set.

C0080

Notional or Sectoral Eligible Own Funds

Total own funds to cover the (notional or sectoral) capital requirement. No restrictions on availability for the group apply.

C0085

Contribution of solo (notional) SCR to group SCR

Contribution of the solo notional SCR to the group SCR with regard to insurance holding companies and mixed financial holding companies

Contribution of solo SCR to group SCR

If the method 1 is applied, the contribution of a subsidiary undertaking to the group shall be calculated according the formula:

Contrj = SCRj × SCRdiversified/Σi SCRisolo

Where:

—	SCRj is the SCR at individual entity level of the undertaking j;

—	SCRdiversified = SCR calculated in accordance to Article 336(a) of Commission Delegated Regulation (EU) 2015/35;

—	SCRisolo is the SCR at individual entity level of the participating undertaking and each related insurance or

reinsurance undertaking and third-country insurance and reinsurance undertaking included in the calculation of the SCRdiversified;

—	the ratio is the proportional adjustment due to the recognition of diversification effects at group level.

For related undertakings which are not subsidiaries (art 335 1.d of the DR) included via method 1, the contribution of the related undertaking to the group SCR is the proportional share of the individual SCR.

For method 2, the contribution of the related undertaking to the group SCR is the proportional share of the individual SCR.

S.35.01 – Contribution to group Technical Provisions

General comments:

This section relates to the annual submission of information for groups.

The information to be reported between C0050 to C0210 shall be after the volatility adjustment, the matching adjustment and interest rate transitional is applied. The transitional deduction to technical provisions is reported separately in C0220 and C0230.

This template is relevant under method 1 as defined in Article 230 of Directive 2009/138/EC, method 2 as defined in Article 233 of Directive 2009/138/EC and a combination of methods.

Related insurance and reinsurance undertakings which are not subsidiaries are excluded from the scope of this template since they are assessed through the adjusted equity method.

ITEM

INSTRUCTIONS

C0010

Legal name of the undertaking

Legal name of each undertaking

C0020

Identification code of the undertaking

Identification code by this order of priority:

—	Legal Entity Identifier (LEI) mandatory if existing;

—	Specific code in case of absence of LEI code.

Specific code:

—	For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;

—

identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits

C0030

Type of code of the ID of the undertaking

Identification of the code used in item ‘Identification code of the undertaking’:

1 – LEI

2 – Specific code

C0040

Method of group solvency calculation

Identify the method of the group calculation. The following closed list of options shall be used:

1 – Method 1

2 – Method 2

C0050

Total amount of TP – Amount of TP gross of IGT

Total amount of technical provisions gross of IGT.

This item equals the sum of items C0070, C0100, C0130, C0160, C0190 and C0220, except for (re)insurance undertakings situated in equivalent non–EEA countries under method 2.

For (re)insurance undertakings situated in equivalent non–EEA countries under method 2 only item C0050 is mandatory.

The cell shall be filled in with amounts gross of reinsurance and of IGT.

When method 1 as defined under Article 230 of Directive 2009/138/EC is used for the (re)insurance undertaking, the total amount of technical provisions in cell C0050 accounts for its contribution gross of reinsurance ceded within the scope of group supervision to the group technical provisions.

When method 2 is used for the (re)insurance undertaking, the total amount of technical provisions in cell C0050 cannot be reconciled with the amount of group technical provisions in the group balance sheet.

C0060

Total amount of TP – Amount of TP net of IGT

Total amount of technical provisions net of IGT.

This item equals the sum of items C0080, C0110, C0140, C0170, C0200 and C0230, except for (re)insurance undertakings situated in equivalent non–EEA countries under method 2.

For (re)insurance undertakings situated in equivalent non–EEA countries and allowed to use the local rules under method 2, only item C0060 is mandatory and this shall be filled on the basis of the local solvency regime.

The cell shall be filled in with amounts gross of reinsurance but net of IGT, including intra–group reinsurance (the risk margin should not be net of IGT).

When method 1 as defined under Article 230 of Directive 2009/138/EC is used for the (re)insurance undertaking, the total amount of technical provisions in cell C0060 accounts for its contribution net of reinsurance ceded within the scope of group supervision to the group technical provisions. The total amount of technical provisions in cell C0060 for all (re)insurance undertakings under method 1 can be reconciled with the amount of group technical provisions in the group balance sheet.

When method 2 is used for the (re)insurance undertaking, the total amount of technical provisions in cell C0060 cannot be reconciled with the amount of group technical provisions in the group balance sheet.

C0070, C0100, C0130, C0160, C0190

Amount of TP gross of IGT

Amount of technical provisions (TP calculated as a whole or the sum of the best estimate and the risk margin), split by respective main categories (Life excluding health and unit linked index–linked, Unit–linked and index linked, Health – SLT and non–SLT, Non–life excluding health) of the EEA or non–EEA undertaking calculated according to Solvency II rules.

The cell shall be filled in with amounts gross of reinsurance and of IGT.

The currency used shall be the group currency.

This item is reported for the (re)insurance undertakings under method 1 and method 2, except for the (re)insurance undertakings under method 2 situated in equivalent non–EEA countries.

C0080, C0110, C0140, C0170, C0200

Amount of TP net of IGT

The cell shall be filled in with amounts gross of reinsurance but net of IGT, including intra–group reinsurance.

The currency used shall be the group currency.

This item is reported for the (re)insurance undertakings under method 1 and method 2, except for the (re)insurance undertakings under method 2 situated in equivalent non–EEA countries.

C0090, C0120, C0150, C0180, C0210

Net Contribution to Group TP (%)

The percentage share of TP (TP calculated as a whole or the sum of the best estimate and the risk margin) of the (re) insurance undertaking to the group TP under method 1 net of IGT but gross of reinsurance ceded outside the group, split by respective main categories (Life excluding health and unit linked index–linked, Unit–linked and index linked, Health – SLT and non–SLT, Non–life excluding health).

This item is not reported for undertakings under method 2.

C0220

Transitional on TP – Amount of TP gross of IGT

Amount of the transitional deduction to technical provisions. This value is not included in the previous items.

The cell shall be filled in with amounts gross of reinsurance and IGT.

This value shall be reported as a negative value.

C0230

Transitional on TP – Amount of TP net of IGT

Amount of the transitional deduction to technical provisions. This value is not included in the previous items.

The cell shall be filled in with amounts gross of reinsurance but net of IGT, including intra–group reinsurance.

This value shall be reported as a negative value.

C0240

LTG measures – TP subject to Transitional on RFR – Amount of TP gross of IGT

Indicate the amount of Total amount of TP gross of IGT (C0050) subject to the transitional adjustment to the relevant risk-free interest rate term structure.

The cell shall be filled in with amounts gross of reinsurance and IGT.

C0250

LTG measures – TP subject to VA – Amount of TP gross of IGT

Indicate the amount of Total amount of TP gross of IGT (C0050) subject to volatility adjustment. The Technical Provisions are reported after transitional and with Risk Margin.

The cell shall be filled in with amounts gross of reinsurance and IGT, including intra–group reinsurance.

C0260

LTG measures – TP subject to MA – Amount of TP gross of IGT

Indicate the amount of Total amount of TP gross of IGT (C0050) subject to matching adjustment.

The cell shall be filled in with amounts gross of reinsurance and IGT, including intra–group reinsurance.

S.36.01 – IGT – Equity–type transactions, debt and asset transfer

General comments:

This template relates to the information that groups are requested to provide at least annually.

This template shall report all (significant, very significant and transactions required to be reported in all circumstances) intra-group transactions between entities of a group related to equity, debt, reciprocal financing (2) 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:

—	Legal Entity Identifier (LEI) mandatory if existing;

—	Specific code in case of absence of LEI code.

Specific code:

—	For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;

—

For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group. When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall comply with the following format in a consistent manner:

identification code of the parent undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits

C0031

Type of code for investor/lender

Type of ID Code used for the ‘Identification code for investor/lender’ item. One of the options in the following closed list shall be used:

1 – 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 in the reporting currency of the group.

NC0170

Amount at reporting date

Outstanding amount of the transaction at the reporting date if applicable e.g. for debt issue, reported in the reporting currency of the group. If there has been a full early settlement/prepayment, the balance of contractual amount shall be zero.

NC0180

Value of collateral

The value of collateral for collaterised debt or asset value for intragroup transaction involving asset transfer, reported in the reporting currency of the group.

NC0190

Amount of dividends/interest/coupon and other payments made during reporting period

This cell shall capture any payments made in relation to the intragroup transaction s recorded in this template for the reporting period (6 months up to the reporting date).

This includes, but not limited to:

—	Dividends for the current year including paid or declared but unpaid dividends.

—	Any deferred dividends from previous years paid during the reporting period (i.e. any deferred dividends paid that impacted the P&L for the reporting period).

—	Interest payments made in relation to debt instruments.

—	Any other payments made in relation to the intragroup transaction s that are reported in this template, e.g. charges on asset transfers.

—	Amount of total tops-ups if applicable, i.e. total additional money invested during the reporting period such as an additional payments on partly paid shares or increasing loan amount during the period (when reporting tops-ups as a separate item).

This amount shall be reported in the reporting currency of the group.

C0200

Coupon/Interest rate

The interest or coupon rate as a percentage, if applicable. For variable interest rate, this shall include the reference rate and the interest rate above it.

C0210

Comments

Comments shall contain:

—	a notification if the transaction has not been performed at arm’s length

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

S.36.02 – IGT – Derivatives

General comments:

This template relates to the information groups are requested to provide at least annually.

This template shall report all (significant, very significant and transactions required to be reported in all circumstances) intra-group transactions between entities in scope of group supervision related to derivatives. Significant intra-group transactions related to derivatives shall be reported where the carrying amount of the derivative exceeds the threshold. These include, but are not limited to:

—	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.

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.

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, reported in the reporting currency of the financial conglomerate.

NC0200

Identification code Asset/Liability underlying the derivative

ID Code of the asset or liability underlying the derivative contract. This item is to be provided for derivatives that have a single underlying instrument or index in the undertaking’s portfolio.

An index is considered a single instrument and shall be reported.

Identification code of the instrument underlying the derivative using the following priority:

—	ISO 6166 code of ISIN when 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 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 the information groups shall provide at least annually.

This template shall report all (significant, very significant and transactions required to be reported in all circumstances) intragroup transactions between entities in scope of group supervision related to off-balance sheet guarantees.

These include, but not limited to:

—	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.

ITEM

INSTRUCTIONS

C0010

ID of intragroup transaction

Unique internal identification code for each intragroup transaction. It shall be consistent over time.

C0020

Provider name

Name of the entity that is providing the off-balance guarantee.

C0030

Identification code of the provider

The unique identification code attached to the provider by this order of priority if existent:

—	Legal Entity Identifier (LEI);

—	Specific 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.

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.

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.

This item is to be reported in the reporting currency of the group.

C0160

Value of transaction at reporting date

Value of the transaction, collateral pledged.

This item shall be reported in the reporting currency of the group.

C0170

Maximum possible value of contingent liabilities

Maximum possible value, if possible, regardless of their probability (i.e. future cash flows required to settle the contingent liability over the lifetime of that contingent liability, discounted at the relevant risk-free interest rate term structure) of contingent liabilities included in the group’s balance sheet. Sum of all possible cash flows if events triggering guarantees were all to happen in relation to guarantees provided by the ‘provider’ (cell C0020) to the ‘beneficiary’ (Cell C0050) to guarantee the payment of the liabilities due by the undertaking (includes letter of credit, undrawn committed borrowing facilities). This item shall not include amounts already reported under C0150 and C0160.

C0180

Value of guaranteed assets

Value of the guaranteed asset for which the guarantees are received.

Sectoral valuation principles may be relevant in this case.

C0190

Revenues stemming from the off-balance sheet items

Revenues associated to the provisions of the off-balance sheet transaction

C0200

Comments

Comments shall contain:

—	a notification if the transaction has not been performed at arm’s length

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

S.36.04 – IGT – Insurance and Reinsurance

General comments:

This template relates to the information groups are requested to provide annually.

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.

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.

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 of Article 2(8) indicate: ‘other undertaking of the group’.

C0050

Insurer/Reinsurer name

Legal name of the insurer/reinsurer to whom the underwriting risk has been transferred.

C0060

Identification code of insurer/reinsurer

The unique identification code attached to the investor/buyer/transferee by this order of priority:

—	Legal Entity Identifier (LEI) mandatory if existing;

—	Specific code in case of absence of LEI code.

Specific code:

—	For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;

—	For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group.

When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall comply with the following format in a consistent manner: identification code of the parent undertaking +ISO 3166-1 alpha-2 code of the country of the undertaking +5 digits

C0061

Type of code of insurer/reinsurer

Type of ID Code used for the ‘Identification code of insurer/reinsurer’ item. One of the options in the following closed list shall be used:

1 – 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.

This item has to be reported in the currency of the group.

C0170

Total reinsurance recoverables

Total amount due from the reinsurer at the reporting date which include:

Premium provision for part of the future reinsurance premium which has already been paid to the reinsurer;

Claims provision for claims outstanding for insurer which have to be paid by the reinsurer; and/or

Technical provisions for the amount reflecting the share of the reinsurer in the gross technical provisions. This item has to be reported in the reporting currency of the group.

C0180

Reinsurance technical result (for reinsurance)

Reinsurance result (for reinsured entity):

Total reinsurance commissions received by reinsured entity less Gross reinsurance premiums paid by reinsured entityplus Claims paid by reinsurer during the reporting period plus

Total reinsurance recoverables at the end of the reporting period less

Total reinsurance recoverables at the start of the reporting period.

This item has to be reported in the reporting currency of the group.

C0190

Premiums (for insurance)

Total amount of gross written premiums as defined in Article 1(11) of Delegated Regulation (EU) 2015/35.

For annuities stemming from non-life this cell is not applicable.

C0200

Claims (for insurance)

Total amount of gross claims paid during the year, including claims management expenses

C0210

Line of business

Identify the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, being reinsured.

The following closed list shall be used:

1 – Medical expense 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 – P&L

General comments:

This annex relates to the information the groups are requested to provide annually.

This template shall report the P&L associated to all (significant, very significant and transactions required to be reported in all circumstances) intra-group transactions between entities in the scope of the group supervision or P&L transaction considered as significant or very significant intragroup transactions or transactions required to be reported in all circumstances. These include, but not limited to:

—

Fees;

—	Commissions;

—	Interests;

—	Dividends;

—	Costs or revenues from intragroup outsourcing, internal cost sharing or rental agreements.

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.

ITEM

INSTRUCTIONS

C0010

ID of intragroup transaction

Unique internal identification code for each intragroup transaction. It shall be consistent over time. In case related to transactions already mentioned, use the same ID.

C0020

Revenue side name

Legal name of the entity that received the revenue from another entity within the group.

C0030

Identification code for revenue side

The unique identification code attached to the entity that received the revenue by this order of priority:

—	Legal Entity Identifier (LEI) mandatory if existing;

—	Specific code in case of absence of LEI code.

Specific code:

—	For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;

—	For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group.

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/reinsurance sector’‘investments services sector’.

If the entity that received the revenue from another entity within the group is not part of financial sector within the meaning of Article 2(8) indicate: ‘other undertaking of the group’.

C0050

Expense side name

Legal name of the entity that provided the revenue to another entity within the group.

C0060

Identification code for expense side

The unique identification code attached the entity that provided the revenue by this order of priority:

—	Legal Entity Identifier (LEI) mandatory if existing;

—	Specific code in case of absence of LEI code.

Specific code:

—	For EEA regulated undertakings other than insurance and reinsurance undertakings within the group: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;

—	For non-EEA undertakings and non-regulated undertakings within the group, identification code shall be provided by the group.

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

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

S.37.01 – Risk concentration – Exposure to Counterparties

General comments:

This section relates to the at least annually submission of information for groups.

This template shall include all significant risk concentrations between entities in scope of group supervision and third parties which can add up from the risk exposures mentioned in the template irrespective of the choice of calculation method or whether sectoral solvency rules have been used for the purposes of the group solvency calculation.

The aim is to list the significant exposures (value of the exposures in each kind of instrument listed in the template) by single counterparty outside the scope of the group. If more than one entity of the group is involved, for each entity a separate line is necessary.

It can be understood as the maximum possible exposure on a contractual basis and not necessarily be reflected on the balance sheet, on both gross basis and net basis taking into account any risk mitigation instruments or techniques. Thresholds are fixed by the group supervisor after consulting the group itself and the college.

Data should be reported by legal entity.

ITEM

INSTRUCTIONS

C0010

Name of the external counterparty

This is the name of the external counterparty of the group.

C0020

Identification code of the external counterparty of the group

The unique identification code attached to the investor/buyer/transferee by this order of priority:

—	Legal Entity Identifier (LEI);

—	Specific code

Specific code:

—	For EEA external counterparty: identification code used in the local market, if external counterparty is regulated – the one attributed by the external counterparty ‘s competent supervisory authority;

—

For non-EEA external counterparties, identification code shall be provided by the group. When allocating an identification code to each non-EEA or non-regulated counterparty, the group shall comply with the following format in a consistent manner:

identification code of the group of the external counterparty + ISO 3166-1 alpha-2 code of the country of the external counterparty + 5 digits

C0030

ID code type of the external counterparty of the group

Type of ID Code used for the ‘Identification code of the external counterparty’ item. One of the options in the following closed list shall be used:

1 – LEI

2 – Specific code

C0045

Name of the group (in case of group of counterparties)

Name of the group in the case more than one of the external counterparties belong to the same corporate group

C0080

Rating

Rating of the counterparty at the reporting reference date issued by the nominated credit assessment institution (ECAI). Where two or more credit assessments are available from nominated ECAIs and they correspond to different parameters for a rated item, the assessment generating the higher capital requirement shall be used;

C0090

Nominated ECAI

Identify the credit assessment institution (ECAI) giving the external rating in C0050;

C0100

Sector

Identify the economic sector of the external counterparty based on the latest version of NACE code (the first level of hierarchy – the letter).

C0040

Country

Identify the ISO Code (3166-1 alpha-2) of country from which the exposure comes from. If there is an issuer of for example an entity, this is the country where the headquarter of the entity issuer is located.

C0110

Entity of the group

The name of the entity of the group involved in the exposures. It concerns all entities and for each entity a separate entry has to be reported. If more than one entity of the group is involved, for each entity a separate line is necessary.

C0120

ID code of the Entity of the group

Identification code of the undertaking, using the following priority:

—	Legal Entity Identifier (LEI) mandatory if existing;

—	Specific code in case of absence of LEI code.

When the undertaking uses the option ‘Specific code’ the following shall be considered:

—	For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority;

—

identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits

C0125

ID code Type of the Entity of the group

Type of ID Code used for the ‘Identification code of the Entity of the group’ item. One of the options in the following closed list shall be used:

1 – LEI

2 – Specific code

C0180

Equity

The total amount of the exposures in equity instruments toward the external counterparty. If more than one entity of the group is involved, for each entity a separate line is necessary.

C0190

Bonds

The total amount of the exposures in bond instruments toward the external counterparty. If more than one entity of the group is involved, for each entity a separate line is necessary. In this cell the exposures for which the Exemptions are applicable (C0260) should be included.

C0200

Assets whose risks are mainly borne by the policyholders

The total amount of exposures in assets whose risks are mainly borne by the policyholders toward the external counterparty. If more than one entity of the group is involved, for each entity a separate line is necessary. Look-through approach should be used only when available.

C0210

Derivatives

The total amount of the exposures in derivatives toward the external counterparty. If more than one entity of the group is involved, for each entity a separate line is necessary. The derivatives shall be reported at their replacement cost If there is possibility of compensations among the different exposures the data may be provided in net values (i.e. long exposure+short exposure).

C0220

Other investments

The total amount of the exposures in other investments toward the external counterparty. If more than one entity of the group is involved, for each entity a separate line is necessary

C0230

Loans and mortgages

The total amount of the exposures in loans and mortgages toward the external counterparty. If more than one entity of the group is involved, for each entity a separate line is necessary

C0240

Guarantees and Commitments

The total amount of the exposures (i.e. maximum actual exposure depending on the liability of the entity) in guarantees and commitments (including unpaid tranches of loans) toward the external counterparty. If more than one entity of the group is involved, for each entity a separate line is necessary

Guarantees issued by the entities of the group should be reported in this column, while guarantees where the group entities are beneficiaries should be reported as credit or insurance risk mitigation deduction (C0260) and in the indirect exposures (C0220).

C0250

Insurance policies

The total amount of the exposure in the insurance policies (liability limit or sum insured depending which one represents the maximum possible exposure)

C0260

External reinsurance

The total amount of the exposures in external reinsurance toward the external counterparty. In accordance with sectoral rules amount reported should be reinsurance recoverables. If more than one entity of the group is involved, for each entity a separate line is necessary.

C0270

Others direct exposures

The total amount of the exposures in other instruments toward the external counterparty. If more than one entity of the group is involved, for each entity a separate line is necessary. If there is possibility of compensation the net value may be presented.

C0280

Description of others

Description of the other instruments that are reported in C0200

C0290

Indirect exposures

Total amount of the exposures allocated to the guarantor or to the issuer of the collateral rather than to the immediate borrower. The protected reference original exposure (direct exposure) shall be deducted from the exposure to the original borrower in the columns of ‘Eligible credit risk mitigation techniques’. The indirect exposure shall increase the exposure to the guarantor or issuer of collateral via substitution effect.

C0300

Transactions where there is an exposure to underlying assets

Total amount of exposure through transactions such as securitisation positions or exposures in the form of units or shares in collective investment undertakings (‘CIUs’) or through other transactions where there is an exposure to underlying assets,

C0160

Currency

Identify the ISO 4217 alphabetic code of the currency of the exposure

C0150

Total amount of the exposure

Total exposure towards a single counterparty, where the asset and liabilities due from and to a single counterparty are netted off to define the total net maximum exposure, where possible. The Total exposure measures the market direction towards a single counterparty and is defined as: Long exposure + short exposure (in contrary to a gross maximum exposure which is not requested here (= long exposure + absolute value of short exposure)). No account shall be taken of any risk mitigation instruments or techniques when determining this item.

C0310

Credit or insurance risk mitigation technique

Any deduction that come from the application of insurance or risk mitigation technique allowed such as reinsurance, the use of derivatives.

With regard to insurance exposures, in case of non-proportional reinsurance encompassing more than one counterparty, the deductions should be allocated proportionally or, alternatively, according to justifiable break-down agreed with the group supervisor.

C0320

Exemptions

Any deduction that come from the application of exemptions according to Article 187 of Delegated Regulation (EU) 2015/35)

C0330

Amount of the exposures after Credit or insurance risk mitigation technique and exemptions

Amount of the exposures after Credit or insurance risk mitigation technique and exemptions (net amount)

S.37.02 – Risk Concentration – Exposure by currency, sector, country

General comments:

The tables shall include the risk concentration between entities in the scope of group supervision and third parties. All exposures should be represented by currency, sector and country, starting from the maximum exposure to the minimum one. In case the country, sector or currency is not relevant the figures may be reported under an ‘Other’ category.

The ‘sector’ should be presented in the split for NACE code 1st level of disaggregation (letter). The tables shall be based on all the exposures (full balance sheet) after credit or insurance risk mitigation technique and exemptions (net amount).

	ITEM	INSTRUCTIONS
C0010	Currency area	Currency of exposure. Exposures should be reported in order of importance.
C0030	Exposure net	Exposure after insurance risk mitigation technique and exemptions (net amount).
C0040	%	Exposure share of total assets.
C0050	Sector	Sector of exposure. Exposures should be reported in order of importance.
C0060	Country	Country of exposure. Exposures should be reported in order of importance.
C0070/R0010	Total exposure net by currency	The sum of net exposures reported by currency.
C0070/R0020	Total exposure net by sector	The sum of net exposures reported by sector.
C0070/R0030	Total exposure net by country	The sum of net exposures reported by country.

S.37.03 – Risk Concentration – Exposure by asset class and rating

General comments:

The tables shall include all the risk concentration between entities in the scope of group supervision and third parties represented by the combination of the main asset classes and rating. For bonds the tables are presented by the combination of asset class and rating of the security. For equity exposure, the total exposure amount and the equity exposures’ share of total assets (full balance sheet) shall be reported

The table shall be based on all the exposures within the specified asset classes, after credit or insurance risk mitigation technique and exemptions (net amount).

Where two or more credit assessments are available from nominated ECAIs and they correspond to different parameters for a rated item, the assessment generating the higher capital requirement shall be used.

ITEM

INSTRUCTIONS

C0010/R0010

Total – Exposure net

Total equity exposure after insurance risk mitigation technique and exemptions (net amount).

Z0010

Types of bonds

Split between the following bond classes:

1 – Government, International financial organisation and Central banks bonds

2 – Regional governments, local authorities and public sector entities bonds

3 – Corporate bonds

C0010/R0020-R0070

Exposure net

Exposure after insurance risk mitigation technique and exemptions (net amount).

C0020/R0020-R0070

Exposure share of total assets.

(1) 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,

(2) 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

Recitals

CHAPTER I - TEMPLATES FOR SUPERVISORY REPORTING (Article 1-4)

CHAPTER II - QUANTITATIVE REPORTING TEMPLATES FOR INDIVIDUAL UNDERTAKINGS (Article 5-26)

CHAPTER III - QUANTITATIVE REPORTING TEMPLATES FOR GROUPS (Article 27-38)

CHAPTER IV - FINAL PROVISIONS (Article 39-40)

ANNEX I Q&A ANNEX II Q&A ANNEX III ANNEX IV ANNEX V ANNEX VI Q&A

Metadata

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