Article 19
Annual quantitative templates for individual undertakings and captive insurance undertakings – Solvency Capital Requirement information
1. Insurance and reinsurance undertakings and captive insurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
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(a) |
where the undertaking uses the standard formula for the calculation of the Solvency Capital Requirement, template S.25.01.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.01 of Annex II; |
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(b) |
where the undertaking uses a partial internal model or a full internal model for the calculation of the Solvency Capital Requirement, template S.25.05.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.05 of Annex II; |
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(c) |
template S.26.01.01 of Annex I, specifying information on market risk, following the instructions set out in section S.26.01 of Annex II; |
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(d) |
template S.26.02.01 of Annex I, specifying information on counterparty default risk, following the instructions set out in section S.26.02 of Annex II; |
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(e) |
template S.26.03.01 of Annex I, specifying information on life underwriting risk, following the instructions set out in section S.26.03 of Annex II; |
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(f) |
template S.26.04.01 of Annex I, specifying information on health underwriting risk, following the instructions set out in section S.26.04 of Annex II; |
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(g) |
template S.26.05.01 of Annex I, specifying information on non-life underwriting risk, following the instructions set out in section S.26.05 of Annex II; |
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(h) |
template S.26.06.01 of Annex I, specifying information on operational risk, following the instructions set out in section S.26.06 of Annex II; |
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(i) |
template S.26.07.01 of Annex I, specifying information on the simplifications used in the calculation of the Solvency Capital Requirement, following the instructions set out in section S.26.07 of Annex II; |
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(j) |
template S.26.08.01 of Annex I, specifying further information on the internal model used for the Solvency Capital Requirement, for undertakings using a partial internal model or a full internal model, following the instructions set out in section S.26.08 of Annex II; |
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(k) |
template S.26.09.01 of Annex I, specifying information on internal model market and credit risk for financial instruments, following the instructions set out in section S.26.09 of Annex II; |
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(l) |
template S.26.10.01 of Annex I, specifying information on internal model portfolio view details of credit event risk, following the instructions set out in section S.26.10 of Annex II; |
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(m) |
template S.26.11.01 of Annex I, specifying information on internal model details for financial instruments of credit risk, following the instructions set out in section S.26.11 of Annex II; |
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(n) |
template S.26.12.01 of Annex I, specifying information on internal model for non-financial instruments of credit risk, following the instructions set out in section S.26.12 of Annex II; |
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(o) |
template S.26.13.01 of Annex I, specifying information on internal model non-life and health NSLT underwriting risk, following the instructions set out in section S.26.13 of Annex II; |
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(p) |
template S.26.14.01 of Annex I, specifying information on internal model life and health underwriting risk, following the instructions set out in section S.26.14 of Annex II; |
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(q) |
template S.26.15.01 of Annex I, specifying information on internal model operational risk, following the instructions set out in section S.26.15 of Annex II; |
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(r) |
template S.26.16.01 of Annex I, specifying information on internal model changes, following the instructions set out in section S.26.16 of Annex II; |
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(s) |
template S. 27.01 specifying information on non-life catastrophe risk, following the instructions set out in section S. 27.01 of Annex II as follows:
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2. In the case of ring-fenced funds or matching adjustment portfolios, the information in the templates referred to in paragraph 1, points (c) to (s), shall not be reported for the entity as a whole.
3. Where a partial internal model is used, the information in the templates referred to in paragraph 1, points (c) to (s), shall only be reported in relation to the risks covered by the standard formula and the templates referred to in of paragraph 1, points (j) to (r), shall only be reported in relation to the risks covered by the internal model.
4. Where a full internal model is used, the information in the templates referred to in paragraph 1, points (c) to (s), shall not be reported and the templates referred to in paragraph 1, points (j) to (r) shall be reported.