Article 24
Annual quantitative templates for individual undertakings and captive insurance and captive reinsurance undertakings – Ring-fenced funds, material matching adjustment portfolios and remaining part information
1. Insurance and reinsurance undertakings and captive insurance and captive reinsurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 in relation to each material ring-fenced fund, each material matching adjustment portfolio and the remaining part, using the following templates and complying with the following instructions:
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(a) |
template SR.01.01.01 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex II; |
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(b) |
for each material ring-fenced fund and for the remaining part, template SR.02.01.01 of Annex I, specifying balance sheet information using both the valuation in accordance with Article 75 of Directive 2009/138/EC and the valuation following the undertaking’s financial statements, following the instructions set out in section S.02.01 of Annex II to this Regulation; |
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(c) |
template SR.12.01.01 of Annex I, specifying information on life and health SLT technical provisions for each line of business as defined in Annex I of Delegated Regulation (EU) 2015/35, following the instructions set out in section S.12.01 of Annex II to this Regulation; |
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(d) |
template SR.17.01.01 of Annex I, specifying information on non-life technical provisions for each line of business as defined in Annex I of Delegated Regulation (EU) 2015/35, following the instructions set out in section S.17.01 of Annex II to this Regulation; |
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(e) |
template SR.22.02.01 of Annex I, specifying information on the projection of future cash flows for the best estimate calculation by each material matching adjustment portfolio, following the instructions set out in section S.22.02 of Annex II; |
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(f) |
template SR.22.03.01 of Annex I, specifying information on the matching adjustment portfolios by each material matching adjustment portfolio, following the instructions set out in section S.22.03 of Annex II; |
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(g) |
where the undertaking uses the standard formula for the calculation of the Solvency Capital Requirement, template SR.25.01.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.01 of Annex II; |
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(h) |
where the undertaking uses the a partial internal model or a full internal model for the calculation of the Solvency Capital Requirement, template SR.25.05.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.05 of Annex II; |
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(i) |
template SR.26.01.01 of Annex I, specifying information on market risk, following the instructions set out in section S.26.01 of Annex II; |
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(j) |
template SR.26.02.01 of Annex I, specifying information on counterparty default risk, following the instructions set out in section S.26.02 of Annex II; |
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(k) |
template SR.26.03.01 of Annex I, specifying information on life underwriting risk, following the instructions set out in section S.26.03 of Annex II; |
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(l) |
template SR.26.04.01 of Annex I, specifying information on health underwriting risk, following the instructions set out in section S.26.04 of Annex II; |
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(m) |
template SR.26.05.01 of Annex I, specifying information on non-life underwriting risk, following the instructions set out in section S.26.05 of Annex II; |
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(n) |
template SR.26.06.01 of Annex I, specifying information on operational risk, following the instructions set out in section S.26.06 of Annex II; |
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(o) |
template SR.26.07.01 of Annex I, specifying information on the simplifications used in the calculation of the Solvency Capital Requirement, following the instructions set out in section S.26.07 of Annex II; |
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(p) |
for undertakings using a partial internal model or a full internal model, template SR.26.08.01 of Annex I, specifying further information on the internal model used for the Solvency Capital Requirement, following the instructions set out in section S.26.08 of Annex II; |
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(q) |
template SR.27.01.01 of Annex I, specifying information on non-life catastrophe risk, following the instructions set out in section S.27.01 of Annex II. |
2. Where a partial internal model is used, the information in the templates referred to in paragraph 1, points (i) to (o) and (q), shall only be reported in relation to the risks covered by the standard formula and the information in the template referred to in paragraph 1, point (p), shall be reported in relation to the risks covered by the internal model.
3. Where a full internal model is used, the information in the templates referred to in paragraph 1, points (i) to (o) and (q), shall not be reported and the information in the template referred to in paragraph 1, point (p), shall be reported.