Article 37
Annual quantitative templates for groups – ring-fenced funds, material matching adjustment portfolios and remaining part information
1. Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies which, for the calculation of group solvency, use method 1 as defined in Article 230 of Directive 2009/138/EC, either exclusively or in combination with method 2 as defined in Article 233 of that Directive, shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates in relation to all material ring-fenced funds and all material matching adjustment portfolios related to the part that is consolidated as referred to in Article 335(1), points (a) and (c), of Delegated Regulation (EU) 2015/35, as well as in relation to the remaining part, and by complying with the following instructions:
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(a) |
template SR.01.01.04 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex III; |
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(b) |
where the group uses the standard formula for the calculation of the Solvency Capital Requirement, template SR.25.01.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.01 of Annex III; |
|
(c) |
where the group uses a partial internal model or a full internal model for the calculation of the Solvency Capital Requirement, template SR.25.05.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.05 of Annex III; |
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(d) |
template SR.26.01.01 of Annex I, specifying information on market risk, following the instructions set out in section S.26.01 of Annex III; |
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(e) |
template SR.26.02.01 of Annex I, specifying information on counterparty default risk, following the instructions set out in section S.26.02 of Annex III; |
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(f) |
template SR.26.03.01 of Annex I, specifying information on life underwriting risk, following the instructions set out in section S.26.03 of Annex III; |
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(g) |
template SR.26.04.01 of Annex I, specifying information on health underwriting risk, following the instructions set out in section S.26.04 of Annex III; |
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(h) |
template SR.26.05.01 of Annex I, specifying information on non-life underwriting risk, following the instructions set out in section S.26.05 of Annex III; |
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(i) |
template SR.26.06.01 of Annex I, specifying information on operational risk following, the instructions set out in section S.26.06 of Annex III; |
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(j) |
template SR.26.07.01 of Annex I, specifying information on the simplifications used in the calculation of the Solvency Capital Requirement, following the instructions set out in section S.26.07 of Annex III; |
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(k) |
template SR.26.08.01 of Annex I, specifying further information on the internal model used for the Solvency Capital Requirement, for undertakings using a partial internal model or a full internal model, following the instructions set out in section S.26.08 of Annex III; |
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(l) |
template SR.27.01.01 of Annex I, specifying information on non-life catastrophe risk, following the instructions set out in section S.27.01 of Annex III. |
2. Where a partial internal model is used, the templates referred to in paragraph 1, points (d) to (j) and (l), shall only be reported in relation to the risks covered by the standard formula and the template referred in paragraph 1, point (k), shall be reported in relation to the risks covered by the internal model.
3. Where a full internal model is used, the templates referred to in paragraph 1, points (d) to (j) and (l), shall not be reported and the template referred to in paragraph 1, point (k), shall be reported.
4. Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies which, for the calculation of group solvency, use method 1 as defined in Article 230 of Directive 2009/138/EC, either exclusively or in combination with method 2 as defined in Article 233 of that Directive, shall, in addition to the information submitted using the templates referred to in paragraph 1, annually submit balance sheet information in relation to all material ring-fenced funds related to the part that is consolidated as referred to in Article 335(1), points (a) or (c), of Delegated Regulation (EU) 2015/35, as well as in relation to the remaining part, as referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using template SR.02.01.01 of Annex I to this Regulation, following the instructions set out in section S.02.01 of Annex III to this Regulation.