Home Über uns Sitemap Login Registrieren
Commission Implementing Regulation (EU) 2015/2450 of 2 December 2015 laying down ... (32015R2450)
EU - Rechtsakte: 06 Right of establishment and freedom to provide services

COMMISSION IMPLEMENTING REGULATION (EU) 2015/2450

of 2 December 2015

laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities according to Directive 2009/138/EC of the European Parliament and of the Council

(Text with EEA relevance)

THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union,
Having regard to Directive 2009/138/EC of 25 November 2009 of the European Parliament and of the Council on the taking up and pursuit of the business of Insurance and Reinsurance (Solvency II)(1), and in particular the third subparagraph of Article 35(10), the third subparagraph of Article 244(6) and the second subparagraph of Article 245(6) thereof,
Whereas:
(1) For the purposes of facilitating effective supervision of insurance and reinsurance undertakings, it is appropriate to establish the templates for the submission of information referred to in Article 35(1) and (2) of Directive 2009/138/EC for individual undertakings and in Article 244(2) and Article 245(2) of that Directive for groups to the supervisory authorities.
(2) An adequate level of detail of the information to be submitted is crucial for a proper implementation of a risk-based supervisory review process. The templates are a visual representation of the information to be reported and specify the level of detail of that information.
(3) The harmonisation of the templates to be used when submitting information to supervisory authorities is an essential instrument to promote supervisory convergence. For this reason the information to be reported in accordance with Directive 2009/138/EC should be submitted as specified in the templates provided for by this Regulation.
(4) In practice, the information will be reported in electronic form as set out in Article 313 of Commission Delegated Regulation (EU) 2015/35(2).
(5) Insurance and reinsurance undertakings and groups should only submit the information applicable for their business. For example, certain options provided for by Directive 2009/138/EC, like the use of the matching adjustment for the calculation of the technical provisions or the use of a full or partial internal model or of underwriting-specific parameters for the calculation of the solvency capital requirement, affect the scope of the information to be submitted. In most cases, only a subset of the templates provided for in this Regulation should be submitted, as not all the templates are applicable for all undertakings.
(6) The provisions of this Regulation are closely linked to each other, since they all deal with the submission of information from insurance and reinsurance undertakings and groups to the supervisory authorities. To ensure coherence between those provisions, which should enter into force at the same time, to facilitate a comprehensive understanding of those provisions and to ensure easy access to them by persons subject to the reporting obligations, including investors not established in the Union, it is desirable to include all the implementing technical standards required by Article 35(10), Article 244(6) and Article 245(6) of Directive 2009/138/EC in a single Regulation.
(7) This Regulation is based on the draft implementing technical standards submitted by the European Insurance and Occupational Pensions Authority to the Commission.
(8) The European Insurance and Occupational Pensions Authority has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Insurance and Reinsurance Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1094/2010 of the European Parliament and of the Council(3).
(9) In order to ensure that supervisory reporting is effectively applied in a uniform manner from the date on which the reporting obligations apply, this Regulation should enter into force as soon as possible and apply from 1 January 2016,
HAS ADOPTED THIS REGULATION:

CHAPTER I

GENERAL PROVISIONS AND SUPERVISORY REPORTING REQUIREMENTS

Article 1

Subject matter

This Regulation lays down implementing technical standards on regular supervisory reporting by establishing the templates for the submission of information to the supervisory authorities referred to in Article 35(1) and (2) of Directive 2009/138/EC for individual insurance and reinsurance undertakings and in Article 244(2) and Article 245(2) of Directive 2009/138/EC for groups.

Article 2

Supervisory reporting formats

Insurance and reinsurance undertakings, participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit the information referred to in this Regulation in the data exchange formats and representations determined by the supervisory authorities or by the group supervisor and in accordance with the following specifications:
(a) data points with the data type ‘monetary’ shall be expressed in units with no decimals with the exception of templates S.06.02, S.08.01, S.08.02 and S.11.01, which shall be expressed in units with two decimals;
(b) data points with the data type ‘percentage’ shall be expressed as per unit with four decimals;
(c) data points with the data type ‘integer’ shall be expressed in units with no decimals.

Article 3

Currency

1.   For the purposes of this Regulation ‘reporting currency’, unless otherwise required by the supervisory authority, shall be:
(a) for individual reporting, the currency used for the preparation of the insurance or reinsurance undertaking's financial statements;
(b) for group reporting, the currency used for the preparation of the consolidated financial statements.
2.   Data points with the data type ‘monetary’ shall be reported in the reporting currency, which requires the conversion of any other currency into the reporting currency unless otherwise stated in this Regulation.
3.   When expressing the value of any asset or liability denominated in a currency other than the reporting currency, the value shall be converted into the reporting currency as if the conversion had taken place at the closing rate on the last day for which the appropriate rate is available in the reporting period to which the asset or liability relates.
4.   When expressing the value of any income or expense, the value shall be converted into the reporting currency using such basis of conversion as that used for accounting purposes.
5.   The conversion into the reporting currency shall be calculated by applying the exchange rate from the same source as that used for the insurance or reinsurance undertaking's financial statements in the case of individual reporting or for the consolidated financial statements in the case of group reporting, unless otherwise required by the supervisory authority.

Article 4

Re-submission of data

Insurance and reinsurance undertakings, participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall re-submit as soon as practicable the information reported using the templates referred to in this Regulation when the information originally reported has materially changed in relation to the same reporting period after the last submission to the supervisory authorities or to the group supervisor.

CHAPTER II

QUANTITATIVE REPORTING TEMPLATES FOR INDIVIDUAL UNDERTAKINGS

Article 5

Quantitative templates for the opening information for individual undertakings

Insurance and reinsurance undertakings shall submit the information referred to in Article 314(1)(a) and (c) of Commission Delegated Regulation (EU) 2015/35 using the following templates:
(a) template S.01.01.03 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex II;
(b) template S.01.02.01 of Annex I, specifying basic information on the undertaking and the content of reporting in general, following the instructions set out in section S.01.02 of Annex II;
(c) template S.01.03.01 of Annex I, specifying basic information on the ring-fenced funds and matching adjustment portfolios, following the instructions set out in section S.01.03 of Annex II;
(d) template S.02.01.02 of Annex I, specifying balance sheet information using the valuation in accordance with Article 75 of Directive 2009/138/EC, following the instructions set out in section S.02.01 of Annex II to this Regulation;
(e) template S.23.01.01 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex II;
(f) 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;
(g) where the undertaking uses the standard formula and a partial internal model for the calculation of the Solvency Capital Requirement, template S.25.02.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.02 of Annex II;
(h) where the undertaking uses a full internal model for the calculation of the Solvency Capital Requirement, template S.25.03.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.03 of Annex II;
(i) where insurance and reinsurance undertakings are engaged in only life or only non-life insurance or reinsurance activity, template S.28.01.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.01 of Annex II;
(j) where insurance undertakings are engaged in both life and non-life insurance activity, template S.28.02.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.02 of Annex II.

Article 6

Quarterly quantitative templates for individual undertakings

1.   Insurance and reinsurance undertakings shall submit quarterly, unless the scope or frequency of the reporting is limited in accordance with Article 35(6) of Directive 2009/138/EC, the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:
(a) template S.01.01.02 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex II;
(b) template S.01.02.01 of Annex I, specifying basic information on the undertaking and the content of reporting in general, following the instructions set out in section S.01.02 of Annex II;
(c) template S.02.01.02 of Annex I, specifying balance sheet information using the valuation in accordance with Article 75 of Directive 2009/138/EC, following the instructions set out in section S.02.01 of Annex II to this Regulation;
(d) template S.05.01.02 of Annex I, specifying information on premiums, claims and expenses applying the valuation and recognition principles used in the undertaking's financial statements for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.05.01 of Annex II to this Regulation;
(e) template S.06.02.01 of Annex I, providing an item–by-item list of assets, following the instructions set out in section S.06.02 of Annex II and using the Complementary Identification Code (‘CIC code’) as set out in Annex V and defined in Annex VI;
(f) where the ratio of collective investments held by the undertaking to total investments is higher than 30 %, template S.06.03.01 of Annex I, providing information on the look-through of all collective investments held by the undertaking, following the instructions set out in section S.06.03 of Annex II;
(g) template S.08.01.01 of Annex I, providing an item-by-item list of open positions of derivatives, following the instructions set out in section S.08.01 of Annex II and using the CIC code as set out in Annex V and defined in Annex VI;
(h) template S.08.02.01 of Annex I, providing an item-by-item list of derivatives closed during the reporting period, following the instructions set out in section S.08.02 of Annex II and using the CIC code as set out in Annex V and defined in Annex VI;
(i) template S.12.01.02 of Annex I, specifying information on the technical provisions relating to life insurance and health insurance pursued on a similar technical basis to that of life insurance (‘health SLT’) for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.12.01 of Annex II to this Regulation;
(j) template S.17.01.02 of Annex I, specifying information on non-life technical provisions for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.17.01 of Annex II to this Regulation;
(k) template S.23.01.01 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex II;
(l) where insurance and reinsurance undertakings are engaged in only life or only non-life insurance or reinsurance activity, template S.28.01.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.01 of Annex II;
(m) where insurance undertakings are engaged in both life and non-life insurance activity, template S.28.02.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.02 of Annex II.
2.   For the purposes of point (f) of paragraph 1, the ratio of collective investments held by the undertaking to total investments shall be determined by the sum of items C0010/R0180, collective investment undertakings included in item C0010/R0220 and collective investment undertakings included in item C0010/R0090 of template S.02.01.02, divided by the sum of items C0010/R0070 and C0010/R0220 of template S.02.01.02.

Article 7

Simplifications allowed on quarterly reporting for individual undertakings

1.   With regard to the information referred to in point (c) of Article 6(1), quarterly measurements may rely on estimates and estimation methods to a greater extent than measurements of annual financial data. The measurement procedures for the quarterly reporting shall be designed to ensure that the resulting information is reliable and complies with the standards laid down in Directive 2009/138/EC and that all material information that is relevant for the understanding of the data is reported.
2.   When submitting the information referred to in points (i) and (j) of Article 6(1), insurance and reinsurance undertakings may apply simplified methods in the calculation of the technical provisions.

Article 8

Annual quantitative templates for individual undertakings — Basic information and content of submission

Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:
(a) template S.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;
(b) template S.01.02.01 of Annex I, specifying basic information on the undertaking and the content of the reporting in general, following the instructions set out in section S.01.02 of Annex II;
(c) template S.01.03.01 of Annex I, specifying basic information on the ring-fenced funds and matching adjustment portfolios, following the instructions set out in section S.01.03 of Annex II.

Article 9

Annual quantitative templates for individual undertakings — Balance sheet and other general information

Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:
(a) template S.02.01.01 of Annex I, specifying balance sheet information using 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;
(b) template S.02.02.01 of Annex I, specifying information on assets and liabilities by currency, following the instructions set out in section S.02.02 of Annex II;
(c) template S.03.01.01 of Annex I, specifying general information on off-balance sheet items, following the instructions set out in section S.03.01 of Annex II;
(d) template S.03.02.01 of Annex I, providing a list of off-balance sheet unlimited guarantees received, following the instructions set out in section S.03.02 of Annex II;
(e) template S.03.03.01 of Annex I, providing a list of off-balance sheet unlimited guarantees provided, following the instructions set out in section S.03.03 of Annex II;
(f) template S.04.01.01 of Annex I, specifying information on activity by country, including EEA and non-EEA, applying the valuation and recognition principles used in the undertaking's financial statements for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.04.01 of Annex II to this Regulation;
(g) template S.04.02.01 of Annex I, specifying information on class 10 in Part A of Annex I of Directive 2009/138/EC, excluding carrier's liability, following the instructions set out in section S.04.02 of Annex II to this Regulation;
(h) template S.05.01.01 of Annex I, specifying information on premiums, claims and expenses applying the valuation and recognition principles used in the undertaking's financial statements for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.05.01 of Annex II to this Regulation;
(i) template S.05.02.01 of Annex I, specifying information on premiums, claims and expenses by country, applying the valuation and recognition principles used in the undertaking's financial statements, following the instructions set out in section S.05.02 of Annex II.

Article 10

Annual quantitative templates for individual undertakings — Investments information

Insurance and reinsurance undertakings shall submit annually, unless exempted under Article 35(7) of Directive 2009/138/EC in relation to a specific template, the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:
(a) where the undertaking is exempted from the annual submission of information in templates S.06.02.01 or S.08.01.01 in accordance with Article 35(7) of Directive 2009/138/EC, template S.06.01.01 of Annex I to this Regulation, providing summary information of assets, following the instructions set out in section S.06.01 of Annex II to this Regulation;
(b) where the undertaking is exempted from reporting the template S.06.02.01 in relation to the last quarter in accordance with Article 35(6) of Directive 2009/138/EC, template S.06.02.01 of Annex I to this Regulation, providing an item-by-item list of assets, following the instructions set out in section S.06.02 of Annex II to this Regulation and using the CIC code as set out in Annex V and defined in Annex VI to this Regulation;
(c) where the undertaking is exempted from reporting the template S.06.03.01 in relation to the last quarter in accordance with Article 35(6) of Directive 2009/138/EC or has not reported it quarterly because the ratio of collective investments held by the undertaking to total investments, as referred to in Article 6(1)(f) of this Regulation, is not higher than 30 %, template S.06.03.01 of Annex I to this Regulation, providing information on the look-through of all collective investments held by the undertakings, following the instructions set out in section S.06.03 of Annex II to this Regulation;
(d) where the value of structured products, determined as the sum of assets classified in categories 5 and 6, as defined in Annex V, represents more than 5 % of the total investments as reported in items C0010/R0070 and C0010/R0220 of template S.02.01.01, template S.07.01.01 of Annex I, providing an item-by-item list of structured products, following the instructions set out in section S.07.01 of Annex II;
(e) where the undertakings are exempted from reporting the template S.08.01.01 in relation to the last quarter in accordance with Article 35(6) of Directive 2009/138/EC, template S.08.01.01 of Annex I to this Regulation, providing an item-by-item list of open positions of derivatives, following the instructions set out in section S.08.01 of Annex II to this Regulation and using the CIC code as set out in Annex V and defined in Annex VI to this Regulation;
(f) where the undertakings are exempted from reporting the template S.08.02.01 in relation to the last quarter in accordance with Article 35(6) of Directive 2009/138/EC, template S.08.02.01 of Annex I to this Regulation, providing an item-by-item list of derivatives closed during the reporting period, following the instructions set out in section S.08.02 of Annex II to this Regulation and using the CIC code as set out in Annex V and defined in Annex VI to this Regulation;
(g) template S.09.01.01 of Annex I, specifying information on income, gains and losses in the reporting period by asset category as defined in Annex IV, following the instructions set out in section S.09.01 of Annex II;
(h) where the value of the underlying securities, on and off balance sheet, involved in lending or repurchase agreements, for contracts with maturity dates falling after the reporting reference date, represents more than 5 % of the total investments as reported in items C0010/R0070 and C0010/R0220 of template S.02.01.01, template S.10.01.01 of Annex I, providing an item-by-item list of securities lending and repurchase agreements, on and off-balance sheet, following the instructions set out in section S.10.01 of Annex II;
(i) template S.11.01.01 of Annex I, providing an item-by-item list of assets held as collateral, consisting of all types of off-balance sheet asset categories held as collateral, following the instructions set out in section S.11.01 of Annex II.

Article 11

Annual quantitative templates for individual undertakings — Technical provisions information

Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:
(a) template S.12.01.01 of Annex I, specifying information on life and health SLT technical provisions by line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.12.01 of Annex II to this Regulation;
(b) template S.12.02.01 of Annex I, specifying information on life and health SLT technical provisions by country, following the instructions set out in section S.12.02 of Annex II;
(c) template S.13.01.01 of Annex I, specifying information on the projection of best estimate future cash flows of the life business, following the instructions set out in section S.13.01 of Annex II;
(d) template S.14.01.01 of Annex I, specifying information on life obligations analysis, including life insurance and reinsurance contracts and annuities stemming from non-life contracts, by product and by homogeneous risk group issued by the undertaking, following the instructions set out in section S.14.01 of Annex II;
(e) template S.15.01.01 of Annex I, specifying information on description of the guarantees of variable annuities by product issued by the undertaking under direct insurance business, following the instructions set out in section S.15.01 of Annex II;
(f) template S.15.02.01 of Annex I, specifying information on the hedging of guarantees of variable annuities by product issued by the undertaking under direct insurance business, following the instructions set out in section S.15.02 of Annex II;
(g) template S.16.01.01 of Annex I, specifying information on annuities stemming from non-life insurance obligations issued by the undertaking under direct insurance business originating annuities, regarding all lines of business as defined in Annex I to Delegated Regulation (EU) 2015/35 and additionally by currency, following the instructions set out in section S.16.01 of Annex II to this Regulation; the information by currency shall only be reported where the best estimate for the annuity claims provisions on a discounted basis from one non-life line of business represents more than 3 % of the total best estimate for all annuity claims provisions, with the following split:
(i) amounts for the reporting currency;
(ii) amounts for any currency that represents more than 25 % of the best estimate for the annuity claims provisions on a discounted basis in the original currency from that non-life line of business;
(iii) amounts for any currency that represents less than 25 % of the best estimate for the annuity claims provisions (discounted basis) in the original currency from that non-life line of business but more than 5 % of total best estimate for all annuity claims provisions;
(h) template S.17.01.01 of Annex I, specifying information on non-life technical provisions by lines of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.17.01 of Annex II to this Regulation;
(i) template S.17.02.01 of Annex I, specifying information on non-life technical provisions referred to direct insurance business by country, following the instructions set out in section S.17.02 of Annex II;
(j) template S.18.01.01 of Annex I, specifying information on the projection of future cash flows based on best estimate of the non-life business, following the instructions set out in section S.18.01 of Annex II;
(k) template S.19.01.01 of Annex I, specifying information on non-life insurance claims in the format of development triangles, for the total of each non-life line of business as defined in Annex I to Delegated Regulation (EU) 2015/35 and additionally by currency, following the instructions set out in section S.19.01 of Annex II to this Regulation; the information by currency shall only be reported where the total gross best estimate for one non-life line of business represents more than 3 % of the total gross best estimate of the claims provision, with the following split:
(i) amounts for the reporting currency;
(ii) amounts for any currency that represents more than 25 % of the gross best estimate of the claims provisions in the original currency from that non-life line of business;
(iii) amounts for any currency that represents less than 25 % of the gross best estimate of the claims provisions in the original currency from that non-life line of business but more than 5 % of total gross best estimate of the claims provisions in the original currency;
(l) template S.20.01.01 of Annex I, specifying information on the development of the distribution of the claims incurred at the end of the financial year for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.20.01 of Annex II to this Regulation;
(m) template S.21.01.01 of Annex I, specifying information on loss distribution risk profile of non-life business for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.21.01 of Annex II to this Regulation;
(n) template S.21.02.01 of Annex I, specifying information on the non-life underwriting risks, following the instructions set out in section S.21.02 of Annex II;
(o) template S.21.03.01 of Annex I, specifying information on non-life underwriting risks by sum insured by line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions in S.21.03 of Annex II to this Regulation.

Article 12

Annual quantitative templates for individual undertakings — Long-term guarantees information

Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:
(a) template S.22.01.01 of Annex I, specifying information on the impact of the long term guarantees and transitional measures, following the instructions set out in section S.22.01 of Annex II;
(b) template S.22.04.01 of Annex I, specifying information on the interest rate transitional measure, following the instructions set out in section S.22.04 of Annex II;
(c) template S.22.05.01 of Annex I, specifying information on the transitional measure on technical provisions, following the instructions set out in section S.22.05 of Annex II;
(d) template S.22.06.01 of Annex I, specifying information on the best estimate subject to volatility adjustment by country and currency, following the instructions set out in section S.22.06 of Annex II.

Article 13

Annual quantitative templates for individual undertakings — Own funds and participations information

Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:
(a) template S.23.01.01 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex II;
(b) template S.23.02.01 of Annex I, providing detailed information on own funds by tiers, following the instructions set out in section S.23.02 of Annex II;
(c) template S.23.03.01 of Annex I, specifying information on annual movements on own funds, following the instructions set out in section S.23.03 of Annex II;
(d) template S.23.04.01 of Annex I, providing a list of items on own funds, following the instructions set out in section S.23.04 of Annex II;
(e) template S.24.01.01 of Annex I, specifying information on participations held by the undertaking and an overview of the calculation for the deduction from own funds related to participations in financial and credit institutions, following the instructions set out in section S.24.01 of Annex II.

Article 14

Annual quantitative templates for individual undertakings — Solvency Capital Requirement information

1.   Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:
(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;
(b) where the undertaking uses the standard formula and a partial internal model for the calculation of the Solvency Capital Requirement, template S.25.02.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.02 of Annex II;
(c) where the undertaking uses a full internal model for the calculation of the Solvency Capital Requirement, template S.25.03.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.03 of Annex II;
(d) 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;
(e) 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;
(f) 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;
(g) 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;
(h) 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;
(i) 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;
(j) 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;
(k) template S.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.   In case of existence of ring-fenced funds or matching adjustment portfolios, the templates referred to in points (d) to (k) of paragraph 1 shall not be reported for the entity as a whole.
3.   Where a partial internal model is used, the templates referred to in points (d) to (k) of paragraph 1 shall only be reported in relation to the risks covered by the standard formula, unless otherwise decided on the basis of Article 19.
4.   Where a full internal model is used, the templates referred to in points (d) to (k) of paragraph 1 shall not be reported.

Article 15

Annual quantitative templates for individual undertakings — Minimum capital requirement information

Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:
(a) where insurance and reinsurance undertakings are engaged in only life or only non-life insurance or reinsurance activity, template S.28.01.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.01 of Annex II;
(b) where insurance undertakings are engaged in both life and non-life insurance activity, template S.28.02.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.02 of Annex II.

Article 16

Annual quantitative templates for individual undertakings — Variation analysis information

Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:
(a) template S.29.01.01 of Annex I, specifying information on the variation of the excess of assets over liabilities during the reporting year providing a summary of main sources of this variation, following the instructions set out in section S.29.01 of Annex II;
(b) template S.29.02.01 of Annex I, specifying information on the part of variation of the excess of assets over liabilities during the reporting year explained by investments and financial liabilities, following the instructions set out in section S.29.02 of Annex II;
(c) templates S.29.03.01 and S.29.04.01 of Annex I, specifying information on the part of variation of the excess of assets over liabilities during the reporting year explained by technical provisions, following the instructions set out in section S.29.03 and S.29.04 of Annex II.

Article 17

Annual quantitative templates for individual undertakings — Reinsurance and special purpose vehicles information

Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:
(a) template S.30.01.01 of Annex I, specifying information on facultative covers in the next reporting year covering information on the 10 most important risks in terms of reinsured exposure for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35 for which facultative reinsurance is used, following the instructions set out in section S.30.01 of Annex II to this Regulation;
(b) template S.30.02.01 of Annex I, specifying information on shares of reinsurers of facultative covers in the next reporting year covering information on the 10 most important risks in terms of reinsured exposure for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.30.02 of Annex II to this Regulation;
(c) template S.30.03.01 of Annex I, specifying information on the outgoing reinsurance program in the next reporting year covering prospective information on reinsurance treaties the period of validity of which includes or overlaps the next reporting year, following the instructions set out in section S.30.03 of Annex II;
(d) template S.30.04.01 of Annex I, specifying information on the outgoing reinsurance program in the next reporting year covering prospective information on reinsurance treaties the period of validity of which includes or overlaps the next reporting year, following the instructions set out in section S.30.04 of Annex II;
(e) template S.31.01.01 of Annex I, specifying information on the share of reinsurers, following the instructions set out in section S.31.01 of Annex II;
(f) template S.31.02.01 of Annex I, specifying information on special purpose vehicles from the perspective of the insurance or reinsurance undertaking transferring risk to the special purpose vehicles, following the instructions set out in section S.31.02 of Annex II.

Article 18

Annual quantitative templates for individual undertakings — ring-fenced funds, material matching adjustment portfolios and remaining part information

1.   Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1)(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:
(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;
(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;
(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;
(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;
(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;
(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;
(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;
(h) where the undertaking uses the standard formula and a partial internal model for the calculation of the Solvency Capital Requirement, template SR.25.02.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.02 of Annex II;
(i) where the undertaking uses a full internal model for the calculation of the Solvency Capital Requirement, template SR.25.03.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.03 of Annex II;
(j) 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;
(k) 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;
(l) 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;
(m) 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;
(n) 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;
(o) 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;
(p) 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;
(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 templates referred to in points (j) to (q) shall only be reported in relation to the risks covered by the standard formula, unless otherwise decided on the basis of Article 19.
3.   Where a full internal model is used, the templates referred to in points (j) to (q) shall not be reported.

Article 19

Annual quantitative templates for individual undertakings — internal model users

Insurance and reinsurance undertakings that calculate the Solvency Capital Requirement using an approved partial or full internal model shall agree with its supervisory authority on the templates to be submitted annually in relation to the information on the Solvency Capital Requirement.

Article 20

Annual quantitative templates for individual undertakings — intra-group-transactions information

Insurance and reinsurance undertakings which are not part of a group referred to in points (a), (b) or (c) of Article 213(2) of Directive 2009/138/EC and the parent undertaking of which is a mixed-activity insurance holding company shall submit annually the information referred to in the second subparagraph of Article 245(2) of that Directive, in conjunction with Article 265 of that Directive, using the following templates:
(a) template S.36.01.01 of Annex I, specifying information on significant intra-group-transactions, involving equity-type transactions, debt and asset transfer, following the instructions set out in section S.36.01 of Annex II;
(b) template S.36.02.01 of Annex I, specifying information on significant intra-group-transactions on derivatives, including the guarantees supporting any derivatives instruments, following the instructions set out in section S.36.02 of Annex II;
(c) template S.36.03.01 of Annex I, specifying information on significant intra-group-transactions on reinsurance, following the instructions set out in section S.36.03 of Annex II;
(d) template S.36.04.01 of Annex I, specifying information on significant intra-group-transactions on internal cost sharing, contingent liabilities other than derivatives and off-balance sheet items and other types of intra-group transactions, following the instructions set out in section S.36.04 of Annex II.

Article 21

Quantitative templates for individual undertakings — intra-group transactions information

Insurance and reinsurance undertakings which are not part of a group referred to in points (a), (b) or (c) of Article 213(2) of Directive 2009/138/EC and the parent undertaking of which is a mixed-activity insurance holding company shall report very significant intra-group transactions referred to in the second subparagraph of Article 245(2) of that Directive, in conjunction with Article 265 of that Directive, and intra-group transactions to be reported in all circumstances referred to in Article 245(3) of that Directive, in conjunction with Article 265 of that Directive, as soon as practicable using the relevant templates among templates S.36.01.01 to S.36.04.01 of Annex I to this Regulation, following the instructions set out in section S.36.01 to S.36.04 of Annex II to this Regulation.

CHAPTER III

QUANTITATIVE REPORTING TEMPLATES FOR GROUPS

Article 22

Quantitative templates for the opening information for groups

1.   Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit the information referred to in Article 314(1)(a) and (c) of Delegated Regulation (EU) 2015/35, in conjunction with Article 375(1) of that Delegated Regulation, using the following templates:
(a) template S.01.01.06 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex III;
(b) template S.01.02.04 of Annex I, specifying basic information on the group and the content of the reporting in general, following the instructions set out in section S.01.02 of Annex III;
(c) template S.01.03.04 of Annex I, specifying basic information on the ring-fenced funds and the matching adjustment portfolios, following the instructions set out in section S.01.03 of Annex III;
(d) template S.02.01.02 of Annex I, specifying balance sheet information, following the instructions set out in section S.02.01 of Annex III;
(e) template S.23.01.04 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex III;
(f) where the group uses the standard formula for the calculation of the Solvency Capital Requirement, template S.25.01.04 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.01 of Annex III;
(g) where the group uses the standard formula and a partial internal model for the calculation of the Solvency Capital Requirement, template S.25.02.04 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.02 of Annex III;
(h) where the group uses a full internal model for the calculation of the Solvency Capital Requirement, template S.25.03.04 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.03 of Annex III;
(i) template S.32.01.04 of Annex I, specifying information on the insurance and reinsurance undertakings in the scope of the group, following the instructions set out in section S.32.01 of Annex III;
(j) template S.33.01.04 of Annex I, specifying information on requirements of insurance and reinsurance undertakings in the scope of the group, following the instructions set out in section S.33.01 of Annex III;
(k) template S.34.01.04 of Annex I, specifying information on other regulated financial undertakings and other non-regulated financial undertakings including insurance holding companies and mixed financial holding companies, following the instructions set out in section S.34.01 of Annex III.
2.   The templates referred to in points (c), (d), (f), (g) and (h) of paragraph 1 shall only be submitted by 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.

Article 23

Quarterly quantitative templates for groups

1.   Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit quarterly, unless the scope or the frequency of the reporting is limited in accordance with the second subparagraph of Article 254(2) of Directive 2009/138/EC, the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates:
(a) template S.01.01.05 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex III;
(b) template S.01.02.04 of Annex I, specifying basic information on the group and the content of the reporting in general, following the instructions set out in section S.01.02 of Annex III;
(c) where, for the calculation of group solvency, the group uses 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, template S.02.01.02 of Annex I to this Regulation, specifying balance sheet information using the valuation in accordance with Article 75 of Directive 2009/138/EC, following the instructions set out in section S.02.01 of Annex III to this Regulation;
(d) template S.05.01.02 of Annex I, specifying information on premiums, claims and expenses for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35 using the valuation and recognition principles used in the consolidated financial statements, following the instructions set out in section S.05.01 of Annex III to this Regulation;
(e) template S.06.02.04 of Annex I, providing an item-by-item list of assets, following the instructions set out in section S.06.02 of Annex III and using the CIC code as set out in Annex V and defined in Annex VI;
(f) where the ratio of collective investments held by the group to total investments is higher than 30 %, template S.06.03.04 of Annex I, providing information on the look-through of all collective investments held by the group, following the instructions set out in section S.06.03 of Annex III;
(g) template S.08.01.04 of Annex I, providing an item-by-item list of open positions of derivatives, following the instructions set out in section S.08.01 of Annex III and using the CIC code as set out in Annex V and defined in Annex VI;
(h) template S.08.02.04 of Annex I, providing an item-by-item list of transactions of derivatives during the reporting year, following the instructions set out in section S.08.02 of Annex III and using the CIC code as set out in Annex V and defined in Annex VI;
(i) template S.23.01.04 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex III.
2.   For the purposes of point (f) of paragraph 1, where for the calculation of group solvency method 1 as defined in Article 230 of Directive 2009/138/EC is used exclusively, the ratio of collective investments held by the group to total investments shall be determined by the sum of items C0010/R0180, collective investment undertakings included in item C0010/R0220 and collective investment undertakings included in item C0010/R0090 of template S.02.01.02, divided by the sum of items C0010/R0070 and C0010/R0220 of template S.02.01.02. Where, for the calculation of group solvency, 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 shall be calculated in accordance with the first sentence and adjusted in order to capture the required items of all entities included in the scope of template S.06.02.04.

Article 24

Simplifications allowed on quarterly reporting for groups

With regard to the information referred to in point (c) of Article 23(1), quarterly measurements may rely on estimates and estimation methods to a greater extent than measurements of annual financial data. The measurement procedures for the quarterly reporting shall be designed to ensure that the resulting information is reliable and complies with the standards laid down in Directive 2009/138/EC and that all material information that is relevant for the understanding of the data is reported.

Article 25

Annual quantitative templates for groups — Basic information and content of submission

Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates:
(a) template S.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;
(b) template S.01.02.04 of Annex I, specifying basic information on the undertaking and the content of the reporting in general, following the instructions set out in section S.01.02 of Annex III;
(c) where, for the calculation of group solvency, the group uses 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, template S.01.03.04 of Annex I to this Regulation, specifying basic information on the ring-fenced funds and matching adjustment portfolios, following the instructions set out in section S.01.03 of Annex III to this Regulation.

Article 26

Annual quantitative templates for groups — Balance sheet and other general information

1.   Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates:
(a) template S.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 consolidated financial statements, following the instructions set out in section S.02.01 of Annex III;
(b) template S.02.02.01 of Annex I, specifying information on assets and liabilities by currency, following the instructions set out in section S.02.02 of Annex III;
(c) template S.03.01.04 of Annex I, specifying general information on off-balance sheet items, following the instructions set out in section S.03.01 of Annex III;
(d) template S.03.02.04 of Annex I, providing a list of off-balance sheet unlimited guarantees received, following the instructions set out in section S.03.02 of Annex III;
(e) template S.03.03.04 of Annex I, providing a list of off-balance sheet unlimited guarantees provided, following the instructions set out in section S.03.03 of Annex III;
(f) template S.05.01.01 of Annex I, specifying information on premiums, claims and expenses for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35 applying the valuation and recognition principles used in the consolidated financial statements, following the instructions set out in section S.05.01 of Annex III to this Regulation;
(g) template S.05.02.01 of Annex I, specifying information on premiums, claims and expenses by country applying the valuation and recognition principles used in the consolidated financial statements, following the instructions set out in section S.05.02 of Annex III.
2.   The templates referred to in points (a) and (b) of paragraph 1 shall only be submitted by 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.

Article 27

Annual quantitative templates for groups — Investments information

1.   Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall, unless exempted under the third subparagraph of Article 254(2) of Directive 2009/138/EC in relation to a specific template, submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates:
(a) where the group is exempted from the annual submission of information in templates S.06.02.04 or S.08.01.04 in accordance with the third subparagraph of Article 254(2) of Directive 2009/138/EC, template S.06.01.01 of Annex I to this Regulation, providing summary information of assets, following the instructions set out in section S.06.01 of Annex III to this Regulation;
(b) where the group is exempted from reporting the template S.06.02.04 in relation to the last quarter in accordance with the second subparagraph of Article 254(2) of Directive 2009/138/EC, template S.06.02.04 of Annex I to this Regulation, providing an item-by-item list of assets, following the instructions set out in section S.06.02 of Annex III to this Regulation;
(c) where the group is exempted from reporting the template S.06.03.04 in relation to the last quarter in accordance with the second subparagraph of Article 254(2) of Directive 2009/138/EC, or has not reported it quarterly because the ratio of collective investment held by the group to total investments, as referred to in Article 23(1)(f) of this Regulation, is not higher than 30 %, template S.06.03.04 of Annex I to this Regulation, providing information on the look-through of all collective investments held by the undertakings, following the instructions set out in section S.06.03 of Annex III to this Regulation;
(d) where the ratio of the value of structured products held by the group to total investments is higher than 5 %, template S.07.01.04 of Annex I, providing an item-by-item list of structured products, following the instructions set out in section S.07.01 of Annex III;
(e) where the group is exempted from reporting the template S.08.01.04 in relation to the last quarter in accordance with the second subparagraph of Article 254(2) of Directive 2009/138/EC, template S.08.01.04 of Annex I to this Regulation, providing an item-by-item list of open positions of derivatives, following the instructions set out in section S.08.01 of Annex III to this Regulation;
(f) where the group is exempted from reporting the template S.08.02.04 in relation to the last quarter in accordance with the second subparagraph of Article 254(2) of Directive 2009/138/EC, template S.08.02.04 of Annex I to this Regulation, providing an item-by-item list of transactions of derivatives, following the instructions set out in section S.08.02 of Annex III to this Regulation;
(g) template S.09.01.04 of Annex I, specifying information on income, gains and losses in the reporting period by asset category as defined in Annex IV, following the instructions set out in section S.09.01 of Annex III;
(h) where the ratio of the value of underlying securities, on and off balance sheet, involved in lending or repurchase agreements, for contracts with maturity dates falling after the reporting reference date, to the total investments is higher than 5 %, template S.10.01.04 of Annex I, providing an item-by-item list securities lending and repurchase agreements on and off-balance sheet, following the instructions set out in section S.10.01 of Annex III;
(i) template S.11.01.04 of Annex I, providing an item-by-item list of assets held as collateral, consisting of all types of off-balance sheet asset categories held as collateral, following the instructions set out in section S.11.01 of Annex III.
2.   For the purposes of point (d) of paragraph 1, where for the calculation of group solvency method 1 as defined in Article 230 of Directive 2009/138/EC is used exclusively, the ratio of the value of structured products held by the group to total investments shall be determined by the sum of assets classified in categories 5 and 6, as defined in Annex IV to this Regulation, divided by the sum of items C0010/R0070 and C0010/R0020 of template S.02.01.01. Where, for the calculation of group solvency, 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 shall be calculated in accordance with the first sentence and adjusted in order to capture the required items of all entities included in the scope of template S.06.02.04.
3.   For the purposes of point (h) of paragraph 1, where for the calculation of group solvency method 1 as defined in Article 230 of Directive 2009/138/EC is used exclusively, the ratio shall be determined by the sum of the underlying securities, on and off balance sheet, involved in lending or repurchase agreements, for contracts with maturity dates falling after the reporting reference date, divided by the sum of items C0010/R0070 and C0010/R0220 of template S.02.01.01. Where, for the calculation of group solvency, 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 shall be calculated in accordance with the first sentence and adjusted in order to capture the required items of all entities included in the scope of template S.06.02.04.

Article 28

Annual quantitative templates for groups — Variable annuities information

Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates:
(a) template S.15.01.04 of Annex I, specifying information on the description of the guarantees of variable annuities by product issued under direct business by undertakings in the scope of the group and established outside the EEA, following the instructions set out in section S.15.01 of Annex III;
(b) template S.15.02.04 of Annex I, specifying information on the hedging of guarantees of variable annuities by product issued under direct business by undertakings in the scope of the group and established outside the EEA, following the instructions set out in section S.15.02 of Annex III.

Article 29

Annual quantitative templates for groups — Long term guarantees information

Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using template S.22.01.04 of Annex I to this Regulation, specifying information on the impact of the long term guarantees and transitional measures, following the instructions set out in section S.22.01 of Annex III to this Regulation.

Article 30

Annual quantitative templates for groups — Own funds information

1.   Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates:
(a) template S.23.01.04 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex III;
(b) template S.23.02.04 of Annex I, providing detailed information on own funds by tiers, following the instructions set out in section S.23.02 of Annex III;
(c) template S.23.03.04 of Annex I, specifying information on annual movements on own funds, following the instructions set out in section S.23.03 of Annex III;
(d) template S.23.04.04 of Annex I, providing a list of items on own funds, following the instructions set out in section S.23.04 of Annex III.
2.   The templates referred to in points (b) and (c) of paragraph 1 shall only be submitted by 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.

Article 31

Annual quantitative templates for groups — Solvency Capital Requirement 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)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates:
(a) where the group uses the standard formula for the calculation of the Solvency Capital Requirement, template S.25.01.04 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.01 of Annex III;
(b) where the group uses the standard formula and a partial internal model for the calculation of the Solvency Capital Requirement, template S.25.02.04 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.02 of Annex III;
(c) where the group uses a full internal model for the calculation of the Solvency Capital Requirement, template S.25.03.04 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.03 of Annex III;
(d) template S.26.01.04 of Annex I, specifying information on market risk, following the instructions set out in section S.26.01 of Annex III;
(e) template S.26.02.04 of Annex I, specifying information on counterparty default risk, following the instructions set out in section S.26.02 of Annex III;
(f) template S.26.03.04 of Annex I, specifying information on life underwriting risk, following the instructions set out in section S.26.03 of Annex III;
(g) template S.26.04.04 of Annex I, specifying information on health underwriting risk, following the instructions set out in section S.26.04 of Annex III;
(h) template S.26.05.04 of Annex I, specifying information on non-life underwriting risk, following the instructions set out in section S.26.05 of Annex III;
(i) template S.26.06.04 of Annex I, specifying information on operational risk, following the instructions set out in section S.26.06 of Annex III;
(j) template S.26.07.04 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;
(k) template S.27.01.04 of Annex I, specifying information on non-life catastrophe risk, following the instructions set out in section S.27.01 of Annex III.
2.   In case of existence of ring-fenced funds or matching adjustment portfolios, the templates referred to in points (d) to (k) of paragraph 1 shall not be reported for the group as a whole.
3.   Where a partial internal model is used, the templates referred to in points (d) to (k) of paragraph 1 shall only be reported in relation to the risks covered by the standard formula, unless otherwise decided on the basis of Article 35.
4.   Where a full internal model is used, the templates referred to in points (d) to (k) of paragraph 1 shall not be reported.

Article 32

Annual quantitative templates for groups — Reinsurers and special purpose vehicles information

Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates:
(a) template S.31.01.04 of Annex I, specifying information on share of reinsurers, following the instructions set out in section S.31.01 of Annex III;
(b) template S.31.02.04 of Annex I, specifying information on special purpose vehicles from the perspective of the insurance or reinsurance undertaking transferring risk to the special purpose vehicles, following the instructions set out in section S.31.02 of Annex III.

Article 33

Annual quantitative templates for groups — Group specific information

Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation using the following templates:
(a) template S.32.01.04 of Annex I, specifying information on the insurance and reinsurance undertakings in the scope of the group, following the instructions set out in section S.32.01 of Annex III;
(b) template S.33.01.04 of Annex I, specifying information on requirements of insurance and reinsurance undertakings in the scope of the group, following the instructions set out in section S.33.01 of Annex III;
(c) template S.34.01.04 of Annex I, specifying information on financial undertakings other than insurance and reinsurance undertakings, and on non-regulated undertakings carrying out financial activities as defined in Article 1(52) of Delegated Regulation (EU) 2015/35, following the instructions set out in section S.34.01 of Annex III;
(d) template S.35.01.04 of Annex I, specifying information on technical provisions of undertakings of the group, following the instructions set out in section S.35.01 of Annex III;
(e) template S.36.01.01 of Annex I, specifying information on significant intra-group-transactions involving equity-type transactions, debt and asset transfer, above the threshold determined by the group supervisor in accordance with Article 245(3) of Directive 2009/138/EC, following the instructions set out in section S.36.01 of Annex III to this Regulation;
(f) template S.36.02.01 of Annex I, specifying information on significant intra-group-transactions on derivatives, including the guarantees supporting any derivatives instruments, above the threshold determined by the group supervisor in accordance with Article 245(3) of Directive 2009/138/EC, following the instructions set out in section S.36.02 of Annex III to this Regulation;
(g) template S.36.03.01 of Annex I, specifying information on significant intra-group-transactions on reinsurance, above the threshold determined by the group supervisor in accordance with Article 245(3) of Directive 2009/138/EC, following the instructions set out in section S.36.03 of Annex III to this Regulation;
(h) template S.36.04.01 of Annex I, specifying information on significant intra-group-transactions on internal cost sharing, contingent liabilities (other than derivatives) and off-balance sheet items and other types of intra-group transactions, above the threshold determined by the group supervisor in accordance with Article 245(3) of Directive 2009/138/EC, following the instructions set out in section S.36.04 of Annex III to this Regulation;
(i) template S.37.01.04 of Annex I, specifying information on significant risk concentrations, above the threshold determined by the group supervisor in accordance with Article 244(3) of Directive 2009/138/EC, following the instructions set out in section S.37.01 of Annex III to this Regulation.

Article 34

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)(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 points (a) and (c) of Article 335(1) of Delegated Regulation (EU) 2015/35, as well as in relation to the remaining part:
(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;
(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 the standard formula and a partial internal model for the calculation of the Solvency Capital Requirement, template SR.25.02.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.02 of Annex III;
(d) where the group uses a full internal model for the calculation of the Solvency Capital Requirement, template SR.25.03.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.03 of Annex III;
(e) 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;
(f) 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;
(g) 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;
(h) 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;
(i) 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;
(j) 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;
(k) 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;
(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 points (e) to (l) of paragraph 1 shall only be reported in relation to the risks covered by the standard formula, unless otherwise decided on the basis of Article 35.
3.   Where a full internal model is used, the templates referred to in points (e) to (l) of paragraph 1 shall not 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 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 points (a) or (c) of Article 335(1) of Delegated Regulation (EU) 2015/35, as well as in relation to the remaining part, as referred to in Article 304(1)(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.

Article 35

Annual quantitative templates for groups — internal model users

Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies that calculate the Solvency Capital Requirement using an approved partial or full internal model shall agree with its group supervisor the templates to be submitted annually in relation to the information on the Solvency Capital Requirement.

Article 36

Quantitative templates for groups — intra-group transactions and risk concentrations

Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall report:
(a) significant and very significant intra-group transactions referred to in the first and second subparagraphs of Article 245(2) of Directive 2009/138/EC and intra-group transactions to be reported in all circumstances referred to in Article 245(3) of that Directive using, as appropriate, templates S.36.01.01, S.36.02.01, S.36.03.01 and S.36.04.01 of Annex I to this Regulation, following the instructions set out in section S.36.01 to S.36.04 of Annex III to this Regulation;
(b) significant risk concentrations referred to in Article 244(2) of Directive 2009/138/EC and risk concentrations to be reported in all circumstances referred to in Article 244(3) of that Directive using template S.37.01.04 of Annex I to this Regulation, following the instructions set out in section S.37.01 of Annex III to this Regulation.

CHAPTER IV

FINAL PROVISION

Article 37

Entry into force

This Regulation shall enter into force on the day following that of its publication in the
Official Journal of the European Union
.
This Regulation shall apply from 1 January 2016.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 2 December 2015.
For the Commission
The President
Jean-Claude JUNCKER
(1)  
OJ L 335, 17.12.2009, p. 1
.
(2)  Commission Delegated Regulation (EU) 2015/35 of 10 October 2014 supplementing Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (
OJ L 12, 17.1.2015, p. 1
).
(3)  Regulation (EU) No 1094/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Insurance and Occupational Pensions Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/79/EC (
OJ L 331, 15.12.2010, p. 48
).

ANNEX I

S.01.01.01
Content of the submission

Template Code

Template name

 

C0010

S.01.02.01

Basic Information — General

R0010

 

S.01.03.01

Basic Information — RFF and matching adjustment portfolios

R0020

 

S.02.01.01

Balance sheet

R0030

 

S.02.02.01

Assets and liabilities by currency

R0040

 

S.03.01.01

Off-balance sheet items — general

R0060

 

S.03.02.01

Off-balance sheet items — List of unlimited guarantees received by the undertaking

R0070

 

S.03.03.01

Off-balance sheet items — List of unlimited guarantees provided by the undertaking

R0080

 

S.04.01.01

Activity by country

R0090

 

S.04.02.01

Information on class 10 in Part A of Annex I of Solvency II Directive, excluding carrier's liability

R0100

 

S.05.01.01

Premiums, claims and expenses by line of business

R0110

 

S.05.02.01

Premiums, claims and expenses by country

R0120

 

S.06.01.01

Summary of assets

R0130

 

S.06.02.01

List of assets

R0140

 

S.06.03.01

Collective investment undertakings — look-through approach

R0150

 

S.07.01.01

Structured products

R0160

 

S.08.01.01

Open derivatives

R0170

 

S.08.02.01

Derivatives Transactions

R0180

 

S.09.01.01

Income/gains and losses in the period

R0190

 

S.10.01.01

Securities lending and repos

R0200

 

S.11.01.01

Assets held as collateral

R0210

 

S.12.01.01

Life and Health SLT Technical Provisions

R0220

 

S.12.02.01

Life and Health SLT Technical Provisions — by country

R0230

 

S.13.01.01

Projection of future gross cash flows

R0240

 

S.14.01.01

Life obligations analysis

R0250

 

S.15.01.01

Description of the guarantees of variable annuities

R0260

 

S.15.02.01

Hedging of guarantees of variable annuities

R0270

 

S.16.01.01

Information on annuities stemming from Non-Life Insurance obligations

R0280

 

S.17.01.01

Non-Life Technical Provisions

R0290

 

S.17.02.01

Non-Life Technical Provisions — By country

R0300

 

S.18.01.01

Projection of future cash flows (Best Estimate — Non Life)

R0310

 

S.19.01.01

Non-life insurance claims

R0320

 

S.20.01.01

Development of the distribution of the claims incurred

R0330

 

S.21.01.01

Loss distribution risk profile

R0340

 

S.21.02.01

Underwriting risks non-life

R0350

 

S.21.03.01

Non-life distribution of underwriting risks — by sum insured

R0360

 

S.22.01.01

Impact of long term guarantees measures and transitionals

R0370

 

S.22.04.01

Information on the transitional on interest rates calculation

R0380

 

S.22.05.01

Overall calculation of the transitional on technical provisions

R0390

 

S.22.06.01

Best estimate subject to volatility adjustment by country and currency

R0400

 

S.23.01.01

Own funds

R0410

 

S.23.02.01

Detailed information by tiers on own funds

R0420

 

S.23.03.01

Annual movements on own funds

R0430

 

S.23.04.01

List of items on own funds

R0440

 

S.24.01.01

Participations held

R0450

 

S.25.01.01

Solvency Capital Requirement — for undertakings on Standard Formula

R0460

 

S.25.02.01

Solvency Capital Requirement — for undertakings using the standard formula and partial internal model

R0470

 

S.25.03.01

Solvency Capital Requirement — for undertakings on Full Internal Models

R0480

 

S.26.01.01

Solvency Capital Requirement — Market risk

R0500

 

S.26.02.01

Solvency Capital Requirement — Counterparty default risk

R0510

 

S.26.03.01

Solvency Capital Requirement — Life underwriting risk

R0520

 

S.26.04.01

Solvency Capital Requirement — Health underwriting risk

R0530

 

S.26.05.01

Solvency Capital Requirement — Non-Life underwriting risk

R0540

 

S.26.06.01

Solvency Capital Requirement — Operational risk

R0550

 

S.26.07.01

Solvency Capital Requirement — Simplifications

R0560

 

S.27.01.01

Solvency Capital Requirement — Non-Life and Health catastrophe risk

R0570

 

S.28.01.01

Minimum Capital Requirement — Only life or only non-life insurance or reinsurance activity

R0580

 

S.28.02.01

Minimum Capital Requirement — Both life and non-life insurance activity

R0590

 

S.29.01.01

Excess of Assets over Liabilities

R0600

 

S.29.02.01

Excess of Assets over Liabilities — explained by investments and financial liabilities

R0610

 

S.29.03.01

Excess of Assets over Liabilities — explained by technical provisions

R0620

 

S.29.04.01

Detailed analysis per period — Technical flows versus Technical provisions

R0630

 

S.30.01.01

Facultative covers for non-life and life business basic data

R0640

 

S.30.02.01

Facultative covers for non-life and life business shares data

R0650

 

S.30.03.01

Outgoing Reinsurance Program basic data

R0660

 

S.30.04.01

Outgoing Reinsurance Program shares data

R0670

 

S.31.01.01

Share of reinsurers (including Finite Reinsurance and SPV's)

R0680

 

S.31.02.01

Special Purpose Vehicles

R0690

 

S.36.01.01

IGT — Equity-type transactions, debt and asset transfer

R0740

 

S.36.02.01

IGT — Derivatives

R0750

 

S.36.03.01

IGT — Internal reinsurance

R0760

 

S.36.04.01

IGT — Cost Sharing, contingent liabilities, off BS and other items

R0770

 
S.01.01.02
Content of the submission

Template Code

Template name

 

C0010

S.01.02.01

Basic Information — General

R0010

 

S.02.01.02

Balance sheet

R0030

 

S.05.01.02

Premiums, claims and expenses by line of business

R0110

 

S.06.02.01

List of assets

R0140

 

S.06.03.01

Collective investment undertakings — look-through approach

R0150

 

S.08.01.01

Open derivatives

R0170

 

S.08.02.01

Derivatives Transactions

R0180

 

S.12.01.02

Life and Health SLT Technical Provisions

R0220

 

S.17.01.02

Non-Life Technical Provisions

R0290

 

S.23.01.01

Own funds

R0410

 

S.28.01.01

Minimum Capital Requirement — Only life or only non-life insurance or reinsurance activity

R0580

 

S.28.02.01

Minimum Capital Requirement — Both life and non-life insurance activity

R0590

 
S.01.01.03
Content of the submission

Template Code

Template name

 

C0010

S.01.02.01

Basic Information — General

R0010

 

S.01.03.01

Basic Information — RFF and matching adjustment portfolios

R0020

 

S.02.01.02

Balance sheet

R0030

 

S.23.01.01

Own funds

R0410

 

S.25.01.01

Solvency Capital Requirement — for undertakings on Standard Formula

R0460

 

S.25.02.01

Solvency Capital Requirement — for undertakings using the standard formula and partial internal model

R0470

 

S.25.03.01

Solvency Capital Requirement — for undertakings on Full Internal Models

R0480

 

S.28.01.01

Minimum Capital Requirement — Only life or only non-life insurance or reinsurance activity

R0580

 

S.28.02.01

Minimum Capital Requirement — Both life and non-life insurance activity

R0590

 
S.01.01.04
Content of the submission

Template Code

Template name

 

C0010

S.01.02.04

Basic Information — General

R0010

 

S.01.03.04

Basic Information — RFF and matching adjustment portfolios

R0020

 

S.02.01.01

Balance sheet

R0030

 

S.02.02.01

Assets and liabilities by currency

R0040

 

S.03.01.04

Off-balance sheet items — general

R0060

 

S.03.02.04

Off-balance sheet items — List of unlimited guarantees received by the group

R0070

 

S.03.03.04

Off-balance sheet items — List of unlimited guarantees provided by the group

R0080

 

S.05.01.01

Premiums, claims and expenses by line of business

R0110

 

S.05.02.01

Premiums, claims and expenses by country

R0120

 

S.06.01.01

Summary of assets

R0130

 

S.06.02.04

List of assets

R0140

 

S.06.03.04

Collective investment undertakings — look-through approach

R0150

 

S.07.01.04

Structured products

R0160

 

S.08.01.04

Open derivatives

R0170

 

S.08.02.04

Derivatives Transactions

R0180

 

S.09.01.04

Income/gains and losses in the period

R0190

 

S.10.01.04

Securities lending and repos

R0200

 

S.11.01.04

Assets held as colateral

R0210

 

S.15.01.04

Description of the guarantees of variable annuities

R0260

 

S.15.02.04

Hedging of guarantees of variable annuities

R0270

 

S.22.01.04

Impact of long term guarantees measures and transitionals

R0370

 

S.23.01.04

Own funds

R0410

 

S.23.02.04

Detailed information by tiers on own funds

R0420

 

S.23.03.04

Annual movements on own funds

R0430

 

S.23.04.04

List of items on own funds

R0440

 

S.25.01.04

Solvency Capital Requirement — for groups on Standard Formula

R0460

 

S.25.02.04

Solvency Capital Requirement — for groups using the standard formula and partial internal model

R0470

 

S.25.03.04

Solvency Capital Requirement — for groups on Full Internal Models

R0480

 

S.26.01.04

Solvency Capital Requirement — Market risk

R0500

 

S.26.02.04

Solvency Capital Requirement — Counterparty default risk

R0510

 

S.26.03.04

Solvency Capital Requirement — Life underwriting risk

R0520

 

S.26.04.04

Solvency Capital Requirement — Health underwriting risk

R0530

 

S.26.05.04

Solvency Capital Requirement — Non-Life underwriting risk

R0540

 

S.26.06.04

Solvency Capital Requirement — Operational risk

R0550

 

S.26.07.04

Solvency Capital Requirement — Simplifications

R0560

 

S.27.01.04

Solvency Capital Requirement — Non-Life and Health catastrophe risk

R0570

 

S.31.01.04

Share of reinsurers (including Finite Reinsurance and SPV's)

R0680

 

S.31.02.04

Special Purpose Vehicles

R0690

 

S.32.01.04

Undertakings in the scope of the group

R0700

 

S.33.01.04

Insurance and Reinsurance individual requirements

R0710

 

S.34.01.04

Other regulated and non-regulated financial undertakings including insurance holding companies and mixed financial holding company individual requirements

R0720

 

S.35.01.04

Contribution to group Technical Provisions

R0730

 

S.36.01.01

IGT — Equity-type transactions, debt and asset transfer

R0740

 

S.36.02.01

IGT — Derivatives

R0750

 

S.36.03.01

IGT — Internal reinsurance

R0760

 

S.36.04.01

IGT — Cost Sharing, contingent liabilities, off BS and other items

R0770

 

S.37.01.04

Risk concentration

R0780

 
S.01.01.05
Content of the submission

Template Code

Template name

 

C0010

S.01.02.04

Basic Information — General

R0010

 

S.02.01.02

Balance sheet

R0030

 

S.05.01.02

Premiums, claims and expenses by line of business

R0110

 

S.06.02.04

List of assets

R0140

 

S.06.03.04

Collective investment undertakings — look-through approach

R0150

 

S.08.01.04

Open derivatives

R0170

 

S.08.02.04

Derivatives Transactions

R0180

 

S.23.01.04

Own funds

R0410

 
S.01.01.06
Content of the submission

Template Code

Template name

 

C0010

S.01.02.04

Basic Information — General

R0010

 

S.01.03.04

Basic Information — RFF and matching adjustment portfolios

R0020

 

S.02.01.02

Balance sheet

R0030

 

S.23.01.04

Own funds

R0410

 

S.25.01.04

Solvency Capital Requirement — for groups on Standard Formula

R0460

 

S.25.02.04

Solvency Capital Requirement — for groups using the standard formula and partial internal model

R0470

 

S.25.03.04

Solvency Capital Requirement — for groups on Full Internal Models

R0480

 

S.32.01.04

Entities in the scope of the group

R0700

 

S.33.01.04

Insurance and Reinsurance individual requirements

R0710

 

S.34.01.04

Other regulated and non-regulated financial undertakings including insurance holding companies and mixed financial holding company individual requirements

R0720

 
SR.01.01.01
Content of the submission

Ring-fenced fund/matching portfolio/remaining part

Z0010

 

Fund/Portfolio number

Z0020

 

Template Code

Template name

 

C0010

SR.02.01.01

Balance sheet

R0790

 

SR.12.01.01

Life and Health SLT Technical Provisions

R0800

 

SR.17.01.01

Non-Life Technical Provisions

R0810

 

SR.22.02.01

Projection of future cash flows (Best Estimate — Matching portfolios)

R0820

 

SR.22.03.01

Information on the matching adjustment calculation

R0830

 

SR.25.01.01

Solvency Capital Requirement — for undertakings on Standard Formula

R0840

 

SR.25.02.01

Solvency Capital Requirement — for undertakings using the standard formula and partial internal model

R0850

 

SR.25.03.01

Solvency Capital Requirement — for undertakings on Full Internal Models

R0860

 

SR.26.01.01

Solvency Capital Requirement — Market risk

R0870

 

SR.26.02.01

Solvency Capital Requirement — Counterparty default risk

R0880

 

SR.26.03.01

Solvency Capital Requirement — Life underwriting risk

R0890

 

SR.26.04.01

Solvency Capital Requirement — Health underwriting risk

R0900

 

SR.26.05.01

Solvency Capital Requirement — Non-Life underwriting risk

R0910

 

SR.26.06.01

Solvency Capital Requirement — Operational risk

R0920

 

SR.26.07.01

Solvency Capital Requirement — Simplifications

R0930

 

SR.27.01.01

Solvency Capital Requirement — Non-Life and Health catastrophe risk

R0940

 
SR.01.01.04
Content of the submission

Ring-fenced fund/matching portfolio/remaining part

Z0010

 

Fund/Portfolio number

Z0020

 

Template Code

Template name

 

C0010

SR.02.01.04

Balance sheet

R0790

 

SR.25.01.01

Solvency Capital Requirement — Only SF

R0840

 

SR.25.02.01

Solvency Capital Requirement — SF and PIM

R0850

 

SR.25.03.01

Solvency Capital Requirement — IM

R0860

 

SR.26.01.01

Solvency Capital Requirement — Market risk

R0870

 

SR.26.02.01

Solvency Capital Requirement — Counterparty default risk

R0880

 

SR.26.03.01

Solvency Capital Requirement — Life underwriting risk

R0890

 

SR.26.04.01

Solvency Capital Requirement — Health underwriting risk

R0900

 

SR.26.05.01

Solvency Capital Requirement — Non-Life underwriting risk

R0910

 

SR.26.06.01

Solvency Capital Requirement — Operational risk

R0920

 

SR.26.07.01

Solvency Capital Requirement — Simplifications

R0930

 

SR.27.01.01

Solvency Capital Requirement — Non-Life and Health catastrophe risk

R0940

 
S.01.02.01
Basic Information — General

 

 

C0010

Undertaking name

R0010

 

Undertaking identification code

R0020

 

Type of code of undertaking

R0030

 

Type of undertaking

R0040

 

Country of authorisation

R0050

 

Language of reporting

R0070

 

Reporting submission date

R0080

 

Reporting reference date

R0090

 

Regular/Ad-hoc submission

R0100

 

Currency used for reporting

R0110

 

Accounting standards

R0120

 

Method of Calculation of the SCR

R0130

 

Use of undertaking specific parameters

R0140

 

Ring-fenced funds

R0150

 

Matching adjustment

R0170

 

Volatility adjustment

R0180

 

Transitional measure on the risk-free interest rate

R0190

 

Transitional measure on technical provisions

R0200

 

Initial submission or re-submission

R0210

 
S.01.02.04
Basic Information — General

 

 

C0010

Participating undertaking name

R0010

 

Group identification code

R0020

 

Type of code of group

R0030

 

Country of the group supervisor

R0050

 

Sub-group information

R0060

 

Language of reporting

R0070

 

Reporting submission date

R0080

 

Reporting reference date

R0090

 

Regular/Ad-hoc submission

R0100

 

Currency used for reporting

R0110

 

Accounting standards

R0120

 

Method of Calculation of the group SCR

R0130

 

Use of group specific parameters

R0140

 

Ring-fenced funds

R0150

 

Method of group solvency calculation

R0160

 

Matching adjustment

R0170

 

Volatility adjustment

R0180

 

Transitional measure on the risk-free interest rate

R0190

 

Transitional measure on technical provisions

R0200

 

Initial submission or re-submission

R0210

 
S.01.03.01
Basic Information — RFF and matching adjustment portfolios
List of all RFF/MAP (overlaps allowed)

Fund /Portfolio Number

Name of Ring-fenced fund/Matching adjustment portfolio

RFF / MAP / Remaining part of a fund

RFF / MAP with sub RFF / MAP

Material

Article 304

C0040

C0050

C0060

C0070

C0080

C0090

 

 

 

 

 

 
List of RFF/MAP with sub RFF/MAP

Number of RFF / MAP with sub RFF / MAP

Number of sub RFF / MAP

Sub RFF / MAP

C0100

C0110

C0120

 

 

 
S.01.03.04
Basic Information — RFF and matching adjustment portfolios
List of all RFF/MAP (overlaps allowed)

Legal name of the undertaking

Identification code of the undertaking

Type of code of the ID of the undertaking

Fund / Portfolio Number

Name of ring-fenced fund / Matching adjustment portfolio

RFF / MAP / Remaining part of a fund

RFF / MAP with sub RFF / MAP

Material

Article 304

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

 

 

 

 

 

 

 

 

 
List of RFF/MAP with sub RFF/MAP

Number of RFF / MAP with sub RFF / MAP

Number of sub RFF/MAP

Sub RFF / MAP

C0100

C0110

C0120

 

 

 
S.02.01.01
Balance sheet

 

 

Solvency II value

Statutory accounts value

Assets

 

C0010

C0020

Goodwill

R0010

 

 

Deferred acquisition costs

R0020

 

 

Intangible assets

R0030

 

 

Deferred tax assets

R0040

 

 

Pension benefit surplus

R0050

 

 

Property, plant & equipment held for own use

R0060

 

 

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

R0070

 

 

Property (other than for own use)

R0080

 

 

Holdings in related undertakings, including participations

R0090

 

 

Equities

R0100

 

 

Equities — listed

R0110

 

 

Equities — unlisted

R0120

 

 

Bonds

R0130

 

 

Government Bonds

R0140

 

 

Corporate Bonds

R0150

 

 

Structured notes

R0160

 

 

Collateralised securities

R0170

 

 

Collective Investments Undertakings

R0180

 

 

Derivatives

R0190

 

 

Deposits other than cash equivalents

R0200

 

 

Other investments

R0210

 

 

Assets held for index-linked and unit-linked contracts

R0220

 

 

Loans and mortgages

R0230

 

 

Loans on policies

R0240

 

 

Loans and mortgages to individuals

R0250

 

 

Other loans and mortgages

R0260

 

 

Reinsurance recoverables from:

R0270

 

 

Non-life and health similar to non-life

R0280

 

 

Non-life excluding health

R0290

 

 

Health similar to non-life

R0300

 

 

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

R0310

 

 

Health similar to life

R0320

 

 

Life excluding health and index-linked and unit-linked

R0330

 

 

Life index-linked and unit-linked

R0340

 

 

Deposits to cedants

R0350

 

 

Insurance and intermediaries receivables

R0360

 

 

Reinsurance receivables

R0370

 

 

Receivables (trade, not insurance)

R0380

 

 

Own shares (held directly)

R0390

 

 

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

R0400

 

 

Cash and cash equivalents

R0410

 

 

Any other assets, not elsewhere shown

R0420

 

 

Total assets

R0500

 

 

Liabilities

 

C0010

C0020

Technical provisions — non-life

R0510

 

 

Technical provisions — non-life (excluding health)

R0520

 

 

Technical provisions calculated as a whole

R0530

 

 

Best Estimate

R0540

 

 

Risk margin

R0550

 

 

Technical provisions — health (similar to non-life)

R0560

 

 

Technical provisions calculated as a whole

R0570

 

 

Best Estimate

R0580

 

 

Risk margin

R0590

 

 

Technical provisions — life (excluding index-linked and unit-linked)

R0600

 

 

Technical provisions — health (similar to life)

R0610

 

 

Technical provisions calculated as a whole

R0620

 

 

Best Estimate

R0630

 

 

Risk margin

R0640

 

 

Technical provisions — life (excluding health and index-linked and unit-linked)

R0650

 

 

Technical provisions calculated as a whole

R0660

 

 

Best Estimate

R0670

 

 

Risk margin

R0680

 

 

Technical provisions — index-linked and unit-linked

R0690

 

 

Technical provisions calculated as a whole

R0700

 

 

Best Estimate

R0710

 

 

Risk margin

R0720

 

 

Other technical provisions

R0730

 

 

Contingent liabilities

R0740

 

 

Provisions other than technical provisions

R0750

 

 

Pension benefit obligations

R0760

 

 

Deposits from reinsurers

R0770

 

 

Deferred tax liabilities

R0780

 

 

Derivatives

R0790

 

 

Debts owed to credit institutions

R0800

 

 

Financial liabilities other than debts owed to credit institutions

R0810

 

 

Insurance & intermediaries payables

R0820

 

 

Reinsurance payables

R0830

 

 

Payables (trade, not insurance)

R0840

 

 

Subordinated liabilities

R0850

 

 

Subordinated liabilities not in Basic Own Funds

R0860

 

 

Subordinated liabilities in Basic Own Funds

R0870

 

 

Any other liabilities, not elsewhere shown

R0880

 

 

Total liabilities

R0900

 

 

Excess of assets over liabilities

R1000

 

 
S.02.01.02
Balance sheet

 

 

Solvency II value

Assets

 

C0010

Goodwill

R0010

 

Deferred acquisition costs

R0020

 

Intangible assets

R0030

 

Deferred tax assets

R0040

 

Pension benefit surplus

R0050

 

Property, plant & equipment held for own use

R0060

 

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

R0070

 

Property (other than for own use)

R0080

 

Holdings in related undertakings, including participations

R0090

 

Equities

R0100

 

Equities — listed

R0110

 

Equities — unlisted

R0120

 

Bonds

R0130

 

Government Bonds

R0140

 

Corporate Bonds

R0150

 

Structured notes

R0160

 

Collateralised securities

R0170

 

Collective Investments Undertakings

R0180

 

Derivatives

R0190

 

Deposits other than cash equivalents

R0200

 

Other investments

R0210

 

Assets held for index-linked and unit-linked contracts

R0220

 

Loans and mortgages

R0230

 

Loans on policies

R0240

 

Loans and mortgages to individuals

R0250

 

Other loans and mortgages

R0260

 

Reinsurance recoverables from:

R0270

 

Non-life and health similar to non-life

R0280

 

Non-life excluding health

R0290

 

Health similar to non-life

R0300

 

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

R0310

 

Health similar to life

R0320

 

Life excluding health and index-linked and unit-linked

R0330

 

Life index-linked and unit-linked

R0340

 

Deposits to cedants

R0350

 

Insurance and intermediaries receivables

R0360

 

Reinsurance receivables

R0370

 

Receivables (trade, not insurance)

R0380

 

Own shares (held directly)

R0390

 

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

R0400

 

Cash and cash equivalents

R0410

 

Any other assets, not elsewhere shown

R0420

 

Total assets

R0500

 

Liabilities

 

C0010

Technical provisions — non-life

R0510

 

Technical provisions — non-life (excluding health)

R0520

 

Technical provisions calculated as a whole

R0530

 

Best Estimate

R0540

 

Risk margin

R0550

 

Technical provisions — health (similar to non-life)

R0560

 

Technical provisions calculated as a whole

R0570

 

Best Estimate

R0580

 

Risk margin

R0590

 

Technical provisions — life (excluding index-linked and unit-linked)

R0600

 

Technical provisions — health (similar to life)

R0610

 

Technical provisions calculated as a whole

R0620

 

Best Estimate

R0630

 

Risk margin

R0640

 

Technical provisions — life (excluding health and index-linked and unit-linked)

R0650

 

Technical provisions calculated as a whole

R0660

 

Best Estimate

R0670

 

Risk margin

R0680

 

Technical provisions — index-linked and unit-linked

R0690

 

Technical provisions calculated as a whole

R0700

 

Best Estimate

R0710

 

Risk margin

R0720

 

Other technical provisions

R0730

 

Contingent liabilities

R0740

 

Provisions other than technical provisions

R0750

 

Pension benefit obligations

R0760

 

Deposits from reinsurers

R0770

 

Deferred tax liabilities

R0780

 

Derivatives

R0790

 

Debts owed to credit institutions

R0800

 

Financial liabilities other than debts owed to credit institutions

R0810

 

Insurance & intermediaries payables

R0820

 

Reinsurance payables

R0830

 

Payables (trade, not insurance)

R0840

 

Subordinated liabilities

R0850

 

Subordinated liabilities not in Basic Own Funds

R0860

 

Subordinated liabilities in Basic Own Funds

R0870

 

Any other liabilities, not elsewhere shown

R0880

 

Total liabilities

R0900

 

Excess of assets over liabilities

R1000

 
SR.02.01.01
Balance sheet

Ring-fenced fund or remaining part

Z0020

 

Fund number

Z0030

 

 

 

Solvency II value

Statutory accounts value

Assets

 

C0010

C0020

Goodwill

R0010

 

 

Deferred acquisition costs

R0020

 

 

Intangible assets

R0030

 

 

Deferred tax assets

R0040

 

 

Pension benefit surplus

R0050

 

 

Property, plant & equipment held for own use

R0060

 

 

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

R0070

 

 

Property (other than for own use)

R0080

 

 

Holdings in related undertakings, including participations

R0090

 

 

Equities

R0100

 

 

Equities — listed

R0110

 

 

Equities — unlisted

R0120

 

 

Bonds

R0130

 

 

Government Bonds

R0140

 

 

Corporate Bonds

R0150

 

 

Structured notes

R0160

 

 

Collateralised securities

R0170

 

 

Collective Investments Undertakings

R0180

 

 

Derivatives

R0190

 

 

Deposits other than cash equivalents

R0200

 

 

Other investments

R0210

 

 

Assets held for index-linked and unit-linked contracts

R0220

 

 

Loans and mortgages

R0230

 

 

Loans on policies

R0240

 

 

Loans and mortgages to individuals

R0250

 

 

Other loans and mortgages

R0260

 

 

Reinsurance recoverables from:

R0270

 

 

Non-life and health similar to non-life

R0280

 

 

Non-life excluding health

R0290

 

 

Health similar to non-life

R0300

 

 

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

R0310

 

 

Health similar to life

R0320

 

 

Life excluding health and index-linked and unit-linked

R0330

 

 

Life index-linked and unit-linked

R0340

 

 

Deposits to cedants

R0350

 

 

Insurance and intermediaries receivables

R0360

 

 

Reinsurance receivables

R0370

 

 

Receivables (trade, not insurance)

R0380

 

 

Own shares (held directly)

R0390

 

 

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

R0400

 

 

Cash and cash equivalents

R0410

 

 

Any other assets, not elsewhere shown

R0420

 

 

Total assets

R0500

 

 

Liabilities

 

C0010

C0020

Technical provisions — non-life

R0510

 

 

Technical provisions — non-life (excluding health)

R0520

 

 

Technical provisions calculated as a whole

R0530

 

 

Best Estimate

R0540

 

 

Risk margin

R0550

 

 

Technical provisions — health (similar to non-life)

R0560

 

 

Technical provisions calculated as a whole

R0570

 

 

Best Estimate

R0580

 

 

Risk margin

R0590

 

 

Technical provisions — life (excluding index-linked and unit-linked)

R0600

 

 

Technical provisions — health (similar to life)

R0610

 

 

Technical provisions calculated as a whole

R0620

 

 

Best Estimate

R0630

 

 

Risk margin

R0640

 

 

Technical provisions — life (excluding health and index-linked and unit-linked)

R0650

 

 

Technical provisions calculated as a whole

R0660

 

 

Best Estimate

R0670

 

 

Risk margin

R0680

 

 

Technical provisions — index-linked and unit-linked

R0690

 

 

Technical provisions calculated as a whole

R0700

 

 

Best Estimate

R0710

 

 

Risk margin

R0720

 

 

Other technical provisions

 

 

 

Contingent liabilities

R0740

 

 

Provisions other than technical provisions

R0750

 

 

Pension benefit obligations

R0760

 

 

Deposits from reinsurers

R0770

 

 

Deferred tax liabilities

R0780

 

 

Derivatives

R0790

 

 

Debts owed to credit institutions

R0800

 

 

Financial liabilities other than debts owed to credit institutions

R0810

 

 

Insurance & intermediaries payables

R0820

 

 

Reinsurance payables

R0830

 

 

Payables (trade, not insurance)

R0840

 

 

Subordinated liabilities

R0850

 

 

Subordinated liabilities not in Basic Own Funds

R0860

 

 

Subordinated liabilities in Basic Own Funds

R0870

 

 

Any other liabilities, not elsewhere shown

R0880

 

 

Total liabilities

R0900

 

 

Excess of assets over liabilities

R1000

 

 
S.02.02.01
Assets and liabilities by currency

 

 

 

 

 

 

Currencies

 

 

 

 

 

 

C0010

…

Currency code

 

 

 

 

R0010

 

…

 

 

 

 

 

 

 

 

 

 

Total value of all currencies

Value of the solvency II reporting currency

Value of remaining other currencies

 

Value of material currencies

 

 

C0020

C0030

C0040

 

C0050

…

Assets

 

 

 

 

 

 

 

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

R0020

 

 

 

 

 

…

Other assets: Property, plant & equipment held for own use, Cash and cash equivalents, Loans on policies, Loans & mortgages to individuals and Other loans & mortgages (other than index-linked and unit-linked contracts)

R0030

 

 

 

 

 

…

Assets held for index-linked and unit-linked contracts

R0040

 

 

 

 

 

…

Reinsurance recoverables

R0050

 

 

 

 

 

…

Deposits to cedants, insurance and intermediaries receivables and reinsurance receivables

R0060

 

 

 

 

 

…

Any other assets

R0070

 

 

 

 

 

…

Total assets

R0100

 

 

 

 

 

…

Liabilities

 

 

 

 

 

 

 

Technical provisions (excluding index-linked and unit-linked contracts)

R0110

 

 

 

 

 

…

Technical provisions — index-linked and unit-linked contracts

R0120

 

 

 

 

 

…

Deposits from reinsurers and insurance, intermediaries and reinsurance payables

R0130

 

 

 

 

 

…

Derivatives

R0140

 

 

 

 

 

…

Financial liabilities

R0150

 

 

 

 

 

…

Contingent liabilities

R0160

 

 

 

 

 

…

Any other liabilities

R0170

 

 

 

 

 

…

Total liabilites

R0200

 

 

 

 

 

…
S.03.01.01
Off-balance sheet items — general

 

 

Maximum value

Value of guarantee / collateral / contingent liabilities

Value of assets for which collateral is held

Value of liabilities for which collateral is pledged

 

 

C0010

C0020

C0030

C0040

Guarantees provided by the undertaking, including letters of credit

R0010

 

 

 

 

Of which, guarantees, including letters of credit provided to other undertakings of the same group

R0020

 

 

 

 

Guarantees received by the undertaking, including letters of credit

R0030

 

 

 

 

Of which, guarantees, including letters of credit received from other undertakings of the same group

R0040

 

 

 

 

Collateral held

 

 

 

 

 

Collateral held for loans made or bonds purchased

R0100

 

 

 

 

Collateral held for derivatives

R0110

 

 

 

 

Assets pledged by reinsurers for ceded technical provisions

R0120

 

 

 

 

Other collateral held

R0130

 

 

 

 

Total collateral held

R0200

 

 

 

 

Collateral pledged

 

 

 

 

 

Collateral pledged for loans received or bonds issued

R0210

 

 

 

 

Collateral pledged for derivatives

R0220

 

 

 

 

Assets pledged to cedants for technical provisions (reinsurance accepted)

R0230

 

 

 

 

Other collateral pledged

R0240

 

 

 

 

Total collateral pledged

R0300

 

 

 

 

Contingent liabilities

 

 

 

 

 

Contingent liabilities not in Solvency II Balance Sheet

R0310

 

 

 

 

Of which contingent liabilities toward entities of the same group

R0320

 

 

 

 

Contingent liabilities in Solvency II Balance Sheet

R0330

 

 

 

 

Total Contingent liabilities

R0400

 

 

 

 
S.03.01.04
Off-balance sheet items — general

 

 

Maximum value

Value of guarantee / collateral / contingent liabilities

Value of assets for which collateral is held

Value of liabilities for which collateral is pledged

 

 

C0010

C0020

C0030

C0040

Guarantees provided by the group including letters of credit

R0010

 

 

 

 

Guarantees received by the group including letters of credit

R0030

 

 

 

 

Collateral held

 

 

 

 

 

Collateral held for loans made or bonds purchased

R0100

 

 

 

 

Collateral held for derivatives

R0110

 

 

 

 

Assets pledged by reinsurers for ceded technical provisions

R0120

 

 

 

 

Other collateral held

R0130

 

 

 

 

Total collateral held

R0200

 

 

 

 

Collateral pledged

 

 

 

 

 

Collateral pledged for loans received or bonds issued

R0210

 

 

 

 

Collateral pledged for derivatives

R0220

 

 

 

 

Assets pledged to cedants for technical provisions (reinsurance accepted)

R0230

 

 

 

 

Other collateral pledged

R0240

 

 

 

 

Total collateral pledged

R0300

 

 

 

 

Contingent liabilities

 

 

 

 

 

Contingent liabilities not in Solvency II Balance Sheet

R0310

 

 

 

 

Contingent liabilities in Solvency II Balance Sheet

R0330

 

 

 

 

Total Contingent liabilities

R0400

 

 

 

 
S.03.02.01
Off-balance sheet items — List of unlimited guarantees received by the undertaking

Code of guarantee

Name of provider of guarantee

Code of provider of guarantee

Type of code of provider of guarantee

Provider of guarantee belonging to the same group

Triggering event(s) of guarantee

Specific triggering event(s) of guarantee

Effective date of guarantee

Ancillary Own Funds

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

 

 

 

 

 

 

 

 

 
S.03.02.04
Off-balance sheet items — List of unlimited guarantees received by the group

Code of guarantee

Name of provider of guarantee

Code of provider of guarantee

Type of code of provider of guarantee

Triggering event(s) of guarantee

Specific triggering event(s) of guarantee

Effective date of guarantee

Ancillary Own Funds

C0010

C0020

C0030

C0040

C0060

C0070

C0080

C0090

 

 

 

 

 

 

 

 
S.03.03.01
Off-balance sheet items — List of unlimited guarantees provided by the undertaking

Code of guarantee

Name of receiver of guarantee

Code of receiver of guarantee

Type of code of receiver of guarantee

Receiver of guarantee belonging to the same group

Triggering event(s) of guarantee

Estimation of the maximum value of guarantee

Specific triggering event(s) of guarantee

Effective date of guarantee

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

 

 

 

 

 

 

 

 

 
S.03.03.04
Off-balance sheet items — List of unlimited guarantees provided by the group

Code of guarantee

Name of receiver of guarantee

Code of receiver of guarantee

Type of code of receiver of guarantee

Triggering event(s) of guarantee

Estimation of the maximum value of guarantee

Specific triggering event(s) of guarantee

Effective date of guarantee

C0010

C0020

C0030

C0040

C0060

C0070

C0080

C0090

 

 

 

 

 

 

 

 
S.04.01.01
Activity by country

 

 

Line of Business

Z0010

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Undertaking

All EEA members

Total business underwritten by all non-EEA branches

 

 

Business underwritten in the home country, by the undertaking

Business underwritten through FPS, by the undertaking in the EEA countries different from the home country

Business underwritten through FPS in the home country, by any EEA branch

Total business underwritten by all EEA branches in the country where they are established

Total business underwritten through FPS, by all EEA branches

Total of the business underwritten through FPS by the undertaking and all EEA branches

 

 

C0010

C0020

C0030

C0040

C0050

C0060

C0070

Country

R0010

 

 

 

 

 

 

 

Premiums written

R0020

 

 

 

 

 

 

 

Claims incurred

R0030

 

 

 

 

 

 

 

Commissions

R0040

 

 

 

 

 

 

 

 

 

By EEA member

…

By material non-EEA member

…

 

 

Business underwritten in the considered country, by the EEA branch established in this country

Business underwritten through FPS, by the EEA branch established in the considered country

Business underwritten in the considered country through FPS, by the undertaking or any EEA branch

Business underwritten in the considered country, by the EEA branch established in this country

Business underwritten through FPS, by the EEA branch established in the considered country

Business underwritten in the considered country through FPS, by the undertaking or any EEA branch

Business underwritten by material non-EEA country branches

…

 

 

C0080

C0090

C0100

…

…

 

C0110

 

Country

R0010

 

 

 

 

Premiums written

R0020

 

 

 

 

 

 

 

 

Claims incurred

R0030

 

 

 

 

 

 

 

 

Commissions

R0040

 

 

 

 

 

 

 

 
S.04.02.01
Information on class 10 in Part A of Annex I of Solvency II Directive, excluding carrier's liability

 

 

Undertaking

By EEA Member

…

 

 

FPS

Branch

FPS

Branch

FPS

 

 

C0010

C0020

C0030

…

 

Country

R0010

 

 

 

 

 

Frequency of claims for Motor Vehicle Liability (except carrier's liability)

R0020

 

 

 

 

 

Average cost of claims for Motor Vehicle Liability (except carrier's liability)

R0030

 

 

 

 

 
S.05.01.01
Premiums, claims and expenses by line of business

 

 

Line of Business for: non-life insurance and reinsurance obligations (direct business and accepted proportional reinsurance)

 

 

Medical expense insurance

Income protection insurance

Workers' compensation insurance

Motor vehicle liability insurance

Other motor insurance

Marine, aviation and transport insurance

Fire and other damage to property insurance

General liability insurance

Credit and suretyship insurance

 

 

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

Premiums written

 

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0110

 

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0120

 

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0130

 

 

 

 

 

 

 

 

 

Reinsurers' share

R0140

 

 

 

 

 

 

 

 

 

Net

R0200

 

 

 

 

 

 

 

 

 

Premiums earned

 

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0210

 

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0220

 

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0230

 

 

 

 

 

 

 

 

 

Reinsurers' share

R0240

 

 

 

 

 

 

 

 

 

Net

R0300

 

 

 

 

 

 

 

 

 

Claims incurred

 

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0310

 

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0320

 

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0330

 

 

 

 

 

 

 

 

 

Reinsurers' share

R0340

 

 

 

 

 

 

 

 

 

Net

R0400

 

 

 

 

 

 

 

 

 

Changes in other technical provisions

 

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0410

 

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0420

 

 

 

 

 

 

 

 

 

Gross — Non- proportional reinsurance accepted

R0430

 

 

 

 

 

 

 

 

 

Reinsurers'share

R0440

 

 

 

 

 

 

 

 

 

Net

R0500

 

 

 

 

 

 

 

 

 

 

 

Line of Business for: non-life insurance and reinsurance obligations (direct business and accepted proportional reinsurance)

Line of Business for: accepted non-proportional reinsurance

Total

 

 

Legal expenses insurance

Assistance

Miscellaneous financial loss

Health

Casualty

Marine, aviation, transport

Property

 

 

C0100

C0110

C0120

C0130

C0140

C0150

C0160

C0200

Premiums written

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0110

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0120

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0130

 

 

 

 

 

 

 

 

Reinsurers' share

R0140

 

 

 

 

 

 

 

 

Net

R0200

 

 

 

 

 

 

 

 

Premiums earned

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0210

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0220

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0230

 

 

 

 

 

 

 

 

Reinsurers' share

R0240

 

 

 

 

 

 

 

 

Net

R0300

 

 

 

 

 

 

 

 

Claims incurred

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0310

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0320

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0330

 

 

 

 

 

 

 

 

Reinsurers' share

R0340

 

 

 

 

 

 

 

 

Net

R0400

 

 

 

 

 

 

 

 

Changes in other technical provisions

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0410

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0420

 

 

 

 

 

 

 

 

Gross — Non- proportional reinsurance accepted

R0430

 

 

 

 

 

 

 

 

Reinsurers' share

R0440

 

 

 

 

 

 

 

 

Net

R0500

 

 

 

 

 

 

 

 

 

 

Line of Business for: non-life insurance obligations

 

 

Medical expense insurance

Income protection insurance

Workers' compensation insurance

Motor vehicle liability insurance

Other motor insurance

Marine, aviation and transport insurance

Fire and other damage to property insurance

General liability insurance

Credit and suretyship insurance

 

 

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

Expenses incurred

R0550

 

 

 

 

 

 

 

 

 

Administrative expenses

 

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0610

 

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0620

 

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0630

 

 

 

 

 

 

 

 

 

Reinsurers' share

R0640

 

 

 

 

 

 

 

 

 

Net

R0700

 

 

 

 

 

 

 

 

 

Investment management expenses

 

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0710

 

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0720

 

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0730

 

 

 

 

 

 

 

 

 

Reinsurers' share

R0740

 

 

 

 

 

 

 

 

 

Net

R0800

 

 

 

 

 

 

 

 

 

Claims management expenses

 

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0810

 

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0820

 

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0830

 

 

 

 

 

 

 

 

 

Reinsurers' share

R0840

 

 

 

 

 

 

 

 

 

Net

R0900

 

 

 

 

 

 

 

 

 

Acquisition expenses

 

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0910

 

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0920

 

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0930

 

 

 

 

 

 

 

 

 

Reinsurers' share

R0940

 

 

 

 

 

 

 

 

 

Net

R1000

 

 

 

 

 

 

 

 

 

Overhead expenses

 

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R1010

 

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R1020

 

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R1030

 

 

 

 

 

 

 

 

 

Reinsurers' share

R1040

 

 

 

 

 

 

 

 

 

Net

R1100

 

 

 

 

 

 

 

 

 

Other expenses

R1200

 

 

 

 

 

 

 

 

 

Total expenses

R1300

 

 

 

 

 

 

 

 

 

 

 

Line of Business for: non-life insurance obligations

Line of Business for: accepted non-proportional reinsurance

Total

 

 

Legal expenses insurance

Assistance

Miscellaneous financial loss

Health

Casualty

Marine, aviation, transport

Property

 

 

C0100

C0110

C0120

C0130

C0140

C0150

C0160

C0200

Expenses incurred

R0550

 

 

 

 

 

 

 

 

Administrative expenses

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0610

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0620

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0630

 

 

 

 

 

 

 

 

Reinsurers' share

R0640

 

 

 

 

 

 

 

 

Net

R0700

 

 

 

 

 

 

 

 

Investment management expenses

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0710

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0720

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0730

 

 

 

 

 

 

 

 

Reinsurers' share

R0740

 

 

 

 

 

 

 

 

Net

R0800

 

 

 

 

 

 

 

 

Claims management expenses

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0810

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0820

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0830

 

 

 

 

 

 

 

 

Reinsurers' share

R0840

 

 

 

 

 

 

 

 

Net

R0900

 

 

 

 

 

 

 

 

Acquisition expenses

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0910

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0920

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0930

 

 

 

 

 

 

 

 

Reinsurers' share

R0940

 

 

 

 

 

 

 

 

Net

R1000

 

 

 

 

 

 

 

 

Overhead expenses

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R1010

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R1020

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R1030

 

 

 

 

 

 

 

 

Reinsurers' share

R1040

 

 

 

 

 

 

 

 

Net

R1100

 

 

 

 

 

 

 

 

Other expenses

R1200

 

 

 

 

 

 

 

 

Total expenses

R1300

 

 

 

 

 

 

 

 

 

 

Line of Business for: life insurance obligations

Life reinsurance obligations

Total

 

 

Health insurance

Insurance with profit participation

Index-linked and unit-linked insurance

Other life insurance

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

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

Health reinsurance

Life reinsurance

 

 

 

C0210

C0220

C0230

C0240

C0250

C0260

C0270

C0280

C0300

Premiums written

 

 

 

 

 

 

 

 

 

 

Gross

R1410

 

 

 

 

 

 

 

 

 

Reinsurers' share

R1420

 

 

 

 

 

 

 

 

 

Net

R1500

 

 

 

 

 

 

 

 

 

Premiums earned

 

 

 

 

 

 

 

 

 

 

Gross

R1510

 

 

 

 

 

 

 

 

 

Reinsurers' share

R1520

 

 

 

 

 

 

 

 

 

Net

R1600

 

 

 

 

 

 

 

 

 

Claims incurred

 

 

 

 

 

 

 

 

 

 

Gross

R1610

 

 

 

 

 

 

 

 

 

Reinsurers' share

R1620

 

 

 

 

 

 

 

 

 

Net

R1700

 

 

 

 

 

 

 

 

 

Changes in other technical provisions

 

 

 

 

 

 

 

 

 

 

Gross

R1710

 

 

 

 

 

 

 

 

 

Reinsurers' share

R1720

 

 

 

 

 

 

 

 

 

Net

R1800

 

 

 

 

 

 

 

 

 

Expenses incurred

R1900

 

 

 

 

 

 

 

 

 

Administrative expenses

 

 

 

 

 

 

 

 

 

 

Gross

R1910

 

 

 

 

 

 

 

 

 

Reinsurers' share

R1920

 

 

 

 

 

 

 

 

 

Net

R2000

 

 

 

 

 

 

 

 

 

Investment management expenses

 

 

 

 

 

 

 

 

 

 

Gross

R2010

 

 

 

 

 

 

 

 

 

Reinsurers' share

R2020

 

 

 

 

 

 

 

 

 

Net

R2100

 

 

 

 

 

 

 

 

 

Claims management expenses

 

 

 

 

 

 

 

 

 

 

Gross

R2110

 

 

 

 

 

 

 

 

 

Reinsurers' share

R2120

 

 

 

 

 

 

 

 

 

Net

R2200

 

 

 

 

 

 

 

 

 

 

 

Line of Business for: life insurance obligations

Life reinsurance obligations

Total

 

 

Health insurance

Insurance with profit participation

Index-linked and unit-linked insurance

Other life insurance

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

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

Health reinsurance

Life reinsurance

 

 

 

C0210

C0220

C0230

C0240

C0250

C0260

C0270

C0280

C0300

Acquisition expenses

 

 

 

 

 

 

 

 

 

 

Gross

R2210

 

 

 

 

 

 

 

 

 

Reinsurers' share

R2220

 

 

 

 

 

 

 

 

 

Net

R2300

 

 

 

 

 

 

 

 

 

Overhead expenses

 

 

 

 

 

 

 

 

 

 

Gross

R2310

 

 

 

 

 

 

 

 

 

Reinsurers' share

R2320

 

 

 

 

 

 

 

 

 

Net

R2400

 

 

 

 

 

 

 

 

 

Other expenses

R2500

 

 

 

 

 

 

 

 

 

Total expenses

R2600

 

 

 

 

 

 

 

 

 

Total amount of surrenders

R2700

 

 

 

 

 

 

 

 

 
S.05.01.02
Premiums, claims and expenses by line of business

 

 

Line of Business for: non-life insurance and reinsurance obligations (direct business and accepted proportional reinsurance)

 

 

Medical expense insurance

Income protection insurance

Workers' compensation insurance

Motor vehicle liability insurance

Other motor insurance

Marine, aviation and transport insurance

Fire and other damage to property insurance

General liability insurance

Credit and suretyship insurance

 

 

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

Premiums written

 

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0110

 

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0120

 

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0130

 

 

 

 

 

 

 

 

 

Reinsurers' share

R0140

 

 

 

 

 

 

 

 

 

Net

R0200

 

 

 

 

 

 

 

 

 

Premiums earned

 

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0210

 

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0220

 

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0230

 

 

 

 

 

 

 

 

 

Reinsurers' share

R0240

 

 

 

 

 

 

 

 

 

Net

R0300

 

 

 

 

 

 

 

 

 

Claims incurred

 

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0310

 

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0320

 

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0330

 

 

 

 

 

 

 

 

 

Reinsurers' share

R0340

 

 

 

 

 

 

 

 

 

Net

R0400

 

 

 

 

 

 

 

 

 

Changes in other technical provisions

 

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0410

 

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0420

 

 

 

 

 

 

 

 

 

Gross — Non- proportional reinsurance accepted

R0430

 

 

 

 

 

 

 

 

 

Reinsurers' share

R0440

 

 

 

 

 

 

 

 

 

Net

R0500

 

 

 

 

 

 

 

 

 

Expenses incurred

R0550

 

 

 

 

 

 

 

 

 

Other expenses

R1200

 

 

 

 

 

 

 

 

 

Total expenses

R1300

 

 

 

 

 

 

 

 

 

 

 

Line of Business for: non-life insurance and reinsurance obligations (direct business and accepted proportional reinsurance)

Line of business for: accepted non-proportional reinsurance

Total

 

 

Legal expenses insurance

Assistance

Miscellaneous financial loss

Health

Casualty

Marine, aviation, transport

Property

 

 

C0100

C0110

C0120

C0130

C0140

C0150

C0160

C0200

Premiums written

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0110

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0120

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0130

 

 

 

 

 

 

 

 

Reinsurers' share

R0140

 

 

 

 

 

 

 

 

Net

R0200

 

 

 

 

 

 

 

 

Premiums earned

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0210

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0220

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0230

 

 

 

 

 

 

 

 

Reinsurers' share

R0240

 

 

 

 

 

 

 

 

Net

R0300

 

 

 

 

 

 

 

 

Claims incurred

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0310

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0320

 

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0330

 

 

 

 

 

 

 

 

Reinsurers' share

R0340

 

 

 

 

 

 

 

 

Net

R0400

 

 

 

 

 

 

 

 

Changes in other technical provisions

 

 

 

 

 

 

 

 

 

Gross — Direct Business

R0410

 

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0420

 

 

 

 

 

 

 

 

Gross — Non- proportional reinsurance accepted

R0430

 

 

 

 

 

 

 

 

Reinsurers'share

R0440

 

 

 

 

 

 

 

 

Net

R0500

 

 

 

 

 

 

 

 

Expenses incurred

R0550

 

 

 

 

 

 

 

 

Other expenses

R1200

 

 

 

 

 

 

 

 

Total expenses

R1300

 

 

 

 

 

 

 

 

 

 

Line of Business for: life insurance obligations

Life reinsurance obligations

Total

 

 

Health insurance

Insurance with profit participation

Index-linked and unit-linked insurance

Other life insurance

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

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

Health reinsurance

Life reinsurance

 

 

 

C0210

C0220

C0230

C0240

C0250

C0260

C0270

C0280

C0300

Premiums written

 

 

 

 

 

 

 

 

 

 

Gross

R1410

 

 

 

 

 

 

 

 

 

einsurers' share

R1420

 

 

 

 

 

 

 

 

 

Net

R1500

 

 

 

 

 

 

 

 

 

Premiums earned

 

 

 

 

 

 

 

 

 

 

Gross

R1510

 

 

 

 

 

 

 

 

 

Reinsurers' share

R1520

 

 

 

 

 

 

 

 

 

Net

R1600

 

 

 

 

 

 

 

 

 

Claims incurred

 

 

 

 

 

 

 

 

 

 

Gross

R1610

 

 

 

 

 

 

 

 

 

Reinsurers' share

R1620

 

 

 

 

 

 

 

 

 

Net

R1700

 

 

 

 

 

 

 

 

 

Changes in other technical provisions

 

 

 

 

 

 

 

 

 

 

Gross

R1710

 

 

 

 

 

 

 

 

 

Reinsurers' share

R1720

 

 

 

 

 

 

 

 

 

Net

R1800

 

 

 

 

 

 

 

 

 

Expenses incurred

R1900

 

 

 

 

 

 

 

 

 

Other expenses

R2500

 

 

 

 

 

 

 

 

 

Total expenses

R2600

 

 

 

 

 

 

 

 

 
S.05.02.01
Premiums, claims and expenses by country

 

 

Home Country

Top 5 countries (by amount of gross premiums written) — non-life obligations

Total Top 5 and home country

 

 

C0010

C0020

C0030

C0040

C0050

C0060

C0070

 

R0010

 

 

 

 

 

 

 

 

 

C0080

C0090

C0100

C0110

C0120

C0130

C0140

Premiums written

 

 

 

 

 

 

 

 

Gross — Direct Business

R0110

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0120

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0130

 

 

 

 

 

 

 

Reinsurers' share

R0140

 

 

 

 

 

 

 

Net

R0200

 

 

 

 

 

 

 

Premiums earned

 

 

 

 

 

 

 

 

Gross — Direct Business

R0210

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0220

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0230

 

 

 

 

 

 

 

Reinsurers' share

R0240

 

 

 

 

 

 

 

Net

R0300

 

 

 

 

 

 

 

Claims incurred

 

 

 

 

 

 

 

 

Gross — Direct Business

R0310

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0320

 

 

 

 

 

 

 

Gross — Non-proportional reinsurance accepted

R0330

 

 

 

 

 

 

 

Reinsurers' share

R0340

 

 

 

 

 

 

 

Net

R0400

 

 

 

 

 

 

 

Changes in other technical provisions

 

 

 

 

 

 

 

 

Gross — Direct Business

R0410

 

 

 

 

 

 

 

Gross — Proportional reinsurance accepted

R0420

 

 

 

 

 

 

 

Gross — Non- proportional reinsurance accepted

R0430

 

 

 

 

 

 

 

Reinsurers'share

R0440

 

 

 

 

 

 

 

Net

R0500

 

 

 

 

 

 

 

Expenses incurred

R0550

 

 

 

 

 

 

 

Other expenses

R1200

 

 

 

 

 

 

 

Total expenses

R1300

 

 

 

 

 

 

 

 

 

Home Country

Top 5 countries (by amount of gross premiums written) — life obligations

Total Top 5 and home country

 

 

C0150

C0160

C0170

C0180

C0190

C0200

C0210

 

R1400

 

 

 

 

 

 

 

 

 

C0220

C0230

C0240

C0250

C0260

C0270

C0280

Premiums written

 

 

 

 

 

 

 

 

Gross

R1410

 

 

 

 

 

 

 

Reinsurers' share

R1420

 

 

 

 

 

 

 

Net

R1500

 

 

 

 

 

 

 

Premiums earned

 

 

 

 

 

 

 

 

Gross

R1510

 

 

 

 

 

 

 

Reinsurers' share

R1520

 

 

 

 

 

 

 

Net

R1600

 

 

 

 

 

 

 

Claims incurred

 

 

 

 

 

 

 

 

Gross

R1610

 

 

 

 

 

 

 

Reinsurers' share

R1620

 

 

 

 

 

 

 

Net

R1700

 

 

 

 

 

 

 

Changes in other technical provisions

 

 

 

 

 

 

 

 

Gross

R1710

 

 

 

 

 

 

 

Reinsurers' share

R1720

 

 

 

 

 

 

 

Net

R1800

 

 

 

 

 

 

 

Expenses incurred

R1900

 

 

 

 

 

 

 

Other expenses

R2500

 

 

 

 

 

 

 

Total expenses

R2600

 

 

 

 

 

 

 
S.06.01.01
Summary of assets

 

 

Life

Non-life

Ring-fenced funds

Other internal funds

Shareholders' funds

General

Assets listing

 

C0010

C0020

C0030

C0040

C0050

C0060

Assets listed

R0010

 

 

 

 

 

 

Assets that are not listed in a stock exchange

R0020

 

 

 

 

 

 

Assets that are not exchange tradable

R0030

 

 

 

 

 

 

By category

 

 

 

 

 

 

 

Government bonds

R0040

 

 

 

 

 

 

Corporate bonds

R0050

 

 

 

 

 

 

Equity

R0060

 

 

 

 

 

 

Collective Investment Undertakings

R0070

 

 

 

 

 

 

Structured notes

R0080

 

 

 

 

 

 

Collateralised securities

R0090

 

 

 

 

 

 

Cash and deposits

R0100

 

 

 

 

 

 

Mortgages and loans

R0110

 

 

 

 

 

 

Property

R0120

 

 

 

 

 

 

Other investments

R0130

 

 

 

 

 

 

Futures

R0140

 

 

 

 

 

 

Call Options

R0150

 

 

 

 

 

 

Put Options

R0160

 

 

 

 

 

 

Swaps

R0170

 

 

 

 

 

 

Forwards

R0180

 

 

 

 

 

 

Credit derivatives

R0190

 

 

 

 

 

 
S.06.02.01
List of assets
Information on positions held

Asset ID Code

Asset ID Code type

Portfolio

Fund number

Matching portfolio number

Asset held in unit linked and index linked contracts

Asset pledged as collateral

Country of custody

Custodian

Quantity

Par amount

Valuation method

Acquisition value

Total Solvency II amount

Accrued interest

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

C0120

C0130

C0140

C0150

C0160

C0170

C0180

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
Information on assets

Asset ID Code

Asset ID Code type

Item Title

Issuer Name

Issuer Code

Type of issuer code

Issuer Sector

Issuer Group

Issuer Group Code

Type of issuer group code

Issuer Country

Currency

CIC

Infrastructure investment

(cont.)

C0040

C0050

C0190

C0200

C0210

C0220

C0230

C0240

C0250

C0260

C0270

C0280

C0290

C0300

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Holdings in related undertakings, including participations

External rating

Nominated ECAI

Credit quality step

Internal rating

Duration

Unit Solvency II price

Unit percentage of par amount Solvency II price

Maturity date

C0310

C0320

C0330

C0340

C0350

C0360

C0370

C0380

C0390

 

 

 

 

 

 

 

 

 
S.06.02.04
List of assets
Information on positions held

Legal name of the undertaking

Identification code of the undertaking

Type of code of the ID of the undertaking

Asset ID Code

Asset ID Code type

Portfolio

Fund number

Matching portfolio number

Asset held in unit linked and index linked contracts

Asset pledged as collateral

Country of custody

Custodian

(cont.)

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

C0120

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quantity

Par amount

Valuation method

Acquisition value

Total Solvency II amount

Accrued interest

C0130

C0140

C0150

C0160

C0170

C0180

 

 

 

 

 

 
Information on assets

Asset ID Code

Asset ID Code type

Item Title

Issuer Name

Issuer Code

Type of issuer code

Issuer Sector

Issuer Group

Issuer Group Code

Type of issuer group code

Issuer Country

Currency

(cont.)

C0040

C0050

C0190

C0200

C0210

C0220

C0230

C0240

C0250

C0260

C0270

C0280

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CIC

Infrastructure investment

Participation

External rating

Nominated ECAI

Credit quality step

Internal rating

Duration

Unit Solvency II price

Unit percentage of par amount Solvency II price

Maturity date

C0290

C0300

C0310

C0320

C0330

C0340

C0350

C0360

C0370

C0380

C0390

 

 

 

 

 

 

 

 

 

 

 
S.06.03.01
Collective investment undertakings — look-through approach

Collective Investments Undertaking ID Code

Collective Investments Undertaking ID Code type

Underlying asset category

Country of issue

Currency

Total amount

C0010

C0020

C0030

C0040

C0050

C0060

 

 

 

 

 

 
S.06.03.04
Collective investment undertakings — look-through approach

Collective Investments Undertaking ID Code

Collective Investments Undertaking ID Code type

Underlying asset category

Country of issue

Currency

Total amount

C0010

C0020

C0030

C0040

C0050

C0060

 

 

 

 

 

 
S.07.01.01
Structured products

Asset ID Code

Asset ID Code type

Collateral type

Type of structured product

Capital protection

Underlying security / index / portfolio

Callable or Putable

Synthetic structured product

Prepayment structured product

Collateral value

Collateral portfolio

Fixed annual return

Variable annual return

Loss given default

Attachment point

Detachment point

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

C0120

C0130

C0140

C0150

C0160

C0170

C0180

C0190

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
S.07.01.04
Structured products

Legal name of the undertaking

Identification code of the undertaking

Type of code of the ID of the undertaking

Asset ID Code

Asset ID Code type

Collateral type

Type of structured product

Capital protection

Underlying security / index / portfolio

Callable or Putable

(cont.)

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

 

 

 

 

 

 

 

 

 

 

 

 

Synthetic structured product

Prepayment structured product

Collateral value

Collateral portfolio

Fixed annual return

Variable annual return

Loss given default

Attachment point

Detachment point

C0110

C0120

C0130

C0140

C0150

C0160

C0170

C0180

C0190

 

 

 

 

 

 

 

 

 
S.08.01.01
Open derivatives
Information on positions held

Derivative ID Code

Derivative ID Code type

Portfolio

Fund number

Derivatives held in index-linked and unit-linked contracts

Instrument underlying the derivative

Type of code of asset or liability underlying the derivative

Use of derivative

Delta

Notional amount of the derivative

Buyer / Seller

(cont.)

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

C0120

C0130

C0140

 

 

 

 

 

 

 

 

 

 

 

 

 

Premium paid to date

Premium received to date

Number of contracts

Contract size

Maximum loss under unwinding event

Swap outflow amount

Swap inflow amount

Initial date

Duration

Solvency II value

Valuation method

C0150

C0160

C0170

C0180

C0190

C0200

C0210

C0220

C0230

C0240

C0250

 

 

 

 

 

 

 

 

 

 

 
Information on derivatives

Derivative ID Code

Derivative ID Code type

Counterparty Name

Counterparty Code

Type of counterparty code

External rating

Nominated ECAI

Credit quality step

Internal rating

Counterparty Group

Counterparty group code

(cont.)

C0040

C0050

C0260

C0270

C0280

C0290

C0300

C0310

C0320

C0330

C0340

 

 

 

 

 

 

 

 

 

 

 

 

 

Type of counterparty group code

Contract name

Currency

CIC

Trigger value

Unwind trigger of contract

Swap delivered currency

Swap received currency

Maturity date

C0350

C0360

C0370

C0380

C0390

C0400

C0410

C0420

C0430

 

 

 

 

 

 

 

 

 
S.08.01.04
Open derivatives
Information on positions held

Legal name of the undertaking

Identification code of the undertaking

Type of code of the ID of the undertaking

Derivative ID Code

Derivative ID Code type

Portfolio

Fund number

Derivatives held in index-linked and unit-linked contracts

Instrument underlying the derivative

Type of code of asset or liability underlying the derivative

Use of derivative

Delta

(cont.)

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

C0120

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional amount of the derivative

Buyer / Seller

Premium paid to date

Premium received to date

Number of contracts

Contract size

Maximum loss under unwinding event

Swap outflow amount

Swap inflow amount

Initial date

Duration

Solvency II value

Valuation method

C0130

C0140

C0150

C0160

C0170

C0180

C0190

C0200

C0210

C0220

C0230

C0240

C0250

 

 

 

 

 

 

 

 

 

 

 

 

 
Information on derivatives

Derivative ID Code

Derivative ID Code type

Counterparty Name

Counterparty Code

Type of counterparty code

External rating

Nominated ECAI

Credit quality step

Internal rating

Counterparty Group

Counterparty group code

(cont.)

C0040

C0050

C0260

C0270

C0280

C0290

C0300

C0310

C0320

C0330

C0340

 

 

 

 

 

 

 

 

 

 

 

 

 

Type of counterparty group code

Contract name

Currency

CIC

Trigger value

Unwind trigger of contract

Swap delivered currency

Swap received currency

Maturity date

C0350

C0360

C0370

C0380

C0390

C0400

C0410

C0420

C0430

 

 

 

 

 

 

 

 

 
S.08.02.01
Derivatives Transactions
Information on positions held

Derivative ID Code

Derivative ID Code type

Portfolio

Fund number

Derivatives held in index-linked and unit-linked contracts

Instrument underlying the derivative

Type of code of asset or liability underlying the derivative

Use of derivative

Notional amount of the derivative

Buyer / Seller

Premium paid to date

(cont.)

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

C0120

C0130

C0140

 

 

 

 

 

 

 

 

 

 

 

 

 

Premium received to date

Profit and loss to date

Number of contracts

Contract size

Maximum loss under unwinding event

Swap outflow amount

Swap inflow amount

Initial date

Solvency II value

C0150

C0160

C0170

C0180

C0190

C0200

C0210

C0220

C0230

 

 

 

 

 

 

 

 

 
Information on derivatives

Derivative ID Code

Derivative ID Code type

Counterparty Name

Counterparty Code

Type of counterparty code

Counterparty group

Counterparty group code

Type of counterparty group code

Contract name

Currency

CIC

(cont.)

C0040

C0050

C0240

C0250

C0260

C0270

C0280

C0290

C0300

C0310

C0320

 

 

 

 

 

 

 

 

 

 

 

 

 

Trigger value

Unwind trigger of contract

Swap delivered currency

Swap received currency

Maturity date

C0330

C0340

C0350

C0360

C0370

 

 

 

 

 
S.08.02.04
Derivatives Transactions
Information on positions held

Legal name of the undertaking

Identification code of the undertaking

Type of code of the ID of the undertaking

Derivative ID Code

Derivative ID Code type

Portfolio

Fund number

Derivatives held in index-linked and unit-linked contracts

Instrument underlying the derivative

Type of code of asset or liability underlying the derivative

Use of derivative

(cont.)

0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional amount of the derivative

Buyer / Seller

Premium paid to date

Premium received to date

Profit and loss to date

Number of contracts

Contract size

Maximum loss under unwinding event

Swap outflow amount

Swap inflow amount

Initial date

Solvency II value

C0120

C0130

C0140

C0150

C0160

C0170

C0180

C0190

C0200

C0210

C0220

C0230

 

 

 

 

 

 

 

 

 

 

 

 
Information on derivatives

Derivative ID Code

Derivative ID Code type

Counterparty Name

Counterparty Code

Type of counterparty code

Counterparty group

Counterparty group code

Type of counterparty group code

Contract name

Currency

CIC

(cont.)

C0040

C0050

C0240

C0250

C0260

C0270

C0280

C0290

C0300

C0310

C0320

 

 

 

 

 

 

 

 

 

 

 

 

 

Trigger value

Unwind trigger of contract

Swap delivered currency

Swap received currency

Maturity date

C0330

C0340

C0350

C0360

C0370

 

 

 

 

 
S.09.01.01
Income/gains and losses in the period

Asset category

Portfolio

Asset held in unit-linked and index-linked contracts

Dividends

Interest

Rent

Net gains and losses

Unrealised gains and losses

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

 

 

 

 

 

 

 

 
S.09.01.04
Income/gains and losses in the period

Legal name of the undertaking

Identification code of the undertaking

Type of code of the ID of the undertaking

Asset category

Portfolio

Asset held in unit-linked and index-linked contracts

Dividends

Interest

Rent

Net gains and losses

Unrealised gains and losses

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

 

 

 

 

 

 

 

 

 

 

 
S.10.01.01
Securities lending and repos

Portfolio

Fund number

Asset category

Counterparty Name

Counterparty code

Type of counterparty code

Counterparty asset category

Assets held in unit-linked and index-linked contracts

Position in the contract

Near leg amount

Far leg amount

Start date

Maturity date

Solvency II Value

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

C0120

C0130

C0140

C0150

C0160

C0170

 

 

 

 

 

 

 

 

 

 

 

 

 

 
S.10.01.04
Securities lending and repos

Legal name of the undertaking

Identification code of the undertaking

Type of code of the ID of the undertaking

Portfolio

Fund number

Asset category

Counterparty Name

Counterparty code

Type of counterparty code

Counterparty asset category

Assets held in unit-linked and index-linked contracts

(cont.)

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

 

 

 

 

 

 

 

 

 

 

 

 

 

Position in the contract

Near leg amount

Far leg amount

Start date

Maturity date

Solvency II Value

C0120

C0130

C0140

C0150

C0160

C0170

 

 

 

 

 

 
S.11.01.01
Assets held as collateral
Information on positions held

Information on the assets held

Information on the asset for which collateral is held

Asset ID Code

Asset ID Code type

Name of counterparty pledging the collateral

Name of the group of the counterparty pledging the collateral

Country of custody

Quantity

Par amount

Valuation method

Total amount

Accrued interest

Type of asset for which the collateral is held

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

C0120

C0130

C0140

 

 

 

 

 

 

 

 

 

 

 
Information on assets

Information on the assets held

Asset ID Code

Asset ID Code type

Item Title

Issuer Name

Issuer Code

Type of issuer code

Issuer Sector

Issuer Group name

Issuer Group Code

Type of issuer group code

Issuer Country

Currency

CIC

Unit price

Unit percentage of par amount Solvency II price

Maturity date

C0040

C0050

C0150

C0160

C0170

C0180

C0190

C0200

C0210

C0220

C0230

C0240

C0250

C0260

C0270

C0280

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
S.11.01.04
Assets held as collateral
Information on positions held

 

 

 

Information on the assets held

Information on the asset for which collateral is held

Legal name of the undertaking

Identification code of the undertaking

Type of code of the ID of the undertaking

Asset ID Code

Asset ID Code type

Name of counterparty pledging the collateral

Name of the group of the counterparty pledging the collateral

Country of custody

Quantity

Par amount

Valuation method

Total amount

Accrued interest

Type of asset for which the collateral is held

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

C0120

C0130

C0140

 

 

 

 

 

 

 

 

 

 

 

 

 

 
Information on assets

Information on the assets held

 

Asset ID Code

Asset ID Code type

Item Title

Issuer Name

Issuer Code

Type of issuer code

Issuer Sector

Issuer Group name

Issuer Group Code

Type of issuer group code

Issuer Country

Currency

CIC

(cont)

C0040

C0050

C0150

C0160

C0170

C0180

C0190

C0200

C0210

C0220

C0230

C0240

C0250

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
Information on the assets held

Unit price

Unit percentage of par amount Solvency II price

Maturity date

C0260

C0270

C0280

 

 

 
S.12.01.01
Life and Health SLT Technical Provisions

 

 

Insurance with profit participation

Index-linked and unit-linked insurance

 

 

 

Contracts without options and guarantees

Contracts with options or guarantees

 

 

C0020

C0030

C0040

C0050

Technical provisions calculated as a whole

R0010

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

R0020

 

 

 

Technical provisions calculated as a sum of BE and RM

 

 

 

 

 

Best Estimate

 

 

 

 

 

Gross Best Estimate

R0030

 

 

 

 

Total recoverables from reinsurance/SPV and Finite Re before the adjustment for expected losses due to counterparty default

R0040

 

 

 

 

Recoverables from reinsurance (except SPV and Finite Re) before adjustment for expected losses

R0050

 

 

 

 

Recoverables from SPV before adjustment for expected losses

R0060

 

 

 

 

Recoverables from Finite Re before adjustment for expected losses

R0070

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0080

 

 

 

 

Best estimate minus recoverables from reinsurance/SPV and Finite Re

R0090

 

 

 

 

Risk Margin

R0100

 

 

 

Amount of the transitional on Technical Provisions

 

 

 

 

 

Technical Provisions calculated as a whole

R0110

 

 

 

Best estimate

R0120

 

 

 

 

Risk margin

R0130

 

 

 

Technical provisions - total

R0200

 

 

 

Technical provisions minus recoverables from reinsurance/SPV and Finite Re - total

R0210

 

 

 

Best Estimate of products with a surrender option

R0220

 

 

 

Gross BE for Cash flow

 

 

 

 

 

Cash out-flows

 

 

 

 

 

Future guaranteed and discretionary benefits

R0230

 

 

 

Future guaranteed benefits

R0240

 

 

 

Future discretionary benefits

R0250

 

 

Future expenses and other cash out-flows

R0260

 

 

 

Cash in-flows

 

 

 

 

 

Future premiums

R0270

 

 

 

Other cash in-flows

R0280

 

 

 

Percentage of gross Best Estimate calculated using approximations

R0290

 

 

 

Surrender value

R0300

 

 

 

Best estimate subject to transitional of the interest rate

R0310

 

 

 

Technical provisions without transitional on interest rate

R0320

 

 

 

Best estimate subject to volatility adjustment

R0330

 

 

 

Technical provisions without volatility adjustment and without others transitional measures

R0340

 

 

 

Best estimate subject to matching adjustment

R0350

 

 

 

Technical provisions without matching adjustment and without all the others

R0360

 

 

 

 

 

Other life insurance

Annuities stemming from non-life insurance contracts and relating to insurance obligation other than health insurance obligations

 

 

 

Contracts without options and guarantees

Contracts with options or guarantees

 

 

C0060

C0070

C0080

C0090

Technical provisions calculated as a whole

R0010

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

R0020

 

 

 

Technical provisions calculated as a sum of BE and RM

 

 

 

 

 

Best Estimate

 

 

 

 

 

Gross Best Estimate

R0030

 

 

 

 

Total recoverables from reinsurance/SPV and Finite Re before the adjustment for expected losses due to counterparty default

R0040

 

 

 

 

Recoverables from reinsurance (except SPV and Finite Re) before adjustment for expected losses

R0050

 

 

 

 

Recoverables from SPV before adjustment for expected losses

R0060

 

 

 

 

Recoverables from Finite Re before adjustment for expected losses

R0070

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0080

 

 

 

 

Best estimate minus recoverables from reinsurance/SPV and Finite Re

R0090

 

 

 

 

Risk Margin

R0100

 

 

 

Amount of the transitional on Technical Provisions

 

 

 

 

 

Technical Provisions calculated as a whole

R0110

 

 

 

Best estimate

R0120

 

 

 

 

Risk margin

R0130

 

 

 

Technical provisions - total

R0200

 

 

 

Technical provisions minus recoverables from reinsurance/SPV and Finite Re - total

R0210

 

 

 

Best Estimate of products with a surrender option

R0220

 

 

 

Gross BE for Cash flow

 

 

 

 

 

Cash out-flows

 

 

 

 

 

Future guaranteed and discretionary benefits

R0230

 

 

 

Future guaranteed benefits

R0240

 

 

 

Future discretionary benefits

R0250

 

Future expenses and other cash out-flows

R0260

 

 

 

Cash in-flows

 

 

 

 

 

Future premiums

R0270

 

 

 

Other cash in-flows

R0280

 

 

 

Percentage of gross Best Estimate calculated using approximations

R0290

 

 

 

Surrender value

R0300

 

 

 

Best estimate subject to transitional of the interest rate

R0310

 

 

 

Technical provisions without transitional on interest rate

R0320

 

 

 

Best estimate subject to volatility adjustment

R0330

 

 

 

Technical provisions without volatility adjustment and without others transitional measures

R0340

 

 

 

Best estimate subject to matching adjustment

R0350

 

 

 

Technical provisions without matching adjustment and without all the others

R0360

 

 

 

 

 

Accepted reinsurance

 

 

 

Insurance with profit participation

Index-linked and unit-linked insurance

Other life insurance

 

 

C0100

C0110

C0120

C0130

Technical provisions calculated as a whole

R0010

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

R0020

 

 

 

 

Technical provisions calculated as a sum of BE and RM

 

 

 

 

 

Best Estimate

 

 

 

 

 

Gross Best Estimate

R0030

 

 

 

 

Total recoverables from reinsurance/SPV and Finite Re before the adjustment for expected losses due to counterparty default

R0040

 

 

 

 

Recoverables from reinsurance (except SPV and Finite Re) before adjustment for expected losses

R0050

 

 

 

 

Recoverables from SPV before adjustment for expected losses

R0060

 

 

 

 

Recoverables from Finite Re before adjustment for expected losses

R0070

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0080

 

 

 

 

Best estimate minus recoverables from reinsurance/SPV and Finite Re

R0090

 

 

 

 

Risk Margin

R0100

 

 

 

 

Amount of the transitional on Technical Provisions

 

 

 

 

 

Technical Provisions calculated as a whole

R0110

 

 

 

 

Best estimate

R0120

 

 

 

 

Risk margin

R0130

 

 

 

 

Technical provisions - total

R0200

 

 

 

 

Technical provisions minus recoverables from reinsurance/SPV and Finite Re - total

R0210

 

 

 

 

Best Estimate of products with a surrender option

R0220

 

 

 

 

Gross BE for Cash flow

 

 

 

 

 

Cash out-flows

 

 

 

 

 

Future guaranteed and discretionary benefits

R0230

 

 

 

 

Future guaranteed benefits

R0240

 

 

 

 

Future discretionary benefits

R0250

 

 

 

 

Future expenses and other cash out-flows

R0260

 

 

 

 

Cash in-flows

 

 

 

 

 

Future premiums

R0270

 

 

 

 

Other cash in-flows

R0280

 

 

 

 

Percentage of gross Best Estimate calculated using approximations

R0290

 

 

 

 

Surrender value

R0300

 

 

 

 

Best estimate subject to transitional of the interest rate

R0310

 

 

 

 

Technical provisions without transitional on interest rate

R0320

 

 

 

 

Best estimate subject to volatility adjustment

R0330

 

 

 

 

Technical provisions without volatility adjustment and without others transitional measures

R0340

 

 

 

 

Best estimate subject to matching adjustment

R0350

 

 

 

 

Technical provisions without matching adjustment and without all the others

R0360

 

 

 

 

 

 

Accepted reinsurance

Total (Life other than health insurance, incl. Unit-Linked)

 

 

Annuities stemming from non-life accepted insurance contracts and relating to insurance obligation other than health insurance obligations

 

 

C0140

C0150

Technical provisions calculated as a whole

R0010

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

R0020

 

 

Technical provisions calculated as a sum of BE and RM

 

 

 

Best Estimate

 

 

 

Gross Best Estimate

R0030

 

 

Total recoverables from reinsurance/SPV and Finite Re before the adjustment for expected losses due to counterparty default

R0040

 

 

Recoverables from reinsurance (except SPV and Finite Re) before adjustment for expected losses

R0050

 

 

Recoverables from SPV before adjustment for expected losses

R0060

 

 

Recoverables from Finite Re before adjustment for expected losses

R0070

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0080

 

 

Best estimate minus recoverables from reinsurance/SPV and Finite Re

R0090

 

 

Risk Margin

R0100

 

 

Amount of the transitional on Technical Provisions

 

 

 

Technical Provisions calculated as a whole

R0110

 

 

Best estimate

R0120

 

 

Risk margin

R0130

 

 

Technical provisions - total

R0200

 

 

Technical provisions minus recoverables from reinsurance/SPV and Finite Re - total

R0210

 

 

Best Estimate of products with a surrender option

R0220

 

 

Gross BE for Cash flow

 

 

 

Cash out-flows

 

 

 

Future guaranteed and discretionary benefits

R0230

 

 

Future guaranteed benefits

R0240

 

 

Future discretionary benefits

R0250

 

 

Future expenses and other cash out-flows

R0260

 

 

Cash in-flows

 

 

 

Future premiums

R0270

 

 

Other cash in-flows

R0280

 

 

Percentage of gross Best Estimate calculated using approximations

R0290

 

 

Surrender value

R0300

 

 

Best estimate subject to transitional of the interest rate

R0310

 

 

Technical provisions without transitional on interest rate

R0320

 

 

Best estimate subject to volatility adjustment

R0330

 

 

Technical provisions without volatility adjustment and without others transitional measures

R0340

 

 

Best estimate subject to matching adjustment

R0350

 

 

Technical provisions without matching adjustment and without all the others

R0360

 

 

 

 

Health insurance (direct business)

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

 

 

 

Contracts without options and guarantees

Contracts with options or guarantees

 

 

C0160

C0170

C0180

C0190

Technical provisions calculated as a whole

R0010

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

R0020

 

 

 

Technical provisions calculated as a sum of BE and RM

 

 

 

 

 

Best Estimate

 

 

 

 

 

Gross Best Estimate

R0030

 

 

 

 

Total recoverables from reinsurance/SPV and Finite Re before the adjustment for expected losses due to counterparty default

R0040

 

 

 

 

Recoverables from reinsurance (except SPV and Finite Re) before adjustment for expected losses

R0050

 

 

 

 

Recoverables from SPV before adjustment for expected losses

R0060

 

 

 

 

Recoverables from Finite Re before adjustment for expected losses

R0070

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0080

 

 

 

 

Best estimate minus recoverables from reinsurance/SPV and Finite Re

R0090

 

 

 

 

Risk Margin

R0100

 

 

 

Amount of the transitional on Technical Provisions

 

 

 

 

 

Technical Provisions calculated as a whole

R0110

 

 

 

Best estimate

R0120

 

 

 

 

Risk margin

R0130

 

 

 

Technical provisions - total

R0200

 

 

 

Technical provisions minus recoverables from reinsurance/SPV and Finite Re - total

R0210

 

 

 

Best Estimate of products with a surrender option

R0220

 

 

 

Gross BE for Cash flow

 

 

 

 

 

Cash out-flows

 

 

 

 

 

Future guaranteed and discretionary benefits

R0230

 

 

 

Future guaranteed benefits

R0240

 

 

 

Future discretionary benefits

R0250

 

Future expenses and other cash out-flows

R0260

 

 

 

Cash in-flows

 

 

 

 

 

Future premiums

R0270

 

 

 

Other cash in-flows

R0280

 

 

 

Percentage of gross Best Estimate calculated using approximations

R0290

 

 

 

Surrender value

R0300

 

 

 

Best estimate subject to transitional of the interest rate

R0310

 

 

 

Technical provisions without transitional on interest rate

R0320

 

 

 

Best estimate subject to volatility adjustment

R0330

 

 

 

Technical provisions without volatility adjustment and without others transitional measures

R0340

 

 

 

Best estimate subject to matching adjustment

R0350

 

 

 

Technical provisions without matching adjustment and without all the others

R0360

 

 

 

 

 

Health reinsurance (reinsurance accepted)

Total (Health similar to life insurance)

 

 

 

 

C0200

C0210

Technical provisions calculated as a whole

R0010

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

R0020

 

 

Technical provisions calculated as a sum of BE and RM

 

 

 

Best Estimate

 

 

 

Gross Best Estimate

R0030

 

 

Total recoverables from reinsurance/SPV and Finite Re before the adjustment for expected losses due to counterparty default

R0040

 

 

Recoverables from reinsurance (except SPV and Finite Re) before adjustment for expected losses

R0050

 

 

Recoverables from SPV before adjustment for expected losses

R0060

 

 

Recoverables from Finite Re before adjustment for expected losses

R0070

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0080

 

 

Best estimate minus recoverables from reinsurance/SPV and Finite Re

R0090

 

 

Risk Margin

R0100

 

 

Amount of the transitional on Technical Provisions

 

 

 

Technical Provisions calculated as a whole

R0110

 

 

Best estimate

R0120

 

 

Risk margin

R0130

 

 

Technical provisions - total

R0200

 

 

Technical provisions minus recoverables from reinsurance/SPV and Finite Re - total

R0210

 

 

Best Estimate of products with a surrender option

R0220

 

 

Gross BE for Cash flow

 

 

 

Cash out-flows

 

 

 

Future guaranteed and discretionary benefits

R0230

 

 

Future guaranteed benefits

R0240

 

 

Future discretionary benefits

R0250

 

Future expenses and other cash out-flows

R0260

 

 

Cash in-flows

 

 

 

Future premiums

R0270

 

 

Other cash in-flows

R0280

 

 

Percentage of gross Best Estimate calculated using approximations

R0290

 

 

Surrender value

R0300

 

 

Best estimate subject to transitional of the interest rate

R0310

 

 

Technical provisions without transitional on interest rate

R0320

 

 

Best estimate subject to volatility adjustment

R0330

 

 

Technical provisions without volatility adjustment and without others transitional measures

R0340

 

 

Best estimate subject to matching adjustment

R0350

 

 

Technical provisions without matching adjustment and without all the others

R0360

 

 
S.12.01.02
Life and Health SLT Technical Provisions

 

 

Insurance with profit participation

Index-linked and unit-linked insurance

Other life insurance

Annuities stemming from non-life insurance contracts and relating to insurance obligation other than health insurance obligations

 

 

 

 

Contracts without options and guarantees

Contracts with options or guarantees

 

Contracts without options and guarantees

Contracts with options or guarantees

(cont.)

 

 

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

 

Technical provisions calculated as a whole

R0010

 

 

 

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

R0020

 

 

 

 

 

 

 

 

 

Technical provisions calculated as a sum of BE and RM

 

 

 

 

 

 

 

 

 

 

Best Estimate

 

 

 

 

 

 

 

 

 

 

Gross Best Estimate

R0030

 

 

 

 

 

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0080

 

 

 

 

 

 

 

 

 

Best estimate minus recoverables from reinsurance/SPV and Finite Re — total

R0090

 

 

 

 

 

 

 

 

 

Risk Margin

R0100

 

 

 

 

 

 

 

Amount of the transitional on Technical Provisions

 

 

 

 

 

 

 

 

 

 

Technical Provisions calculated as a whole

R0110

 

 

 

 

 

 

 

Best estimate

R0120

 

 

 

 

 

 

 

 

 

Risk margin

R0130

 

 

 

 

 

 

 

Technical provisions — total

R0200

 

 

 

 

 

 

 

 

 

Accepted reinsurance

Total (Life other than health insurance, incl. Unit-Linked)

Health insurance (direct business)

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

Health reinsurance (reinsurance accepted)

Total (Health similar to life insurance)

 

 

 

Contracts without options and guarantees

Contracts with options or guarantees

 

 

C0100

C0150

C0160

C0170

C0180

C0190

C0200

C0210

Technical provisions calculated as a whole

R0010

 

 

 

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

R0020

 

 

 

 

 

 

 

 

Technical provisions calculated as a sum of BE and RM

 

 

 

 

 

 

 

 

 

Best Estimate

 

 

 

 

 

 

 

 

 

Gross Best Estimate

R0030

 

 

 

 

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0080

 

 

 

 

 

 

 

 

Best estimate minus recoverables from reinsurance/SPV and Finite Re — total

R0090

 

 

 

 

 

 

 

 

Risk Margin

R0100

 

 

 

 

 

 

 

Amount of the transitional on Technical Provisions

 

 

 

 

 

 

 

 

 

Technical Provisions calculated as a whole

R0110

 

 

 

 

 

 

 

Best estimate

R0120

 

 

 

 

 

 

 

 

Risk margin

R0130

 

 

 

 

 

 

 

Technical provisions — total

R0200

 

 

 

 

 

 

 
SR.12.01.01
Life and Health SLT Technical Provisions

Ring Fenced Fund/Matching adjustment portfolio or remaining part

Z0020

 

Fund/Portfolio number

Z0030

 

 

 

Insurance with profit participation

Index-linked and unit-linked insurance

Other life insurance

Annuities stemming from non-life insurance contracts and relating to insurance obligation other than health insurance obligations

 

 

 

 

Contracts without options and guarantees

Contracts with options or guarantees

 

Contracts without options and guarantees

Contracts with options or guarantees

(cont.)

 

 

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

 

Technical provisions calculated as a whole

R0010

 

 

 

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

R0020

 

 

 

 

 

 

 

 

 

Technical provisions calculated as a sum of BE and RM

 

 

 

 

 

 

 

 

 

 

Best Estimate

 

 

 

 

 

 

 

 

 

 

Gross Best Estimate

R0030

 

 

 

 

 

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0080

 

 

 

 

 

 

 

 

 

Best estimate minus recoverables from reinsurance/SPV and Finite Re — total

R0090

 

 

 

 

 

 

 

 

 

Risk Margin

R0100

 

 

 

 

 

 

 

Amount of the transitional on Technical Provisions

 

 

 

 

 

 

 

 

 

 

Risk margin

R0130

 

 

 

 

 

 

 

Best estimate

R0120

 

 

 

 

 

 

 

 

 

Technical Provisions calculated as a whole

R0110

 

 

 

 

 

 

 

Technical provisions — total

R0200

 

 

 

 

 

 

 

 

 

Accepted reinsurance

Total (Life other than health insurance, including Unit-Linked)

Health insurance (direct business)

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

Health reinsurance (reinsurance accepted)

Total (Health similar to life insurance)

 

 

 

Contracts without options and guarantees

Contracts with options or guarantees

 

 

C0100

C0150

C0160

C0170

C0180

C0190

C0200

C0210

Technical provisions calculated as a whole

R0010

 

 

 

 

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP as a whole

R0020

 

 

 

 

 

 

 

 

Technical provisions calculated as a sum of BE and RM

 

 

 

 

 

 

 

 

 

Best Estimate

 

 

 

 

 

 

 

 

 

Gross Best Estimate

R0030

 

 

 

 

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0080

 

 

 

 

 

 

 

 

Best estimate minus recoverables from reinsurance/SPV and Finite Re — total

R0090

 

 

 

 

 

 

 

 

Risk Margin

R0100

 

 

 

 

 

 

 

 

Amount of the transitional on Technical Provisions

 

 

 

 

 

 

 

 

 

Technical Provisions calculated as a whole

R0110

 

 

 

 

 

 

 

 

Best estimate

R0120

 

 

 

 

 

 

 

 

Risk margin

R0130

 

 

 

 

 

 

 

 

Technical provisions — total

R0200

 

 

 

 

 

 

 

 
S.12.02.01
Life and Health SLT Technical Provisions — by country
Gross TP calculated as a whole and Gross BE for different countries

Geographical zone

 

 

Insurance with profit participation

Index-linked and unit-linked insurance

Other life insurance

Annuities stemming from non-life insurance contracts and relating to insurance obligation other than health insurance obligations

Accepted reinsurance

Total (Life other than health insurance, including Unit-Linked)

(cont.)

 

 

 

C0020

C0030

C0060

C0090

C0100

C0150

 

Home country

R0010

 

 

 

 

 

 

 

 

EEA countries outside the materiality threshold — not reported by country

R0020

 

 

 

 

 

 

 

 

Non-EEA countries outside the materiality threshold — not reported by country

R0030

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

By country

 

C0010

 

 

 

 

 

 

 

Country 1

R0040

 

 

 

 

 

 

 

 

…

…

 

 

 

 

 

 

 

 

Geographical zone

 

 

Health insurance (direct business)

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

Health reinsurance (reinsurance accepted)

Total (Health similar to life insurance)

 

 

 

C0160

C0190

C0200

C0210

Home country

R0010

 

 

 

 

 

EEA countries outside the materiality threshold — not reported by country

R0020

 

 

 

 

 

Non-EEA countries outside the materiality threshold — not reported by country

R0030

 

 

 

 

 

 

 

 

 

 

 

 

By country

 

C0010

 

 

 

 

Country 1

R0040

 

 

 

 

 

…

…

 

 

 

 

 
S.13.01.01
Projection of future gross cash flows

 

 

Insurance with profit participation

Index linked and unit-linked insurance

 

 

Cash out-flows

Cash in-flows

Cash out-flows

Cash in-flows

 

 

Future Benefits

Future expenses and other cash out-flows

Future premiums

Other cash in-flows

Future Benefits

Future expenses and other cash out-flows

Future premiums

Other cash in-flows

 

 

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

Year (projection of undiscounted expected cash-flows)

 

 

 

 

 

 

 

 

 

1

R0010

 

 

 

 

 

 

 

 

2

R0020

 

 

 

 

 

 

 

 

3

R0030

 

 

 

 

 

 

 

 

4

R0040

 

 

 

 

 

 

 

 

5

R0050

 

 

 

 

 

 

 

 

6

R0060

 

 

 

 

 

 

 

 

7

R0070

 

 

 

 

 

 

 

 

8

R0080

 

 

 

 

 

 

 

 

9

R0090

 

 

 

 

 

 

 

 

10

R0100

 

 

 

 

 

 

 

 

11

R0110

 

 

 

 

 

 

 

 

12

R0120

 

 

 

 

 

 

 

 

13

R0130

 

 

 

 

 

 

 

 

14

R0140

 

 

 

 

 

 

 

 

15

R0150

 

 

 

 

 

 

 

 

16

R0160

 

 

 

 

 

 

 

 

17

R0170

 

 

 

 

 

 

 

 

18

R0180

 

 

 

 

 

 

 

 

19

R0190

 

 

 

 

 

 

 

 

20

R0200

 

 

 

 

 

 

 

 

21

R0210

 

 

 

 

 

 

 

 

22

R0220

 

 

 

 

 

 

 

 

23

R0230

 

 

 

 

 

 

 

 

24

R0240

 

 

 

 

 

 

 

 

25

R0250

 

 

 

 

 

 

 

 

26

R0260

 

 

 

 

 

 

 

 

27

R0270

 

 

 

 

 

 

 

 

28

R0280

 

 

 

 

 

 

 

 

29

R0290

 

 

 

 

 

 

 

 

30

R0300

 

 

 

 

 

 

 

 

31-40

R0310

 

 

 

 

 

 

 

 

41-50

R0320

 

 

 

 

 

 

 

 

51 & after

R0330

 

 

 

 

 

 

 

 

 

 

Other life insurance

Annuities stemming from non-life contracts

 

 

Cash out-flows

Cash in-flows

Cash out-flows

Cash in-flows

 

 

Future Benefits

Future expenses and other cash out-flows

Future premiums

Other cash in-flows

Future Benefits

Future expenses and other cash out-flows

Future premiums

Other cash in-flows

 

 

C0090

C0100

C0110

C0120

C0130

C0140

C0150

C0160

Year (projection of undiscounted expected cash-flows)

 

 

 

 

 

 

 

 

 

1

R0010

 

 

 

 

 

 

 

 

2

R0020

 

 

 

 

 

 

 

 

3

R0030

 

 

 

 

 

 

 

 

4

R0040

 

 

 

 

 

 

 

 

5

R0050

 

 

 

 

 

 

 

 

6

R0060

 

 

 

 

 

 

 

 

7

R0070

 

 

 

 

 

 

 

 

8

R0080

 

 

 

 

 

 

 

 

9

R0090

 

 

 

 

 

 

 

 

10

R0100

 

 

 

 

 

 

 

 

11

R0110

 

 

 

 

 

 

 

 

12

R0120

 

 

 

 

 

 

 

 

13

R0130

 

 

 

 

 

 

 

 

14

R0140

 

 

 

 

 

 

 

 

15

R0150

 

 

 

 

 

 

 

 

16

R0160

 

 

 

 

 

 

 

 

17

R0170

 

 

 

 

 

 

 

 

18

R0180

 

 

 

 

 

 

 

 

19

R0190

 

 

 

 

 

 

 

 

20

R0200

 

 

 

 

 

 

 

 

21

R0210

 

 

 

 

 

 

 

 

22

R0220

 

 

 

 

 

 

 

 

23

R0230

 

 

 

 

 

 

 

 

24

R0240

 

 

 

 

 

 

 

 

25

R0250

 

 

 

 

 

 

 

 

26

R0260

 

 

 

 

 

 

 

 

27

R0270

 

 

 

 

 

 

 

 

28

R0280

 

 

 

 

 

 

 

 

29

R0290

 

 

 

 

 

 

 

 

30

R0300

 

 

 

 

 

 

 

 

31-40

R0310

 

 

 

 

 

 

 

 

41-50

R0320

 

 

 

 

 

 

 

 

51 & after

R0330

 

 

 

 

 

 

 

 

 

 

Accepted reinsurance

Health insurance

 

 

Cash out-flows

Cash in-flows

Cash out-flows

Cash in-flows

 

 

Future Benefits

Future expenses and other cash out-flows

Future premiums

Other cash in-flows

Future Benefits

Future expenses and other cash out-flows

Future premiums

Other cash in-flows

 

 

C0170

C0180

C0190

C0200

C0210

C0220

C0230

C0240

Year (projection of undiscounted expected cash-flows)

 

 

 

 

 

 

 

 

 

1

R0010

 

 

 

 

 

 

 

 

2

R0020

 

 

 

 

 

 

 

 

3

R0030

 

 

 

 

 

 

 

 

4

R0040

 

 

 

 

 

 

 

 

5

R0050

 

 

 

 

 

 

 

 

6

R0060

 

 

 

 

 

 

 

 

7

R0070

 

 

 

 

 

 

 

 

8

R0080

 

 

 

 

 

 

 

 

9

R0090

 

 

 

 

 

 

 

 

10

R0100

 

 

 

 

 

 

 

 

11

R0110

 

 

 

 

 

 

 

 

12

R0120

 

 

 

 

 

 

 

 

13

R0130

 

 

 

 

 

 

 

 

14

R0140

 

 

 

 

 

 

 

 

15

R0150

 

 

 

 

 

 

 

 

16

R0160

 

 

 

 

 

 

 

 

17

R0170

 

 

 

 

 

 

 

 

18

R0180

 

 

 

 

 

 

 

 

19

R0190

 

 

 

 

 

 

 

 

20

R0200

 

 

 

 

 

 

 

 

21

R0210

 

 

 

 

 

 

 

 

22

R0220

 

 

 

 

 

 

 

 

23

R0230

 

 

 

 

 

 

 

 

24

R0240

 

 

 

 

 

 

 

 

25

R0250

 

 

 

 

 

 

 

 

26

R0260

 

 

 

 

 

 

 

 

27

R0270

 

 

 

 

 

 

 

 

28

R0280

 

 

 

 

 

 

 

 

29

R0290

 

 

 

 

 

 

 

 

30

R0300

 

 

 

 

 

 

 

 

31-40

R0310

 

 

 

 

 

 

 

 

41-50

R0320

 

 

 

 

 

 

 

 

51 & after

R0330

 

 

 

 

 

 

 

 

 

 

Health reinsurance

Total recoverable from reinsurance (after the adjustment)

 

 

Cash out-flows

Cash in-flows

 

 

Future Benefits

Future expenses and other cash out-flows

Future premiums

Other cash in-flows

 

 

C0250

C0260

C0270

C0280

C0290

Year (projection of undiscounted expected cash-flows)

 

 

 

 

 

 

1

R0010

 

 

 

 

 

2

R0020

 

 

 

 

 

3

R0030

 

 

 

 

 

4

R0040

 

 

 

 

 

5

R0050

 

 

 

 

 

6

R0060

 

 

 

 

 

7

R0070

 

 

 

 

 

8

R0080

 

 

 

 

 

9

R0090

 

 

 

 

 

10

R0100

 

 

 

 

 

11

R0110

 

 

 

 

 

12

R0120

 

 

 

 

 

13

R0130

 

 

 

 

 

14

R0140

 

 

 

 

 

15

R0150

 

 

 

 

 

16

R0160

 

 

 

 

 

17

R0170

 

 

 

 

 

18

R0180

 

 

 

 

 

19

R0190

 

 

 

 

 

20

R0200

 

 

 

 

 

21

R0210

 

 

 

 

 

22

R0220

 

 

 

 

 

23

R0230

 

 

 

 

 

24

R0240

 

 

 

 

 

25

R0250

 

 

 

 

 

26

R0260

 

 

 

 

 

27

R0270

 

 

 

 

 

28

R0280

 

 

 

 

 

29

R0290

 

 

 

 

 

30

R0300

 

 

 

 

 

31-40

R0310

 

 

 

 

 

41-50

R0320

 

 

 

 

 

51 & after

R0330

 

 

 

 

 
S.14.01.01
Life obligations analysis
Portfolio

Product ID code

Fund number

Line of Business

Number of contracts at the end of the year

Number of new contracts during year

Total amount of written premiums

Total amount of claims paid during year

Country

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

 

 

 

 

 

 

 

 
Characterictics of product

Product ID code

Product classification

Type of product

Product denomination

Product still commercialised?

Type of premium

Use of financial instrument for replication?

Number of HRGs in products

C0090

C0100

C0110

C0120

C0130

C0140

C0150

C0160

 

 

 

 

 

 

 

 
Information on Homogeneous risk groups

HRG code

Best Estimate

Capital-at-risk

Surrender value

Annualised guaranteed rate (over average duration of guarantee)

C0170

C0180

C0190

C0200

C0210

 

 

 

 

 
Information on products and homogeneous risk groups

Product ID code

HRG code

C0220

C0230

 

 
S.15.01.01
Description of the guarantees of variable annuities

Product ID code

Product Denomination

Description of the product

Initial date of guarantee

Final date of guarantee

Type of guarantee

Guareanteed level

Description of the guarantee

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

 

 

 

 

 

 

 

 
S.15.01.04
Description of the guarantees of variable annuities

Legal name of the undertaking

Identification code of the undertaking

Type of code of the ID of the undertaking

Product ID code

Product Denomination

Description of the product

Initial date of guarantee

Final date of guarantee

Type of guarantee

Guareanteed level

Description of the guarantee

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

A1

 

 

 

 

 

 

 

 

 

 
S.15.02.01
Hedging of guarantees of variable annuities

Product ID code

Product Denomination

Type of hedging

Delta hedged

Rho hedged

Gamma hedged

Vega hedged

FX hedged

Other hedged risks

Economic result without hedging

Economic result with hedging

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

C0120

C0130

C0140

 

 

 

 

 

 

 

 

 

 

 
S.15.02.04
Hedging of guarantees of variable annuities

Legal name of the undertaking

Identification code of the undertaking

Type of code of the ID of the undertaking

Product ID code

Product Denomination

Type of hedging

Delta hedged

Rho hedged

(cont)

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

 

 

 

 

 

 

 

 

 

 

Gamma hedged

Vega hedged

FX hedged

Other hedged risks

Economic result without hedging

Economic result with hedging

C0090

C0100

C0110

C0120

C0130

C0140

 

 

 

 

 

 
S.16.01.01
Information on annuities stemming from Non-Life Insurance obligations

The related non-life line of business

Z0010

 

Accident year / Underwriting year

Z0020

 

Currency

Z0030

 

Currency conversion

Z0040

 

 

 

 

Information on year N:

 

C0010

The average interest rate

R0010

 

The average duration of the obligations

R0020

 

The weighted average age of the beneficiaries

R0030

 
Annuities information

Year

 

Undiscounted annuity claims provisions at the start of year N

Undiscounted annuity claims provisions set up during year N

Annuity payments paid during year N

Undiscounted annuity claims provisions at the end of year N

Number of annuities obligations at the end of year N

Best Estimate for annuity claims provisions at the end of year N (discounted basis)

Undiscounted development result

 

 

C0020

C0030

C0040

C0050

C0060

C0070

C0080

Prior years

R0040

 

 

 

 

 

 

 

N-14

R0050

 

 

 

 

 

 

 

N-13

R0060

 

 

 

 

 

 

 

N-12

R0070

 

 

 

 

 

 

 

N-11

R0080

 

 

 

 

 

 

 

N-10

R0090

 

 

 

 

 

 

 

N-9

R0100

 

 

 

 

 

 

 

N-8

R0110

 

 

 

 

 

 

 

N-7

R0120

 

 

 

 

 

 

 

N-6

R0130

 

 

 

 

 

 

 

N-5

R0140

 

 

 

 

 

 

 

N-4

R0150

 

 

 

 

 

 

 

N-3

R0160

 

 

 

 

 

 

 

N-2

R0170

 

 

 

 

 

 

 

N-1

R0180

 

 

 

 

 

 

 

N

R0190

 

 

 

 

 

 

 

Total

R0200

 

 

 

 

 

 

 
S.17.01.01
Non-life Technical Provisions

 

 

Direct business and accepted proportional reinsurance

 

 

Medical expense insurance

Income protection insurance

Workers' compensation insurance

Motor vehicle liability insurance

Other motor insurance

Marine, aviation and transport insurance

 

 

C0020

C0030

C0040

C0050

C0060

C0070

Technical provisions calculated as a whole

R0010

 

 

 

 

 

 

Direct business

R0020

 

 

 

 

 

 

Accepted proportional reinsurance business

R0030

 

 

 

 

 

 

Accepted non-proportional reinsurance

R0040

 

 

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

R0050

 

 

 

 

 

 

Technical provisions calculated as a sum of BE and RM

 

 

 

 

 

 

 

Best estimate

 

 

 

 

 

 

 

Premium provisions

 

 

 

 

 

 

 

Gross — Total

R0060

 

 

 

 

 

 

Gross — direct business

R0070

 

 

 

 

 

 

Gross — accepted proportional reinsurance business

R0080

 

 

 

 

 

 

Gross — accepted non-proportional reinsurance business

R0090

 

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re before the adjustment for expected losses due to counterparty default

R0100

 

 

 

 

 

 

Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses

R0110

 

 

 

 

 

 

Recoverables from SPV before adjustment for expected losses

R0120

 

 

 

 

 

 

Recoverables from Finite Reinsurance before adjustment for expected losses

R0130

 

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0140

 

 

 

 

 

 

Net Best Estimate of Premium Provisions

R0150

 

 

 

 

 

 

Claims provisions

 

 

 

 

 

 

 

Gross — Total

R0160

 

 

 

 

 

 

Gross — direct business

R0170

 

 

 

 

 

 

Gross — accepted proportional reinsurance business

R0180

 

 

 

 

 

 

Gross — accepted non-proportional reinsurance business

R0190

 

 

 

 

 

 

 

 

Direct business and accepted proportional reinsurance

 

 

Fire and other damage to property insurance

General liability insurance

Credit and suretyship insurance

Legal expenses insurance

Assistance

Miscellaneous financial loss

 

 

C0080

C0090

C0100

C0110

C0120

C0130

Technical provisions calculated as a whole

R0010

 

 

 

 

 

 

Direct business

R0020

 

 

 

 

 

 

Accepted proportional reinsurance business

R0030

 

 

 

 

 

 

Accepted non-proportional reinsurance

R0040

 

 

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

R0050

 

 

 

 

 

 

Technical provisions calculated as a sum of BE and RM

 

 

 

 

 

 

 

Best estimate

 

 

 

 

 

 

 

Premium provisions

 

 

 

 

 

 

 

Gross — Total

R0060

 

 

 

 

 

 

Gross — direct business

R0070

 

 

 

 

 

 

Gross — accepted proportional reinsurance business

R0080

 

 

 

 

 

 

Gross — accepted non-proportional reinsurance business

R0090

 

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re before the adjustment for expected losses due to counterparty default

R0100

 

 

 

 

 

 

Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses

R0110

 

 

 

 

 

 

Recoverables from SPV before adjustment for expected losses

R0120

 

 

 

 

 

 

Recoverables from Finite Reinsurance before adjustment for expected losses

R0130

 

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0140

 

 

 

 

 

 

Net Best Estimate of Premium Provisions

R0150

 

 

 

 

 

 

Claims provisions

 

 

 

 

 

 

 

Gross — Total

R0160

 

 

 

 

 

 

Gross — direct business

R0170

 

 

 

 

 

 

Gross — accepted proportional reinsurance business

R0180

 

 

 

 

 

 

Gross — accepted non-proportional reinsurance business

R0190

 

 

 

 

 

 

 

 

Accepted non-proportional reinsurance

Total Non-Life obligation

 

 

Non-proportional health reinsurance

Non-proportional casualty reinsurance

Non-proportional marine, aviation and transport reinsurance

Non-proportional property reinsurance

 

 

C0140

C0150

C0160

C0170

C0180

Technical provisions calculated as a whole

R0010

 

 

 

 

 

Direct business

R0020

 

 

 

 

 

Accepted proportional reinsurance business

R0030

 

 

 

 

 

Accepted non-proportional reinsurance

R0040

 

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

R0050

 

 

 

 

 

Technical provisions calculated as a sum of BE and RM

 

 

 

 

 

 

Best estimate

 

 

 

 

 

 

Premium provisions

 

 

 

 

 

 

Gross — Total

R0060

 

 

 

 

 

Gross — direct business

R0070

 

 

 

 

 

Gross — accepted proportional reinsurance business

R0080

 

 

 

 

 

Gross — accepted non-proportional reinsurance business

R0090

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re before the adjustment for expected losses due to counterparty default

R0100

 

 

 

 

 

Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses

R0110

 

 

 

 

 

Recoverables from SPV before adjustment for expected losses

R0120

 

 

 

 

 

Recoverables from Finite Reinsurance before adjustment for expected losses

R0130

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0140

 

 

 

 

 

Net Best Estimate of Premium Provisions

R0150

 

 

 

 

 

Claims provisions

 

 

 

 

 

 

Gross — Total

R0160

 

 

 

 

 

Gross — direct business

R0170

 

 

 

 

 

Gross — accepted proportional reinsurance business

R0180

 

 

 

 

 

Gross — accepted non-proportional reinsurance business

R0190

 

 

 

 

 

 

 

Direct business and accepted proportional reinsurance

 

 

Medical expense insurance

Income protection insurance

Workers' compensation insurance

Motor vehicle liability insurance

Other motor insurance

Marine, aviation and transport insurance

 

 

C0020

C0030

C0040

C0050

C0060

C0070

Total recoverable from reinsurance/SPV and Finite Re before the adjustment for expected losses due to counterparty default

R0200

 

 

 

 

 

 

Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses

R0210

 

 

 

 

 

 

Recoverables from SPV before adjustment for expected losses

R0220

 

 

 

 

 

 

Recoverables from Finite Reinsurance before adjustment for expected losses

R0230

 

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0240

 

 

 

 

 

 

Net Best Estimate of Claims Provisions

R0250

 

 

 

 

 

 

Total Best estimate — gross

R0260

 

 

 

 

 

 

Total Best estimate — net

R0270

 

 

 

 

 

 

Risk margin

R0280

 

 

 

 

 

 

Amount of the transitional on Technical Provisions

 

 

 

 

 

 

 

TP as a whole

R0290

 

 

 

 

 

 

Best estimate

R0300

 

 

 

 

 

 

Risk margin

R0310

 

 

 

 

 

 

Technical provisions — total

 

 

 

 

 

 

 

Technical provisions — total

R0320

 

 

 

 

 

 

Recoverable from reinsurance contract/SPV and Finite Re after the adjustment for expected losses due to counterparty default — total

R0330

 

 

 

 

 

 

Technical provisions minus recoverables from reinsurance/SPV and Finite Re- total

R0340

 

 

 

 

 

 

Line of Business: further segmentation (Homogeneous Risk Groups)

 

 

 

 

 

 

 

Premium provisions — Total number of homogeneous risk groups

R0350

 

 

 

 

 

 

Claims provisions — Total number of homogeneous risk groups

R0360

 

 

 

 

 

 

Cash-flows of the Best estimate of Premium Provisions (Gross)

 

 

 

 

 

 

 

Cash out-flows

 

 

 

 

 

 

 

Future benefits and claims

R0370

 

 

 

 

 

 

Future expenses and other cash-out flows

R0380

 

 

 

 

 

 

Cash in-flows

 

 

 

 

 

 

 

Future premiums

R0390

 

 

 

 

 

 

Other cash-in flows (incl. Recoverable from salvages and subrogations)

R0400

 

 

 

 

 

 

 

 

Direct business and accepted proportional reinsurance

 

 

Fire and other damage to property insurance

General liability insurance

Credit and suretyship insurance

Legal expenses insurance

Assistance

Miscellaneous financial loss

 

 

C0080

C0090

C0100

C0110

C0120

C0130

Total recoverable from reinsurance/SPV and Finite Re before the adjustment for expected losses due to counterparty default

R0200

 

 

 

 

 

 

Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses

R0210

 

 

 

 

 

 

Recoverables from SPV before adjustment for expected losses

R0220

 

 

 

 

 

 

Recoverables from Finite Reinsurance before adjustment for expected losses

R0230

 

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0240

 

 

 

 

 

 

Net Best Estimate of Claims Provisions

R0250

 

 

 

 

 

 

Total Best estimate — gross

R0260

 

 

 

 

 

 

Total Best estimate — net

R0270

 

 

 

 

 

 

Risk margin

R0280

 

 

 

 

 

 

Amount of the transitional on Technical Provisions

 

 

 

 

 

 

 

TP as a whole

R0290

 

 

 

 

 

 

Best estimate

R0300

 

 

 

 

 

 

Risk margin

R0310

 

 

 

 

 

 

Technical provisions — total

 

 

 

 

 

 

 

Technical provisions — total

R0320

 

 

 

 

 

 

Recoverable from reinsurance contract/SPV and Finite Re after the adjustment for expected losses due to counterparty default — total

R0330

 

 

 

 

 

 

Technical provisions minus recoverables from reinsurance/SPV and Finite Re- total

R0340

 

 

 

 

 

 

Line of Business: further segmentation (Homogeneous Risk Groups)

 

 

 

 

 

 

 

Premium provisions — Total number of homogeneous risk groups

R0350

 

 

 

 

 

 

Claims provisions — Total number of homogeneous risk groups

R0360

 

 

 

 

 

 

Cash-flows of the Best estimate of Premium Provisions (Gross)

 

 

 

 

 

 

 

Cash out-flows

 

 

 

 

 

 

 

Future benefits and claims

R0370

 

 

 

 

 

 

Future expenses and other cash-out flows

R0380

 

 

 

 

 

 

Cash in-flows

 

 

 

 

 

 

 

Future premiums

R0390

 

 

 

 

 

 

Other cash-in flows (incl. Recoverable from salvages and subrogations)

R0400

 

 

 

 

 

 

 

 

Accepted non-proportional reinsurance

Total Non-Life obligation

 

 

Non-proportional health reinsurance

Non-proportional casualty reinsurance

Non-proportional marine, aviation and transport reinsurance

Non-proportional property reinsurance

 

 

C0140

C0150

C0160

C0170

C0180

Total recoverable from reinsurance/SPV and Finite Re before the adjustment for expected losses due to counterparty default

R0200

 

 

 

 

 

Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses

R0210

 

 

 

 

 

Recoverables from SPV before adjustment for expected losses

R0220

 

 

 

 

 

Recoverables from Finite Reinsurance before adjustment for expected losses

R0230

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0240

 

 

 

 

 

Net Best Estimate of Claims Provisions

R0250

 

 

 

 

 

Total Best estimate — gross

R0260

 

 

 

 

 

Total Best estimate — net

R0270

 

 

 

 

 

Risk margin

R0280

 

 

 

 

 

Amount of the transitional on Technical Provisions

 

 

 

 

 

 

TP as a whole

R0290

 

 

 

 

 

Best estimate

R0300

 

 

 

 

 

Risk margin

R0310

 

 

 

 

 

Technical provisions — total

 

 

 

 

 

 

Technical provisions — total

R0320

 

 

 

 

 

Recoverable from reinsurance contract/SPV and Finite Re after the adjustment for expected losses due to counterparty default — total

R0330

 

 

 

 

 

Technical provisions minus recoverables from reinsurance/SPV and Finite Re- total

R0340

 

 

 

 

 

Line of Business: further segmentation (Homogeneous Risk Groups)

 

 

 

 

 

 

Premium provisions — Total number of homogeneous risk groups

R0350

 

 

 

 

 

Claims provisions — Total number of homogeneous risk groups

R0360

 

 

 

 

 

Cash-flows of the Best estimate of Premium Provisions (Gross)

 

 

 

 

 

 

Cash out-flows

 

 

 

 

 

 

Future benefits and claims

R0370

 

 

 

 

 

Future expenses and other cash-out flows

R0380

 

 

 

 

 

Cash in-flows

 

 

 

 

 

 

Future premiums

R0390

 

 

 

 

 

Other cash-in flows (incl. Recoverable from salvages and subrogations)

R0400

 

 

 

 

 

 

 

Direct business and accepted proportional reinsurance

 

 

Medical expense insurance

Income protection insurance

Workers' compensation insurance

Motor vehicle liability insurance

Other motor insurance

Marine, aviation and transport insurance

 

 

C0020

C0030

C0040

C0050

C0060

C0070

Cash-flows of the Best estimate of Claims Provisions (Gross)

 

 

 

 

 

 

 

Cash out-flows

 

 

 

 

 

 

 

Future benefits and claims

R0410

 

 

 

 

 

 

Future expenses and other cash-out flows

R0420

 

 

 

 

 

 

Cash in-flows

 

 

 

 

 

 

 

Future premiums

R0430

 

 

 

 

 

 

Other cash-in flows (incl. Recoverable from salvages and subrogations)

R0440

 

 

 

 

 

 

Percentage of gross Best Estimate calculated using approximations

R0450

 

 

 

 

 

 

Best estimate subject to transitional of the interest rate

R0460

 

 

 

 

 

 

Technical provisions without transitional on interest rate

R0470

 

 

 

 

 

 

Best estimate subject to volatility adjustment

R0480

 

 

 

 

 

 

Technical provisions without volatility adjustment and without others transitional measures

R0490

 

 

 

 

 

 

 

 

Direct business and accepted proportional reinsurance

 

 

Fire and other damage to property insurance

General liability insurance

Credit and suretyship insurance

Legal expenses insurance

Assistance

Miscellaneous financial loss

 

 

C0080

C0090

C0100

C0110

C0120

C0130

Cash-flows of the Best estimate of Claims Provisions (Gross)

 

 

 

 

 

 

 

Cash out-flows

 

 

 

 

 

 

 

Future benefits and claims

R0410

 

 

 

 

 

 

Future expenses and other cash-out flows

R0420

 

 

 

 

 

 

Cash in-flows

 

 

 

 

 

 

 

Future premiums

R0430

 

 

 

 

 

 

Other cash-in flows (incl. Recoverable from salvages and subrogations)

R0440

 

 

 

 

 

 

Percentage of gross Best Estimate calculated using approximations

R0450

 

 

 

 

 

 

Best estimate subject to transitional of the interest rate

R0460

 

 

 

 

 

 

Technical provisions without transitional on interest rate

R0470

 

 

 

 

 

 

Best estimate subject to volatility adjustment

R0480

 

 

 

 

 

 

Technical provisions without volatility adjustment and without others transitional measures

R0490

 

 

 

 

 

 

 

 

Accepted non-proportional reinsurance

Total Non-Life obligation

 

 

Non-proportional health reinsurance

Non-proportional casualty reinsurance

Non-proportional marine, aviation and transport reinsurance

Non-proportional property reinsurance

 

 

C0140

C0150

C0160

C0170

C0180

Cash-flows of the Best estimate of Claims Provisions (Gross)

 

 

 

 

 

 

Cash out-flows

 

 

 

 

 

 

Future benefits and claims

R0410

 

 

 

 

 

Future expenses and other cash-out flows

R0420

 

 

 

 

 

Cash in-flows

 

 

 

 

 

 

Future premiums

R0430

 

 

 

 

 

Other cash-in flows (incl. Recoverable from salvages and subrogations)

R0440

 

 

 

 

 

Percentage of gross Best Estimate calculated using approximations

R0450

 

 

 

 

 

Best estimate subject to transitional of the interest rate

R0460

 

 

 

 

 

Technical provisions without transitional on interest rate

R0470

 

 

 

 

 

Best estimate subject to volatility adjustment

R0480

 

 

 

 

 

Technical provisions without volatility adjustment and without others transitional measures

R0490

 

 

 

 

 
S.17.01.02
Non-life Technical Provisions

 

 

Direct business and accepted proportional reinsurance

 

 

Medical expense insurance

Income protection insurance

Workers' compensation insurance

Motor vehicle liability insurance

Other motor insurance

Marine, aviation and transport insurance

 

 

C0020

C0030

C0040

C0050

C0060

C0070

Technical provisions calculated as a whole

R0010

 

 

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

R0050

 

 

 

 

 

 

Technical provisions calculated as a sum of BE and RM

 

 

 

 

 

 

 

Best estimate

 

 

 

 

 

 

 

Premium provisions

 

 

 

 

 

 

 

Gross

R0060

 

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0140

 

 

 

 

 

 

Net Best Estimate of Premium Provisions

R0150

 

 

 

 

 

 

Claims provisions

 

 

 

 

 

 

 

Gross

R0160

 

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0240

 

 

 

 

 

 

Net Best Estimate of Claims Provisions

R0250

 

 

 

 

 

 

Total Best estimate — gross

R0260

 

 

 

 

 

 

Total Best estimate — net

R0270

 

 

 

 

 

 

Risk margin

R0280

 

 

 

 

 

 

Amount of the transitional on Technical Provisions

 

 

 

 

 

 

 

Technical Provisions calculated as a whole

R0290

 

 

 

 

 

 

Best estimate

R0300

 

 

 

 

 

 

Risk margin

R0310

 

 

 

 

 

 

Technical provisions — total

 

 

 

 

 

 

 

Technical provisions — total

R0320

 

 

 

 

 

 

Recoverable from reinsurance contract/SPV and Finite Re after the adjustment for expected losses due to counterparty default — total

R0330

 

 

 

 

 

 

Technical provisions minus recoverables from reinsurance/SPV and Finite Re — total

R0340

 

 

 

 

 

 

 

 

Direct business and accepted proportional reinsurance

 

 

Fire and other damage to property insurance

General liability insurance

Credit and suretyship insurance

Legal expenses insurance

Assistance

Miscellaneous financial loss

 

 

C0080

C0090

C0100

C0110

C0120

C0130

Technical provisions calculated as a whole

R0010

 

 

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

R0050

 

 

 

 

 

 

Technical provisions calculated as a sum of BE and RM

 

 

 

 

 

 

 

Best estimate

 

 

 

 

 

 

 

Premium provisions

 

 

 

 

 

 

 

Gross

R0060

 

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0140

 

 

 

 

 

 

Net Best Estimate of Premium Provisions

R0150

 

 

 

 

 

 

Claims provisions

 

 

 

 

 

 

 

Gross

R0160

 

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0240

 

 

 

 

 

 

Net Best Estimate of Claims Provisions

R0250

 

 

 

 

 

 

Total Best estimate — gross

R0260

 

 

 

 

 

 

Total Best estimate — net

R0270

 

 

 

 

 

 

Risk margin

R0280

 

 

 

 

 

 

Amount of the transitional on Technical Provisions

 

 

 

 

 

 

 

Technical Provisions calculated as a whole

R0290

 

 

 

 

 

 

Best estimate

R0300

 

 

 

 

 

 

Risk margin

R0310

 

 

 

 

 

 

Technical provisions — total

 

 

 

 

 

 

 

Technical provisions — total

R0320

 

 

 

 

 

 

Recoverable from reinsurance contract/SPV and Finite Re after the adjustment for expected losses due to counterparty default — total

R0330

 

 

 

 

 

 

Technical provisions minus recoverables from reinsurance/SPV and Finite Re — total

R0340

 

 

 

 

 

 

 

 

Accepted non-proportional reinsurance

Total Non-Life obligation

 

 

Non-proportional health reinsurance

Non-proportional casualty reinsurance

Non-proportional marine, aviation and transport reinsurance

Non-proportional property reinsurance

 

 

C0140

C0150

C0160

C0170

C0180

Technical provisions calculated as a whole

R0010

 

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

R0050

 

 

 

 

 

Technical provisions calculated as a sum of BE and RM

 

 

 

 

 

 

Best estimate

 

 

 

 

 

 

Premium provisions

 

 

 

 

 

 

Gross

R0060

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0140

 

 

 

 

 

Net Best Estimate of Premium Provisions

R0150

 

 

 

 

 

Claims provisions

 

 

 

 

 

 

Gross

R0160

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0240

 

 

 

 

 

Net Best Estimate of Claims Provisions

R0250

 

 

 

 

 

Total Best estimate — gross

R0260

 

 

 

 

 

Total Best estimate — net

R0270

 

 

 

 

 

Risk margin

R0280

 

 

 

 

 

Amount of the transitional on Technical Provisions

 

 

 

 

 

 

Technical Provisions calculated as a whole

R0290

 

 

 

 

 

Best estimate

R0300

 

 

 

 

 

Risk margin

R0310

 

 

 

 

 

Technical provisions — total

 

 

 

 

 

 

Technical provisions — total

R0320

 

 

 

 

 

Recoverable from reinsurance contract/SPV and Finite Re after the adjustment for expected losses due to counterparty default — total

R0330

 

 

 

 

 

Technical provisions minus recoverables from reinsurance/SPV and Finite Re — total

R0340

 

 

 

 

 
S.17.01.01
Non-life Technical Provisions

Ring Fenced Fund/Matching adjustment portfolio or remaining part

Z0020

 

Fund/Portfolio number

Z0030

 

 

 

Direct business and accepted proportional reinsurance

 

 

Medical expense insurance

Income protection insurance

Workers' compensation insurance

Motor vehicle liability insurance

Other motor insurance

Marine, aviation and transport insurance

 

 

C0020

C0030

C0040

C0050

C0060

C0070

Technical provisions calculated as a whole

R0010

 

 

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

R0050

 

 

 

 

 

 

Technical provisions calculated as a sum of BE and RM

 

 

 

 

 

 

 

Best estimate

 

 

 

 

 

 

 

Premium provisions

 

 

 

 

 

 

 

Gross

R0060

 

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0140

 

 

 

 

 

 

Net Best Estimate of Premium Provisions

R0150

 

 

 

 

 

 

Claims provisions

 

 

 

 

 

 

 

Gross

R0160

 

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0240

 

 

 

 

 

 

Net Best Estimate of Claims Provisions

R0250

 

 

 

 

 

 

Total Best estimate — gross

R0260

 

 

 

 

 

 

Total Best estimate — net

R0270

 

 

 

 

 

 

Risk margin

R0280

 

 

 

 

 

 

Amount of the transitional on Technical Provisions

 

 

 

 

 

 

 

Technical Provisions calculated as a whole

R0290

 

 

 

 

 

 

Best estimate

R0300

 

 

 

 

 

 

Risk margin

R0310

 

 

 

 

 

 

Technical provisions — total

 

 

 

 

 

 

 

Technical provisions — total

R0320

 

 

 

 

 

 

Recoverable from reinsurance contract/SPV and Finite Re after the adjustment for expected losses due to counterparty default — total

R0330

 

 

 

 

 

 

Technical provisions minus recoverables from reinsurance/SPV and Finite Re — total

R0340

 

 

 

 

 

 

 

 

Direct business and accepted proportional reinsurance

 

 

Fire and other damage to property insurance

General liability insurance

Credit and suretyship insurance

Legal expenses insurance

Assistance

Miscellaneous financial loss

 

 

C0080

C0090

C0100

C0110

C0120

C0130

Technical provisions calculated as a whole

R0010

 

 

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

R0050

 

 

 

 

 

 

Technical provisions calculated as a sum of BE and RM

 

 

 

 

 

 

 

Best estimate

 

 

 

 

 

 

 

Premium provisions

 

 

 

 

 

 

 

Gross

R0060

 

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0140

 

 

 

 

 

 

Net Best Estimate of Premium Provisions

R0150

 

 

 

 

 

 

Claims provisions

 

 

 

 

 

 

 

Gross

R0160

 

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0240

 

 

 

 

 

 

Net Best Estimate of Claims Provisions

R0250

 

 

 

 

 

 

Total Best estimate — gross

R0260

 

 

 

 

 

 

Total Best estimate — net

R0270

 

 

 

 

 

 

Risk margin

R0280

 

 

 

 

 

 

Amount of the transitional on Technical Provisions

 

 

 

 

 

 

 

Technical Provisions calculated as a whole

R0290

 

 

 

 

 

 

Best estimate

R0300

 

 

 

 

 

 

Risk margin

R0310

 

 

 

 

 

 

Technical provisions — total

 

 

 

 

 

 

 

Technical provisions — total

R0320

 

 

 

 

 

 

Recoverable from reinsurance contract/SPV and Finite Re after the adjustment for expected losses due to counterparty default — total

R0330

 

 

 

 

 

 

Technical provisions minus recoverables from reinsurance/SPV and Finite Re — total

R0340

 

 

 

 

 

 

 

 

Accepted non-proportional reinsurance

Total Non-Life obligation

 

 

Non-proportional health reinsurance

Non-proportional casualty reinsurance

Non-proportional marine, aviation and transport reinsurance

Non-proportional property reinsurance

 

 

C0140

C0150

C0160

C0170

C0180

Technical provisions calculated as a whole

R0010

 

 

 

 

 

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

R0050

 

 

 

 

 

Technical provisions calculated as a sum of BE and RM

 

 

 

 

 

 

Best estimate

 

 

 

 

 

 

Premium provisions

 

 

 

 

 

 

Gross

R0060

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0140

 

 

 

 

 

Net Best Estimate of Premium Provisions

R0150

 

 

 

 

 

Claims provisions

 

 

 

 

 

 

Gross

R0160

 

 

 

 

 

Total recoverable from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

R0240

 

 

 

 

 

Net Best Estimate of Claims Provisions

R0250

 

 

 

 

 

Total Best estimate — gross

R0260

 

 

 

 

 

Total Best estimate — net

R0270

 

 

 

 

 

Risk margin

R0280

 

 

 

 

 

Amount of the transitional on Technical Provisions

 

 

 

 

 

 

Technical Provisions calculated as a whole

R0290

 

 

 

 

 

Best estimate

R0300

 

 

 

 

 

Risk margin

R0310

 

 

 

 

 

Technical provisions — total

 

 

 

 

 

 

Technical provisions — total

R0320

 

 

 

 

 

Recoverable from reinsurance contract/SPV and Finite Re after the adjustment for expected losses due to counterparty default — total

R0330

 

 

 

 

 

Technical provisions minus recoverables from reinsurance/SPV and Finite Re — total

R0340

 

 

 

 

 
S.17.02.01
Non-Life Technical Provisions — By country
Gross TP calculated as a whole and Gross BE for different countries

 

 

 

Direct business

Geographical zone

 

 

Medical expense insurance

Income protection insurance

Workers' compensation insurance

Motor vehicle liability insurance

Other motor insurance

Marine, aviation and transport insurance

Fire and other damage to property insurance

 

 

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

Home country

R0010

 

 

 

 

 

 

 

 

EEA countries outside the materiality threshold — not reported by country

R0020

 

 

 

 

 

 

 

 

Non-EEA countries outside the materiality threshold — not reported by country

R0030

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

By country

 

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

Country 1

R0040

 

 

 

 

 

 

 

 

…

 

 

 

 

 

 

 

 

 

 

 

 

Direct business

Geographical zone

 

 

General liability insurance

Credit and suretyship insurance

Legal expenses insurance

Assistance

Miscellaneous financial loss

 

 

C0010

C0090

C0100

C0110

C0120

C0130

Home country

R0010

 

 

 

 

 

 

EEA countries outside the materiality threshold — not reported by country

R0020

 

 

 

 

 

 

Non-EEA countries outside the materiality threshold — not reported by country

R0030

 

 

 

 

 

 

 

 

 

 

 

 

 

 

By country

 

C0010

C0090

C0100

C0110

C0120

C0130

Country 1

R0040

 

 

 

 

 

 

…

 

 

 

 

 

 

 
S.18.01.01
Projection of future cash flows (Best Estimate — Non Life)

 

 

Best Estimate Premium Provision

(Gross)

Best Estimate Claim Provision

(Gross)

Total recoverable from reinsurance

(after the adjustment)

 

 

Cash out-flows

Cash in-flows

Cash out-flows

Cash in-flows

 

 

Future benefits

Future expenses and other cash-out flows

Future premiums

Other cash-in flows

Future benefits

Future expenses and other cash-out flows

Future premiums

Other cash-in flows

 

 

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

Year

(projection of undiscounted expected cash-flows)

 

 

 

 

 

 

 

 

 

 

1

R0010

 

 

 

 

 

 

 

 

 

2

R0020

 

 

 

 

 

 

 

 

 

3

R0030

 

 

 

 

 

 

 

 

 

4

R0040

 

 

 

 

 

 

 

 

 

5

R0050

 

 

 

 

 

 

 

 

 

6

R0060

 

 

 

 

 

 

 

 

 

7

R0070

 

 

 

 

 

 

 

 

 

8

R0080

 

 

 

 

 

 

 

 

 

9

R0090

 

 

 

 

 

 

 

 

 

10

R0100

 

 

 

 

 

 

 

 

 

11

R0110

 

 

 

 

 

 

 

 

 

12

R0120

 

 

 

 

 

 

 

 

 

13

R0130

 

 

 

 

 

 

 

 

 

14

R0140

 

 

 

 

 

 

 

 

 

15

R0150

 

 

 

 

 

 

 

 

 

16

R0160

 

 

 

 

 

 

 

 

 

17

R0170

 

 

 

 

 

 

 

 

 

18

R0180

 

 

 

 

 

 

 

 

 

19

R0190

 

 

 

 

 

 

 

 

 

20

R0200

 

 

 

 

 

 

 

 

 

21

R0210

 

 

 

 

 

 

 

 

 

22

R0220

 

 

 

 

 

 

 

 

 

23

R0230

 

 

 

 

 

 

 

 

 

24

R0240

 

 

 

 

 

 

 

 

 

25

R0250

 

 

 

 

 

 

 

 

 

26

R0260

 

 

 

 

 

 

 

 

 

27

R0270

 

 

 

 

 

 

 

 

 

28

R0280

 

 

 

 

 

 

 

 

 

29

R0290

 

 

 

 

 

 

 

 

 

30

R0300

 

 

 

 

 

 

 

 

 

31 & after

R0310

 

 

 

 

 

 

 

 

 
S.19.01.01
Non-life insurance claims

Line of business

Z0010

 

Accident year / Underwriting year

Z0020

 

Currency

Z0030

 

Currency conversion

Z0040

 
Gross Claims Paid (non-cumulative)
(absolute amount)

Development year

Year

 

0

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15 & +

 

 

In Current year

 

Sum of years (cumulative)

 

 

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

C0120

C0130

C0140

C0150

C0160

 

 

C0170

 

C0180

Prior

R0100

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0100

 

 

 

N-14

R0110

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0110

 

 

 

N-13

R0120

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0120

 

 

 

N-12

R0130

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0130

 

 

 

N-11

R0140

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0140

 

 

 

N-10

R0150

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0150

 

 

 

N-9

R0160

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0160

 

 

 

N-8

R0170

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0170

 

 

 

N-7

R0180

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0180

 

 

 

N-6

R0190

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0190

 

 

 

N-5

R0200

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0200

 

 

 

N-4

R0210

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0210

 

 

 

N-3

R0220

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0220

 

 

 

N-2

R0230

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0230

 

 

 

N-1

R0240

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0240

 

 

 

N

R0250

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0250

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

R0260

 

 

 
Reinsurance Recoveries received (non-cumulative)
(absolute amount)

Development year

Year

 

0

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15 & +

 

 

In Current year

 

Sum of years (cumulative)

 

 

C0600

C0610

C0620

C0630

C0640

C0650

C0660

C0670

C0680

C0690

C0700

C0710

C0720

C0730

C0740

C0750

 

 

C0760

 

C0770

Prior

R0300

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0300

 

 

 

N-14

R0310

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0310

 

 

 

N-13

R0320

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0320

 

 

 

N-12

R0330

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0330

 

 

 

N-11

R0340

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0340

 

 

 

N-10

R0350

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0350

 

 

 

N-9

R0360

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0360

 

 

 

N-8

R0370

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0370

 

 

 

N-7

R0380

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0380

 

 

 

N-6

R0390

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0390

 

 

 

N-5

R0400

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0400

 

 

 

N-4

R0410

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0410

 

 

 

N-3

R0420

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0420

 

 

 

N-2

R0430

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0430

 

 

 

N-1

R0440

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0440

 

 

 

N

R0450

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0450

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

R0460

 

 

 
Net Claims Paid (non-cumulative)
(absolute amount)

Development year

Year

 

0

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15 & +

 

 

In Current year

 

Sum of years (cumulative)

 

 

C1200

C1210

C1220

C1230

C1240

C1250

C1260

C1270

C1280

C1290

C1300

C1310

C1320

C1330

C1340

C1350

 

 

C1360

 

C1370

Prior

R0500

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0500

 

 

 

N-14

R0510

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0510

 

 

 

N-13

R0520

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0520

 

 

 

N-12

R0530

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0530

 

 

 

N-11

R0540

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0540

 

 

 

N-10

R0550

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0550

 

 

 

N-9

R0560

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0560

 

 

 

N-8

R0570

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0570

 

 

 

N-7

R0580

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0580

 

 

 

N-6

R0590

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0590

 

 

 

N-5

R0600

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0600

 

 

 

N-4

R0610

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0610

 

 

 

N-3

R0620

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0620

 

 

 

N-2

R0630

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0630

 

 

 

N-1

R0640

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0640

 

 

 

N

R0650

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0650

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

R0660

 

 

 
Gross undiscounted Best Estimate Claims Provisions
(absolute amount)

Development year

Year

 

0

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15 & +

 

 

Year end (discounted data)

 

 

C0200

C0210

C0220

C0230

C0240

C0250

C0260

C0270

C0280

C0290

C0300

C0310

C0320

C0330

C0340

C0350

 

 

C0360

Prior

R0100

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0100

 

N-14

R0110

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0110

 

N-13

R0120

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0120

 

N-12

R0130

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0130

 

N-11

R0140

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0140

 

N-10

R0150

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0150

 

N-9

R0160

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0160

 

N-8

R0170

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0170

 

N-7

R0180

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0180

 

N-6

R0190

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0190

 

N-5

R0200

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0200

 

N-4

R0210

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0210

 

N-3

R0220

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0220

 

N-2

R0230

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0230

 

N-1

R0240

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0240

 

N

R0250

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0250

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

R0260

 
Undiscounted Best Estimate Claims Provisions — Reinsurance recoverable
(absolute amount)

Development year

Year

 

0

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15 & +

 

 

Year end (discounted data)

 

 

C0800

C0810

C0820

C0830

C0840

C0850

C0860

C0870

C0880

C0890

C0900

C0910

C0920

C0930

C0940

C0950

 

 

C0960

Prior

R0300

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0300

 

N-14

R0310

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0310

 

N-13

R0320

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0320

 

N-12

R0330

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0330

 

N-11

R0340

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0340

 

N-10

R0350

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0350

 

N-9

R0360

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0360

 

N-8

R0370

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0370

 

N-7

R0380

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0380

 

N-6

R0390

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0390

 

N-5

R0400

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0400

 

N-4

R0410

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0410

 

N-3

R0420

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0420

 

N-2

R0430

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0430

 

N-1

R0440

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0440

 

N

R0450

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0450

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

R0460

 
Net Undiscounted Best Estimate Claims Provisions
(absolute amount)

Development year

Year

 

0

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15 & +

 

 

Year end (discounted data)

 

 

C1400

C1410

C1420

C1430

C1440

C1450

C1460

C1470

C1480

C1490

C1500

C1510

C1520

C1530

C1540

C1550

 

 

C1560

Prior

R0500

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0500

 

N-14

R0510

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0510

 

N-13

R0520

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0520

 

N-12

R0530

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0530

 

N-11

R0540

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0540

 

N-10

R0550

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0550

 

N-9

R0560

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0560

 

N-8

R0570

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0570

 

N-7

R0580

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0580

 

N-6

R0590

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0590

 

N-5

R0600

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0600

 

N-4

R0610

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0610

 

N-3

R0620

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0620

 

N-2

R0630

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0630

 

N-1

R0640

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0640

 

N

R0650

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0650

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

R0660

 
Gross Reported but not Settled Claims (RBNS)
(absolute amount)

Development year

Year

 

0

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15 & +

 

 

Year end

 

 

C0400

C0410

C0420

C0430

C0440

C0450

C0460

C0470

C0480

C0490

C0500

C0510

C0520

C0530

C0540

C0550

 

 

C0560

Prior

R0100

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0100

 

N-14

R0110

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0110

 

N-13

R0120

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0120

 

N-12

R0130

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0130

 

N-11

R0140

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0140

 

N-10

R0150

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0150

 

N-9

R0160

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0160

 

N-8

R0170

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0170

 

N-7

R0180

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0180

 

N-6

R0190

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0190

 

N-5

R0200

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0200

 

N-4

R0210

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0210

 

N-3

R0220

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0220

 

N-2

R0230

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0230

 

N-1

R0240

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0240

 

N

R0250

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0250

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

R0260

 
Reinsurance RBNS Claims
(absolute amount)

Development year

Year

 

0

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15 & +

 

 

Year end

 

 

C1000

C1010

C1020

C1030

C1040

C1050

C1060

C1070

C1080

C1090

C1100

C1110

C1120

C1130

C1140

C1150

 

 

C1160

Prior

R0300

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0300

 

N-14

R0310

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0310

 

N-13

R0320

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0320

 

N-12

R0330

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0330

 

N-11

R0340

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0340

 

N-10

R0350

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0350

 

N-9

R0360

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0360

 

N-8

R0370

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0370

 

N-7

R0380

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0380

 

N-6

R0390

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0390

 

N-5

R0400

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0400

 

N-4

R0410

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0410

 

N-3

R0420

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0420

 

N-2

R0430

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0430

 

N-1

R0440

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0440

 

N

R0450

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0450

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

R0460

 
Net RBNS Claims
(absolute amount)

Development year

Year

 

0

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15 & +

 

 

Year end

 

 

C1600

C1610

C1620

C1630

C1640

C1650

C1660

C1670

C1680

C1690

C1700

C1710

C1720

C1730

C1740

C1750

 

 

C1760

Prior

R0500

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0500

 

N-14

R0510

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0510

 

N-13

R0520

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0520

 

N-12

R0530

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0530

 

N-11

R0540

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0540

 

N-10

R0550

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0550

 

N-9

R0560

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0560

 

N-8

R0570

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0570

 

N-7

R0580

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0580

 

N-6

R0590

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0590

 

N-5

R0600

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0600

 

N-4

R0610

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0610

 

N-3

R0620

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0620

 

N-2

R0630

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0630

 

N-1

R0640

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0640

 

N

R0650

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R0650

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

R0660

 
Inflation rates (only in the case of using methods that take into account inflation to adjust data)

 

 

N-14

N-13

N-12

N-11

N-10

N-9

N-8

N-7

N-6

N-5

N-4

N-3

N-2

N-1

N

 

 

C1800

C1810

C1820

C1830

C1840

C1850

C1860

C1870

C1880

C1890

C1900

C1910

C1920

C1930

C1940

Historic inflation rate — total

R0700

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Historic inflation rate: external inflation

R0710

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Historic inflation rate: endogenous inflation

R0720

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

C2000

C2010

C2020

C2030

C2040

C2050

C2060

C2070

C2080

C2090

C2100

C2110

C2120

C2130

C2140

 

 

N+1

N+2

N+3

N+4

N+5

N+6

N+7

N+8

N+9

N+10

N+11

N+12

N+13

N+14

N+15

Expected inflation rate — total

R0730

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expected inflation rate: external inflation

R0740

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expected inflation rate: endogenous inflation

R0750

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

C2200

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Description of inflation rate used:

R0760

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
S.20.01.01
Development of the distribution of the claims incurred

Line of business:

Z0010

 

Accident year/ underwriting year

Z0020

 
Gross RBNS Claims

 

 

RBNS claims. Open Claims at the beginning of the year

 

 

Open Claims at the end of the year

Closed Claims at the end of the year:

 

 

 

settled with payment

settled without any payment

 

 

Number of claims

Gross RBNS at the beginning of the year

Gross payments made during the current year

Gross RBNS at the end of the period

Number of claims ended with payments

Gross RBNS at the beginning of the year

Gross payments made during the current year

Number of claims ended without any payments

Gross RBNS at the beginning of the year referred to claim settled without any payment

Year

 

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

Prior

R0010

 

 

 

 

 

 

 

 

 

N-14

R0020

 

 

 

 

 

 

 

 

 

N-13

R0030

 

 

 

 

 

 

 

 

 

N-12

R0040

 

 

 

 

 

 

 

 

 

N-11

R0050

 

 

 

 

 

 

 

 

 

N-10

R0060

 

 

 

 

 

 

 

 

 

N-9

R0070

 

 

 

 

 

 

 

 

 

N-8

R0080

 

 

 

 

 

 

 

 

 

N-7

R0090

 

 

 

 

 

 

 

 

 

N-6

R0100

 

 

 

 

 

 

 

 

 

N-5

R0110

 

 

 

 

 

 

 

 

 

N-4

R0120

 

 

 

 

 

 

 

 

 

N-3

R0130

 

 

 

 

 

 

 

 

 

N-2

R0140

 

 

 

 

 

 

 

 

 

N-1

R0150

 

 

 

 

 

 

 

 

 

Total previous years

R0160

 

 

 

 

 

 

 

 

 

N

R0170

 

 

 

 

 

 

 

 

 

Total

R0180

 

 

 

 

 

 

 

 

 
Gross RBNS Claims

 

 

Claims reported during the year

Reopen Claims during the year

 

 

Open Claims at the end of the year

Closed Claims at the end of the year:

Open Claims at the end of the year

Closed Claims at the end of the year:

 

 

 

settled with payment

settled without any payment

 

 

Number of claims

Gross payments made during the current year

Gross RBNS at the end of the period

Number of claims ended with payments

Gross payments made during the current year

Number of claims ended without any payments

Number of claims

Gross payments made during the current year

Gross RBNS at the end of the period

Number of claims ended with payments

Gross payments made during the current year

Year

 

C0110

C0120

C0130

C0140

C0150

C0160

C0170

C0180

C0190

C0200

C0210

Prior

R0010

 

 

 

 

 

 

 

 

 

 

 

N-14

R0020

 

 

 

 

 

 

 

 

 

 

 

N-13

R0030

 

 

 

 

 

 

 

 

 

 

 

N-12

R0040

 

 

 

 

 

 

 

 

 

 

 

N-11

R0050

 

 

 

 

 

 

 

 

 

 

 

N-10

R0060

 

 

 

 

 

 

 

 

 

 

 

N-9

R0070

 

 

 

 

 

 

 

 

 

 

 

N-8

R0080

 

 

 

 

 

 

 

 

 

 

 

N-7

R0090

 

 

 

 

 

 

 

 

 

 

 

N-6

R0100

 

 

 

 

 

 

 

 

 

 

 

N-5

R0110

 

 

 

 

 

 

 

 

 

 

 

N-4

R0120

 

 

 

 

 

 

 

 

 

 

 

N-3

R0130

 

 

 

 

 

 

 

 

 

 

 

N-2

R0140

 

 

 

 

 

 

 

 

 

 

 

N-1

R0150

 

 

 

 

 

 

 

 

 

 

 

Total previous years

R0160

 

 

 

 

 

 

 

 

 

 

 

N

R0170

 

 

 

 

 

 

 

 

 

 

 

Total

R0180

 

 

 

 

 

 

 

 

 

 

 
S.21.01.01
Loss distribution risk profile

Line of business

Z0010

 

Accident year/ underwriting year

Z0020

 

 

 

Start claims incurred

End claims incurred

Number of claims AY/UWY year N

Total claims incurred AY/UWY year N

Number of claims AY/UWY year N-1

Total claims incurred AY/UWY year N-1

Number of claims AY/UWY year N-2

Total claims incurred AY/UWY year N-2

Number of claims AY/UWY year N-3

Total claims incurred AY/UWY year N-3

Number of claims AY/UWY year N-4

Total claims incurred AY/UWY year N-4

Number of claims AY/UWY year N-5

Total claims incurred AY/UWY year N-5

 

 

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

C0120

C0130

C0140

C0150

C0160

Bracket 1

R0010

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 2

R0020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 3

R0030

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 4

R0040

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 5

R0050

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 6

R0060

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 7

R0070

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 8

R0080

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 9

R0090

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 10

R0100

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 11

R0110

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 12

R0120

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 13

R0130

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 14

R0140

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 15

R0150

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 16

R0160

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 17

R0170

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 18

R0180

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 19

R0190

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 20

R0200

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 21

R0210

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

R0300

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Start claims incurred

End claims incurred

Number of claims AY/UWY year N-6

Total claims incurred AY/UWY year N-6

Number of claims AY/UWY year N-7

Total claims incurred AY/UWY year N-7

Number of claims AY/UWY year N-8

Total claims incurred AY/UWY year N-8

Number of claims AY/UWY year N-9

Total claims incurred AY/UWY year N-9

Number of claims AY/UWY year N-10

Total claims incurred AY/UWY year N-10

Number of claims AY/UWY year N-11

Total claims incurred AY/UWY year N-11

 

 

C0030

C0040

C0170

C0180

C0190

C0200

C0210

C0220

C0230

C0240

C0250

C0260

C0270

C0280

Bracket 1

R0010

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 2

R0020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 3

R0030

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 4

R0040

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 5

R0050

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 6

R0060

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 7

R0070

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 8

R0080

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 9

R0090

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 10

R0100

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 11

R0110

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 12

R0120

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 13

R0130

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 14

R0140

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 15

R0150

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 16

R0160

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 17

R0170

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 18

R0180

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 19

R0190

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 20

R0200

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bracket 21

R0210

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

R0300

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Start claims incurred

End claims incurred

Number of claims AY/UWY year N-12

Total claims incurred AY/UWY year N-12

Number of claims AY/UWY year N-13

Total claims incurred AY/UWY year N-13

Number of claims AY/UWY year N-14

Total claims incurred AY/UWY year N-14

 

 

C0030

C0040

C0290

C0300

C0310

C0320

C0330

C0340

Bracket 1

R0010

 

 

 

 

 

 

 

 

Bracket 2

R0020

 

 

 

 

 

 

 

 

Bracket 3

R0030

 

 

 

 

 

 

 

 

Bracket 4

R0040

 

 

 

 

 

 

 

 

Bracket 5

R0050

 

 

 

 

 

 

 

 

Bracket 6

R0060

 

 

 

 

 

 

 

 

Bracket 7

R0070

 

 

 

 

 

 

 

 

Bracket 8

R0080

 

 

 

 

 

 

 

 

Bracket 9

R0090

 

 

 

 

 

 

 

 

Bracket 10

R0100

 

 

 

 

 

 

 

 

Bracket 11

R0110

 

 

 

 

 

 

 

 

Bracket 12

R0120

 

 

 

 

 

 

 

 

Bracket 13

R0130

 

 

 

 

 

 

 

 

Bracket 14

R0140

 

 

 

 

 

 

 

 

Bracket 15

R0150

 

 

 

 

 

 

 

 

Bracket 16

R0160

 

 

 

 

 

 

 

 

Bracket 17

R0170

 

 

 

 

 

 

 

 

Bracket 18

R0180

 

 

 

 

 

 

 

 

Bracket 19

R0190

 

 

 

 

 

 

 

 

Bracket 20

R0200

 

 

 

 

 

 

 

 

Bracket 21

R0210

 

 

 

 

 

 

 

 

Total

R0300

 

 

 

 

 

 

 

 
S.21.02.01
Underwriting risks non-life

Risk identification code

Identification of the company / person to which the risk relates

Description risk

Line of business

Description risk category covered

Validity period (start date)

Validity period (expiry date)

Currency

Sum insured

Original deductible policyholder

Type of underwriting model

(cont.)

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

 

 

 

 

 

 

 

 

 

 

 

 

 

Amount underwriting model

Sum reinsured on a facultative basis, with all reinsurers

Sum reinsured, other than on facultative basis, with all reinsurers

Net retention of the insurer

C0120

C0130

C0140

C0150

 

 

 

 
S.21.03.01
Non-life distribution of underwriting risks — by sum insured

Line of business

Z0010

 

 

 

Start sum insured

End sum insured

Number of underwriting risks

Total sum insured

Total annual written premium

 

 

C0020

C0030

C0040

C0050

C0060

Bracket 1

R0010

 

 

 

 

 

Bracket 2

R0020

 

 

 

 

 

Bracket 3

R0030

 

 

 

 

 

Bracket 4

R0040

 

 

 

 

 

Bracket 5

R0050

 

 

 

 

 

Bracket 6

R0060

 

 

 

 

 

Bracket 7

R0070

 

 

 

 

 

Bracket 8

R0080

 

 

 

 

 

Bracket 9

R0090

 

 

 

 

 

Bracket 10

R0100

 

 

 

 

 

Bracket 11

R0110

 

 

 

 

 

Bracket 12

R0120

 

 

 

 

 

Bracket 13

R0130

 

 

 

 

 

Bracket 14

R0140

 

 

 

 

 

Bracket 15

R0150

 

 

 

 

 

Bracket 16

R0160

 

 

 

 

 

Bracket 17

R0170

 

 

 

 

 

Bracket 18

R0180

 

 

 

 

 

Bracket 19

R0190

 

 

 

 

 

Bracket 20

R0200

 

 

 

 

 

Bracket 21

R0210

 

 

 

 

 

Total

R0220

 

 

 

 

 
S.22.01.01
Impact of long term guarantees measures and transitionals

 

 

Amount with Long Term Guarantee measures and transitionals

Impact of the LTG measures and transitionals (Step-by-step approach)

 

 

Without transitional on technical provisions

Impact of transitional on technical provisions

Without transitional on interest rate

Impact of transitional on interest rate

Without volatility adjustment and without other transitional measures

Impact of volatility adjustment set to zero

Without matching adjustment and without all the others

Impact of matching adjustment set to zero

Impact of all LTG measures and transitionals

 

 

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

Technical provisions

R0010

 

 

 

 

 

 

 

 

 

 

Basic own funds

R0020

 

 

 

 

 

 

 

 

 

 

Excess of assets over liabilities

R0030

 

 

 

 

 

 

 

 

 

 

Restricted own funds due to ring-fencing and matching portfolio

R0040

 

 

 

 

 

 

 

 

 

 

Eligible own funds to meet Solvency Capital Requirement

R0050

 

 

 

 

 

 

 

 

 

 

Tier 1

R0060

 

 

 

 

 

 

 

 

 

 

Tier 2

R0070

 

 

 

 

 

 

 

 

 

 

Tier 3

R0080

 

 

 

 

 

 

 

 

 

 

Solvency Capital Requirement

R0090

 

 

 

 

 

 

 

 

 

 

Eligible own funds to meet Minimum Capital Requirement

R0100

 

 

 

 

 

 

 

 

 

 

Minimum Capital Requirement

R0110

 

 

 

 

 

 

 

 

 

 
S.22.01.04
Impact of long term guarantees measures and transitionals

 

 

Amount with Long Term Guarantee measures and transitionals

Impact of the LTG measures and transitionals (Step-by-step approach)

 

 

Without transitional on technical provisions

Impact of transitional on technical provisions

Without transitional on interest rate

Impact of transitional on interest rate

Without volatility adjustment and without other transitional measures

Impact of volatility adjustment set to zero

Without matching adjustment and without all the others

Impact of matching adjustment set to zero

Impact of all LTG measures and transitionals

 

 

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

Technical provisions

R0010

 

 

 

 

 

 

 

 

 

 

Basic own funds

R0020

 

 

 

 

 

 

 

 

 

 

Excess of assets over liabilities

R0030

 

 

 

 

 

 

 

 

 

 

Restricted own funds due to ring-fencing and matching portfolio

R0040

 

 

 

 

 

 

 

 

 

 

Eligible own funds to meet Solvency Capital Requirement

R0050

 

 

 

 

 

 

 

 

 

 

Tier 1

R0060

 

 

 

 

 

 

 

 

 

 

Tier 2

R0070

 

 

 

 

 

 

 

 

 

 

Tier 3

R0080

 

 

 

 

 

 

 

 

 

 

Solvency Capital Requirement

R0090

 

 

 

 

 

 

 

 

 

 
SR.22.02.01
Projection of future cash flows (Best Estimate — Matching portfolios)

Matching portfolio

Z0010

 

 

 

Projection of future cash-flows at the end of the reporting period

Mismatch during reporting period

 

 

Longevity, mortality and revision obligations cash outflows

Expenses cash outflows

De-risked Assets cash-flows

Positive undiscounted mismatch (inflows > outflows)

Negative undiscounted mismatch (inflows < outflows)

 

 

C0020

C0030

C0040

C0050

C0060

Year (projection of undiscounted expected cash-flows)

 

 

 

 

 

 

1

R0010

 

 

 

 

 

2

R0020

 

 

 

 

 

3

R0030

 

 

 

 

 

4

R0040

 

 

 

 

 

5

R0050

 

 

 

 

 

6

R0060

 

 

 

 

 

7

R0070

 

 

 

 

 

8

R0080

 

 

 

 

 

9

R0090

 

 

 

 

 

10

R0100

 

 

 

 

 

11

R0110

 

 

 

 

 

12

R0120

 

 

 

 

 

13

R0130

 

 

 

 

 

14

R0140

 

 

 

 

 

15

R0150

 

 

 

 

 

16

R0160

 

 

 

 

 

17

R0170

 

 

 

 

 

18

R0180

 

 

 

 

 

19

R0190

 

 

 

 

 

20

R0200

 

 

 

 

 

21

R0210

 

 

 

 

 

22

R0220

 

 

 

 

 

23

R0230

 

 

 

 

 

24

R0240

 

 

 

 

 

25

R0250

 

 

 

 

 

26

R0260

 

 

 

 

 

27

R0270

 

 

 

 

 

28

R0280

 

 

 

 

 

29

R0290

 

 

 

 

 

30

R0300

 

 

 

 

 

31

R0310

 

 

 

 

 

32

R0320

 

 

 

 

 

33

R0330

 

 

 

 

 

34

R0340

 

 

 

 

 

35

R0350

 

 

 

 

 

36

R0360

 

 

 

 

 

37

R0370

 

 

 

 

 

38

R0380

 

 

 

 

 

39

R0390

 

 

 

 

 

40

R0400

 

 

 

 

 

41-45

R0410

 

 

 

 

 

46-50

R0420

 

 

 

 

 

51-60

R0430

 

 

 

 

 

61-70

R0440

 

 

 

 

 

71 & after

R0450

 

 

 

 

 
SR.22.03.01
Information on the matching adjustment calculation

Matching portfolio

Z0010

 

 

 

C0010

Overall calculation of the matching adjustment

 

 

Annual effective rate applied to the CF of the obligations

R0010

 

Annual effective rate of the best estimate

R0020

 

Probability of default used to de-risk assets cash flows

R0030

 

Portion of the fundamental spread not reflected when de-risking assets cash flows

R0040

 

Increase of fundamental spread for sub investment grade assets

R0050

 

Matching adjustment to the risk free rate

R0060

 

SCR

 

 

Mortality risk stress for the purpose of matching adjustment

R0070

 

Portfolio

 

 

Market value of assets of the portfolio

R0080

 

Market value of assets linked to inflation

R0090

 

Best estimate linked to inflation

R0100

 

Market value assets where third party can change the cash flows

R0110

 

Return on assets — portfolio assets

R0120

 

Market value of surrended contracts

R0130

 

Number of surrender options exercised

R0140

 

Market value of assets applied

R0150

 

Surrender rights satisfied to policyholders

R0160

 

Liabilities

 

 

Duration

R0170

 
S.22.04.01
Information on the transitional on interest rates calculation
Overall calculation of the transitional adjustment

Currency

Z0010

 

 

 

 

 

 

C0010

Solvency I Interest rate

R0010

 

Annual effective rate

R0020

 

Portion of the difference applied at the reporting date

R0030

 

Adjustment to risk free rate

R0040

 
Solvency I Interest rate

Currency

Z0010

 

 

 

 

 

 

 

 

Best estimate

Average duration of insurance and reinsurance obligations

 

 

C0020

C0030

Up to 0,5 per cent

R0100

 

 

Above 0,5 % and up to 1,0 %

R0110

 

 

Above 1,0 % and up to 1,5 %

R0120

 

 

Above 1,5 % and up to 2,0 %

R0130

 

 

Above 2,0 % and up to 2,5 %

R0140

 

 

Above 2,5 % and up to 3,0 %

R0150

 

 

Above 3,0 % and up to 4,0 %

R0160

 

 

Above 4,0 % and up to 5,0 %

R0170

 

 

Above 5,0 % and up to 6,0 %

R0180

 

 

Above 6,0 % and up to 7,0 %

R0190

 

 

Above 7,0 % and up to 8,0 %

R0200

 

 

Above 8,0 %

R0210

 

 
S.22.05.01
Overall calculation of the transitional on technical provisions

 

 

C0010

Day 1 Solvency II technical provisions

R0010

 

Technical provisions subject to transitional measure on technical provisions

 

 

TP calculated as a whole

R0020

 

Best estimate

R0030

 

Risk magin

R0040

 

Solvency I technical provisions

R0050

 

Portion of the difference adjusted

R0060

 

Limitation applied in accordance to Article 308d(4)

R0070

 

Technical provision after transitional on technical provisions

R0080

 
S.22.06.01
Best estimate subject to volatility adjustment by country and currency

 

 

Line of Business

Z0010

 

 

 

 

 

 

 

 

 

By currency

 

 

 

 

 

 

C0010

…

 

 

 

 

 

R0010

 

 
Best estimate subject to country and currency volatility adjustment — Total and home country by currency

 

 

 

Total value of Best Estimate subject to volatility adjustment (for all currencies)

Part of the Best Estimate subject to volatility adjustment written in the reporting currency

 

Part of the Best Estimate subject to volatility adjustment written in currencies

 

 

 

C0030

C0040

 

C0050

…

Total value of Best Estimate subject to volatility adjustment in all countries

R0020

 

 

 

 

 

 

Total value of Best Estimate subject to volatility adjustment in the Home country

R0030

 

 

 

 

 

 
Best estimate subject to country and currency volatility adjustment — By country and currency

 

 

Countries

Total value of Best Estimate subject to volatility adjustment (for all currencies)

Part of the Best Estimate subject to volatility adjustment written in the reporting currency

 

Part of the Best Estimate subject to volatility adjustment written in currencies

 

 

C0020

C0030

C0040

 

C0050

…

Country 1

R0040

 

 

 

 

 

 

…

 

 

 

 

 

 

 
S.23.01.01
Own funds

 

 

Total

Tier 1 — unrestricted

Tier 1 — restricted

Tier 2

Tier 3

 

 

C0010

C0020

C0030

C0040

C0050

Basic own funds before deduction for participations in other financial sector as foreseen in article 68 of Delegated Regulation 2015/35

 

 

 

 

 

 

Ordinary share capital (gross of own shares)

R0010

 

 

 

 

 

Share premium account related to ordinary share capital

R0030

 

 

 

 

 

Initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual-type undertakings

R0040

 

 

 

 

 

Subordinated mutual member accounts

R0050

 

 

 

 

 

Surplus funds

R0070

 

 

 

 

 

Preference shares

R0090

 

 

 

 

 

Share premium account related to preference shares

R0110

 

 

 

 

 

Reconciliation reserve

R0130

 

 

 

 

 

Subordinated liabilities

R0140

 

 

 

 

 

An amount equal to the value of net deferred tax assets

R0160

 

 

 

 

 

Other own fund items approved by the supervisory authority as basic own funds not specified above

R0180

 

 

 

 

 

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

 

 

 

 

 

 

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

 

 

 

 

 

Deductions

 

 

 

 

 

 

Deductions for participations in financial and credit institutions

R0230

 

 

 

 

 

Total basic own funds after deductions

R0290

 

 

 

 

 

Ancillary own funds

 

 

 

 

 

 

Unpaid and uncalled ordinary share capital callable on demand

R0300

 

 

 

 

 

Unpaid and uncalled initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual — type undertakings, callable on demand

R0310

 

 

 

 

 

Unpaid and uncalled preference shares callable on demand

R0320

 

 

 

 

 

A legally binding commitment to subscribe and pay for subordinated liabilities on demand

R0330

 

 

 

 

 

Letters of credit and guarantees under Article 96(2) of the Directive 2009/138/EC

R0340

 

 

 

 

 

Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC

R0350

 

 

 

 

 

Supplementary members calls under first subparagraph of Article 96(3) of the Directive 2009/138/EC

R0360

 

 

 

 

 

Supplementary members calls — other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC

R0370

 

 

 

 

 

Other ancillary own funds

R0390

 

 

 

 

 

Total ancillary own funds

R0400

 

 

 

 

 

Available and eligible own funds

 

 

 

 

 

 

Total available own funds to meet the SCR

R0500

 

 

 

 

 

Total available own funds to meet the MCR

R0510

 

 

 

 

 

Total eligible own funds to meet the SCR

R0540

 

 

 

 

 

Total eligible own funds to meet the MCR

R0550

 

 

 

 

 

SCR

R0580

 

 

 

 

 

MCR

R0600

 

 

 

 

 

Ratio of Eligible own funds to SCR

R0620

 

 

 

 

 

Ratio of Eligible own funds to MCR

R0640

 

 

 

 

 

 

 

C0060

 

Reconciliation reserve

 

 

 

Excess of assets over liabilities

R0700

 

 

Own shares (held directly and indirectly)

R0710

 

 

Foreseeable dividends, distributions and charges

R0720

 

 

Other basic own fund items

R0730

 

 

Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring fenced funds

R0740

 

 

Reconciliation reserve

R0760

 

 

Expected profits

 

 

 

Expected profits included in future premiums (EPIFP) — Life business

R0770

 

 

Expected profits included in future premiums (EPIFP) — Non- life business

R0780

 

 

Total Expected profits included in future premiums (EPIFP)

R0790

 

 
S.23.01.04
Own funds

 

 

Total

Tier 1 — unrestricted

Tier 1 — restricted

Tier 2

Tier 3

 

 

C0010

C0020

C0030

C0040

C0050

Basic own funds before deduction for participations in other financial sector

 

 

 

 

 

 

Ordinary share capital (gross of own shares)

R0010

 

 

 

 

 

Non-available called but not paid in ordinary share capital at group level

R0020

 

 

 

 

 

Share premium account related to ordinary share capital

R0030

 

 

 

 

 

Initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual-type undertakings

R0040

 

 

 

 

 

Subordinated mutual member accounts

R0050

 

 

 

 

 

Non-available subordinated mutual member accounts at group level

R0060

 

 

 

 

 

Surplus funds

R0070

 

 

 

 

 

Non-available surplus funds at group level

R0080

 

 

 

 

 

Preference shares

R0090

 

 

 

 

 

Non-available preference shares at group level

R0100

 

 

 

 

 

Share premium account related to preference shares

R0110

 

 

 

 

 

Non-available share premium account related to preference shares at group level

R0120

 

 

 

 

 

Reconciliation reserve

R0130

 

 

 

 

 

Subordinated liabilities

R0140

 

 

 

 

 

Non-available subordinated liabilities at group level

R0150

 

 

 

 

 

An amount equal to the value of net deferred tax assets

R0160

 

 

 

 

 

The amount equal to the value of net deferred tax assets not available at the group level

R0170

 

 

 

 

 

Other items approved by supervisory authority as basic own funds not specified above

R0180

 

 

 

 

 

Non available own funds related to other own funds items approved by supervisory authority

R0190

 

 

 

 

 

Minority interests (if not reported as part of a specific own fund item)

R0200

 

 

 

 

 

Non-available minority interests at group level

R0210

 

 

 

 

 

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

 

 

 

 

 

 

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

 

 

 

 

 

Deductions

 

 

 

 

 

 

Deductions for participations in other financial undertakings, including non-regulated undertakings carrying out financial activities

R0230

 

 

 

 

 

whereof deducted according to art 228 of the Directive 2009/138/EC

R0240

 

 

 

 

 

Deductions for participations where there is non-availability of information (Article 229)

R0250

 

 

 

 

 

Deduction for participations included by using D&A when a combination of methods is used

R0260

 

 

 

 

 

Total of non-available own fund items

R0270

 

 

 

 

 

Total deductions

R0280

 

 

 

 

 

Total basic own funds after deductions

R0290

 

 

 

 

 

Ancillary own funds

 

 

 

 

 

 

Unpaid and uncalled ordinary share capital callable on demand

R0300

 

 

 

 

 

Unpaid and uncalled initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual — type undertakings, callable on demand

R0310

 

 

 

 

 

Unpaid and uncalled preference shares callable on demand

R0320

 

 

 

 

 

A legally binding commitment to subscribe and pay for subordinated liabilities on demand

R0330

 

 

 

 

 

Letters of credit and guarantees under Article 96(2) of the Directive 2009/138/EC

R0340

 

 

 

 

 

Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC

R0350

 

 

 

 

 

Supplementary members calls under first subparagraph of Article 96(3) of the Directive 2009/138/EC

R0360

 

 

 

 

 

Supplementary members calls — other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC

R0370

 

 

 

 

 

Non available ancillary own funds at group level

R0380

 

 

 

 

 

Other ancillary own funds

R0390

 

 

 

 

 

Total ancillary own funds

R0400

 

 

 

 

 

Own funds of other financial sectors

 

 

 

 

 

 

Credit Institutions, investment firms, financial insitutions, alternative investment fund manager, financial institutions

R0410

 

 

 

 

 

Institutions for occupational retirement provision

R0420

 

 

 

 

 

Non regulated entities carrying out financial activities

R0430

 

 

 

 

 

Total own funds of other financial sectors

R0440

 

 

 

 

 

Own funds when using the D&A, exclusively or in combination of method 1

 

 

 

 

 

 

Own funds aggregated when using the D&A and combination of method

R0450

 

 

 

 

 

Own funds aggregated when using the D&A and combination of method net of IGT

R0460

 

 

 

 

 

Total available own funds to meet the consolidated group SCR (excluding own funds from other financial sector and from the undertakings included via D&A)

R0520

 

 

 

 

 

Total available own funds to meet the minimum consolidated group SCR

R0530

 

 

 

 

 

Total eligible own funds to meet the consolidated group SCR (excluding own funds from other financial sector and from the undertakings included via D&A)

R0560

 

 

 

 

 

Total eligible own funds to meet the minimum consolidated group SCR

R0570

 

 

 

 

 

Consolidated Group SCR

R0590

 

 

 

 

 

Minimum consolidated Group SCR

R0610

 

 

 

 

 

Ratio of Eligible own funds to the consolidated Group SCR (excluding other financial sectors and the undertakings included via D&A)

R0630

 

 

 

 

 

Ratio of Eligible own funds to Minimum Consolidated Group SCR

R0650

 

 

 

 

 

Total eligible own funds to meet the group SCR (including own funds from other financial sector and from the undertakings included via D&A)

R0660

 

 

 

 

 

SCR for entities included with D&A method

R0670

 

 

 

 

 

Group SCR

R0680

 

 

 

 

 

Ratio of Eligible own funds to group SCR including other financial sectors and the undertakings included via D&A

R0690

 

 

 

 

 

 

 

C0060

 

Reconciliation reserve

 

 

 

Excess of assets over liabilities

R0700

 

 

Own shares (held directly and indirectly)

R0710

 

 

Foreseeable dividends, distributions and charges

R0720

 

 

Other basic own fund items

R0730

 

 

Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring fenced funds

R0740

 

 

Other non available own funds

R0750

 

 

Reconciliation reserve

R0760

 

 

Expected profits

 

 

 

Expected profits included in future premiums (EPIFP) — Life business

R0770

 

 

Expected profits included in future premiums (EPIFP) — Non- life business

R0780

 

 

Total Expected profits included in future premiums (EPIFP)

R0790

 

 
S.23.02.01
Detailed information by tiers on own funds

 

 

Total

Tier 1

Tier 2

Tier 3

 

 

 

Total Tier 1

Of which counted under transitionals

Tier 2

Of which counted under transitionals

 

 

 

C0010

C0020

C0030

C0040

C0050

C0060

Ordinary share capital

 

 

 

 

 

 

 

Paid in

R0010

 

 

 

 

 

 

Called up but not yet paid in

R0020

 

 

 

 

 

 

Own shares held

R0030

 

 

 

 

 

 

Total ordinary share capital

R0100

 

 

 

 

 

 

Initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual type undertakings

 

 

 

 

 

 

 

Paid in

R0110

 

 

 

 

 

 

Called up but not yet paid in

R0120

 

 

 

 

 

 

Total initial fund members' contributions or the equivalent basic own fund item for mutual and mutual type undertakings

R0200

 

 

 

 

 

 

Subordinated mutual members accounts

 

 

 

 

 

 

 

Dated subordinated

R0210

 

 

 

 

 

 

Undated subordinated with a call option

R0220

 

 

 

 

 

 

Undated subordinated with no contractual opportunity to redeem

R0230

 

 

 

 

 

 

Total subordinated mutual members accounts

R0300

 

 

 

 

 

 

Preference shares

 

 

 

 

 

 

 

Dated preference shares

R0310

 

 

 

 

 

 

Undated preference shares with a call option

R0320

 

 

 

 

 

 

Undated preference shares with no contractual opportunity to redeem

R0330

 

 

 

 

 

 

Total preference shares

R0400

 

 

 

 

 

 

Subordinated liabilities

 

 

 

 

 

 

 

Dated subordinated liabilities

R0410

 

 

 

 

 

 

Undated subordinated liabilities with a contractual opportunity to redeem

R0420

 

 

 

 

 

 

Undated subordinated liabilities with no contractual opportunity to redeem

R0430

 

 

 

 

 

 

Total subordinated liabilities

R0500

 

 

 

 

 

 

 

 

 

 

 

Tier 2

Tier 3

 

 

 

 

 

Initial amounts approved

Current amounts

Initial amounts approved

Current amounts

Ancillary own funds

 

 

 

 

C0070

C0080

C0090

C0100

Items for which an amount was approved

R0510

 

 

 

 

 

 

 

Items for which a method was approved

R0520

 

 

 

 

 

 

 

 

 

Total

Explanation

 

 

C0110

C0120

Excess of assets over liabilities — attribution of valuation differences

 

 

 

Difference in the valuation of assets

R0600

 

 

Difference in the valuation of technical provisions

R0610

 

 

Difference in the valuation of other liabilities

R0620

 

 

Total of reserves and retained earnings from financial statements

R0630

 

 

Other, please explain why you need to use this line.

R0640

 

 

Reserves from financial statements adjusted for Solvency II valuation differences

R0650

 

 

Excess of assets over liabilities attributable to basic own fund items (excluding the reconciliation reserve)

R0660

 

 

Excess of assets over liabilities

R0700

 

 
S.23.02.04
Detailed information by tiers on own funds

 

 

Total

Tier 1

Tier 2

Tier 3

 

 

 

Total Tier 1

Of which counted under transitionals

Tier 2

Of which counted under transitionals

 

 

 

C0010

C0020

C0030

C0040

C0050

C0060

Ordinary share capital

 

 

 

 

 

 

 

Paid in

R0010

 

 

 

 

 

 

Called up but not yet paid in

R0020

 

 

 

 

 

 

Own shares held

R0030

 

 

 

 

 

 

Total ordinary share capital

R0100

 

 

 

 

 

 

Initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual type undertakings

 

 

 

 

 

 

 

Paid in

R0110

 

 

 

 

 

 

Called up but not yet paid in

R0120

 

 

 

 

 

 

Total initial fund members' contributions or the equivalent basic own fund item for mutual and mutual type undertakings

R0200

 

 

 

 

 

 

Subordinated mutual members accounts

 

 

 

 

 

 

 

Dated subordinated

R0210

 

 

 

 

 

 

Undated subordinated with a call option

R0220

 

 

 

 

 

 

Undated subordinated with no contractual opportunity to redeem

R0230

 

 

 

 

 

 

Total subordinated mutual members accounts

R0300

 

 

 

 

 

 

Preference shares

 

 

 

 

 

 

 

Dated preference shares

R0310

 

 

 

 

 

 

Undated preference shares with a call option

R0320

 

 

 

 

 

 

Undated preference shares with no contractual opportunity to redeem

R0330

 

 

 

 

 

 

Total preference shares

R0400

 

 

 

 

 

 

Subordinated liabilities

 

 

 

 

 

 

 

Dated subordinated liabilities

R0410

 

 

 

 

 

 

Undated subordinated liabilities with a contractual opportunity to redeem

R0420

 

 

 

 

 

 

Undated subordinated liabilities with no contractual opportunity to redeem

R0430

 

 

 

 

 

 

Total subordinated liabilities

R0500

 

 

 

 

 

 

 

 

 

 

 

Tier 2

Tier 3

 

 

 

 

 

Initial amounts approved

Current amounts

Initial amounts approved

Current amounts

Ancillary own funds

 

 

 

 

C0070

C0080

C0090

C0100

Items for which an amount was approved

R0510

 

 

 

 

 

 

 

Items for which a method was approved

R0520

 

 

 

 

 

 

 

 

 

Total

Explanation

 

 

C0110

C0120

Excess of assets over liabilities — attribution of valuation differences

 

 

 

Difference in the valuation of assets

R0600

 

 

Difference in the valuation of technical provisions

R0610

 

 

Difference in the valuation of other liabilities

R0620

 

 

Total of reserves and retained earnings from financial statements

R0630

 

 

Other, please explain why you need to use this line.

R0640

 

 

Reserves from financial statements adjusted for Solvency II valuation differences

R0650

 

 

Excess of assets over liabilities attributable to basic own fund items (excluding the reconciliation reserve)

R0660

 

 

Excess of assets over liabilities

R0700

 

 
S.23.03.01
Annual movements on own funds

 

 

Balance b/fwd

Increase

Reduction

 

 

Balance c/fwd

 

 

C0010

C0020

C0030

 

 

C0060

Ordinary share capital — movements in the reporting period

 

 

 

 

 

 

 

Paid in

R0010

 

 

 

 

 

 

Called up but not yet paid in

R0020

 

 

 

 

 

 

Own shares held

R0030

 

 

 

 

 

 

Total ordinary share capital

R0100

 

 

 

 

 

 

Share premium account related to ordinary share capital — movements in the reporting period

 

 

 

 

 

 

 

Tier 1

R0110

 

 

 

 

 

 

Tier 2

R0120

 

 

 

 

 

 

Total

R0200

 

 

 

 

 

 

Initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual type undertakings — movements in the reporting period

 

 

 

 

 

 

 

Paid in

R0210

 

 

 

 

 

 

Called up but not yet paid in

R0220

 

 

 

 

 

 

Total initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual type undertakings

R0300

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance b/fwd

Issued

Redeemed

Movements in valuation

Regulatory action

Balance c/fwd

 

 

C0010

C0070

C0080

C0090

C0100

C0060

Subordinated mutual members accounts — movements in the reporting period

 

 

 

 

 

 

 

Tier 1

R0310

 

 

 

 

 

 

Tier 2

R0320

 

 

 

 

 

 

Tier 3

R0330

 

 

 

 

 

 

Total subordinated mutual members accounts

R0400

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance b/fwd

 

 

 

 

Balance c/fwd

 

 

C0010

 

 

 

 

C0060

Surplus funds

R0500

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance b/fwd

Increase

Reduction

 

 

Balance c/fwd

 

 

C0010

C0020

C0030

 

 

 

Preference shares — movements in the reporting period

 

 

 

 

 

 

 

Tier 1

R0510

 

 

 

 

 

 

Tier 2

R0520

 

 

 

 

 

 

Tier 3

R0530

 

 

 

 

 

 

Total preference shares

R0600

 

 

 

 

 

 

Share premium relating to preference shares

 

 

 

 

 

 

 

Tier 1

R0610

 

 

 

 

 

 

Tier 2

R0620

 

 

 

 

 

 

Tier 3

R0630

 

 

 

 

 

 

Total

R0700

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance b/fwd

Issued

Redeemed

Movements in valuation

Regulatory action

Balance c/fwd

 

 

C0010

C0070

C0080

C0090

C0100

C0060

Subordinated liabilities — movements in the reporting period

 

 

 

 

 

 

 

Tier 1

R0710

 

 

 

 

 

 

Tier 2

R0720

 

 

 

 

 

 

Tier 3

R0730

 

 

 

 

 

 

Total subordinated liabilities

R0800

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance b/fwd

 

 

 

 

Balance c/fwd

 

 

C0010

 

 

 

 

C0060

An amount equal to the value of net deferred tax assets

R0900

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance b/fwd

Issued

Redeemed

Movements in valuation

 

Balance c/fwd

 

 

C0010

C0070

C0080

C0090

 

C0060

Other items approved by supervisory authority as basic own funds not specified above — movements in the reporting period

 

 

 

 

 

 

 

Tier 1 to be treated as unrestricted

R1000

 

 

 

 

 

 

Tier 1 to be treated as restricted

R1010

 

 

 

 

 

 

Tier 2

R1020

 

 

 

 

 

 

Tier 3

R1030

 

 

 

 

 

 

Total of other items approved by supervisory authority as basic own funds items not specified above

R1100

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance b/fwd

New amount made available

Reduction to amount available

Called up to basic own fund

 

Balance c/fwd

 

 

C0010

C0110

C0120

C0130

 

C0060

Ancillary own funds — movements in the reporting period

 

 

 

 

 

 

 

Tier 2

R1110

 

 

 

 

 

 

Tier 3

R1120

 

 

 

 

 

 

Total ancillary own funds

R1200

 

 

 

 

 

 
S.23.03.04
Annual movements on own funds

 

 

Balance b/fwd

Increase

Reduction

 

 

Balance c/fwd

 

 

C0010

C0020

C0030

 

 

C0060

Ordinary share capital — movements in the reporting period

 

 

 

 

 

 

 

Paid in

R0010

 

 

 

 

 

 

Called up but not yet paid in

R0020

 

 

 

 

 

 

Own shares held

R0030

 

 

 

 

 

 

Total ordinary share capital

R0100

 

 

 

 

 

 

Share premium account related to ordinary share capital — movements in the reporting period

 

 

 

 

 

 

 

Tier 1

R0110

 

 

 

 

 

 

Tier 2

R0120

 

 

 

 

 

 

Total

R0200

 

 

 

 

 

 

Initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual type undertakings — movements in the reporting period

 

 

 

 

 

 

 

Paid in

R0210

 

 

 

 

 

 

Called up but not yet paid in

R0220

 

 

 

 

 

 

Total initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual type undertakings

R0300

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance b/fwd

Issued

Redeemed

Movements in valuation

Regulatory action

Balance c/fwd

 

 

C0010

C0070

C0080

C0090

C0100

C0060

Subordinated mutual members accounts — movements in the reporting period

 

 

 

 

 

 

 

Tier 1

R0310

 

 

 

 

 

 

Tier 2

R0320

 

 

 

 

 

 

Tier 3

R0330

 

 

 

 

 

 

Total subordinated mutual members accounts

R0400

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance b/fwd

 

 

 

 

Balance c/fwd

 

 

C0010

 

 

 

 

C0060

Surplus funds

R0500

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance b/fwd

Increase

Reduction

 

 

Balance c/fwd

 

 

C0010

C0020

C0030

 

 

 

Preference shares — movements in the reporting period

 

 

 

 

 

 

 

Tier 1

R0510

 

 

 

 

 

 

Tier 2

R0520

 

 

 

 

 

 

Tier 3

R0530

 

 

 

 

 

 

Total preference shares

R0600

 

 

 

 

 

 

Share premium relating to preference shares

 

 

 

 

 

 

 

Tier 1

R0610

 

 

 

 

 

 

Tier 2

R0620

 

 

 

 

 

 

Tier 3

R0630

 

 

 

 

 

 

Total

R0700

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance b/fwd

Issued

Redeemed

Movements in valuation

Regulatory action

Balance c/fwd

 

 

C0010

C0070

C0080

C0090

C0100

C0060

Subordinated liabilities — movements in the reporting period

 

 

 

 

 

 

 

Tier 1

R0710

 

 

 

 

 

 

Tier 2

R0720

 

 

 

 

 

 

Tier 3

R0730

 

 

 

 

 

 

Total subordinated liabilities

R0800

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance b/fwd

 

 

 

 

Balance c/fwd

 

 

C0010

 

 

 

 

C0060

An amount equal to the value of net deferred tax assets

R0900

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance b/fwd

Issued

Redeemed

Movements in valuation

 

Balance c/fwd

 

 

C0010

C0070

C0080

C0090

 

C0060

Other items approved by supervisory authority as basic own funds not specified above — movements in the reporting period

 

 

 

 

 

 

 

Tier 1 to be treated as unrestricted

R1000

 

 

 

 

 

 

Tier 1 to be treated as restricted

R1010

 

 

 

 

 

 

Tier 2

R1020

 

 

 

 

 

 

Tier 3

R1030

 

 

 

 

 

 

Total of other items approved by supervisory authority as basic own funds items not specified above

R1100

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance b/fwd

New amount made available

Reduction to amount available

Called up to basic own fund

 

Balance c/fwd

 

 

C0010

C0110

C0120

C0130

 

C0060

Ancillary own funds — movements in the reporting period

 

 

 

 

 

 

 

Tier 2

R1110

 

 

 

 

 

 

Tier 3

R1120

 

 

 

 

 

 

Total ancillary own funds

R1200

 

 

 

 

 

 
S.23.04.01
List of items on own funds

Description of subordinated mutual members' accounts

Amount

Tier

Currency Code

Counted under transitionals?

Counterparty (if specific)

Issue date

(cont.)

C0010

C0020

C0030

C0040

C0070

C0080

C0090

 

 

 

 

 

 

 

 

 

Maturity date

First call date

Details of further call dates

Details of incentives to redeem

Notice period

Buy back during the year

C0100

C0110

C0120

C0130

C0140

C0160

 

 

 

 

 

 

Description of preference shares

Amount

Counted under transitionals?

Counterparty (if specific)

Issue date

First call date

Details of further call dates

Details of incentives to redeem

C0190

C0200

C0210

C0220

C0230

C0240

C0250

C0260

 

 

 

 

 

 

 

 

Description of subordinated liabilities

Amount

Tier

Currency Code

Lender (if specific)

Counted under transitionals?

Issue date

(cont.)

C0270

C0280

C0290

C0300

C0320

C0330

C0350

 

 

 

 

 

 

 

 

 

Maturity date

First call date

Further call dates

Details of incentives to redeem

Notice period

C0360

C0370

C0380

C0390

C0400

 

 

 

 

 

Other items approved by supervisory authority as basic own funds not specified above

Amount

Currency Code

Tier 1

Tier 2

Tier 3

Date of authorisation

C0450

C0460

C0470

C0480

C0490

C0500

C0510

 

 

 

 

 

 

 
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

Total

C0570

C0580

 

 

Description of ancillary own funds

Amount

Counterpart

Issue date

Date of authorisation

C0590

C0600

C0610

C0620

C0630

 

 

 

 

 
Adjustment for ring fenced funds and matching adjustment portfolios

Number of ring-fenced fund/Matching adjustment portfolios

 

Notional SCR

Notional SCR (negative results set to zero)

Excess of assets over liablities

Future transfers attributable to shareholders

Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring fenced funds

C0660

 

C0670

C0680

C0690

C0700

C0710

Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring fenced funds

R0010

 

 

 

 

 

 

R0020

 

 

 

 

 
S.23.04.04
List of items on own funds

Description of subordinated mutual members' accounts

Amount

Tier

Currency Code

Issuing entity

Lender (if specific)

Counted under transitionals?

(cont.)

C0010

C0020

C0030

C0040

C0050

C0060

C0070

 

 

 

 

 

 

 

 

 

Counterparty (if specific)

Issue date

Maturity date

First call date

Details of further call dates

Details of incentives to redeem

Notice period

(cont.)

C0080

C0090

C0100

C0110

C0120

C0130

C0140

 

 

 

 

 

 

 

 

 

Name of supervisory authority having given authorisation

Buy back during the year

% of the issue held by entities in the group

Contribution to group subordinated MMA

C0150

C0160

C0170

C0180

 

 

 

 

Description of preference shares

Amount

Counted under transitionals?

Counterparty (if specific)

Issue date

First call date

Details of further call dates

Details of incentives to redeem

C0190

C0200

C0210

C0220

C0230

C0240

C0250

C0260

 

 

 

 

 

 

 

 

Description of subordinated liabilities

Amount

Tier

Currency Code

Issuing entity

Lender (if specific)

Counted under transitionals?

(cont.)

C0270

C0280

C0290

C0300

C0310

C0320

C0330

 

 

 

 

 

 

 

 

 

Counterparty (if specific)

Issue date

Maturity date

First call date

Further call dates

Details of incentives to redeem

Notice period

(cont.)

C0340

C0350

C0360

C0370

C0380

C0390

C0400

 

 

 

 

 

 

 

 

 

Name of supervisory authority having given authorisation

Buy back during the year

% of the issue held by entities in the group

Contribution to group subordinated liabilities

C0410

C0420

C0430

C0440

 

 

 

 

Other items approved by supervisory authority as basic own funds not specified above

Amount

Currency Code

Tier 1

Tier 2

Tier 3

Date of authorisation

(cont.)

C0450

C0460

C0470

C0480

C0490

C0500

C0510

 

 

 

 

 

 

 

 

 

Name of supervisory authority having given authorisation

Name of entity concerned

Buy back during the year

% of the issue held by entities in the group

Contribution to group other basic own funds

C0520

C0530

C0540

C0550

C0560

 

 

 

 

 
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

Description of item

Total

C0570

C0580

 

 

Description of ancillary own funds

Amount

Counterpart

issue date

Date of authorisation

Name of supervisory authority having given authorisation

Name of entity concerned

(cont.)

C0590

C0600

C0610

C0620

C0630

C0640

C0650

 

 

 

 

 

 

 

 

 
Adjustment for ring fenced funds and matching adjustment portfolios

Number of ring-fenced fund/Matching adjustment portfolios

 

Notional SCR

Notional SCR (negative results set to zero)

Excess of assets over liablities

Future transfers attributable to shareholders

Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring fenced funds

C0660

 

C0670

C0680

C0690

C0700

C0710

Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring fenced funds

R0010

 

 

 

 

 

 

R0020

 

 

 

 

 
Calculation of non available own funds at group level (such a calculation has to be done entity by entity)
Non available own funds at group level — exceeding the contribution of solo SCR to Group SCR

Related (Re)insurance undertakings, Insurance Holding Company, Mixed financial Holding Company, ancillary entities and SPV included in the scope of the group calculation

Country

Contribution of solo SCR to Group SCR

Non available minority interests

Non available own funds related to other own funds items approved by supervisory authority

Non available surplus funds

Non available called but not paid in capital

(cont.)

C0720

C0730

C0740

C0750

C0760

C0770

C0780

 

 

 

 

 

 

 

 

 

Non available ancillary own funds

Non available subordinated mutual member accounts

Non available preference shares

Non available Subordinated Liabilites

The amount equal to the value of net deferred tax assets not available at the group level

Non available share premium account related to preference shares at group level

Total non available excess own funds

C0790

C0800

C0810

C0820

C0830

C0840

C0850

 

 

 

 

 

 

 

Related (Re)insurance undertakings, Insurance Holding Company, Mixed financial Holding Company, ancillary entities and SPV included in the scope of the group calculation

Country

Contribution of solo SCR to Group SCR

Non available minority interests

Non available own funds related to other own funds items approved by supervisory authority

Non available surplus funds

Non available called but not paid in capital

Non available ancillary own funds

 

 

 

C0860

C0870

C0880

C0890

C0900

Total

 

 

 

 

 

 

 

Related (Re)insurance undertakings, Insurance Holding Company, Mixed financial Holding Company, ancillary entities and SPV included in the scope of the group calculation

Non available subordinated mutual member accounts

Non available preference shares

Non available Subordinated Liabilites

The amount equal to the value of net deferred tax assets not available at the group level

Non available share premium account related to preference shares at group level

Total non available excess own funds

 

C0910

C0920

C0930

C0940

C0950

C0960

Total

 

 

 

 

 

 
S.24.01.01
Participations held
Participations in related undertakings that are financial and credit institutions (fully or partially) deducted according to article 68 of the Commission Delegated Regulation (EU) 2015/35
Table 1 — Participations in related undertakings that are financial and credit institutions which individually exceed 10 % of items included in (a) (i), (ii), (iv) and (vi) of Article 69, not including consolidated strategic participations for the purpose of deductions under Article 68 (1) of the Delegated Regulation (EU) 2015/35

Name of related undertaking

Asset ID Code

Asset ID Code type

Total

Common Equity Tier 1

Additional Tier 1

Tier 2

C0010

C0020

C0030

C0040

C0050

C0060

C0070

 

 

 

 

 

 

 
Table 2 consolidated strategic participations for the purpose of deductions under Article 68 (2) of the Delegated Regulation (EU) 2015/35— Participations in related undertakings that are financial and credit institutions which when aggregated exceed 10 % of items included in (a) (i), (ii), (iv) and (vi) of Article 69, not including

Name of related undertaking

Asset ID Code

Asset ID Code type

Total

Common Equity Tier 1

Additional Tier 1

Tier 2

C0080

C0090

C0100

C0110

C0120

C0130

C0140

 

 

 

 

 

 

 

 

 

 

Total

Common Equity Tier 1

Additional Tier 1

Tier 2

 

 

 

C0150

C0160

C0170

C0180

Total participations in related undertakings that are financial and credit institutions (for which there is an OF deduction)

 

 

 

 

 

 
Own funds deductions

 

 

Total

Tier 1 — unrestricted

Tier 1 — restricted

Tier 2

 

 

C0190

C0200

C0210

C0220

R0010

Article 68 (1) deduction

 

 

 

 

R0020

Article 68 (2) deduction

 

 

 

 

R0030

Total

 

 

 

 
SCR treatment
Participations in related undertakings that are financial and credit institutions not (fully) deducted according to article 68 of the Commission Delegated Regulation (EU) 2015/35
Table 3 — Participations in related undertakings that are financial and credit institutions which are considered strategic as defined in Article 171 of the Delegated Regulation (EU) 2015/35 and which are included in the calculation of the group solvency on the basis of method 1 (no OF deduction according to art 68(3)).

Name of related undertaking

Asset ID Code

Asset ID Code type

Total

Type 1 Equity

Type 2 Equity

Subordinated liabilities

C0230

C0240

C0250

C0260

C0270

C0280

C0290

 

 

 

 

 

 

 
Table 4 — Participations in related undertakings that are financial and credit institutions which are strategic (as defined in Article 171 of the Delegated Regulation (EU) 2015/35), not included in the calculation of the group solvency on the basis of method 1 and which are not deducted according to art 68(1) and 68 (2) (It should include the remaining part following the partial deduction according to Article 68 (2) of the Delegated Regulation (EU) 2015/35)

Name of related undertaking

Asset ID Code

Asset ID Code type

Total

Type 1 Equity

Type 2 Equity

Subordinated liabilities

C0300

C0310

C0320

C0330

C0340

C0350

C0360

 

 

 

 

 

 

 
Table 5 — Participations in related undertakings that are financial and credit institutions which are not strategic and which are not deducted according to art 68(1) and 68(2) of Delegated Regulation 2015/35
(It should include the remaining part following the partial deduction according to Article 68 (2) of the Delegated Regulation (EU) 2015/35)

Name of related undertaking

Asset ID Code

Asset ID Code type

Total

Type 1 Equity

Type 2 Equity

Subordinated liabilities

C0370

C0380

C0390

C0400

C0410

C0420

C0430

 

 

 

 

 

 

 
Participations in related undertakings that are not financial and credit institutions
Table 6 — Other strategic participations not in financial and credit institution

Name of related undertaking

Asset ID Code

Asset ID Code type

Total

Type 1 Equity

Type 2 Equity

Subordinated liabilities

C0440

C0450

C0460

C0470

C0480

C0490

C0500

 

 

 

 

 

 

 
Table 7 — Other non-strategic participations not in financial and credit institution

Name of related undertaking

Asset ID Code

Asset ID Code type

Total

Type 1 Equity

Type 2 Equity

Subordinated liabilities

C0510

C0520

C0530

C0540

C0550

C0560

C0570

 

 

 

 

 

 

 
Total for SCR calculation

 

 

Total

Type 1 Equity

Type 2 Equity

Subordinated liabilities

 

 

C0580

C0590

C0600

C0610

R0040

Total participations in related undertakings that are financial and credit institutions

 

 

 

 

R0050

of which strategic (method 1 or less than 10 % not method 1)

 

 

 

 

R0060

of which non-strategic (less than 10 %)

 

 

 

 

R0070

Total participations in related undertakings that are not financial and credit institutions

 

 

 

 

R0080

of which strategic

 

 

 

 

R0090

of which non-strategic

 

 

 

 
Total all participations

 

 

Total

 

 

C0620

 

Total of all participations

 
S.25.01.01
Solvency Capital Requirement — for undertakings on Standard Formula

Article 112

Z0010

A001

 

 

Net solvency capital requirement

Gross solvency capital requirement

Allocation from adjustments due to RFF and Matching adjustments portfolios

 

 

C0030

C0040

C0050

Market risk

R0010

 

 

 

Counterparty default risk

R0020

 

 

 

Life underwriting risk

R0030

 

 

 

Health underwriting risk

R0040

 

 

 

Non-life underwriting risk

R0050

 

 

 

Diversification

R0060

 

 

 

Intangible asset risk

R0070

 

 

 

Basic Solvency Capital Requirement

R0100

 

 

 

 

 

 

 

 

Calculation of Solvency Capital Requirement

 

C0100

 

 

Adjustment due to RFF/MAP nSCR aggregation

R0120

 

 

 

Operational risk

R0130

 

 

 

Loss-absorbing capacity of technical provisions

R0140

 

 

 

Loss-absorbing capacity of deferred taxes

R0150

 

 

 

Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC

R0160

 

 

 

Solvency Capital Requirement excluding capital add-on

R0200

 

 

 

Capital add-on already set

R0210

 

 

 

Solvency capital requirement

R0220

 

 

 

Other information on SCR

 

 

 

 

Capital requirement for duration-based equity risk sub-module

R0400

 

 

 

Total amount of Notional Solvency Capital Requirements for remaining part

R0410

 

 

 

Total amount of Notional Solvency Capital Requirements for ring fenced funds

R0420

 

 

 

Total amount of Notional Solvency Capital Requirements for matching adjustment portfolios

R0430

 

 

 

Diversification effects due to RFF nSCR aggregation for article 304

R0440

 

 

 

Method used to calculate the adjustment due to RFF/MAP nSCR aggregation

R0450

 

 

 

Net future discretionary benefits

R0460

 

 

 
S.25.01.04
Solvency Capital Requirement — for groups on Standard Formula

Article 112

Z0010

 

 

 

Net solvency capital requirement

Gross solvency capital requirement

Allocation from adjustments due to RFF and Matching adjustments portfolios

 

 

C0030

C0040

C0050

Market risk

R0010

 

 

 

Counterparty default risk

R0020

 

 

 

Life underwriting risk

R0030

 

 

 

Health underwriting risk

R0040

 

 

 

Non-life underwriting risk

R0050

 

 

 

Diversification

R0060

 

 

 

Intangible asset risk

R0070

 

 

 

Basic Solvency Capital Requirement

R0100

 

 

 

 

 

 

 

 

Calculation of Solvency Capital Requirement

 

C0100

 

 

Adjustment due to RFF/MAP nSCR aggregation

R0120

 

 

 

Operational risk

R0130

 

 

 

Loss-absorbing capacity of technical provisions

R0140

 

 

 

Loss-absorbing capacity of deferred taxes

R0150

 

 

 

Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC

R0160

 

 

 

Solvency Capital Requirement excluding capital add-on

R0200

 

 

 

Capital add-ons already set

R0210

 

 

 

Solvency capital requirement for undertakings under consolidated method

R0220

 

 

 

Other information on SCR

 

 

 

 

Capital requirement for duration-based equity risk sub-module

R0400

 

 

 

Total amount of Notional Solvency Capital Requirements for remaining part

R0410

 

 

 

Total amount of Notional Solvency Capital Requirements for ring fenced funds

R0420

 

 

 

Total amount of Notional Solvency Capital Requirements for matching adjustment portfolios

R0430

 

 

 

Diversification effects due to RFF nSCR aggregation for article 304

R0440

 

 

 

Method used to calculate the adjustment due to RFF/MAP nSCR aggregation

R0450

 

 

 

Net future discretionary benefits

R0460

 

 

 

Minimum consolidated group solvency capital requirement

R0470

 

 

 

Information on other entities

 

 

 

 

Capital requirement for other financial sectors (Non-insurance capital requirements)

R0500

 

 

 

Capital requirement for other financial sectors (Non-insurance capital requirements) — Credit institutions, investment firms and financial institutions, alternative investment funds managers, UCITS management companies

R0510

 

 

 

Capital requirement for other financial sectors (Non-insurance capital requirements) — Institutions for occupational retirement provisions

R0520

 

 

 

Capital requirement for other financial sectors (Non-insurance capital requirements) — Capital requirement for non-regulated entities carrying out financial activities

R0530

 

 

 

Capital requirement for non-controlled participation requirements

R0540

 

 

 

Capital requirement for residual undertakings

R0550

 

 

 

Overall SCR

 

 

 

 

SCR for undertakings included via D and A

R0560

 

 

 

Solvency capital requirement

R0570

 

 

 
SR.25.01.01
Solvency Capital Requirement — for undertakings on Standard Formula

Article 112

Z0010

 

Ring Fenced Fund/Matching adjustment portfolio or remaining part

Z0020

 

Fund/Portfolio number

Z0030

 

 

 

Net solvency capital requirement

Gross solvency capital requirement

 

 

C0030

C0040

Market risk

R0010

 

 

Counterparty default risk

R0020

 

 

Life underwriting risk

R0030

 

 

Health underwriting risk

R0040

 

 

Non-life underwriting risk

R0050

 

 

Diversification

R0060

 

 

Intangible asset risk

R0070

 

 

Basic Solvency Capital Requirement

R0100

 

 

 

 

 

 

Calculation of Solvency Capital Requirement

 

C0100

 

Operational risk

R0130

 

 

Loss-absorbing capacity of technical provisions

R0140

 

 

Loss-absorbing capacity of deferred taxes

R0150

 

 

Solvency Capital Requirement

R0200

 

 

Net future discretionary benefits

R0460

 

 
S.25.02.01
Solvency Capital Requirement — for undertakings using the standard formula and partial internal model

Unique number of component

Components description

Calculation of the Solvency Capital Requirement

Allocation from adjustments due to RFF and Matching adjustments portfolios

Consideration of the future management actions regarding technical provisions and/or deferred taxes

Amount modelled

C0010

C0020

C0030

C0050

C0060

C0070

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Calculation of Solvency Capital Requirement

 

C0100

 

 

 

Total undiversified components

R0110

 

 

 

 

Diversification

R0060

 

 

 

 

Adjustment due to RFF/MAP nSCR aggregation

R0120

 

 

 

 

Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC

R0160

 

 

 

 

Solvency capital requirement excluding capital add-on

R0200

 

 

 

 

Capital add-ons already set

R0210

 

 

 

 

Solvency capital requirement

R0220

 

 

 

 

Other information on SCR

 

 

 

 

 

Amount/estimate of the overall loss-absorbing capacity of technical provisions

R0300

 

 

 

 

Amount/estimate of the overall loss-absorbing capacity ot deferred taxes

R0310

 

 

 

 

Capital requirement for duration-based equity risk sub-module

R0400

 

 

 

 

Total amount of Notional Solvency Capital Requirements for remaining part

R0410

 

 

 

 

Total amount of Notional Solvency Capital Requirement for ring fenced funds

R0420

 

 

 

 

Total amount of Notional Solvency Capital Requirement for matching adjustment portfolios

R0430

 

 

 

 

Diversification effects due to RFF nSCR aggregation for article 304

R0440

 

 

 

 

Method used to calculate the adjustment due to RFF/MAP nSCR aggregation

R0450

 

 

 

 

Net future discretionary benefits

R0460

 

 

 

 
S.25.02.04
Solvency Capital Requirement — for groups using the standard formula and partial internal model

Unique number of component

Components description

Calculation of the Solvency Capital Requirement

Allocation from adjustments due to RFF and Matching adjustments portfolios

Consideration of the future management actions regarding technical provisions and/or deferred taxes

Amount modelled

C0010

C0020

C0030

C0050

C0060

C0070

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Calculation of Solvency Capital Requirement

 

C0100

 

 

 

Total undiversified components

R0110

 

 

 

 

Diversification

R0060

 

 

 

 

Adjustment due to RFF/MAP nSCR aggregation

R0120

 

 

 

 

Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC

R0160

 

 

 

 

Solvency capital requirement excluding capital add-on

R0200

 

 

 

 

Capital add-ons already set

R0210

 

 

 

 

Solvency capital requirement for undertakings under consolidated method

R0220

 

 

 

 

Other information on SCR

 

 

 

 

 

Amount/estimate of the overall loss-absorbing capacity of technical provisions

R0300

 

 

 

 

Amount/estimate of the overall loss-absorbing capacity ot deferred taxes

R0310

 

 

 

 

Capital requirement for duration-based equity risk sub-module

R0400

 

 

 

 

Total amount of Notional Solvency Capital Requirements for remaining part

R0410

 

 

 

 

Total amount of Notional Solvency Capital Requirement for ring fenced funds

R0420

 

 

 

 

Total amount of Notional Solvency Capital Requirement for matching adjustment portfolios

R0430

 

 

 

 

Diversification effects due to RFF nSCR aggregation for article 304

R0440

 

 

 

 

Method used to calculate the adjustment due to RFF/MAP nSCR aggregation

R0450

 

 

 

 

Net future discretionary benefits

R0460

 

 

 

 

Minimum consolidated group solvency capital requirement

R0470

 

 

 

 

Information on other entities

 

 

 

 

 

Capital requirement for other financial sectors (Non-insurance capital requirements)

R0500

 

 

 

 

Capital requirement for other financial sectors (Non-insurance capital requirements) — Credit institutions, investment firms and financial institutions, alternative investment funds managers, UCITS management companies

R0510

 

 

 

 

Capital requirement for other financial sectors (Non-insurance capital requirements) — Institutions for occupational retirement provisions

R0520

 

 

 

 

Capital requirement for other financial sectors (Non-insurance capital requirements) — Capital requirement for non-regulated entities carrying out financial activities

R0530

 

 

 

 

Capital requirement for non-controlled participation requirements

R0540

 

 

 

 

Capital requirement for residual undertakings

R0550

 

 

 

 

Overall SCR

 

 

 

 

 

SCR for undertakings included via D and A

R0560

 

 

 

 

Solvency capital requirement

R0570

 

 

 

 
SR.25.02.01
Solvency Capital Requirement — for undertakings using the standard formula and partial internal model

Ring Fenced Fund/Matching adjustment portfolio or remaining part

Z0020

 

Fund/Portfolio number

Z0030

 

Unique number of component

Components description

Calculation of the Solvency Capital Requirement

Consideration of the future management actions regarding technical provisions and/or deferred taxes

Amount modelled

C0010

C0020

C0030

C0060

C0070

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Calculation of Solvency Capital Requirement

 

C0100

 

 

Total undiversified components

R0110

 

 

 

Diversification

R0060

 

 

 

Solvency capital requirement excluding capital add-on

R0200

 

 

 

Capital add-ons already set

R0210

 

 

 

Solvency capital requirement

R0220

 

 

 

Other information on SCR

 

 

 

 

Amount/estimate of the overall loss-absorbing capacity of technical provisions

R0300

 

 

 

Amount/estimate of the overall loss-absorbing capacity ot deferred taxes

R0310

 

 

 

Net future discretionary benefits

R0460

 

 

 
S.25.03.01
Solvency Capital Requirement — for undertakings on Full Internal Models

Unique number of component

Components description

Calculation of the Solvency Capital Requirement

Consideration of the future management actions regarding technical provisions and/or deferred taxes

C0010

C0020

C0030

C0060

 

 

 

 

 

 

 

 

 

 

 

 

Calculation of Solvency Capital Requirement

 

C0100

 

Total undiversified components

R0110

 

 

Diversification

R0060

 

 

Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC (transitional)

R0160

 

 

Solvency capital requirement excluding capital add-on

R0200

 

 

Capital add-ons already set

R0210

 

 

Solvency capital requirement

R0220

 

 

Other information on SCR

 

 

 

Amount/estimate of the overall loss-absorbing capacity of technical provisions

R0300

 

 

Amount/estimate of the overall loss-absorbing capacity ot deferred taxes

R0310

 

 

Total amount of Notional Solvency Capital Requirements for remaining part

R0410

 

 

Total amount of Notional Solvency Capital Requirement for ring fenced funds

R0420

 

 

Total amount of Notional Solvency Capital Requirement for matching adjustment portfolios

R0430

 

 

Diversification effects due to RFF nSCR aggregation for article 304

R0440

 

 

Net future discretionary benefits

R0460

 

 
S.25.03.04
Solvency Capital Requirement — for groups on Full Internal Models

Unique number of component

Components description

Calculation of the Solvency Capital Requirement

Consideration of the future management actions regarding technical provisions and/or deferred taxes

C0010

C0020

C0030

C0060

 

 

 

 

 

 

 

 

 

 

 

 

Calculation of Solvency Capital Requirement

 

C0100

 

Total undiversified components

R0110

 

 

Diversification

R0060

 

 

Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC

R0160

 

 

Solvency capital requirement excluding capital add-on

R0200

 

 

Capital add-ons already set

R0210

 

 

Solvency capital requirement

R0220

 

 

Other information on SCR

 

 

 

Amount/estimate of the overall loss-absorbing capacity of technical provisions

R0300

 

 

Amount/estimate of the overall loss-absorbing capacity ot deferred taxes

R0310

 

 

Total amount of Notional Solvency Capital Requirements for remaining part

R0410

 

 

Total amount of Notional Solvency Capital Requirement for ring fenced funds

R0420

 

 

Total amount of Notional Solvency Capital Requirement for matching adjustment portfolios

R0430

 

 

Diversification effects due to RFF nSCR aggregation for article 304

R0440

 

 

Net future discretionary benefits

R0460

 

 

Minimum consolidated group solvency capital requirement

R0470

 

 

Information on other entities

 

 

 

Capital requirement for other financial sectors (Non-insurance capital requirements)

R0500

 

 

Capital requirement for other financial sectors (Non-insurance capital requirements) — Credit institutions, investment firms and financial institutions, alternative investment funds managers, UCITS management companies

R0510

 

 

Capital requirement for other financial sectors (Non-insurance capital requirements) — Institutions for occupational retirement provisions

R0520

 

 

Capital requirement for other financial sectors (Non-insurance capital requirements) — Capital requirement for non-regulated entities carrying out financial activities

R0530

 

 

Capital requirement for non-controlled participation requirements

R0540

 

 

Capital requirement for residual undertakings

R0550

 

 
SR.25.03.01
Solvency Capital Requirement — for undertakings on Full Internal Models

Ring Fenced Fund/Matching adjustment portfolio or remaining part

Z0020

 

Fund/Portfolio number

Z0030

 

Unique number of component

Components description

Calculation of the Solvency Capital Requirement

Consideration of the future management actions regarding technical provisions and/or deferred taxes

C0010

C0020

C0030

C0060

 

 

 

 

 

 

 

 

 

 

 

 

Calculation of Solvency Capital Requirement

 

C0100

 

Total undiversified components

R0110

 

 

Diversification

R0060

 

 

Solvency capital requirement excluding capital add-on

R0200

 

 

Capital add-ons already set

R0210

 

 

Solvency capital requirement

R0220

 

 

Other information on SCR

 

 

 

Amount/estimate of the overall loss-absorbing capacity of technical provisions

R0300

 

 

Amount/estimate of the overall loss-absorbing capacity ot deferred taxes

R0310

 

 

Net future discretionary benefits

R0460

 

 
S.26.01.01
Solvency Capital Requirement — Market risk

Article 112

Z0010

 

 

 

 

Simplifications used

 

C0010

Simplifications — spread risk — bonds and loans

R0010

 

Captives simplifications — interest rate risk

R0020

 

Captives simplifications -spread risk on bonds and loans

R0030

 

Captives simplifications — market concentration risk

R0040

 

 

 

Initial absolute values before shock

Absolute values after shock

 

 

Assets

Liabilities

Assets

Liabilities (after the loss absorbing capacity of technical provisions)

Net solvency capital requirement

Liabilities (before the loss-absorbing capacity of technical provisions)

Gross solvency capital requirement

Market risk — Basic information

 

C0020

C0030

C0040

C0050

C0060

C0070

C0080

Interest rate risk

R0100

 

 

 

 

 

 

 

interest rate down shock

R0110

 

 

 

 

 

 

 

interest rate up shock

R0120

 

 

 

 

 

 

 

Equity risk

R0200

 

 

 

 

 

 

 

type 1 equities

R0210

 

 

 

 

 

 

 

type 1 equity

R0220

 

 

 

 

 

 

 

strategic participations (type 1 equities)

R0230

 

 

 

 

 

 

 

duration-based (type 1 equities)

R0240

 

 

 

 

 

 

 

type 2 equities

R0250

 

 

 

 

 

 

 

type 2 equity

R0260

 

 

 

 

 

 

 

strategic participations (type 2 equities)

R0270

 

 

 

 

 

 

 

duration-based (type 2 equities)

R0280

 

 

 

 

 

 

 

Property risk

R0300

 

 

 

 

 

 

 

Spread risk

R0400

 

 

 

 

 

 

 

bonds and loans

R0410

 

 

 

 

 

 

 

credit derivatives

R0420

 

 

 

 

 

 

 

downward shock on credit derivatives

R0430

 

 

 

 

 

 

 

upward shock on credit derivatives

R0440

 

 

 

 

 

 

 

Securitisation positions

R0450

 

 

 

 

 

 

 

type 1 securitisations

R0460

 

 

 

 

 

 

 

type 2 securitisations

R0470

 

 

 

 

 

 

 

resecuritisations

R0480

 

 

 

 

 

 

 

Market risk concentrations

R0500

 

 

 

 

 

 

 

Currency risk

R0600

 

 

 

 

 

 

 

increase in the value of the foreign currency

R0610

 

 

 

 

 

 

 

decrease in the value of the foreign currency

R0620

 

 

 

 

 

 

 

Diversification within market risk module

R0700

 

 

 

 

 

 

 

Total market risk

R0800

 

 

 

 

 

 

 
S.26.01.04
Solvency Capital Requirement — Market risk

Article 112

Z0010

 

 

 

 

Simplifications used

 

C0010

Simplifications — spread risk — bonds and loans

R0010

 

Captives simplifications — interest rate risk

R0020

 

Captives simplifications -spread risk on bonds and loans

R0030

 

Captives simplifications — market concentration risk

R0040

 

 

 

Initial absolute values before shock

Absolute values after shock

 

 

Assets

Liabilities

Assets

Liabilities (after the loss absorbing capacity of technical provisions)

Net solvency capital requirement

Liabilities (before the loss-absorbing capacity of technical provisions)

Gross solvency capital requirement

Market risk — Basic information

 

C0020

C0030

C0040

C0050

C0060

C0070

C0080

Interest rate risk

R0100

 

 

 

 

 

 

 

interest rate down shock

R0110

 

 

 

 

 

 

 

interest rate up shock

R0120

 

 

 

 

 

 

 

Equity risk

R0200

 

 

 

 

 

 

 

type 1 equities

R0210

 

 

 

 

 

 

 

type 1 equity

R0220

 

 

 

 

 

 

 

strategic participations (type 1 equities)

R0230

 

 

 

 

 

 

 

duration-based (type 1 equities)

R0240

 

 

 

 

 

 

 

type 2 equities

R0250

 

 

 

 

 

 

 

type 2 equity

R0260

 

 

 

 

 

 

 

strategic participations (type 2 equities)

R0270

 

 

 

 

 

 

 

duration-based (type 2 equities)

R0280

 

 

 

 

 

 

 

Property risk

R0300

 

 

 

 

 

 

 

Spread risk

R0400

 

 

 

 

 

 

 

bonds and loans

R0410

 

 

 

 

 

 

 

credit derivatives

R0420

 

 

 

 

 

 

 

downward shock on credit derivatives

R0430

 

 

 

 

 

 

 

upward shock on credit derivatives

R0440

 

 

 

 

 

 

 

Securitisation positions

R0450

 

 

 

 

 

 

 

type 1 securitisations

R0460

 

 

 

 

 

 

 

type 2 securitisations

R0470

 

 

 

 

 

 

 

resecuritisations

R0480

 

 

 

 

 

 

 

Market risk concentrations

R0500

 

 

 

 

 

 

 

Currency risk

R0600

 

 

 

 

 

 

 

increase in the value of the foreign currency

R0610

 

 

 

 

 

 

 

decrease in the value of the foreign currency

R0620

 

 

 

 

 

 

 

Diversification within market risk module

R0700

 

 

 

 

 

 

 

Total market risk

R0800

 

 

 

 

 

 

 
SR.26.01.01
Solvency Capital Requirement — Market risk

Article 112

Z0010

 

Ring Fenced Fund/Matching adjustment portfolio or remaining part

Z0020

 

Fund/Portfolio number

Z0030

 

 

 

 

Simplifications used

 

C0010

Simplifications — spread risk — bonds and loans

R0010

 

Captives simplifications — interest rate risk

R0020

 

Captives simplifications -spread risk on bonds and loans

R0030

 

Captives simplifications — market concentration risk

R0040

 

 

 

Initial absolute values before shock

Absolute values after shock

 

 

Assets

Liabilities

Assets

Liabilities (after the loss absorbing capacity of technical provisions)

Net solvency capital requirement

Liabilities (before the loss-absorbing capacity of technical provisions)

Gross solvency capital requirement

Market risk — Basic information

 

C0020

C0030

C0040

C0050

C0060

C0070

C0080

Interest rate risk

R0100

 

 

 

 

 

 

 

interest rate down shock

R0110

 

 

 

 

 

 

 

interest rate up shock

R0120

 

 

 

 

 

 

 

Equity risk

R0200

 

 

 

 

 

 

 

type 1 equities

R0210

 

 

 

 

 

 

 

type 1 equity

R0220

 

 

 

 

 

 

 

strategic participations (type 1 equities)

R0230

 

 

 

 

 

 

 

duration-based (type 1 equities)

R0240

 

 

 

 

 

 

 

type 2 equities

R0250

 

 

 

 

 

 

 

type 2 equity

R0260

 

 

 

 

 

 

 

strategic participations (type 2 equities)

R0270

 

 

 

 

 

 

 

duration-based (type 2 equities)

R0280

 

 

 

 

 

 

 

Property risk

R0300

 

 

 

 

 

 

 

Spread risk

R0400

 

 

 

 

 

 

 

bonds and loans

R0410

 

 

 

 

 

 

 

credit derivatives

R0420

 

 

 

 

 

 

 

downward shock on credit derivatives

R0430

 

 

 

 

 

 

 

upward shock on credit derivatives

R0440

 

 

 

 

 

 

 

Securitisation positions

R0450

 

 

 

 

 

 

 

type 1 securitisations

R0460

 

 

 

 

 

 

 

type 2 securitisations

R0470

 

 

 

 

 

 

 

resecuritisations

R0480

 

 

 

 

 

 

 

Market risk concentrations

R0500

 

 

 

 

 

 

 

Currency risk

R0600

 

 

 

 

 

 

 

increase in the value of the foreign currency

R0610

 

 

 

 

 

 

 

decrease in the value of the foreign currency

R0620

 

 

 

 

 

 

 

Diversification within market risk module

R0700

 

 

 

 

 

 

 

Total market risk

R0800

 

 

 

 

 

 

 
S.26.02.01
Solvency Capital Requirement — Counterparty default risk

Article 112

Z0010

 

 

 

 

Simplifications used

 

C0010

Simplifications

R0010

 

 

 

Name of single name exposure

Code of single name exposure

Type of code of the single name exposure

Loss Given Default

Probability of Default

Net solvency capital requirement

Gross solvency capital requirement

Counterparty default risk — Basic information

 

C0020

C0030

C0040

C0050

C0060

C0070

C0080

Type 1 exposures

R0100

 

 

 

 

 

 

 

Single name exposure 1

R0110

 

 

 

 

 

 

 

Single name exposure 2

R0120

 

 

 

 

 

 

 

Single name exposure 3

R0130

 

 

 

 

 

 

 

Single name exposure 4

R0140

 

 

 

 

 

 

 

Single name exposure 5

R0150

 

 

 

 

 

 

 

Single name exposure 6

R0160

 

 

 

 

 

 

 

Single name exposure 7

R0170

 

 

 

 

 

 

 

Single name exposure 8

R0180

 

 

 

 

 

 

 

Single name exposure 9

R0190

 

 

 

 

 

 

 

Single name exposure 10

R0200

 

 

 

 

 

 

 

Type 2 exposures

R0300

 

 

 

 

 

 

 

Receivables from Intermediaries due for more than 3 months

R0310

 

 

 

 

 

 

 

All type 2 exposures other than receivables from Intermediaries due for more than 3 months

R0320

 

 

 

 

 

 

 

Diversification within counterparty default risk module

R0330

 

 

 

 

 

 

 

Total counterparty default risk

R0400

 

 

 

 

 

 

 

Further details on mortgages

 

C0090

Losses steaming from type 2 mortgage loans

R0500

 

Overall losses steaming from mortgage loans

R0510

 
S.26.02.04
Solvency Capital Requirement — Counterparty default risk

Article 112

Z0010

 

 

 

 

Simplifications used

 

C0010

Simplifications

R0010

 

 

 

Name of single name exposure

Code of single name exposure

Type of code of the single name exposure

Loss Given Default

Probability of Default

Net solvency capital requirement

Gross solvency capital requirement

Counterparty default risk — Basic information

 

C0020

C0030

C0040

C0050

C0060

C0070

C0080

Type 1 exposures

R0100

 

 

 

 

 

 

 

Single name exposure 1

R0110

 

 

 

 

 

 

 

Single name exposure 2

R0120

 

 

 

 

 

 

 

Single name exposure 3

R0130

 

 

 

 

 

 

 

Single name exposure 4

R0140

 

 

 

 

 

 

 

Single name exposure 5

R0150

 

 

 

 

 

 

 

Single name exposure 6

R0160

 

 

 

 

 

 

 

Single name exposure 7

R0170

 

 

 

 

 

 

 

Single name exposure 8

R0180

 

 

 

 

 

 

 

Single name exposure 9

R0190

 

 

 

 

 

 

 

Single name exposure 10

R0200

 

 

 

 

 

 

 

Type 2 exposures

R0300

 

 

 

 

 

 

 

Receivables from Intermediaries due for more than 3 months

R0310

 

 

 

 

 

 

 

All type 2 exposures other than receivables from Intermediaries due for more than 3 months

R0320

 

 

 

 

 

 

 

Diversification within counterparty default risk module

R0330

 

 

 

 

 

 

 

Total counterparty default risk

R0400

 

 

 

 

 

 

 

Further details on mortgages

 

C0090

Losses steaming from type 2 mortgage loans

R0500

 

Overall losses steaming from mortgage loans

R0510

 
SR.26.02.01
Solvency Capital Requirement — Counterparty default risk

Article 112

Z0010

 

Ring Fenced Fund/Matching adjustment portfolio or remaining part

Z0020

 

Fund/Portfolio number

Z0030

 

 

 

 

Simplifications used

 

C0010

Simplifications

R0010

 

 

 

Name of single name exposure

Code of single name exposure

Type of code of the single name exposure

Loss Given Default

Probability of Default

Net solvency capital requirement

Gross solvency capital requirement

Counterparty default risk — Basic information

 

C0020

C0030

C0040

C0050

C0060

C0070

C0080

Type 1 exposures

R0100

 

 

 

 

 

 

 

Single name exposure 1

R0110

 

 

 

 

 

 

 

Single name exposure 2

R0120

 

 

 

 

 

 

 

Single name exposure 3

R0130

 

 

 

 

 

 

 

Single name exposure 4

R0140

 

 

 

 

 

 

 

Single name exposure 5

R0150

 

 

 

 

 

 

 

Single name exposure 6

R0160

 

 

 

 

 

 

 

Single name exposure 7

R0170

 

 

 

 

 

 

 

Single name exposure 8

R0180

 

 

 

 

 

 

 

Single name exposure 9

R0190

 

 

 

 

 

 

 

Single name exposure 10

R0200

 

 

 

 

 

 

 

Type 2 exposures

R0300

 

 

 

 

 

 

 

Receivables from Intermediaries due for more than 3 months

R0310

 

 

 

 

 

 

 

All type 2 exposures other than receivables from Intermediaries due for more than 3 months

R0320

 

 

 

 

 

 

 

Diversification within counterparty default risk module

R0330

 

 

 

 

 

 

 

Total counterparty default risk

R0400

 

 

 

 

 

 

 
S.26.03.01
Solvency Capital Requirement — Life underwriting risk

Article 112

Z0010

 

 

 

 

Simplifications used

 

C0010

Simplifications — mortality risk

R0010

 

Simplifications- longevity risk

R0020

 

Simplifications — disability-morbidity risk

R0030

 

Simplifications — lapse risk

R0040

 

Simplifications — life expense risk

R0050

 

Simplifications — life catastrophe risk

R0060

 

 

 

Initial absolute values before shock

Absolute values after shock

 

 

Assets

Liabilities

Assets

Liabilities (after the loss absorbing capacity of technical provisions)

Net solvency capital requirement

Liabilities (before the loss-absorbing capacity of technical provisions)

Gross solvency capital requirement

Life underwriting risk

 

C0020

C0030

C0040

C0050

C0060

C0070

C0080

Mortality risk

R0100

 

 

 

 

 

 

 

Longevity risk

R0200

 

 

 

 

 

 

 

Disability-morbidity risk

R0300

 

 

 

 

 

 

 

Lapse risk

R0400

 

 

 

 

 

 

 

risk of increase in lapse rates

R0410

 

 

 

 

 

 

 

risk of decrease in lapse rates

R0420

 

 

 

 

 

 

 

mass lapse risk

R0430

 

 

 

 

 

 

 

Life expense risk

R0500

 

 

 

 

 

 

 

Revision risk

R0600

 

 

 

 

 

 

 

Life catastrophe risk

R0700

 

 

 

 

 

 

 

Diversification within life underwriting risk module

R0800

 

 

 

 

 

 

 

Total life underwriting risk

R0900

 

 

 

 

 

 

 

 

 

USP

Further details on revision risk

 

C0090

Factor applied for the revision shock

R1000

 
S.26.03.04
Solvency Capital Requirement — Life underwriting risk

Article 112

Z0010

 

 

 

 

Simplifications used

 

C0010

Simplifications — mortality risk

R0010

 

Simplifications — longevity risk

R0020

 

Simplifications — disability-morbidity risk

R0030

 

Simplifications — lapse risk

R0040

 

Simplifications — life expense risk

R0050

 

Simplifications — life catastrophe risk

R0060

 

 

 

Initial absolute values before shock

Absolute values after shock

 

 

Assets

Liabilities

Assets

Liabilities (after the loss absorbing capacity of technical provisions)

Net solvency capital requirement

Liabilities (before the loss-absorbing capacity of technical provisions)

Gross solvency capital requirement

Life underwriting risk

 

C0020

C0030

C0040

C0050

C0060

C0070

C0080

Mortality risk

R0100

 

 

 

 

 

 

 

Longevity risk

R0200

 

 

 

 

 

 

 

Disability-morbidity risk

R0300

 

 

 

 

 

 

 

Lapse risk

R0400

 

 

 

 

 

 

 

risk of increase in lapse rates

R0410

 

 

 

 

 

 

 

risk of decrease in lapse rates

R0420

 

 

 

 

 

 

 

mass lapse risk

R0430

 

 

 

 

 

 

 

Life expense risk

R0500

 

 

 

 

 

 

 

Revision risk

R0600

 

 

 

 

 

 

 

Life catastrophe risk

R0700

 

 

 

 

 

 

 

Diversification within life underwriting risk module

R0800

 

 

 

 

 

 

 

Total life underwriting risk

R0900

 

 

 

 

 

 

 

 

 

USP

Further details on revision risk

 

C0090

Factor applied for the revision shock

R1000

 
SR.26.03.01
Solvency Capital Requirement — Life underwriting risk

Article 112

Z0010

 

Ring Fenced Fund/Matching adjustment portfolio or remaining part

Z0020

 

Fund/Portfolio number

Z0030

 

 

 

 

Simplifications used

 

C0010

Simplifications — mortality risk

R0010

 

Simplifications — longevity risk

R0020

 

Simplifications — disability-morbidity risk

R0030

 

Simplifications — lapse risk

R0040

 

Simplifications — life expense risk

R0050

 

Simplifications — life catastrophe risk

R0060

 

 

 

Initial absolute values before shock

Absolute values after shock

 

 

Assets

Liabilities

Assets

Liabilities (after the loss absorbing capacity of technical provisions)

Net solvency capital requirement

Liabilities (before the loss-absorbing capacity of technical provisions)

Gross solvency capital requirement

Life underwriting risk

 

C0020

C0030

C0040

C0050

C0060

C0070

C0080

Mortality risk

R0100

 

 

 

 

 

 

 

Longevity risk

R0200

 

 

 

 

 

 

 

Disability-morbidity risk

R0300

 

 

 

 

 

 

 

Lapse risk

R0400

 

 

 

 

 

 

 

risk of increase in lapse rates

R0410

 

 

 

 

 

 

 

risk of decrease in lapse rates

R0420

 

 

 

 

 

 

 

mass lapse risk

R0430

 

 

 

 

 

 

 

Life expense risk

R0500

 

 

 

 

 

 

 

Revision risk

R0600

 

 

 

 

 

 

 

Life catastrophe risk

R0700

 

 

 

 

 

 

 

Diversification within life underwriting risk module

R0800

 

 

 

 

 

 

 

Total life underwriting risk

R0900

 

 

 

 

 

 

 

 

 

USP

Further details on revision risk

 

C0090

Factor applied for the revision shock

R1000

 
S.26.04.01
Solvency Capital Requirement — Health underwriting risk

Article 112

Z0010

 

 

 

 

Simplifications used

 

C0010

Simplifications — health mortality risk

R0010

 

Simplifications — health longevity risk

R0020

 

Simplifications — health disability-morbidity risk-medical expenses

R0030

 

Simplifications — health disability-morbidity risk-income protection

R0040

 

Simplifications — SLT lapse risk

R0050

 

Simplifications — health expense risk

R0060

 

 

 

Initial absolute values before shock

Absolute values after shock

 

 

Assets

Liabilities

Assets

Liabilities (after the loss absorbing capacity of technical provisions)

Net solvency capital requirement

Liabilities (before the loss absorbing capacity of technical provisions)

Gross solvency capital requirement

SLT health underwriting risk

 

C0020

C0030

C0040

C0050

C0060

C0070

C0080

Health mortality risk

R0100

 

 

 

 

 

 

 

Health longevity risk

R0200

 

 

 

 

 

 

 

Health disability-morbidity risk

R0300

 

 

 

 

 

 

 

Medical expense

R0310

 

 

 

 

 

 

 

increase of medical payments

R0320

 

 

 

 

 

 

 

decrease of medical payments

R0330

 

 

 

 

 

 

 

Income protection

R0340

 

 

 

 

 

 

 

SLT health lapse risk

R0400

 

 

 

 

 

 

 

risk of increase in lapse rates

R0410

 

 

 

 

 

 

 

risk of decrease in lapse rates

R0420

 

 

 

 

 

 

 

mass lapse risk

R0430

 

 

 

 

 

 

 

Health expense risk

R0500

 

 

 

 

 

 

 

Health revision risk

R0600

 

 

 

 

 

 

 

Diversification within SLT health underwriting risk

R0700

 

 

 

 

 

 

 

Total SLT health underwriting risk

R0800

 

 

 

 

 

 

 

 

 

USP

Further details on revision risk

 

C0090

Factor applied for the revision shock

R0900

 

 

 

Standard deviation for premium risk

Standard deviation for reserve risk

Volume measure for premium and reserve risk

 

 

USP

Standard Deviation

USP

Standard Deviation gross/net

USP

Adjustment factor for non-proportional reinsurance

USP

Vprem

Vres

Geographical Diversification

V

NSLT Health premium and reserve risk

 

C0100

C0110

C0120

C0130

C0140

C0150

C0160

C0170

Medical expenses insurance and proportional reinsurance

R1000

 

 

 

 

 

 

 

 

Income protection insurance and proportional reinsurance

R1010

 

 

 

 

 

 

 

 

Worker's compensation insurance and proportional reinsurance

R1020

 

 

 

 

 

 

 

 

Non-proportional health reinsurance

R1030

 

 

 

 

 

 

 

 

Total Volume measure

R1040

 

 

 

 

 

 

 

 

Combined standard deviation

R1050

 

 

 

 

 

 

 

 

 

 

Solvency capital requirement

 

 

C0180

NSLT health premium and reserve risk

R1100

 

 

 

Initial absolute values before shock

Absolute values after shock

 

 

Assets

Liabilities

Assets

Liabilities

Solvency capital requirement

NSLT Health lapse risk

 

C0190

C0200

C0210

C0220

C0230

NSLT health lapse risk

R1200

 

 

 

 

 

 

 

Solvency capital requirement

 

 

C0240

Diversification within NSLT health underwriting risk

R1300

 

Total NSLT health underwriting risk

R1400

 

 

 

Net solvency capital requirement

Gross solvency capital requirement

Health catastrophe risk

 

C0250

C0260

Mass accident risk

R1500

 

 

Accident concentration risk

R1510

 

 

Pandemic risk

R1520

 

 

Diversification within health catastrophe risk

R1530

 

 

Total health catastrophe risk

R1540

 

 

 

 

Net solvency capital requirement

Gross solvency capital requirement

Total health underwriting risk

 

C0270

C0280

Diversification within health underwriting risk module

R1600

 

 

Total health underwriting risk

R1700

 

 
S.26.04.04
Solvency Capital Requirement — Health underwriting risk

Article 112

Z0010

 

 

 

 

Simplifications used

 

C0010

Simplifications — health mortality risk

R0010

 

Simplifications — health longevity risk

R0020

 

Simplifications — health disability-morbidity risk-medical expenses

R0030

 

Simplifications — health disability-morbidity risk-income protection

R0040

 

Simplifications — SLT lapse risk

R0050

 

Simplifications — health expense risk

R0060

 

 

 

Initial absolute values before shock

Absolute values after shock

 

 

Assets

Liabilities

Assets

Liabilities (after the loss absorbing capacity of technical provisions)

Net solvency capital requirement

Liabilities (before the loss-absorbing capacity of technical provisions)

Gross solvency capital requirement

SLT health underwriting risk

 

C0020

C0030

C0040

C0050

C0060

C0070

C0080

Health mortality risk

R0100

 

 

 

 

 

 

 

Health longevity risk

R0200

 

 

 

 

 

 

 

Health disability-morbidity risk

R0300

 

 

 

 

 

 

 

Medical expense

R0310

 

 

 

 

 

 

 

increase of medical payments

R0320

 

 

 

 

 

 

 

decrease of medical payments

R0330

 

 

 

 

 

 

 

Income protection

R0340

 

 

 

 

 

 

 

SLT health lapse risk

R0400

 

 

 

 

 

 

 

risk of increase in lapse rates

R0410

 

 

 

 

 

 

 

risk of decrease in lapse rates

R0420

 

 

 

 

 

 

 

mass lapse risk

R0430

 

 

 

 

 

 

 

Health expense risk

R0500

 

 

 

 

 

 

 

Health revision risk

R0600

 

 

 

 

 

 

 

Diversification within SLT health underwriting risk

R0700

 

 

 

 

 

 

 

Total SLT health underwriting risk

R0800

 

 

 

 

 

 

 

 

 

USP

Further details on revision risk

 

C0090

Factor applied for the revision shock

R0900

 

 

 

Standard deviation for premium risk

Standard deviation for reserve risk

Volume measure for premium and reserve risk

 

 

USP

Standard Deviation

USP

Standard Deviation gross/net

USP

Adjustment factor for non-proportional reinsurance

USP

Vprem

Vres

Geographical Diversification

V

NSLT Health premium and reserve risk

 

C0100

C0110

C0120

C0130

C0140

C0150

C0160

C0170

Medical expenses insurance and proportional reinsurance

R1000

 

 

 

 

 

 

 

 

Income protection insurance and proportional reinsurance

R1010

 

 

 

 

 

 

 

 

Worker's compensation insurance and proportional reinsurance

R1020

 

 

 

 

 

 

 

 

Non-proportional health reinsurance

R1030

 

 

 

 

 

 

 

 

Total Volume measure

R1040

 

 

 

 

 

 

 

 

Combined standard deviation

R1050

 

 

 

 

 

 

 

 

 

 

Solvency capital requirement

 

 

C0180

NSLT health premium and reserve risk

R1100

 

 

 

Initial absolute values before shock

Absolute values after shock

 

 

Assets

Liabilities

Assets

Liabilities

Solvency capital requirement

NSLT Health lapse risk

 

C0190

C0200

C0210

C0220

C0230

NSLT health lapse risk

R1200

 

 

 

 

 

 

 

Solvency capital requirement

 

 

C0240

Diversification within NSLT health underwriting risk

R1300

 

Total NSLT health underwriting risk

R1400

 

 

 

Net solvency capital requirement

Gross solvency capital requirement

Health catastrophe risk

 

C0250

C0260

Mass accident risk

R1500

 

 

Accident concentration risk

R1510

 

 

Pandemic risk

R1520

 

 

Diversification within health catastrophe risk

R1530

 

 

Total health catastrophe risk

R1540

 

 

 

 

Net solvency capital requirement

Gross solvency capital requirement

Total health underwriting risk

 

C0270

C0280

Diversification within health underwriting risk module

R1600

 

 

Total health underwriting risk

R1700

 

 
SR.26.04.01
Solvency Capital Requirement — Health underwriting risk

Article 112

Z0010

 

Ring Fenced Fund/Matching adjustment portfolio or remaining part

Z0020

 

Fund/Portfolio number

Z0030

 

 

 

 

Simplifications used

 

C0010

Simplifications — health mortality risk

R0010

 

Simplifications — health longevity risk

R0020

 

Simplifications — health disability-morbidity risk-medical expenses

R0030

 

Simplifications — health disability-morbidity risk-income protection

R0040

 

Simplifications — SLT lapse risk

R0050

 

Simplifications — health expense risk

R0060

 

 

 

Initial absolute values before shock

Absolute values after shock

 

 

Assets

Liabilities

Assets

Liabilities (after the loss absorbing capacity of technical provisions)

Net solvency capital requirement

Liabilities (before the loss-absorbing capacity of technical provisions)

Gross solvency capital requirement

SLT health underwriting risk

 

C0020

C0030

C0040

C0050

C0060

C0070

C0080

Health mortality risk

R0100

 

 

 

 

 

 

 

Health longevity risk

R0200

 

 

 

 

 

 

 

Health disability-morbidity risk

R0300

 

 

 

 

 

 

 

Medical expense

R0310

 

 

 

 

 

 

 

increase of medical payments

R0320

 

 

 

 

 

 

 

decrease of medical payments

R0330

 

 

 

 

 

 

 

Income protection

R0340

 

 

 

 

 

 

 

SLT health lapse risk

R0400

 

 

 

 

 

 

 

risk of increase in lapse rates

R0410

 

 

 

 

 

 

 

risk of decrease in lapse rates

R0420

 

 

 

 

 

 

 

mass lapse risk

R0430

 

 

 

 

 

 

 

Health expense risk

R0500

 

 

 

 

 

 

 

Health revision risk

R0600

 

 

 

 

 

 

 

Diversification within SLT health underwriting risk

R0700

 

 

 

 

 

 

 

Total SLT health underwriting risk

R0800

 

 

 

 

 

 

 

 

 

USP

Further details on revision risk

 

C0090

Factor applied for the revision shock

R0900

 

 

 

Standard deviation for premium risk

Standard deviation for reserve risk

Volume measure for premium and reserve risk

 

 

USP

Standard Deviation

USP

Standard Deviation gross/net

USP

Adjustment factor for non-proportional reinsurance

USP

Vprem

Vres

Geographical Diversification

V

NSLT Health premium and reserve risk

 

C0100

C0110

C0120

C0130

C0140

C0150

C0160

C0170

Medical expenses insurance and proportional reinsurance

R1000

 

 

 

 

 

 

 

 

Income protection insurance and proportional reinsurance

R1010

 

 

 

 

 

 

 

 

Worker's compensation insurance and proportional reinsurance

R1020

 

 

 

 

 

 

 

 

Non-proportional health reinsurance

R1030

 

 

 

 

 

 

 

 

Total Volume measure

R1040

 

 

 

 

 

 

 

 

Combined standard deviation

R1050

 

 

 

 

 

 

 

 

 

 

Solvency capital requirement

 

 

C0180

NSLT health premium and reserve risk

R1100

 

 

 

Initial absolute values before shock

Absolute values after shock

 

 

Assets

Liabilities

Assets

Liabilities

Solvency capital requirement

NSLT Health lapse risk

 

C0190

C0200

C0210

C0220

C0230

NSLT health lapse risk

R1200

 

 

 

 

 

 

 

Solvency capital requirement

 

 

C0240

Diversification within NSLT health underwriting risk

R1300

 

Total NSLT health underwriting risk

R1400

 

 

 

Net solvency capital requirement

Gross solvency capital requirement

Health catastrophe risk

 

C0250

C0260

Mass accident risk

R1500

 

 

Accident concentration risk

R1510

 

 

Pandemic risk

R1520

 

 

Diversification within health catastrophe risk

R1530

 

 

Total health catastrophe risk

R1540

 

 

 

 

Net solvency capital requirement

Gross solvency capital requirement

Total health underwriting risk

 

C0270

C0280

Diversification within health underwriting risk module

R1600

 

 

Total health underwriting risk

R1700

 

 
S.26.05.01
Solvency Capital Requirement — Non-Life underwriting risk

Article 112

Z0010

 

 

 

 

Simplifications used

 

C0010

Captives simplifications — premium and reserve risk

R0010

 

 

 

Standard deviation for premium risk

Standard deviation for reserve risk

Volume measure for premium and reserve risk

 

 

USP

Standard Deviation

USP

Standard Deviation gross/net

USP

Adjustment factor for non-proportional reinsurance

USP

Vprem

Vres

Geographical Diversification

V

Non-life premium and reserve Risk

 

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

Motor vehicle liability

R0100

 

 

 

 

 

 

 

 

Motor, other classes

R0110

 

 

 

 

 

 

 

 

Marine, aviation, transport (MAT)

R0120

 

 

 

 

 

 

 

 

Fire and other property damage

R0130

 

 

 

 

 

 

 

 

Third-party liability

R0140

 

 

 

 

 

 

 

 

Credit and suretyship

R0150

 

 

 

 

 

 

 

 

Legal expenses

R0160

 

 

 

 

 

 

 

 

Assistance

R0170

 

 

 

 

 

 

 

 

Miscellaneous

R0180

 

 

 

 

 

 

 

 

Non-proportional reinsurance — property

R0190

 

 

 

 

 

 

 

 

Non-proportional reinsurance — casualty

R0200

 

 

 

 

 

 

 

 

Non-proportional reinsurance — MAT

R0210

 

 

 

 

 

 

 

 

Total Volume measure

R0220

 

 

 

 

 

 

 

 

Combined standard deviation

R0230

 

 

 

 

 

 

 

 

 

 

Solvency capital requirement

 

 

C0100

Non-life premium and reserve risk

R0300

 

 

 

Initial absolute values before shock

Absolute values after shock

 

 

Assets

Liabilities

Assets

Liabilities

Solvency capital requirement

Non-Life lapse risk

 

C0110

C0120

C0130

C0140

C0150

Non-life lapse risk

R0400

 

 

 

 

 

 

 

Solvency capital requirement

Non-life catastrophe risk

 

C0160

Non-life catastrophe risk

R0500

 

 

 

 

Total non-life underwriting risk

 

 

Diversification within non — life underwriting risk module

R0600

 

Total non-life underwriting risk

R0700

 
S.26.05.04
Solvency Capital Requirement — Non-Life underwriting risk

Article 112

Z0010

 

 

 

 

Simplifications used

 

C0010

Captives simplifications — premium and reserve risk

R0010

 

 

 

Standard deviation for premium risk

Standard deviation for reserve risk

Volume measure for premium and reserve risk

 

 

USP

Standard Deviation

USP

Standard Deviation gross/net

USP

Adjustment factor for non-proportional reinsurance

USP

Vprem

Vres

Geographical Diversification

V

Non-life premium and reserve Risk

 

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

Motor vehicle liability

R0100

 

 

 

 

 

 

 

 

Motor, other classes

R0110

 

 

 

 

 

 

 

 

Marine, aviation, transport (MAT)

R0120

 

 

 

 

 

 

 

 

Fire and other property damage

R0130

 

 

 

 

 

 

 

 

Third-party liability

R0140

 

 

 

 

 

 

 

 

Credit and suretyship

R0150

 

 

 

 

 

 

 

 

Legal expenses

R0160

 

 

 

 

 

 

 

 

Assistance

R0170

 

 

 

 

 

 

 

 

Miscellaneous

R0180

 

 

 

 

 

 

 

 

Non-proportional reinsurance — property

R0190

 

 

 

 

 

 

 

 

Non-proportional reinsurance — casualty

R0200

 

 

 

 

 

 

 

 

Non-proportional reinsurance — MAT

R0210

 

 

 

 

 

 

 

 

Total Volume measure

R0220

 

 

 

 

 

 

 

 

Combined standard deviation

R0230

 

 

 

 

 

 

 

 

 

 

Solvency capital requirement

 

 

C0100

Non-life premium and reserve risk

R0300

 

 

 

Initial absolute values before shock

Absolute values after shock

 

 

Assets

Liabilities

Assets

Liabilities

Solvency capital requirement

Non-Life lapse risk

 

C0110

C0120

C0130

C0140

C0150

Non-life lapse risk

R0400

 

 

 

 

 

 

 

Solvency capital requirement

Non-life catastrophe risk

 

C0160

Non-life catastrophe risk

R0500

 

 

 

 

Total non-life underwriting risk

 

 

Diversification within non — life underwriting risk module

R0600

 

Total non-life underwriting risk

R0700

 
SR.26.05.01
Solvency Capital Requirement — Non-Life underwriting risk

Article 112

Z0010

 

Ring Fenced Fund/Matching adjustment portfolio or remaining part

Z0020

 

Fund/Portfolio number

Z0030

 

 

 

 

Simplifications used

 

C0010

Captives simplifications — premium and reserve risk

R0010

 

 

 

Standard deviation for premium risk

Standard deviation for reserve risk

Volume measure for premium and reserve risk

 

 

USP

Standard Deviation

USP

Standard Deviation gross/net

USP

Adjustment factor for non-proportional reinsurance

USP

Vprem

Vres

Geographical Diversification

V

Non-life premium and reserve Risk

 

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

Motor vehicle liability

R0100

 

 

 

 

 

 

 

 

Motor, other classes

R0110

 

 

 

 

 

 

 

 

Marine, aviation, transport (MAT)

R0120

 

 

 

 

 

 

 

 

Fire and other property damage

R0130

 

 

 

 

 

 

 

 

Third-party liability

R0140

 

 

 

 

 

 

 

 

Credit and suretyship

R0150

 

 

 

 

 

 

 

 

Legal expenses

R0160

 

 

 

 

 

 

 

 

Assistance

R0170

 

 

 

 

 

 

 

 

Miscellaneous

R0180

 

 

 

 

 

 

 

 

Non-proportional reinsurance — property

R0190

 

 

 

 

 

 

 

 

Non-proportional reinsurance — casualty

R0200

 

 

 

 

 

 

 

 

Non-proportional reinsurance — MAT

R0210

 

 

 

 

 

 

 

 

Total Volume measure

R0220

 

 

 

 

 

 

 

 

Combined standard deviation

R0230

 

 

 

 

 

 

 

 

 

 

Solvency capital requirement

 

 

C0100

Non-life premium and reserve risk

R0300

 

 

 

Initial absolute values before shock

Absolute values after shock

 

 

Assets

Liabilities

Assets

Liabilities

Solvency capital requirement

Non-Life lapse risk

 

C0110

C0120

C0130

C0140

C0150

Non-life lapse risk

R0400

 

 

 

 

 

 

 

Solvency capital requirement

Non-life catastrophe risk

 

C0160

Non-life catastrophe risk

R0500

 

 

 

 

Total non-life underwriting risk

 

 

Diversification within non — life underwriting risk module

R0600

 

Total non-life underwriting risk

R0700

 
S.26.06.01
Solvency Capital Requirement — Operational risk

Article 112

Z0010

 

 

 

 

 

 

Capital requirement

Operational risk — Information on technical provisions

 

C0020

Life gross technical provisions (excluding risk margin)

R0100

 

Life gross technical provisions unit-linked (excluding risk margin)

R0110

 

Non-life gross technical provisions (excluding risk margin)

R0120

 

Capital requirement for operational risk based on technical provisions

R0130

 

Operational risk — Information on earned premiums

 

 

Earned life gross premiums (previous 12 months)

R0200

 

Earned life gross premiums unit-linked (previous 12 months)

R0210

 

Earned non-life gross premiums (previous 12 months)

R0220

 

Earned life gross premiums (12 months prior to the previous 12 months)

R0230

 

Earned life gross premiums unit-linked (12 months prior to the previous 12 months)

R0240

 

Earned non-life gross premiums (12 months prior to the previous 12 months)

R0250

 

Capital requirement for operational risk based on earned premiums

R0260

 

Operational risk — calculation of the SCR

 

 

Capital requirement for operational risk charge before capping

R0300

 

Percentage of Basic Solvency Capital Requirement

R0310

 

Capital requirement for operational risk charge after capping

R0320

 

Expenses incurred in respect of unit linked business (previous 12 months)

R0330

 

Total capital requirement for operational risk

R0340

 
S.26.06.04
Solvency Capital Requirement — Operational risk

Article 112

Z0010

 

 

 

 

 

 

Capital requirement

Operational risk — Information on technical provisions

 

C0020

Life gross technical provisions (excluding risk margin)

R0100

 

Life gross technical provisions unit-linked (excluding risk margin)

R0110

 

Non-life gross technical provisions (excluding risk margin)

R0120

 

Capital requirement for operational risk based on technical provisions

R0130

 

Operational risk — Information on earned premiums

 

 

Earned life gross premiums (previous 12 months)

R0200

 

Earned life gross premiums unit-linked (previous 12 months)

R0210

 

Earned non-life gross premiums (previous 12 months)

R0220

 

Earned life gross premiums (12 months prior to the previous 12 months)

R0230

 

Earned life gross premiums unit-linked (12 months prior to the previous 12 months)

R0240

 

Earned non-life gross premiums (12 months prior to the previous 12 months)

R0250

 

Capital requirement for operational risk based on earned premiums

R0260

 

Operational risk — calculation of the SCR

 

 

Capital requirement for operational risk charge before capping

R0300

 

Percentage of Basic Solvency Capital Requirement

R0310

 

Capital requirement for operational risk charge after capping

R0320

 

Expenses incurred in respect of unit linked business (previous 12 months)

R0330

 

Total capital requirement for operational risk

R0340

 
SR.26.06.01
Solvency Capital Requirement — Operational risk

Article 112

Z0010

 

Ring Fenced Fund/Matching adjustment portfolio or remaining part

Z0020

 

Fund/Portfolio number

Z0030

 

 

 

Capital requirement

Operational risk — Information on technical provisions

 

C0020

Life gross technical provisions (excluding risk margin)

R0100

 

Life gross technical provisions unit-linked (excluding risk margin)

R0110

 

Non-life gross technical provisions (excluding risk margin)

R0120

 

Capital requirement for operational risk based on technical provisions

R0130

 

Operational risk — Information on earned premiums

 

 

Earned life gross premiums (previous 12 months)

R0200

 

Earned life gross premiums unit-linked (previous 12 months)

R0210

 

Earned non-life gross premiums (previous 12 months)

R0220

 

Earned life gross premiums (12 months prior to the previous 12 months)

R0230

 

Earned life gross premiums unit-linked (12 months prior to the previous 12 months)

R0240

 

Earned non-life gross premiums (12 months prior to the previous 12 months)

R0250

 

Capital requirement for operational risk based on earned premiums

R0260

 

Operational risk — calculation of the SCR

 

 

Capital requirement for operational risk charge before capping

R0300

 

Percentage of Basic Solvency Capital Requirement

R0310

 

Capital requirement for operational risk charge after capping

R0320

 

Expenses incurred in respect of unit linked business (previous 12 months)

R0330

 

Total capital requirement for operational risk

R0340

 
S.26.07.01
Solvency Capital Requirement — Simplifications

Article 112

Z0010

 

Currency for interest rate risk (captives)

Z0040

 

Market risk

 

Credit quality step

Spread risk (bonds and loans) (including captives)

 

0

1

2

3

4

5

6

No rating available

 

 

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

Market value

R0010

 

 

 

 

 

 

 

 

Modified duration

R0020

 

 

 

 

 

 

 

 

 

 

C0090

Increase in unit-linked and index-linked technical provisions

R0030

 

 

 

Capital requirment

Interest rate risk (captives)

 

Interest rate up

Interest rate down

 

 

C0100

C0110

Currency

R0040

 

 

 

 

Capital at risk

Capital at risk t+1

Surrender strain

Best Estimate

Average rate t+1

Average rate t+2

Modified duration

Average run off period

Termination rate

Payments

Average inflation rate

Life underwriting risk

 

C0120

C0130

C0140

C0150

C0160

C0170

C0180

C0190

C0200

C0210

C0220

Mortality risk

R0100

 

 

 

 

 

 

 

 

 

 

 

Longevity risk

R0110

 

 

 

 

 

 

 

 

 

 

 

Disability-morbidity risk

R0120

 

 

 

 

 

 

 

 

 

 

 

Lapse risk

 

 

 

 

 

 

 

 

 

 

 

 

Lapse risk (up)

R0130

 

 

 

 

 

 

 

 

 

 

 

Lapse risk (down)

R0140

 

 

 

 

 

 

 

 

 

 

 

Life expense risk

R0150

 

 

 

 

 

 

 

 

 

 

 

Life catastrophe risk

R0160

 

 

 

 

 

 

 

 

 

 

 

Health underwriting risk

 

 

 

 

 

 

 

 

 

 

 

 

Health mortality risk

R0200

 

 

 

 

 

 

 

 

 

 

 

Health longevity risk

R0210

 

 

 

 

 

 

 

 

 

 

 

Health disability-morbidity risk (medical expense)

R0220

 

 

 

 

 

 

 

 

 

 

 

Health disability-morbidity risk (income protection)

R0230

 

 

 

 

 

 

 

 

 

 

 

Health SLT lapse risk

 

 

 

 

 

 

 

 

 

 

 

 

Lapse risk (up)

R0240

 

 

 

 

 

 

 

 

 

 

 

Lapse risk (down)

R0250

 

 

 

 

 

 

 

 

 

 

 

Health expense risk

R0260

 

 

 

 

 

 

 

 

 

 

 
S.26.07.04
Solvency Capital Requirement — Simplifications

Article 112

Z0010

 

Currency for interest rate risk (captives)

Z0040

 

Market risk

 

Credit quality step

Spread risk (bonds and loans) (including captives)

 

0

1

2

3

4

5

6

No rating available

 

 

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

Market value

R0010

 

 

 

 

 

 

 

 

Modified duration

R0020

 

 

 

 

 

 

 

 

 

 

C0090

Increase in unit-linked and index-linked technical provisions

R0030

 

 

 

Capital requirment

Interest rate risk (captives)

 

Interest rate up

Interest rate down

 

 

C0100

C0110

Currency 1

R0040

 

 

 

 

Capital at risk

Capital at risk t+1

Surrender strain

Best Estimate

Average rate t+1

Average rate t+2

Modified duration

Average run off period

Termination rate

Payments

Average inflation rate

Life underwriting risk

 

C0120

C0130

C0140

C0150

C0160

C0170

C0180

C0190

C0200

C0210

C0220

Mortality risk

R0100

 

 

 

 

 

 

 

 

 

 

 

Longevity risk

R0110

 

 

 

 

 

 

 

 

 

 

 

Disability-morbidity risk

R0120

 

 

 

 

 

 

 

 

 

 

 

Lapse risk

 

 

 

 

 

 

 

 

 

 

 

 

Lapse risk (up)

R0130

 

 

 

 

 

 

 

 

 

 

 

Lapse risk (down)

R0140

 

 

 

 

 

 

 

 

 

 

 

Life expense risk

R0150

 

 

 

 

 

 

 

 

 

 

 

Life catastrophe risk

R0160

 

 

 

 

 

 

 

 

 

 

 

Health underwriting risk

 

 

 

 

 

 

 

 

 

 

 

 

Health mortality risk

R0200

 

 

 

 

 

 

 

 

 

 

 

Health longevity risk

R0210

 

 

 

 

 

 

 

 

 

 

 

Health disability-morbidity risk (medical expense)

R0220

 

 

 

 

 

 

 

 

 

 

 

Health disability-morbidity risk (income protection)

R0230

 

 

 

 

 

 

 

 

 

 

 

Health SLT lapse risk

 

 

 

 

 

 

 

 

 

 

 

 

Lapse risk (up)

R0240

 

 

 

 

 

 

 

 

 

 

 

Lapse risk (down)

R0250

 

 

 

 

 

 

 

 

 

 

 

Health expense risk

R0260

 

 

 

 

 

 

 

 

 

 

 
SR.26.07.01
Solvency Capital Requirement — Simplifications

Article 112

Z0010

 

Ring Fenced Fund/Matching adjustment portfolio or remaining part

Z0020

 

Fund/Portfolio number

Z0030

 

Currency for interest rate risk (captives)

Z0040

 

Market risk

 

Credit quality step

Spread risk (bonds and loans) (including captives)

 

0

1

2

3

4

5

6

No rating available

 

 

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

Market value

R0010

 

 

 

 

 

 

 

 

Modified duration

R0020

 

 

 

 

 

 

 

 

 

 

C0090

Increase in unit-linked and index-linked technical provisions

R0030

 

 

 

Capital requirment

Interest rate risk (captives)

 

Interest rate up

Interest rate down

 

 

C0100

C0110

Currency

R0040

 

 

 

 

Capital at risk

Capital at risk t+1

Surrender strain

Best Estimate

Average rate t+1

Average rate t+2

Modified duration

Average run off period

Termination rate

Payments

Average inflation rate

Life underwriting risk

 

C0120

C0130

C0140

C0150

C0160

C0170

C0180

C0190

C0200

C0210

C0220

Mortality risk

R0100

 

 

 

 

 

 

 

 

 

 

 

Longevity risk

R0110

 

 

 

 

 

 

 

 

 

 

 

Disability-morbidity risk

R0120

 

 

 

 

 

 

 

 

 

 

 

Lapse risk

 

 

 

 

 

 

 

 

 

 

 

 

Lapse risk (up)

R0130

 

 

 

 

 

 

 

 

 

 

 

Lapse risk (down)

R0140

 

 

 

 

 

 

 

 

 

 

 

Life expense risk

R0150

 

 

 

 

 

 

 

 

 

 

 

Life catastrophe risk

R0160

 

 

 

 

 

 

 

 

 

 

 

Health underwriting risk

 

 

 

 

 

 

 

 

 

 

 

 

Health mortality risk

R0200

 

 

 

 

 

 

 

 

 

 

 

Health longevity risk

R0210

 

 

 

 

 

 

 

 

 

 

 

Health disability-morbidity risk (medical expense)

R0220

 

 

 

 

 

 

 

 

 

 

 

Health disability-morbidity risk (income protection)

R0230

 

 

 

 

 

 

 

 

 

 

 

Health SLT lapse risk

 

 

 

 

 

 

 

 

 

 

 

 

Lapse risk (up)

R0240

 

 

 

 

 

 

 

 

 

 

 

Lapse risk (down)

R0250

 

 

 

 

 

 

 

 

 

 

 

Health expense risk

R0260

 

 

 

 

 

 

 

 

 

 

 
S.27.01.01
Solvency Capital Requirement — Non-life and Health catastrophe risk

Non-life and Health catastrophe risk — Summary

 

SCR before risk mitigation

Total risk mitigation

SCR after risk mitigation

 

 

C0010

C0020

C0030

Non-life catastrophe risk — Summary

 

 

 

 

Natural catastrophe risk

R0010

 

 

 

Windstorm

R0020

 

 

 

Earthquake

R0030

 

 

 

Flood

R0040

 

 

 

Hail

R0050

 

 

 

Subsidence

R0060

 

 

 

Diversification between perils

R0070

 

 

 

Catastrophe risk non-proportional property reinsurance

R0080

 

 

 

Man-made catastrophe risk

R0090

 

 

 

Motor vehicle liability

R0100

 

 

 

Marine

R0110

 

 

 

Aviation

R0120

 

 

 

Fire

R0130

 

 

 

Liability

R0140

 

 

 

Credit & Suretyship

R0150

 

 

 

Diversification between perils

R0160

 

 

 

Other non-life catastrophe risk

R0170

 

 

 

Diversification between perils

R0180

 

 

 

Total Non-life catastrophe risk before diversification

R0190

 

 

 

Diversification between sub-modules

R0200

 

 

 

Total Non-life catastrophe risk after diversification

R0210

 

 

 

Health catastrophe risk — Summary

 

 

 

 

Health catastrophe risk

R0300

 

 

 

Mass accident

R0310

 

 

 

Accident concentration

R0320

 

 

 

Pandemic

R0330

 

 

 

Diversification between sub-modules

R0340

 

 

 

Natural Catastrophe risk — Windstorm

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Scenario A or B

Catastrophe Risk Charge before risk mitigation

(cont.)

 

 

C0040

C0050

C0060

C0070

C0080

C0090

 

Republic of Austria

R0400

 

 

 

 

 

 

 

Kingdom of Belgium

R0410

 

 

 

 

 

 

 

Czech Republic

R0420

 

 

 

 

 

 

 

Swiss Confederation; Principality of Lichtenstein

R0430

 

 

 

 

 

 

 

Kingdom of Denmark

R0440

 

 

 

 

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R0450

 

 

 

 

 

 

 

Federal Republic of Germany

R0460

 

 

 

 

 

 

 

Republic of Iceland

R0470

 

 

 

 

 

 

 

Ireland

R0480

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R0490

 

 

 

 

 

 

 

Kingdom of the Netherlands

R0500

 

 

 

 

 

 

 

Kingdom of Norway

R0510

 

 

 

 

 

 

 

Republic of Poland

R0520

 

 

 

 

 

 

 

Kingdom of Spain

R0530

 

 

 

 

 

 

 

Kingdom of Sweden

R0540

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R0550

 

 

 

 

 

 

 

Guadeloupe

R0560

 

 

 

 

 

 

 

Martinique

R0570

 

 

 

 

 

 

 

Collectivity of Saint Martin

R0580

 

 

 

 

 

 

 

Réunion

R0590

 

 

 

 

 

 

 

Total Windstorm EEA Regions before diversification

R0600

 

 

 

 

 

 

 

Northern Europe

R0610

 

 

 

 

 

 

 

Western Europe

R0620

 

 

 

 

 

 

 

Eastern Europe

R0630

 

 

 

 

 

 

 

Southern Europe

R0640

 

 

 

 

 

 

 

Central and Western Asia

R0650

 

 

 

 

 

 

 

Eastern Asia

R0660

 

 

 

 

 

 

 

South and South-Eastern Asia

R0670

 

 

 

 

 

 

 

Oceania

R0680

 

 

 

 

 

 

 

Northern Africa

R0690

 

 

 

 

 

 

 

Southern Africa

R0700

 

 

 

 

 

 

 

Northern America excluding the United States of America

R0710

 

 

 

 

 

 

 

Natural Catastrophe risk — Windstorm

 

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0100

C0110

C0120

Republic of Austria

R0400

 

 

 

Kingdom of Belgium

R0410

 

 

 

Czech Republic

R0420

 

 

 

Swiss Confederation; Principality of Lichtenstein

R0430

 

 

 

Kingdom of Denmark

R0440

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R0450

 

 

 

Federal Republic of Germany

R0460

 

 

 

Republic of Iceland

R0470

 

 

 

Ireland

R0480

 

 

 

Grand Duchy of Luxemburg

R0490

 

 

 

Kingdom of the Netherlands

R0500

 

 

 

Kingdom of Norway

R0510

 

 

 

Republic of Poland

R0520

 

 

 

Kingdom of Spain

R0530

 

 

 

Kingdom of Sweden

R0540

 

 

 

United Kingdom of Great Britain and Northern Ireland

R0550

 

 

 

Guadeloupe

R0560

 

 

 

Martinique

R0570

 

 

 

Collectivity of Saint Martin

R0580

 

 

 

Réunion

R0590

 

 

 

Total Windstorm EEA Regions before diversification

R0600

 

 

 

Northern Europe

R0610

 

 

 

Western Europe

R0620

 

 

 

Eastern Europe

R0630

 

 

 

Southern Europe

R0640

 

 

 

Central and Western Asia

R0650

 

 

 

Eastern Asia

R0660

 

 

 

South and South-Eastern Asia

R0670

 

 

 

Oceania

R0680

 

 

 

Northern Africa

R0690

 

 

 

Southern Africa

R0700

 

 

 

Northern America excluding the United States of America

R0710

 

 

 

Natural Catastrophe risk — Windstorm

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Scenario A or B

Catastrophe Risk Charge before risk mitigation

(cont.)

 

 

C0040

C0050

C0060

C0070

C0080

C0090

 

Caribbean and Central America

R0720

 

 

 

 

 

 

 

Eastern South America

R0730

 

 

 

 

 

 

 

Northern, southern and western South America

R0740

 

 

 

 

 

 

 

North-east United States of America

R0750

 

 

 

 

 

 

 

South-east United States of America

R0760

 

 

 

 

 

 

 

Mid-west United States of America

R0770

 

 

 

 

 

 

 

Western United States of America

R0780

 

 

 

 

 

 

 

Total Windstorm Other Regions before diversifications

R0790

 

 

 

 

 

 

 

Total Windstorm all Regions before diversification

R0800

 

 

 

 

 

 

 

Diversification effect between regions

R0810

 

 

 

 

 

 

 

Total Windstorm after diversification

R0820

 

 

 

 

 

 

 

Natural Catastrophe risk — Windstorm

 

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0100

C0110

C0120

Caribbean and Central America

R0720

 

 

 

Eastern South America

R0730

 

 

 

Northern, southern and western South America

R0740

 

 

 

North-east United States of America

R0750

 

 

 

South-east United States of America

R0760

 

 

 

Mid-west United States of America

R0770

 

 

 

Western United States of America

R0780

 

 

 

Total Windstorm Other Regions before diversifications

R0790

 

 

 

Total Windstorm all Regions before diversification

R0800

 

 

 

Diversification effect between regions

R0810

 

 

 

Total Windstorm after diversification

R0820

 

 

 

Natural Catastrophe risk — Earthquake

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

(cont.)

 

 

C0130

C0140

C0150

C0160

C0170

C0180

 

Republic of Austria

R0830

 

 

 

 

 

 

 

Kingdom of Belgium

R0840

 

 

 

 

 

 

 

Republic of Bulgaria

R0850

 

 

 

 

 

 

 

Republic of Croatia

R0860

 

 

 

 

 

 

 

Republic of Cyprus

R0870

 

 

 

 

 

 

 

Czech Republic

R0880

 

 

 

 

 

 

 

Swiss Confederation; Principality of Lichtenstein

R0890

 

 

 

 

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R0900

 

 

 

 

 

 

 

Federal Republic of Germany

R0910

 

 

 

 

 

 

 

Hellenic Republic

R0920

 

 

 

 

 

 

 

Republic of Hungary

R0930

 

 

 

 

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R0940

 

 

 

 

 

 

 

Republic of Malta

R0950

 

 

 

 

 

 

 

Portuguese Republic

R0960

 

 

 

 

 

 

 

Romania

R0970

 

 

 

 

 

 

 

Slovak Republic

R0980

 

 

 

 

 

 

 

Republic of Slovenia

R0990

 

 

 

 

 

 

 

Guadeloupe

R1000

 

 

 

 

 

 

 

Martinique

R1010

 

 

 

 

 

 

 

Collectivity of Saint Martin

R1020

 

 

 

 

 

 

 

Total Earthquake EEA Regions before diversification

R1030

 

 

 

 

 

 

 

Northern Europe

R1040

 

 

 

 

 

 

 

Western Europe

R1050

 

 

 

 

 

 

 

Eastern Europe

R1060

 

 

 

 

 

 

 

Southern Europe

R1070

 

 

 

 

 

 

 

Central and Western Asia

R1080

 

 

 

 

 

 

 

Eastern Asia

R1090

 

 

 

 

 

 

 

South and South-Eastern Asia

R1100

 

 

 

 

 

 

 

Oceania

R1110

 

 

 

 

 

 

 

Northern Africa

R1120

 

 

 

 

 

 

 

Southern Africa

R1130

 

 

 

 

 

 

 

Northern America excluding the United States of America

R1140

 

 

 

 

 

 

 

Natural Catastrophe risk — Earthquake

 

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0190

C0200

Republic of Austria

R0830

 

 

Kingdom of Belgium

R0840

 

 

Republic of Bulgaria

R0850

 

 

Republic of Croatia

R0860

 

 

Republic of Cyprus

R0870

 

 

Czech Republic

R0880

 

 

Swiss Confederation; Principality of Lichtenstein

R0890

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R0900

 

 

Federal Republic of Germany

R0910

 

 

Hellenic Republic

R0920

 

 

Republic of Hungary

R0930

 

 

Italian Republic; Republic of San Marino; Vatican City State

R0940

 

 

Republic of Malta

R0950

 

 

Portuguese Republic

R0960

 

 

Romania

R0970

 

 

Slovak Republic

R0980

 

 

Republic of Slovenia

R0990

 

 

Guadeloupe

R1000

 

 

Martinique

R1010

 

 

Collectivity of Saint Martin

R1020

 

 

Total Earthquake EEA Regions before diversification

R1030

 

 

Northern Europe

R1040

 

 

Western Europe

R1050

 

 

Eastern Europe

R1060

 

 

Southern Europe

R1070

 

 

Central and Western Asia

R1080

 

 

Eastern Asia

R1090

 

 

South and South-Eastern Asia

R1100

 

 

Oceania

R1110

 

 

Northern Africa

R1120

 

 

Southern Africa

R1130

 

 

Northern America excluding the United States of America

R1140

 

 

Natural Catastrophe risk — Earthquake

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

(cont.)

 

 

C0130

C0140

C0150

C0160

C0170

C0180

 

Caribbean and Central America

R1150

 

 

 

 

 

 

 

Eastern South America

R1160

 

 

 

 

 

 

 

Northern, southern and western South America

R1170

 

 

 

 

 

 

 

North-east United States of America

R1180

 

 

 

 

 

 

 

South-east United States of America

R1190

 

 

 

 

 

 

 

Mid-west United States of America

R1200

 

 

 

 

 

 

 

Western United States of America

R1210

 

 

 

 

 

 

 

Total Earthquake Other Regions before diversifications

R1220

 

 

 

 

 

 

 

Total Earthquake all Regions before diversification

R1230

 

 

 

 

 

 

 

Diversification effect between regions

R1240

 

 

 

 

 

 

 

Total Earthquake after diversification

R1250

 

 

 

 

 

 

 

Natural Catastrophe risk — Earthquake

 

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0190

C0200

Caribbean and Central America

R1150

 

 

Eastern South America

R1160

 

 

Northern, southern and western South America

R1170

 

 

North-east United States of America

R1180

 

 

South-east United States of America

R1190

 

 

Mid-west United States of America

R1200

 

 

Western United States of America

R1210

 

 

Total Earthquake Other Regions before diversifications

R1220

 

 

Total Earthquake all Regions before diversification

R1230

 

 

Diversification effect between regions

R1240

 

 

Total Earthquake after diversification

R1250

 

 

Natural Catastrophe risk — Flood

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Scenario A or B

Catastrophe Risk Charge before risk mitigation

(cont.)

 

 

C0210

C0220

C0230

C0240

C0250

C0260

 

Republic of Austria

R1260

 

 

 

 

 

 

 

Kingdom of Belgium

R1270

 

 

 

 

 

 

 

Republic of Bulgaria

R1280

 

 

 

 

 

 

 

Czech Republic

R1290

 

 

 

 

 

 

 

Swiss Confederation; Principality of Lichtenstein

R1300

 

 

 

 

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R1310

 

 

 

 

 

 

 

Federal Republic of Germany

R1320

 

 

 

 

 

 

 

Republic of Hungary

R1330

 

 

 

 

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R1340

 

 

 

 

 

 

 

Republic of Poland

R1350

 

 

 

 

 

 

 

Romania

R1360

 

 

 

 

 

 

 

Slovak Republic

R1370

 

 

 

 

 

 

 

Republic of Slovenia

R1380

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R1390

 

 

 

 

 

 

 

Total Flood EEA Regions before diversification

R1400

 

 

 

 

 

 

 

Northern Europe

R1410

 

 

 

 

 

 

 

Western Europe

R1420

 

 

 

 

 

 

 

Eastern Europe

R1430

 

 

 

 

 

 

 

Southern Europe

R1440

 

 

 

 

 

 

 

Central and Western Asia

R1450

 

 

 

 

 

 

 

Eastern Asia

R1460

 

 

 

 

 

 

 

South and South-Eastern Asia

R1470

 

 

 

 

 

 

 

Oceania

R1480

 

 

 

 

 

 

 

Northern Africa

R1490

 

 

 

 

 

 

 

Southern Africa

R1500

 

 

 

 

 

 

 

Northern America excluding the United States of America

R1510

 

 

 

 

 

 

 

Caribbean and Central America

R1520

 

 

 

 

 

 

 

Eastern South America

R1530

 

 

 

 

 

 

 

Northern, southern and western South America

R1540

 

 

 

 

 

 

 

North-east United States of America

R1550

 

 

 

 

 

 

 

South-east United States of America

R1560

 

 

 

 

 

 

 

Mid-west United States of America

R1570

 

 

 

 

 

 

 

Natural Catastrophe risk — Flood

 

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0270

C0280

C0290

Republic of Austria

R1260

 

 

 

Kingdom of Belgium

R1270

 

 

 

Republic of Bulgaria

R1280

 

 

 

Czech Republic

R1290

 

 

 

Swiss Confederation; Principality of Lichtenstein

R1300

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R1310

 

 

 

Federal Republic of Germany

R1320

 

 

 

Republic of Hungary

R1330

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R1340

 

 

 

Republic of Poland

R1350

 

 

 

Romania

R1360

 

 

 

Slovak Republic

R1370

 

 

 

Republic of Slovenia

R1380

 

 

 

United Kingdom of Great Britain and Northern Ireland

R1390

 

 

 

Total Flood EEA Regions before diversification

R1400

 

 

 

Northern Europe

R1410

 

 

 

Western Europe

R1420

 

 

 

Eastern Europe

R1430

 

 

 

Southern Europe

R1440

 

 

 

Central and Western Asia

R1450

 

 

 

Eastern Asia

R1460

 

 

 

South and South-Eastern Asia

R1470

 

 

 

Oceania

R1480

 

 

 

Northern Africa

R1490

 

 

 

Southern Africa

R1500

 

 

 

Northern America excluding the United States of America

R1510

 

 

 

Caribbean and Central America

R1520

 

 

 

Eastern South America

R1530

 

 

 

Northern, southern and western South America

R1540

 

 

 

North-east United States of America

R1550

 

 

 

South-east United States of America

R1560

 

 

 

Mid-west United States of America

R1570

 

 

 

Natural Catastrophe risk — Flood

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Scenario A or B

Catastrophe Risk Charge before risk mitigation

(cont.)

 

 

C0210

C0220

C0230

C0240

C0250

C0260

 

Western United States of America

R1580

 

 

 

 

 

 

 

Total Flood Other Regions before diversifications

R1590

 

 

 

 

 

 

 

Total Flood all Regions before diversification

R1600

 

 

 

 

 

 

 

Diversification effect between regions

R1610

 

 

 

 

 

 

 

Total Flood after diversification

R1620

 

 

 

 

 

 

 

Natural Catastrophe risk — Flood

 

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0270

C0280

C0290

Western United States of America

R1580

 

 

 

Total Flood Other Regions before diversifications

R1590

 

 

 

Total Flood all Regions before diversification

R1600

 

 

 

Diversification effect between regions

R1610

 

 

 

Total Flood after diversification

R1620

 

 

 

Natural Catastrophe risk — Hail

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Scenario A or B

Catastrophe Risk Charge before risk mitigation

(cont.)

 

 

C0300

C0310

C0320

C0330

C0340

C0350

 

Republic of Austria

R1630

 

 

 

 

 

 

 

Kingdom of Belgium

R1640

 

 

 

 

 

 

 

Swiss Confederation; Principality of Lichtenstein

R1650

 

 

 

 

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R1660

 

 

 

 

 

 

 

Federal Republic of Germany

R1670

 

 

 

 

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R1680

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R1690

 

 

 

 

 

 

 

Kingdom of the Netherlands

R1700

 

 

 

 

 

 

 

Kingdom of Spain

R1710

 

 

 

 

 

 

 

Total Hail EEA Regions before diversification

R1720

 

 

 

 

 

 

 

Northern Europe

R1730

 

 

 

 

 

 

 

Western Europe

R1740

 

 

 

 

 

 

 

Eastern Europe

R1750

 

 

 

 

 

 

 

Southern Europe

R1760

 

 

 

 

 

 

 

Central and Western Asia

R1770

 

 

 

 

 

 

 

Eastern Asia

R1780

 

 

 

 

 

 

 

South and South-Eastern Asia

R1790

 

 

 

 

 

 

 

Oceania

R1800

 

 

 

 

 

 

 

Northern Africa

R1810

 

 

 

 

 

 

 

Southern Africa

R1820

 

 

 

 

 

 

 

Northern America excluding the United States of America

R1830

 

 

 

 

 

 

 

Caribbean and Central America

R1840

 

 

 

 

 

 

 

Eastern South America

R1850

 

 

 

 

 

 

 

Northern, southern and western South America

R1860

 

 

 

 

 

 

 

North-east United States of America

R1870

 

 

 

 

 

 

 

South-east United States of America

R1880

 

 

 

 

 

 

 

Mid-west United States of America

R1890

 

 

 

 

 

 

 

Western United States of America

R1900

 

 

 

 

 

 

 

Total Hail Other Regions before diversifications

R1910

 

 

 

 

 

 

 

Total Hail all Regions before diversification

R1920

 

 

 

 

 

 

 

Diversification effect between regions

R1930

 

 

 

 

 

 

 

Total Hail after diversification

R1940

 

 

 

 

 

 

 

Natural Catastrophe risk — Hail

 

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0360

C0370

C0380

Republic of Austria

R1630

 

 

 

Kingdom of Belgium

R1640

 

 

 

Swiss Confederation; Principality of Lichtenstein

R1650

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R1660

 

 

 

Federal Republic of Germany

R1670

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R1680

 

 

 

Grand Duchy of Luxemburg

R1690

 

 

 

Kingdom of the Netherlands

R1700

 

 

 

Kingdom of Spain

R1710

 

 

 

Total Hail EEA Regions before diversification

R1720

 

 

 

Northern Europe

R1730

 

 

 

Western Europe

R1740

 

 

 

Eastern Europe

R1750

 

 

 

Southern Europe

R1760

 

 

 

Central and Western Asia

R1770

 

 

 

Eastern Asia

R1780

 

 

 

South and South-Eastern Asia

R1790

 

 

 

Oceania

R1800

 

 

 

Northern Africa

R1810

 

 

 

Southern Africa

R1820

 

 

 

Northern America excluding the United States of America

R1830

 

 

 

Caribbean and Central America

R1840

 

 

 

Eastern South America

R1850

 

 

 

Northern, southern and western South America

R1860

 

 

 

North-east United States of America

R1870

 

 

 

South-east United States of America

R1880

 

 

 

Mid-west United States of America

R1890

 

 

 

Western United States of America

R1900

 

 

 

Total Hail Other Regions before diversifications

R1910

 

 

 

Total Hail all Regions before diversification

R1920

 

 

 

Diversification effect between regions

R1930

 

 

 

Total Hail after diversification

R1940

 

 

 

Natural Catastrophe risk -Subsidence

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

 

 

C0390

C0400

C0410

C0420

C0430

C0440

Total Subsidence before diversification

R1950

 

 

 

 

 

 

Diversification effect between zones

R1960

 

 

 

 

 

 

Total Subsidence after diversification

R1970

 

 

 

 

 

 

Natural Catastrophe risk -Subsidence

 

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0450

C0460

Total Subsidence before diversification

R1950

 

 

Diversification effect between zones

R1960

 

 

Total Subsidence after diversification

R1970

 

 

Catastrophe risk — Non-proportional property reinsurance

 

Estimation of the premiums to be earned

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0470

C0480

C0490

C0500

C0510

Non-proportional property reinsurance

R2000

 

 

 

 

 

Man made catastrophe risk — Motor Vehicle Liability

 

Number of vehicles policy limit above 24M€

Number of vehicles policy limit below or equal to 24M€

Catastrophe Risk Charge Motor Vehicle Liability before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Motor Vehicle Liability after risk mitigation

 

 

C0520

C0530

C0540

C0550

C0560

C0570

Motor Vehicle Liability

R2100

 

 

 

 

 

 

Man made catastrophe risk — Marine Tanker Collision

 

Catastrophe Risk Charge Share marine hull in tanker t before risk mitigation

Catastrophe Risk Charge Share marine liability in tanker t before risk mitigation

Catastrophe Risk Charge Share marine oil pollution liability in tanker t before risk mitigation

Catastrophe Risk Charge Marine Tanker Collision before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

(cont.)

 

 

C0580

C0590

C0600

C0610

C0620

C0630

 

Marine Tanker Collision

R2200

 

 

 

 

 

 

 

Man made catastrophe risk — Marine Tanker Collision

 

Catastrophe Risk Charge Marine Tanker Collision after risk mitigation

Name vessel

 

 

C0640

C0650

Marine Tanker Collision

R2200

 

 

Man made catastrophe risk — Marine Platform Explosion

 

Catastrophe Risk Charge Property damage before risk mitigation

Catastrophe Risk Charge Removal of wreckage before risk mitigation

Catastrophe Risk Charge Loss of production income before risk mitigation

Catastrophe Risk Charge Capping of the well or making the well secure before risk mitigation

Catastrophe Risk Charge Liability insurance and reinsurance obligations before risk mitigation

Catastrophe Risk Charge Marine Platform Explosion before risk mitigation

(cont.)

 

 

C0660

C0670

C0680

C0690

C0700

C0710

 

Marine Platform Explosion

R2300

 

 

 

 

 

 

 

Man made catastrophe risk — Marine Platform Explosion

 

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Marine Platform Explosion after risk mitigation

Name platform

 

 

C0720

C0730

C0740

C0750

Marine Platform Explosion

R2300

 

 

 

 

Man made catastrophe risk — Marine

 

Catastrophe Risk Charge Marine before risk mitigation

Estimated Total Risk Mitigation

Catastrophe Risk Charge Marine after risk mitigation

 

 

C0760

C0770

C0780

Total before diversification

R2400

 

 

 

Diversification between type of event

R2410

 

 

 

Total after diversification

R2420

 

 

 

Man made catastrophe risk — Aviation

 

Catastrophe risk Charge Aviation hull before risk mitigation

Catastrophe risk Charge Aviation liability before risk mitigation

Catastrophe Risk Charge Aviation before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Aviation after risk mitigation

 

 

C0790

C0800

C0810

C0820

C0830

C0840

Gross Catastrophe Risk Charge Aviation

R2500

 

 

 

 

 

 

Man made catastrophe risk — Fire

 

Catastrophe Risk Charge Fire before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Fire after risk mitigation

 

 

C0850

C0860

C0870

C0880

Fire

R2600

 

 

 

 

Man made catastrophe risk — Liability

 

Earned premium following 12 months

Largest liability limit provided

Number of claims

Catastrophe Risk Charge Liability before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Liability after risk mitigation

 

 

C0890

C0900

C0910

C0920

C0930

C0940

C0950

Professional malpractice liability

R2700

 

 

 

 

 

 

 

Employers liability

R2710

 

 

 

 

 

 

 

Directors and officers liability

R2720

 

 

 

 

 

 

 

Other liability

R2730

 

 

 

 

 

 

 

Non-proportional reinsurance

R2740

 

 

 

 

 

 

 

Total

R2750

 

 

 

 

 

 

 

Man made catastrophe risk — Liability

 

Catastrophe Risk Charge Liability before risk mitigation

Estimated Total Risk Mitigation

Catastrophe Risk Charge Liability after risk mitigation

 

 

C0960

C0970

C0980

Total before diversification

R2800

 

 

 

Diversification between type of cover

R2810

 

 

 

Total after diversification

R2820

 

 

 

Man made catastrophe risk — Credit & Suretyship — Large Credit Default

 

Exposure (individual or group)

Proportion of damage caused by scenario

Catastrophe Risk Charge Credit & Surety before risk mitigation — Large Credit Default

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Credit & Surety after risk mitigation — Large Credit Default

 

 

C0990

C1000

C1010

C1020

C1030

C1040

Largest exposure 1

R2900

 

 

 

 

 

 

Largest exposure 2

R2910

 

 

 

 

 

 

Total

R2920

 

 

 

 

 

 

Man made catastrophe risk — Credit & Suretyship — Recession Risk

 

Earned premium following 12 months

Catastrophe Risk Charge Credit & Suretyship before risk mitigation — Recession Risk

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Credit & Suretyship after risk mitigation — Recession Risk

 

 

C1050

C1060

C1070

C1080

C1090

Total

R3000

 

 

 

 

 

Man made catastrophe risk — Credit & Suretyship

 

Catastrophe Risk Charge Credit & Suretyship before risk mitigation

Estimated Total Risk Mitigation

Catastrophe Risk Charge Credit & Suretyship after risk mitigation

 

 

C1100

C1110

C1120

Total before diversification

R3100

 

 

 

Diversification between type of event

R3110

 

 

 

Total after diversification

R3120

 

 

 

Other non-life catastrophe risk

 

Estimation of the gross premiums to be earned

Catastrophe Risk Charge Other non-life catastrophe risk before risk mitigation

Estimated Total Risk Mitigation

Catastrophe Risk Charge Other non-life catastrophe risk after risk mitigation

 

 

C1130

C1140

C1150

C1160

MAT other than Marine and Aviation

R3200

 

 

 

 

Non-proportional MAT reinsurance other than Marine and Aviation

R3210

 

 

 

 

Miscellaneous financial loss

R3220

 

 

 

 

Non-proportional Casualty reinsurance other than General liability

R3230

 

 

 

 

Non-proportional Credit & Surety reinsurance

R3240

 

 

 

 

Total before diversification

R3250

 

 

 

 

Diversification between groups of obligations

R3260

 

 

 

 

Total after diversification

R3270

 

 

 

 

 

 

Accidental death

Permanent disability

Disability 10 years

 

Health Catastrophe risk — Mass accident

 

# Policyholders

Total value of benefits payable

# Policyholders

Total value of benefits payable

# Policyholders

Total value of benefits payable

(cont.)

 

 

C1170

C1180

C1190

C1200

C1210

C1220

 

Republic of Austria

R3300

 

 

 

 

 

 

 

Kingdom of Belgium

R3310

 

 

 

 

 

 

 

Republic of Bulgaria

R3320

 

 

 

 

 

 

 

Republic of Croatia

R3330

 

 

 

 

 

 

 

Republic of Cyprus

R3340

 

 

 

 

 

 

 

Czech Republic

R3350

 

 

 

 

 

 

 

Kingdom of Denmark

R3360

 

 

 

 

 

 

 

Republic of Estonia

R3370

 

 

 

 

 

 

 

Republic of Finland

R3380

 

 

 

 

 

 

 

French Republic; Principality of Monaco; Principality of Andorra

R3390

 

 

 

 

 

 

 

Hellenic Republic

R3400

 

 

 

 

 

 

 

Federal Republic of Germany

R3410

 

 

 

 

 

 

 

Republic of Hungary

R3420

 

 

 

 

 

 

 

Republic of Iceland

R3430

 

 

 

 

 

 

 

Ireland

R3440

 

 

 

 

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R3450

 

 

 

 

 

 

 

Republic of Latvia

R3460

 

 

 

 

 

 

 

Republic of Lithuania

R3470

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R3480

 

 

 

 

 

 

 

Republic of Malta

R3490

 

 

 

 

 

 

 

Kingdom of the Netherlands

R3500

 

 

 

 

 

 

 

Kingdom of Norway

R3510

 

 

 

 

 

 

 

Republic of Poland

R3520

 

 

 

 

 

 

 

Portuguese Republic

R3530

 

 

 

 

 

 

 

Romania

R3540

 

 

 

 

 

 

 

Slovak Republic

R3550

 

 

 

 

 

 

 

Republic of Slovenia

R3560

 

 

 

 

 

 

 

Kingdom of Spain

R3570

 

 

 

 

 

 

 

Kingdom of Sweden

R3580

 

 

 

 

 

 

 

Swiss Confederation

R3590

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R3600

 

 

 

 

 

 

 

Total Mass accident all countries before diversification

R3610

 

 

 

 

 

 

 

Diversification effect between countries

R3620

 

 

 

 

 

 

 

Total Mass accident all countries after diversification

R3630

 

 

 

 

 

 

 

 

 

Disability 12 months

Medical treatment

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

 

Health Catastrophe risk — Mass accident

 

# Policyholders

Total value of benefits payable

# Policyholders

Total value of benefits payable

(cont.)

 

 

C1230

C1240

C1250

C1260

C1270

C1280

 

Republic of Austria

R3300

 

 

 

 

 

 

 

Kingdom of Belgium

R3310

 

 

 

 

 

 

 

Republic of Bulgaria

R3320

 

 

 

 

 

 

 

Republic of Croatia

R3330

 

 

 

 

 

 

 

Republic of Cyprus

R3340

 

 

 

 

 

 

 

Czech Republic

R3350

 

 

 

 

 

 

 

Kingdom of Denmark

R3360

 

 

 

 

 

 

 

Republic of Estonia

R3370

 

 

 

 

 

 

 

Republic of Finland

R3380

 

 

 

 

 

 

 

French Republic; Principality of Monaco; Principality of Andorra

R3390

 

 

 

 

 

 

 

Hellenic Republic

R3400

 

 

 

 

 

 

 

Federal Republic of Germany

R3410

 

 

 

 

 

 

 

Republic of Hungary

R3420

 

 

 

 

 

 

 

Republic of Iceland

R3430

 

 

 

 

 

 

 

Ireland

R3440

 

 

 

 

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R3450

 

 

 

 

 

 

 

Republic of Latvia

R3460

 

 

 

 

 

 

 

Republic of Lithuania

R3470

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R3480

 

 

 

 

 

 

 

Republic of Malta

R3490

 

 

 

 

 

 

 

Kingdom of the Netherlands

R3500

 

 

 

 

 

 

 

Kingdom of Norway

R3510

 

 

 

 

 

 

 

Republic of Poland

R3520

 

 

 

 

 

 

 

Portuguese Republic

R3530

 

 

 

 

 

 

 

Romania

R3540

 

 

 

 

 

 

 

Slovak Republic

R3550

 

 

 

 

 

 

 

Republic of Slovenia

R3560

 

 

 

 

 

 

 

Kingdom of Spain

R3570

 

 

 

 

 

 

 

Kingdom of Sweden

R3580

 

 

 

 

 

 

 

Swiss Confederation

R3590

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R3600

 

 

 

 

 

 

 

Total Mass accident all countries before diversification

R3610

 

 

 

 

 

 

 

Diversification effect between countries

R3620

 

 

 

 

 

 

 

Total Mass accident all countries after diversification

R3630

 

 

 

 

 

 

 

Health Catastrophe risk — Mass accident

 

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C1290

C1300

Republic of Austria

R3300

 

 

Kingdom of Belgium

R3310

 

 

Republic of Bulgaria

R3320

 

 

Republic of Croatia

R3330

 

 

Republic of Cyprus

R3340

 

 

Czech Republic

R3350

 

 

Kingdom of Denmark

R3360

 

 

Republic of Estonia

R3370

 

 

Republic of Finland

R3380

 

 

French Republic; Principality of Monaco; Principality of Andorra

R3390

 

 

Hellenic Republic

R3400

 

 

Federal Republic of Germany

R3410

 

 

Republic of Hungary

R3420

 

 

Republic of Iceland

R3430

 

 

Ireland

R3440

 

 

Italian Republic; Republic of San Marino; Vatican City State

R3450

 

 

Republic of Latvia

R3460

 

 

Republic of Lithuania

R3470

 

 

Grand Duchy of Luxemburg

R3480

 

 

Republic of Malta

R3490

 

 

Kingdom of the Netherlands

R3500

 

 

Kingdom of Norway

R3510

 

 

Republic of Poland

R3520

 

 

Portuguese Republic

R3530

 

 

Romania

R3540

 

 

Slovak Republic

R3550

 

 

Republic of Slovenia

R3560

 

 

Kingdom of Spain

R3570

 

 

Kingdom of Sweden

R3580

 

 

Swiss Confederation

R3590

 

 

United Kingdom of Great Britain and Northern Ireland

R3600

 

 

Total Mass accident all countries before diversification

R3610

 

 

Diversification effect between countries

R3620

 

 

Total Mass accident all countries after diversification

R3630

 

 

Health Catastrophe risk — Concentration accident

 

Largest known accident risk concentration

Accidental death

Permanent disability

Disability 10 years

Disability 12 months

Medical treatment

 

 

Average sum insured

Average sum insured

Average sum insured

Average sum insured

Average sum insured

(cont.)

 

 

C1310

C1320

C1330

C1340

C1350

C1360

 

Republic of Austria

R3700

 

 

 

 

 

 

 

Kingdom of Belgium

R3710

 

 

 

 

 

 

 

Republic of Bulgaria

R3720

 

 

 

 

 

 

 

Republic of Croatia

R3730

 

 

 

 

 

 

 

Republic of Cyprus

R3740

 

 

 

 

 

 

 

Czech Republic

R3750

 

 

 

 

 

 

 

Kingdom of Denmark

R3760

 

 

 

 

 

 

 

Republic of Estonia

R3770

 

 

 

 

 

 

 

Republic of Finland

R3780

 

 

 

 

 

 

 

French Republic

R3790

 

 

 

 

 

 

 

Hellenic Republic

R3800

 

 

 

 

 

 

 

Federal Republic of Germany

R3810

 

 

 

 

 

 

 

Republic of Hungary

R3820

 

 

 

 

 

 

 

Republic of Iceland

R3830

 

 

 

 

 

 

 

Ireland

R3840

 

 

 

 

 

 

 

Italian Republic

R3850

 

 

 

 

 

 

 

Republic of Latvia

R3860

 

 

 

 

 

 

 

Republic of Lithuania

R3870

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R3880

 

 

 

 

 

 

 

Republic of Malta

R3890

 

 

 

 

 

 

 

Kingdom of the Netherlands

R3900

 

 

 

 

 

 

 

Kingdom of Norway

R3910

 

 

 

 

 

 

 

Republic of Poland

R3920

 

 

 

 

 

 

 

Portuguese Republic

R3930

 

 

 

 

 

 

 

Romania

R3940

 

 

 

 

 

 

 

Slovak Republic

R3950

 

 

 

 

 

 

 

Republic of Slovenia

R3960

 

 

 

 

 

 

 

Kingdom of Spain

R3970

 

 

 

 

 

 

 

Kingdom of Sweden

R3980

 

 

 

 

 

 

 

Swiss Confederation

R3990

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R4000

 

 

 

 

 

 

 

Health Catastrophe risk — Concentration accident

 

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C1370

C1380

C1390

C1400

Republic of Austria

R3700

 

 

 

 

Kingdom of Belgium

R3710

 

 

 

 

Republic of Bulgaria

R3720

 

 

 

 

Republic of Croatia

R3730

 

 

 

 

Republic of Cyprus

R3740

 

 

 

 

Czech Republic

R3750

 

 

 

 

Kingdom of Denmark

R3760

 

 

 

 

Republic of Estonia

R3770

 

 

 

 

Republic of Finland

R3780

 

 

 

 

French Republic

R3790

 

 

 

 

Hellenic Republic

R3800

 

 

 

 

Federal Republic of Germany

R3810

 

 

 

 

Republic of Hungary

R3820

 

 

 

 

Republic of Iceland

R3830

 

 

 

 

Ireland

R3840

 

 

 

 

Italian Republic

R3850

 

 

 

 

Republic of Latvia

R3860

 

 

 

 

Republic of Lithuania

R3870

 

 

 

 

Grand Duchy of Luxemburg

R3880

 

 

 

 

Republic of Malta

R3890

 

 

 

 

Kingdom of the Netherlands

R3900

 

 

 

 

Kingdom of Norway

R3910

 

 

 

 

Republic of Poland

R3920

 

 

 

 

Portuguese Republic

R3930

 

 

 

 

Romania

R3940

 

 

 

 

Slovak Republic

R3950

 

 

 

 

Republic of Slovenia

R3960

 

 

 

 

Kingdom of Spain

R3970

 

 

 

 

Kingdom of Sweden

R3980

 

 

 

 

Swiss Confederation

R3990

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R4000

 

 

 

 

Health Catastrophe risk — Concentration accident

 

Largest known accident risk concentration

Accidental death

Permanent disability

Disability 10 years

Disability 12 months

Medical treatment

 

 

Average sum insured

Average sum insured

Average sum insured

Average sum insured

Average sum insured

(cont.)

 

 

C1310

C1320

C1330

C1340

C1350

C1360

 

Other countries to be considered in the Concentration accident

 

 

 

 

 

 

 

 

C1410

 

 

 

 

 

 

 

 

Country 1

R4010

 

 

 

 

 

 

 

…

 

 

 

 

 

 

 

 

Health Catastrophe risk — Concentration accident

 

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C1370

C1380

C1390

C1400

Other countries to be considered in the Concentration accident

 

 

 

 

 

C1410

 

 

 

 

 

Country 1

R4010

 

 

 

 

…

 

 

 

 

 

Health Catastrophe risk — Concentration accident

 

Largest known accident risk concentration

Accidental death

Permanent disability

Disability 10 years

Disability 12 months

Medical treatment

 

 

Average sum insured

Average sum insured

Average sum insured

Average sum insured

Average sum insured

(cont.)

 

 

C1310

C1320

C1330

C1340

C1350

C1360

 

Total Concentration accident all countries before diversification

R4020

 

 

 

 

 

 

 

Diversification effect between countries

R4030

 

 

 

 

 

 

 

Total Concentration accident all countries after diversification

R4040

 

 

 

 

 

 

 

Health Catastrophe risk — Concentration accident

 

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C1370

C1380

C1390

C1400

Total Concentration accident all countries before diversification

R4020

 

 

 

 

Diversification effect between countries

R4030

 

 

 

 

Total Concentration accident all countries after diversification

R4040

 

 

 

 

Health Catastrophe risk — Pandemic

 

Income protection

Medical expense

 

Number of insured people

Total pandemic exposure

Number of insured persons

Unit claim cost hospitalisation

Ratio of insured persons using hospitalisation

Unit claim cost medical practitioner

(cont.)

 

 

C1420

C1430

C1440

C1450

C1460

C1470

 

Republic of Austria

R4100

 

 

 

 

 

 

 

Kingdom of Belgium

R4110

 

 

 

 

 

 

 

Republic of Bulgaria

R4120

 

 

 

 

 

 

 

Republic of Croatia

R4130

 

 

 

 

 

 

 

Republic of Cyprus

R4140

 

 

 

 

 

 

 

Czech Republic

R4150

 

 

 

 

 

 

 

Kingdom of Denmark

R4160

 

 

 

 

 

 

 

Republic of Estonia

R4170

 

 

 

 

 

 

 

Republic of Finland

R4180

 

 

 

 

 

 

 

French Republic

R4190

 

 

 

 

 

 

 

Hellenic Republic

R4200

 

 

 

 

 

 

 

Federal Republic of Germany

R4210

 

 

 

 

 

 

 

Republic of Hungary

R4220

 

 

 

 

 

 

 

Republic of Iceland

R4230

 

 

 

 

 

 

 

Ireland

R4240

 

 

 

 

 

 

 

Italian Republic

R4250

 

 

 

 

 

 

 

Republic of Latvia

R4260

 

 

 

 

 

 

 

Republic of Lithuania

R4270

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R4280

 

 

 

 

 

 

 

Republic of Malta

R4290

 

 

 

 

 

 

 

Kingdom of the Netherlands

R4300

 

 

 

 

 

 

 

Kingdom of Norway

R4310

 

 

 

 

 

 

 

Republic of Poland

R4320

 

 

 

 

 

 

 

Portuguese Republic

R4330

 

 

 

 

 

 

 

Romania

R4340

 

 

 

 

 

 

 

Slovak Republic

R4350

 

 

 

 

 

 

 

Republic of Slovenia

R4360

 

 

 

 

 

 

 

Kingdom of Spain

R4370

 

 

 

 

 

 

 

Kingdom of Sweden

R4380

 

 

 

 

 

 

 

Swiss Confederation

R4390

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R4400

 

 

 

 

 

 

 

Health Catastrophe risk — Pandemic

 

Medical expense

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

Ratio of insured persons using medical practitioner

Unit claim cost no formal medical care

Ratio of insured persons using no formal medical care

 

 

C1480

C1490

C1500

C1510

C1520

C1530

C1540

Republic of Austria

R4100

 

 

 

 

 

 

 

Kingdom of Belgium

R4110

 

 

 

 

 

 

 

Republic of Bulgaria

R4120

 

 

 

 

 

 

 

Republic of Croatia

R4130

 

 

 

 

 

 

 

Republic of Cyprus

R4140

 

 

 

 

 

 

 

Czech Republic

R4150

 

 

 

 

 

 

 

Kingdom of Denmark

R4160

 

 

 

 

 

 

 

Republic of Estonia

R4170

 

 

 

 

 

 

 

Republic of Finland

R4180

 

 

 

 

 

 

 

French Republic

R4190

 

 

 

 

 

 

 

Hellenic Republic

R4200

 

 

 

 

 

 

 

Federal Republic of Germany

R4210

 

 

 

 

 

 

 

Republic of Hungary

R4220

 

 

 

 

 

 

 

Republic of Iceland

R4230

 

 

 

 

 

 

 

Ireland

R4240

 

 

 

 

 

 

 

Italian Republic

R4250

 

 

 

 

 

 

 

Republic of Latvia

R4260

 

 

 

 

 

 

 

Republic of Lithuania

R4270

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R4280

 

 

 

 

 

 

 

Republic of Malta

R4290

 

 

 

 

 

 

 

Kingdom of the Netherlands

R4300

 

 

 

 

 

 

 

Kingdom of Norway

R4310

 

 

 

 

 

 

 

Republic of Poland

R4320

 

 

 

 

 

 

 

Portuguese Republic

R4330

 

 

 

 

 

 

 

Romania

R4340

 

 

 

 

 

 

 

Slovak Republic

R4350

 

 

 

 

 

 

 

Republic of Slovenia

R4360

 

 

 

 

 

 

 

Kingdom of Spain

R4370

 

 

 

 

 

 

 

Kingdom of Sweden

R4380

 

 

 

 

 

 

 

Swiss Confederation

R4390

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R4400

 

 

 

 

 

 

 

 

 

Income protection

Medical expense

 

Health Catastrophe risk — Pandemic

 

Number of insured people

Total pandemic exposure

Number of insured persons

Unit claim cost hospitalisation

Ratio of insured persons using hospitalisation

Unit claim cost medical practitioner

(cont.)

 

 

C1420

C1430

C1440

C1450

C1460

C1470

 

Other countries to be considered in the Pandemic

 

 

 

 

 

 

 

 

C1550

 

 

 

 

 

 

 

 

Country 1

R4410

 

 

 

 

 

 

 

…

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Pandemic all countries

R4420

 

 

 

 

 

 

 

 

 

Medical expense

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

Health Catastrophe risk — Pandemic

 

Ratio of insured persons using medical practitioner

Unit claim cost no formal medical care

Ratio of insured persons using no formal medical care

 

 

C1480

C1490

C1500

C1510

C1520

C1530

C1540

Other countries to be considered in the Pandemic

 

 

 

 

 

 

 

 

C1550

 

 

 

 

 

 

 

 

Country 1

R4410

 

 

 

 

 

 

 

…

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Pandemic all countries

R4420

 

 

 

 

 

 

 
S.27.01.04
Solvency Capital Requirement — Non-life and Health catastrophe risk

Non-life and Health catastrophe risk — Summary

 

SCR before risk mitigation

Total risk mitigation

SCR after risk mitigation

 

 

C0010

C0020

C0030

Non-life catastrophe risk — Summary

 

 

 

 

Natural catastrophe risk

R0010

 

 

 

Windstorm

R0020

 

 

 

Earthquake

R0030

 

 

 

Flood

R0040

 

 

 

Hail

R0050

 

 

 

Subsidence

R0060

 

 

 

Diversification between perils

R0070

 

 

 

Catastrophe risk non-proportional property reinsurance

R0080

 

 

 

Man-made catastrophe risk

R0090

 

 

 

Motor vehicle liability

R0100

 

 

 

Marine

R0110

 

 

 

Aviation

R0120

 

 

 

Fire

R0130

 

 

 

Liability

R0140

 

 

 

Credit & Suretyship

R0150

 

 

 

Diversification between perils

R0160

 

 

 

Other non-life catastrophe risk

R0170

 

 

 

Diversification between perils

R0180

 

 

 

Total Non-life catastrophe risk before diversification

R0190

 

 

 

Diversification between sub-modules

R0200

 

 

 

Total Non-life catastrophe risk after diversification

R0210

 

 

 

Health catastrophe risk — Summary

 

 

 

 

Health catastrophe risk

R0300

 

 

 

Mass accident

R0310

 

 

 

Accident concentration

R0320

 

 

 

Pandemic

R0330

 

 

 

Diversification between sub-modules

R0340

 

 

 

Natural Catastrophe risk — Windstorm

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Scenario A or B

Catastrophe Risk Charge before risk mitigation

(cont.)

 

 

C0040

C0050

C0060

C0070

C0080

C0090

 

Republic of Austria

R0400

 

 

 

 

 

 

 

Kingdom of Belgium

R0410

 

 

 

 

 

 

 

Czech Republic

R0420

 

 

 

 

 

 

 

Swiss Confederation; Principality of Lichtenstein

R0430

 

 

 

 

 

 

 

Kingdom of Denmark

R0440

 

 

 

 

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R0450

 

 

 

 

 

 

 

Federal Republic of Germany

R0460

 

 

 

 

 

 

 

Republic of Iceland

R0470

 

 

 

 

 

 

 

Ireland

R0480

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R0490

 

 

 

 

 

 

 

Kingdom of the Netherlands

R0500

 

 

 

 

 

 

 

Kingdom of Norway

R0510

 

 

 

 

 

 

 

Republic of Poland

R0520

 

 

 

 

 

 

 

Kingdom of Spain

R0530

 

 

 

 

 

 

 

Kingdom of Sweden

R0540

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R0550

 

 

 

 

 

 

 

Guadeloupe

R0560

 

 

 

 

 

 

 

Martinique

R0570

 

 

 

 

 

 

 

Collectivity of Saint Martin

R0580

 

 

 

 

 

 

 

Réunion

R0590

 

 

 

 

 

 

 

Total Windstorm EEA Regions before diversification

R0600

 

 

 

 

 

 

 

Northern Europe

R0610

 

 

 

 

 

 

 

Western Europe

R0620

 

 

 

 

 

 

 

Eastern Europe

R0630

 

 

 

 

 

 

 

Southern Europe

R0640

 

 

 

 

 

 

 

Central and Western Asia

R0650

 

 

 

 

 

 

 

Eastern Asia

R0660

 

 

 

 

 

 

 

South and South-Eastern Asia

R0670

 

 

 

 

 

 

 

Oceania

R0680

 

 

 

 

 

 

 

Northern Africa

R0690

 

 

 

 

 

 

 

Southern Africa

R0700

 

 

 

 

 

 

 

Northern America excluding the United States of America

R0710

 

 

 

 

 

 

 

Natural Catastrophe risk — Windstorm

 

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0100

C0110

C0120

Republic of Austria

R0400

 

 

 

Kingdom of Belgium

R0410

 

 

 

Czech Republic

R0420

 

 

 

Swiss Confederation; Principality of Lichtenstein

R0430

 

 

 

Kingdom of Denmark

R0440

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R0450

 

 

 

Federal Republic of Germany

R0460

 

 

 

Republic of Iceland

R0470

 

 

 

Ireland

R0480

 

 

 

Grand Duchy of Luxemburg

R0490

 

 

 

Kingdom of the Netherlands

R0500

 

 

 

Kingdom of Norway

R0510

 

 

 

Republic of Poland

R0520

 

 

 

Kingdom of Spain

R0530

 

 

 

Kingdom of Sweden

R0540

 

 

 

United Kingdom of Great Britain and Northern Ireland

R0550

 

 

 

Guadeloupe

R0560

 

 

 

Martinique

R0570

 

 

 

Collectivity of Saint Martin

R0580

 

 

 

Réunion

R0590

 

 

 

Total Windstorm EEA Regions before diversification

R0600

 

 

 

Northern Europe

R0610

 

 

 

Western Europe

R0620

 

 

 

Eastern Europe

R0630

 

 

 

Southern Europe

R0640

 

 

 

Central and Western Asia

R0650

 

 

 

Eastern Asia

R0660

 

 

 

South and South-Eastern Asia

R0670

 

 

 

Oceania

R0680

 

 

 

Northern Africa

R0690

 

 

 

Southern Africa

R0700

 

 

 

Northern America excluding the United States of America

R0710

 

 

 

Natural Catastrophe risk — Windstorm

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Scenario A or B

Catastrophe Risk Charge before risk mitigation

(cont.)

 

 

C0040

C0050

C0060

C0070

C0080

C0090

 

Caribbean and Central America

R0720

 

 

 

 

 

 

 

Eastern South America

R0730

 

 

 

 

 

 

 

Northern, southern and western South America

R0740

 

 

 

 

 

 

 

North-east United States of America

R0750

 

 

 

 

 

 

 

South-east United States of America

R0760

 

 

 

 

 

 

 

Mid-west United States of America

R0770

 

 

 

 

 

 

 

Western United States of America

R0780

 

 

 

 

 

 

 

Total Windstorm Other Regions before diversifications

R0790

 

 

 

 

 

 

 

Total Windstorm all Regions before diversification

R0800

 

 

 

 

 

 

 

Diversification effect between regions

R0810

 

 

 

 

 

 

 

Total Windstorm after diversification

R0820

 

 

 

 

 

 

 

Natural Catastrophe risk — Windstorm

 

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0100

C0110

C0120

Caribbean and Central America

R0720

 

 

 

Eastern South America

R0730

 

 

 

Northern, southern and western South America

R0740

 

 

 

North-east United States of America

R0750

 

 

 

South-east United States of America

R0760

 

 

 

Mid-west United States of America

R0770

 

 

 

Western United States of America

R0780

 

 

 

Total Windstorm Other Regions before diversifications

R0790

 

 

 

Total Windstorm all Regions before diversification

R0800

 

 

 

Diversification effect between regions

R0810

 

 

 

Total Windstorm after diversification

R0820

 

 

 

Natural Catastrophe risk — Earthquake

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

(cont.)

 

 

C0130

C0140

C0150

C0160

C0170

C0180

 

Republic of Austria

R0830

 

 

 

 

 

 

 

Kingdom of Belgium

R0840

 

 

 

 

 

 

 

Republic of Bulgaria

R0850

 

 

 

 

 

 

 

Republic of Croatia

R0860

 

 

 

 

 

 

 

Republic of Cyprus

R0870

 

 

 

 

 

 

 

Czech Republic

R0880

 

 

 

 

 

 

 

Swiss Confederation; Principality of Lichtenstein

R0890

 

 

 

 

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R0900

 

 

 

 

 

 

 

Federal Republic of Germany

R0910

 

 

 

 

 

 

 

Hellenic Republic

R0920

 

 

 

 

 

 

 

Republic of Hungary

R0930

 

 

 

 

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R0940

 

 

 

 

 

 

 

Republic of Malta

R0950

 

 

 

 

 

 

 

Portuguese Republic

R0960

 

 

 

 

 

 

 

Romania

R0970

 

 

 

 

 

 

 

Slovak Republic

R0980

 

 

 

 

 

 

 

Republic of Slovenia

R0990

 

 

 

 

 

 

 

Guadeloupe

R1000

 

 

 

 

 

 

 

Martinique

R1010

 

 

 

 

 

 

 

Collectivity of Saint Martin

R1020

 

 

 

 

 

 

 

Total Earthquake EEA Regions before diversification

R1030

 

 

 

 

 

 

 

Northern Europe

R1040

 

 

 

 

 

 

 

Western Europe

R1050

 

 

 

 

 

 

 

Eastern Europe

R1060

 

 

 

 

 

 

 

Southern Europe

R1070

 

 

 

 

 

 

 

Central and Western Asia

R1080

 

 

 

 

 

 

 

Eastern Asia

R1090

 

 

 

 

 

 

 

South and South-Eastern Asia

R1100

 

 

 

 

 

 

 

Oceania

R1110

 

 

 

 

 

 

 

Northern Africa

R1120

 

 

 

 

 

 

 

Southern Africa

R1130

 

 

 

 

 

 

 

Northern America excluding the United States of America

R1140

 

 

 

 

 

 

 

Natural Catastrophe risk — Earthquake

 

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0190

C0200

Republic of Austria

R0830

 

 

Kingdom of Belgium

R0840

 

 

Republic of Bulgaria

R0850

 

 

Republic of Croatia

R0860

 

 

Republic of Cyprus

R0870

 

 

Czech Republic

R0880

 

 

Swiss Confederation; Principality of Lichtenstein

R0890

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R0900

 

 

Federal Republic of Germany

R0910

 

 

Hellenic Republic

R0920

 

 

Republic of Hungary

R0930

 

 

Italian Republic; Republic of San Marino; Vatican City State

R0940

 

 

Republic of Malta

R0950

 

 

Portuguese Republic

R0960

 

 

Romania

R0970

 

 

Slovak Republic

R0980

 

 

Republic of Slovenia

R0990

 

 

Guadeloupe

R1000

 

 

Martinique

R1010

 

 

Collectivity of Saint Martin

R1020

 

 

Total Earthquake EEA Regions before diversification

R1030

 

 

Northern Europe

R1040

 

 

Western Europe

R1050

 

 

Eastern Europe

R1060

 

 

Southern Europe

R1070

 

 

Central and Western Asia

R1080

 

 

Eastern Asia

R1090

 

 

South and South-Eastern Asia

R1100

 

 

Oceania

R1110

 

 

Northern Africa

R1120

 

 

Southern Africa

R1130

 

 

Northern America excluding the United States of America

R1140

 

 

Natural Catastrophe risk — Earthquake

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

(cont.)

 

 

C0130

C0140

C0150

C0160

C0170

C0180

 

Caribbean and Central America

R1150

 

 

 

 

 

 

 

Eastern South America

R1160

 

 

 

 

 

 

 

Northern, southern and western South America

R1170

 

 

 

 

 

 

 

North-east United States of America

R1180

 

 

 

 

 

 

 

South-east United States of America

R1190

 

 

 

 

 

 

 

Mid-west United States of America

R1200

 

 

 

 

 

 

 

Western United States of America

R1210

 

 

 

 

 

 

 

Total Earthquake Other Regions before diversifications

R1220

 

 

 

 

 

 

 

Total Earthquake all Regions before diversification

R1230

 

 

 

 

 

 

 

Diversification effect between regions

R1240

 

 

 

 

 

 

 

Total Earthquake after diversification

R1250

 

 

 

 

 

 

 

Natural Catastrophe risk — Earthquake

 

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0190

C0200

Caribbean and Central America

R1150

 

 

Eastern South America

R1160

 

 

Northern, southern and western South America

R1170

 

 

North-east United States of America

R1180

 

 

South-east United States of America

R1190

 

 

Mid-west United States of America

R1200

 

 

Western United States of America

R1210

 

 

Total Earthquake Other Regions before diversifications

R1220

 

 

Total Earthquake all Regions before diversification

R1230

 

 

Diversification effect between regions

R1240

 

 

Total Earthquake after diversification

R1250

 

 

Natural Catastrophe risk — Flood

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Scenario A or B

Catastrophe Risk Charge before risk mitigation

(cont.)

 

 

C0210

C0220

C0230

C0240

C0250

C0260

 

Republic of Austria

R1260

 

 

 

 

 

 

 

Kingdom of Belgium

R1270

 

 

 

 

 

 

 

Republic of Bulgaria

R1280

 

 

 

 

 

 

 

Czech Republic

R1290

 

 

 

 

 

 

 

Swiss Confederation; Principality of Lichtenstein

R1300

 

 

 

 

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R1310

 

 

 

 

 

 

 

Federal Republic of Germany

R1320

 

 

 

 

 

 

 

Republic of Hungary

R1330

 

 

 

 

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R1340

 

 

 

 

 

 

 

Republic of Poland

R1350

 

 

 

 

 

 

 

Romania

R1360

 

 

 

 

 

 

 

Slovak Republic

R1370

 

 

 

 

 

 

 

Republic of Slovenia

R1380

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R1390

 

 

 

 

 

 

 

Total Flood EEA Regions before diversification

R1400

 

 

 

 

 

 

 

Northern Europe

R1410

 

 

 

 

 

 

 

Western Europe

R1420

 

 

 

 

 

 

 

Eastern Europe

R1430

 

 

 

 

 

 

 

Southern Europe

R1440

 

 

 

 

 

 

 

Central and Western Asia

R1450

 

 

 

 

 

 

 

Eastern Asia

R1460

 

 

 

 

 

 

 

South and South-Eastern Asia

R1470

 

 

 

 

 

 

 

Oceania

R1480

 

 

 

 

 

 

 

Northern Africa

R1490

 

 

 

 

 

 

 

Southern Africa

R1500

 

 

 

 

 

 

 

Northern America excluding the United States of America

R1510

 

 

 

 

 

 

 

Caribbean and Central America

R1520

 

 

 

 

 

 

 

Eastern South America

R1530

 

 

 

 

 

 

 

Northern, southern and western South America

R1540

 

 

 

 

 

 

 

North-east United States of America

R1550

 

 

 

 

 

 

 

South-east United States of America

R1560

 

 

 

 

 

 

 

Mid-west United States of America

R1570

 

 

 

 

 

 

 

Natural Catastrophe risk — Flood

 

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0270

C0280

C0290

Republic of Austria

R1260

 

 

 

Kingdom of Belgium

R1270

 

 

 

Republic of Bulgaria

R1280

 

 

 

Czech Republic

R1290

 

 

 

Swiss Confederation; Principality of Lichtenstein

R1300

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R1310

 

 

 

Federal Republic of Germany

R1320

 

 

 

Republic of Hungary

R1330

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R1340

 

 

 

Republic of Poland

R1350

 

 

 

Romania

R1360

 

 

 

Slovak Republic

R1370

 

 

 

Republic of Slovenia

R1380

 

 

 

United Kingdom of Great Britain and Northern Ireland

R1390

 

 

 

Total Flood EEA Regions before diversification

R1400

 

 

 

Northern Europe

R1410

 

 

 

Western Europe

R1420

 

 

 

Eastern Europe

R1430

 

 

 

Southern Europe

R1440

 

 

 

Central and Western Asia

R1450

 

 

 

Eastern Asia

R1460

 

 

 

South and South-Eastern Asia

R1470

 

 

 

Oceania

R1480

 

 

 

Northern Africa

R1490

 

 

 

Southern Africa

R1500

 

 

 

Northern America excluding the United States of America

R1510

 

 

 

Caribbean and Central America

R1520

 

 

 

Eastern South America

R1530

 

 

 

Northern, southern and western South America

R1540

 

 

 

North-east United States of America

R1550

 

 

 

South-east United States of America

R1560

 

 

 

Mid-west United States of America

R1570

 

 

 

Natural Catastrophe risk — Flood

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Scenario A or B

Catastrophe Risk Charge before risk mitigation

(cont.)

 

 

C0210

C0220

C0230

C0240

C0250

C0260

 

Western United States of America

R1580

 

 

 

 

 

 

 

Total Flood Other Regions before diversifications

R1590

 

 

 

 

 

 

 

Total Flood all Regions before diversification

R1600

 

 

 

 

 

 

 

Diversification effect between regions

R1610

 

 

 

 

 

 

 

Total Flood after diversification

R1620

 

 

 

 

 

 

 

Natural Catastrophe risk — Flood

 

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0270

C0280

C0290

Western United States of America

R1580

 

 

 

Total Flood Other Regions before diversifications

R1590

 

 

 

Total Flood all Regions before diversification

R1600

 

 

 

Diversification effect between regions

R1610

 

 

 

Total Flood after diversification

R1620

 

 

 

Natural Catastrophe risk — Hail

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Scenario A or B

Catastrophe Risk Charge before risk mitigation

(cont.)

 

 

C0300

C0310

C0320

C0330

C0340

C0350

 

Republic of Austria

R1630

 

 

 

 

 

 

 

Kingdom of Belgium

R1640

 

 

 

 

 

 

 

Swiss Confederation; Principality of Lichtenstein

R1650

 

 

 

 

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R1660

 

 

 

 

 

 

 

Federal Republic of Germany

R1670

 

 

 

 

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R1680

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R1690

 

 

 

 

 

 

 

Kingdom of the Netherlands

R1700

 

 

 

 

 

 

 

Kingdom of Spain

R1710

 

 

 

 

 

 

 

Total Hail EEA Regions before diversification

R1720

 

 

 

 

 

 

 

Northern Europe

R1730

 

 

 

 

 

 

 

Western Europe

R1740

 

 

 

 

 

 

 

Eastern Europe

R1750

 

 

 

 

 

 

 

Southern Europe

R1760

 

 

 

 

 

 

 

Central and Western Asia

R1770

 

 

 

 

 

 

 

Eastern Asia

R1780

 

 

 

 

 

 

 

South and South-Eastern Asia

R1790

 

 

 

 

 

 

 

Oceania

R1800

 

 

 

 

 

 

 

Northern Africa

R1810

 

 

 

 

 

 

 

Southern Africa

R1820

 

 

 

 

 

 

 

Northern America excluding the United States of America

R1830

 

 

 

 

 

 

 

Caribbean and Central America

R1840

 

 

 

 

 

 

 

Eastern South America

R1850

 

 

 

 

 

 

 

Northern, southern and western South America

R1860

 

 

 

 

 

 

 

North-east United States of America

R1870

 

 

 

 

 

 

 

South-east United States of America

R1880

 

 

 

 

 

 

 

Mid-west United States of America

R1890

 

 

 

 

 

 

 

Western United States of America

R1900

 

 

 

 

 

 

 

Total Hail Other Regions before diversifications

R1910

 

 

 

 

 

 

 

Total Hail all Regions before diversification

R1920

 

 

 

 

 

 

 

Diversification effect between regions

R1930

 

 

 

 

 

 

 

Total Hail after diversification

R1940

 

 

 

 

 

 

 

Natural Catastrophe risk — Hail

 

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0360

C0370

C0380

Republic of Austria

R1630

 

 

 

Kingdom of Belgium

R1640

 

 

 

Swiss Confederation; Principality of Lichtenstein

R1650

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R1660

 

 

 

Federal Republic of Germany

R1670

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R1680

 

 

 

Grand Duchy of Luxemburg

R1690

 

 

 

Kingdom of the Netherlands

R1700

 

 

 

Kingdom of Spain

R1710

 

 

 

Total Hail EEA Regions before diversification

R1720

 

 

 

Northern Europe

R1730

 

 

 

Western Europe

R1740

 

 

 

Eastern Europe

R1750

 

 

 

Southern Europe

R1760

 

 

 

Central and Western Asia

R1770

 

 

 

Eastern Asia

R1780

 

 

 

South and South-Eastern Asia

R1790

 

 

 

Oceania

R1800

 

 

 

Northern Africa

R1810

 

 

 

Southern Africa

R1820

 

 

 

Northern America excluding the United States of America

R1830

 

 

 

Caribbean and Central America

R1840

 

 

 

Eastern South America

R1850

 

 

 

Northern, southern and western South America

R1860

 

 

 

North-east United States of America

R1870

 

 

 

South-east United States of America

R1880

 

 

 

Mid-west United States of America

R1890

 

 

 

Western United States of America

R1900

 

 

 

Total Hail Other Regions before diversifications

R1910

 

 

 

Total Hail all Regions before diversification

R1920

 

 

 

Diversification effect between regions

R1930

 

 

 

Total Hail after diversification

R1940

 

 

 

Natural Catastrophe risk -Subsidence

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

 

 

C0390

C0400

C0410

C0420

C0430

C0440

Total Subsidence before diversification

R1950

 

 

 

 

 

 

Diversification effect between zones

R1960

 

 

 

 

 

 

Total Subsidence after diversification

R1970

 

 

 

 

 

 

Natural Catastrophe risk -Subsidence

 

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0450

C0460

Total Subsidence before diversification

R1950

 

 

Diversification effect between zones

R1960

 

 

Total Subsidence after diversification

R1970

 

 

Catastrophe risk — Non-proportional property reinsurance

 

Estimation of the premiums to be earned

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0470

C0480

C0490

C0500

C0510

Non-proportional property reinsurance

R2000

 

 

 

 

 

Man made catastrophe risk — Motor Vehicle Liability

 

Number of vehicles policy limit above 24M€

Number of vehicles policy limit below or equal to 24M€

Catastrophe Risk Charge Motor Vehicle Liability before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Motor Vehicle Liability after risk mitigation

 

 

C0520

C0530

C0540

C0550

C0560

C0570

Motor Vehicle Liability

R2100

 

 

 

 

 

 

Man made catastrophe risk — Marine Tanker Collision

 

Catastrophe Risk Charge Share marine hull in tanker t before risk mitigation

Catastrophe Risk Charge Share marine liability in tanker t before risk mitigation

Catastrophe Risk Charge Share marine oil pollution liability in tanker t before risk mitigation

Catastrophe Risk Charge Marine Tanker Collision before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

(cont.)

 

 

C0580

C0590

C0600

C0610

C0620

C0630

 

Marine Tanker Collision

R2200

 

 

 

 

 

 

 

Man made catastrophe risk — Marine Tanker Collision

 

Catastrophe Risk Charge Marine Tanker Collision after risk mitigation

Name vessel

 

 

C0640

C0650

Marine Tanker Collision

R2200

 

 

Man made catastrophe risk — Marine Platform Explosion

 

Catastrophe Risk Charge Property damage before risk mitigation

Catastrophe Risk Charge Removal of wreckage before risk mitigation

Catastrophe Risk Charge Loss of production income before risk mitigation

Catastrophe Risk Charge Capping of the well or making the well secure before risk mitigation

Catastrophe Risk Charge Liability insurance and reinsurance obligations before risk mitigation

Catastrophe Risk Charge Marine Platform Explosion before risk mitigation

(cont.)

 

 

C0660

C0670

C0680

C0690

C0700

C0710

 

Marine Platform Explosion

R2300

 

 

 

 

 

 

 

Man made catastrophe risk — Marine Platform Explosion

 

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Marine Platform Explosion after risk mitigation

Name platform

 

 

C0720

C0730

C0740

C0750

Marine Platform Explosion

R2300

 

 

 

 

Man made catastrophe risk — Marine

 

Catastrophe Risk Charge Marine before risk mitigation

Estimated Total Risk Mitigation

Catastrophe Risk Charge Marine after risk mitigation

 

 

C0760

C0770

C0780

Total before diversification

R2400

 

 

 

Diversification between type of event

R2410

 

 

 

Total after diversification

R2420

 

 

 

Man made catastrophe risk — Aviation

 

Catastrophe risk Charge Aviation hull before risk mitigation

Catastrophe risk Charge Aviation liability before risk mitigation

Catastrophe Risk Charge Aviation before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Aviation after risk mitigation

 

 

C0790

C0800

C0810

C0820

C0830

C0840

Gross Catastrophe Risk Charge Aviation

R2500

 

 

 

 

 

 

Man made catastrophe risk — Fire

 

Catastrophe Risk Charge Fire before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Fire after risk mitigation

 

 

C0850

C0860

C0870

C0880

Fire

R2600

 

 

 

 

Man made catastrophe risk — Liability

 

Earned premium following 12 months

Largest liability limit provided

Number of claims

Catastrophe Risk Charge Liability before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Liability after risk mitigation

 

 

C0890

C0900

C0910

C0920

C0930

C0940

C0950

Professional malpractice liability

R2700

 

 

 

 

 

 

 

Employers liability

R2710

 

 

 

 

 

 

 

Directors and officers liability

R2720

 

 

 

 

 

 

 

Other liability

R2730

 

 

 

 

 

 

 

Non-proportional reinsurance

R2740

 

 

 

 

 

 

 

Total

R2750

 

 

 

 

 

 

 

Man made catastrophe risk — Liability

 

Catastrophe Risk Charge Liability before risk mitigation

Estimated Total Risk Mitigation

Catastrophe Risk Charge Liability after risk mitigation

 

 

C0960

C0970

C0980

Total before diversification

R2800

 

 

 

Diversification between type of cover

R2810

 

 

 

Total after diversification

R2820

 

 

 

Man made catastrophe risk — Credit & Suretyship — Large Credit Default

 

Exposure (individual or group)

Proportion of damage caused by scenario

Catastrophe Risk Charge Credit & Surety before risk mitigation — Large Credit Default

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Credit & Surety after risk mitigation — Large Credit Default

 

 

C0990

C1000

C1010

C1020

C1030

C1040

Largest exposure 1

R2900

 

 

 

 

 

 

Largest exposure 2

R2910

 

 

 

 

 

 

Total

R2920

 

 

 

 

 

 

Man made catastrophe risk — Credit & Suretyship — Recession Risk

 

Earned premium following 12 months

Catastrophe Risk Charge Credit & Suretyship before risk mitigation — Recession Risk

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Credit & Suretyship after risk mitigation — Recession Risk

 

 

C1050

C1060

C1070

C1080

C1090

Total

R3000

 

 

 

 

 

Man made catastrophe risk — Credit & Suretyship

 

Catastrophe Risk Charge Credit & Suretyship before risk mitigation

Estimated Total Risk Mitigation

Catastrophe Risk Charge Credit & Suretyship after risk mitigation

 

 

C1100

C1110

C1120

Total before diversification

R3100

 

 

 

Diversification between type of event

R3110

 

 

 

Total after diversification

R3120

 

 

 

Other non-life catastrophe risk

 

Estimation of the gross premiums to be earned

Catastrophe Risk Charge Other non-life catastrophe risk before risk mitigation

Estimated Total Risk Mitigation

Catastrophe Risk Charge Other non-life catastrophe risk after risk mitigation

 

 

C1130

C1140

C1150

C1160

MAT other than Marine and Aviation

R3200

 

 

 

 

Non-proportional MAT reinsurance other than Marine and Aviation

R3210

 

 

 

 

Miscellaneous financial loss

R3220

 

 

 

 

Non-proportional Casualty reinsurance other than General liability

R3230

 

 

 

 

Non-proportional Credit & Surety reinsurance

R3240

 

 

 

 

Total before diversification

R3250

 

 

 

 

Diversification between groups of obligations

R3260

 

 

 

 

Total after diversification

R3270

 

 

 

 

 

 

Accidental death

Permanent disability

Disability 10 years

 

Health Catastrophe risk — Mass accident

 

# Policyholders

Total value of benefits payable

# Policyholders

Total value of benefits payable

# Policyholders

Total value of benefits payable

(cont.)

 

 

C1170

C1180

C1190

C1200

C1210

C1220

 

Republic of Austria

R3300

 

 

 

 

 

 

 

Kingdom of Belgium

R3310

 

 

 

 

 

 

 

Republic of Bulgaria

R3320

 

 

 

 

 

 

 

Republic of Croatia

R3330

 

 

 

 

 

 

 

Republic of Cyprus

R3340

 

 

 

 

 

 

 

Czech Republic

R3350

 

 

 

 

 

 

 

Kingdom of Denmark

R3360

 

 

 

 

 

 

 

Republic of Estonia

R3370

 

 

 

 

 

 

 

Republic of Finland

R3380

 

 

 

 

 

 

 

French Republic; Principality of Monaco; Principality of Andorra

R3390

 

 

 

 

 

 

 

Hellenic Republic

R3400

 

 

 

 

 

 

 

Federal Republic of Germany

R3410

 

 

 

 

 

 

 

Republic of Hungary

R3420

 

 

 

 

 

 

 

Republic of Iceland

R3430

 

 

 

 

 

 

 

Ireland

R3440

 

 

 

 

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R3450

 

 

 

 

 

 

 

Republic of Latvia

R3460

 

 

 

 

 

 

 

Republic of Lithuania

R3470

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R3480

 

 

 

 

 

 

 

Republic of Malta

R3490

 

 

 

 

 

 

 

Kingdom of the Netherlands

R3500

 

 

 

 

 

 

 

Kingdom of Norway

R3510

 

 

 

 

 

 

 

Republic of Poland

R3520

 

 

 

 

 

 

 

Portuguese Republic

R3530

 

 

 

 

 

 

 

Romania

R3540

 

 

 

 

 

 

 

Slovak Republic

R3550

 

 

 

 

 

 

 

Republic of Slovenia

R3560

 

 

 

 

 

 

 

Kingdom of Spain

R3570

 

 

 

 

 

 

 

Kingdom of Sweden

R3580

 

 

 

 

 

 

 

Swiss Confederation

R3590

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R3600

 

 

 

 

 

 

 

Total Mass accident all countries before diversification

R3610

 

 

 

 

 

 

 

Diversification effect between countries

R3620

 

 

 

 

 

 

 

Total Mass accident all countries after diversification

R3630

 

 

 

 

 

 

 

 

 

Disability 12 months

Medical treatment

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

 

Health Catastrophe risk — Mass accident

 

# Policyholders

Total value of benefits payable

# Policyholders

Total value of benefits payable

(cont.)

 

 

C1230

C1240

C1250

C1260

C1270

C1280

 

Republic of Austria

R3300

 

 

 

 

 

 

 

Kingdom of Belgium

R3310

 

 

 

 

 

 

 

Republic of Bulgaria

R3320

 

 

 

 

 

 

 

Republic of Croatia

R3330

 

 

 

 

 

 

 

Republic of Cyprus

R3340

 

 

 

 

 

 

 

Czech Republic

R3350

 

 

 

 

 

 

 

Kingdom of Denmark

R3360

 

 

 

 

 

 

 

Republic of Estonia

R3370

 

 

 

 

 

 

 

Republic of Finland

R3380

 

 

 

 

 

 

 

French Republic; Principality of Monaco; Principality of Andorra

R3390

 

 

 

 

 

 

 

Hellenic Republic

R3400

 

 

 

 

 

 

 

Federal Republic of Germany

R3410

 

 

 

 

 

 

 

Republic of Hungary

R3420

 

 

 

 

 

 

 

Republic of Iceland

R3430

 

 

 

 

 

 

 

Ireland

R3440

 

 

 

 

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R3450

 

 

 

 

 

 

 

Republic of Latvia

R3460

 

 

 

 

 

 

 

Republic of Lithuania

R3470

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R3480

 

 

 

 

 

 

 

Republic of Malta

R3490

 

 

 

 

 

 

 

Kingdom of the Netherlands

R3500

 

 

 

 

 

 

 

Kingdom of Norway

R3510

 

 

 

 

 

 

 

Republic of Poland

R3520

 

 

 

 

 

 

 

Portuguese Republic

R3530

 

 

 

 

 

 

 

Romania

R3540

 

 

 

 

 

 

 

Slovak Republic

R3550

 

 

 

 

 

 

 

Republic of Slovenia

R3560

 

 

 

 

 

 

 

Kingdom of Spain

R3570

 

 

 

 

 

 

 

Kingdom of Sweden

R3580

 

 

 

 

 

 

 

Swiss Confederation

R3590

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R3600

 

 

 

 

 

 

 

Total Mass accident all countries before diversification

R3610

 

 

 

 

 

 

 

Diversification effect between countries

R3620

 

 

 

 

 

 

 

Total Mass accident all countries after diversification

R3630

 

 

 

 

 

 

 

Health Catastrophe risk — Mass accident

 

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C1290

C1300

Republic of Austria

R3300

 

 

Kingdom of Belgium

R3310

 

 

Republic of Bulgaria

R3320

 

 

Republic of Croatia

R3330

 

 

Republic of Cyprus

R3340

 

 

Czech Republic

R3350

 

 

Kingdom of Denmark

R3360

 

 

Republic of Estonia

R3370

 

 

Republic of Finland

R3380

 

 

French Republic; Principality of Monaco; Principality of Andorra

R3390

 

 

Hellenic Republic

R3400

 

 

Federal Republic of Germany

R3410

 

 

Republic of Hungary

R3420

 

 

Republic of Iceland

R3430

 

 

Ireland

R3440

 

 

Italian Republic; Republic of San Marino; Vatican City State

R3450

 

 

Republic of Latvia

R3460

 

 

Republic of Lithuania

R3470

 

 

Grand Duchy of Luxemburg

R3480

 

 

Republic of Malta

R3490

 

 

Kingdom of the Netherlands

R3500

 

 

Kingdom of Norway

R3510

 

 

Republic of Poland

R3520

 

 

Portuguese Republic

R3530

 

 

Romania

R3540

 

 

Slovak Republic

R3550

 

 

Republic of Slovenia

R3560

 

 

Kingdom of Spain

R3570

 

 

Kingdom of Sweden

R3580

 

 

Swiss Confederation

R3590

 

 

United Kingdom of Great Britain and Northern Ireland

R3600

 

 

Total Mass accident all countries before diversification

R3610

 

 

Diversification effect between countries

R3620

 

 

Total Mass accident all countries after diversification

R3630

 

 

Health Catastrophe risk — Concentration accident

 

Largest known accident risk concentration

Accidental death

Permanent disability

Disability 10 years

Disability 12 months

Medical treatment

 

 

Average sum insured

Average sum insured

Average sum insured

Average sum insured

Average sum insured

(cont.)

 

 

C1310

C1320

C1330

C1340

C1350

C1360

 

Republic of Austria

R3700

 

 

 

 

 

 

 

Kingdom of Belgium

R3710

 

 

 

 

 

 

 

Republic of Bulgaria

R3720

 

 

 

 

 

 

 

Republic of Croatia

R3730

 

 

 

 

 

 

 

Republic of Cyprus

R3740

 

 

 

 

 

 

 

Czech Republic

R3750

 

 

 

 

 

 

 

Kingdom of Denmark

R3760

 

 

 

 

 

 

 

Republic of Estonia

R3770

 

 

 

 

 

 

 

Republic of Finland

R3780

 

 

 

 

 

 

 

French Republic

R3790

 

 

 

 

 

 

 

Hellenic Republic

R3800

 

 

 

 

 

 

 

Federal Republic of Germany

R3810

 

 

 

 

 

 

 

Republic of Hungary

R3820

 

 

 

 

 

 

 

Republic of Iceland

R3830

 

 

 

 

 

 

 

Ireland

R3840

 

 

 

 

 

 

 

Italian Republic

R3850

 

 

 

 

 

 

 

Republic of Latvia

R3860

 

 

 

 

 

 

 

Republic of Lithuania

R3870

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R3880

 

 

 

 

 

 

 

Republic of Malta

R3890

 

 

 

 

 

 

 

Kingdom of the Netherlands

R3900

 

 

 

 

 

 

 

Kingdom of Norway

R3910

 

 

 

 

 

 

 

Republic of Poland

R3920

 

 

 

 

 

 

 

Portuguese Republic

R3930

 

 

 

 

 

 

 

Romania

R3940

 

 

 

 

 

 

 

Slovak Republic

R3950

 

 

 

 

 

 

 

Republic of Slovenia

R3960

 

 

 

 

 

 

 

Kingdom of Spain

R3970

 

 

 

 

 

 

 

Kingdom of Sweden

R3980

 

 

 

 

 

 

 

Swiss Confederation

R3990

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R4000

 

 

 

 

 

 

 

Health Catastrophe risk — Concentration accident

 

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C1370

C1380

C1390

C1400

Republic of Austria

R3700

 

 

 

 

Kingdom of Belgium

R3710

 

 

 

 

Republic of Bulgaria

R3720

 

 

 

 

Republic of Croatia

R3730

 

 

 

 

Republic of Cyprus

R3740

 

 

 

 

Czech Republic

R3750

 

 

 

 

Kingdom of Denmark

R3760

 

 

 

 

Republic of Estonia

R3770

 

 

 

 

Republic of Finland

R3780

 

 

 

 

French Republic

R3790

 

 

 

 

Hellenic Republic

R3800

 

 

 

 

Federal Republic of Germany

R3810

 

 

 

 

Republic of Hungary

R3820

 

 

 

 

Republic of Iceland

R3830

 

 

 

 

Ireland

R3840

 

 

 

 

Italian Republic

R3850

 

 

 

 

Republic of Latvia

R3860

 

 

 

 

Republic of Lithuania

R3870

 

 

 

 

Grand Duchy of Luxemburg

R3880

 

 

 

 

Republic of Malta

R3890

 

 

 

 

Kingdom of the Netherlands

R3900

 

 

 

 

Kingdom of Norway

R3910

 

 

 

 

Republic of Poland

R3920

 

 

 

 

Portuguese Republic

R3930

 

 

 

 

Romania

R3940

 

 

 

 

Slovak Republic

R3950

 

 

 

 

Republic of Slovenia

R3960

 

 

 

 

Kingdom of Spain

R3970

 

 

 

 

Kingdom of Sweden

R3980

 

 

 

 

Swiss Confederation

R3990

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R4000

 

 

 

 

Health Catastrophe risk — Concentration accident

 

Largest known accident risk concentration

Accidental death

Permanent disability

Disability 10 years

Disability 12 months

Medical treatment

 

 

Average sum insured

Average sum insured

Average sum insured

Average sum insured

Average sum insured

(cont.)

 

 

C1310

C1320

C1330

C1340

C1350

C1360

 

Other countries to be considered in the Concentration accident

 

 

 

 

 

 

 

 

C1410

 

 

 

 

 

 

 

 

Country 1

R4010

 

 

 

 

 

 

 

…

 

 

 

 

 

 

 

 

Health Catastrophe risk — Concentration accident

 

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C1370

C1380

C1390

C1400

Other countries to be considered in the Concentration accident

 

 

 

 

 

C1410

 

 

 

 

 

Country 1

R4010

 

 

 

 

…

 

 

 

 

 

Health Catastrophe risk — Concentration accident

 

Largest known accident risk concentration

Accidental death

Permanent disability

Disability 10 years

Disability 12 months

Medical treatment

 

 

Average sum insured

Average sum insured

Average sum insured

Average sum insured

Average sum insured

(cont.)

 

 

C1310

C1320

C1330

C1340

C1350

C1360

 

Total Concentration accident all countries before diversification

R4020

 

 

 

 

 

 

 

Diversification effect between countries

R4030

 

 

 

 

 

 

 

Total Concentration accident all countries after diversification

R4040

 

 

 

 

 

 

 

Health Catastrophe risk — Concentration accident

 

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

 

C1370

C1380

C1390

C1400

Total Concentration accident all countries before diversification

R4020

 

 

 

 

Diversification effect between countries

R4030

 

 

 

 

Total Concentration accident all countries after diversification

R4040

 

 

 

 

Health Catastrophe risk — Pandemic

 

Income protection

Medical expense

 

Number of insured people

Total pandemic exposure

Number of insured persons

Unit claim cost hospitalisation

Ratio of insured persons using hospitalisation

Unit claim cost medical practitioner

(cont.)

 

 

C1420

C1430

C1440

C1450

C1460

C1470

 

Republic of Austria

R4100

 

 

 

 

 

 

 

Kingdom of Belgium

R4110

 

 

 

 

 

 

 

Republic of Bulgaria

R4120

 

 

 

 

 

 

 

Republic of Croatia

R4130

 

 

 

 

 

 

 

Republic of Cyprus

R4140

 

 

 

 

 

 

 

Czech Republic

R4150

 

 

 

 

 

 

 

Kingdom of Denmark

R4160

 

 

 

 

 

 

 

Republic of Estonia

R4170

 

 

 

 

 

 

 

Republic of Finland

R4180

 

 

 

 

 

 

 

French Republic

R4190

 

 

 

 

 

 

 

Hellenic Republic

R4200

 

 

 

 

 

 

 

Federal Republic of Germany

R4210

 

 

 

 

 

 

 

Republic of Hungary

R4220

 

 

 

 

 

 

 

Republic of Iceland

R4230

 

 

 

 

 

 

 

Ireland

R4240

 

 

 

 

 

 

 

Italian Republic

R4250

 

 

 

 

 

 

 

Republic of Latvia

R4260

 

 

 

 

 

 

 

Republic of Lithuania

R4270

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R4280

 

 

 

 

 

 

 

Republic of Malta

R4290

 

 

 

 

 

 

 

Kingdom of the Netherlands

R4300

 

 

 

 

 

 

 

Kingdom of Norway

R4310

 

 

 

 

 

 

 

Republic of Poland

R4320

 

 

 

 

 

 

 

Portuguese Republic

R4330

 

 

 

 

 

 

 

Romania

R4340

 

 

 

 

 

 

 

Slovak Republic

R4350

 

 

 

 

 

 

 

Republic of Slovenia

R4360

 

 

 

 

 

 

 

Kingdom of Spain

R4370

 

 

 

 

 

 

 

Kingdom of Sweden

R4380

 

 

 

 

 

 

 

Swiss Confederation

R4390

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R4400

 

 

 

 

 

 

 

Health Catastrophe risk — Pandemic

 

Medical expense

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

Ratio of insured persons using medical practitioner

Unit claim cost no formal medical care

Ratio of insured persons using no formal medical care

 

 

C1480

C1490

C1500

C1510

C1520

C1530

C1540

Republic of Austria

R4100

 

 

 

 

 

 

 

Kingdom of Belgium

R4110

 

 

 

 

 

 

 

Republic of Bulgaria

R4120

 

 

 

 

 

 

 

Republic of Croatia

R4130

 

 

 

 

 

 

 

Republic of Cyprus

R4140

 

 

 

 

 

 

 

Czech Republic

R4150

 

 

 

 

 

 

 

Kingdom of Denmark

R4160

 

 

 

 

 

 

 

Republic of Estonia

R4170

 

 

 

 

 

 

 

Republic of Finland

R4180

 

 

 

 

 

 

 

French Republic

R4190

 

 

 

 

 

 

 

Hellenic Republic

R4200

 

 

 

 

 

 

 

Federal Republic of Germany

R4210

 

 

 

 

 

 

 

Republic of Hungary

R4220

 

 

 

 

 

 

 

Republic of Iceland

R4230

 

 

 

 

 

 

 

Ireland

R4240

 

 

 

 

 

 

 

Italian Republic

R4250

 

 

 

 

 

 

 

Republic of Latvia

R4260

 

 

 

 

 

 

 

Republic of Lithuania

R4270

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R4280

 

 

 

 

 

 

 

Republic of Malta

R4290

 

 

 

 

 

 

 

Kingdom of the Netherlands

R4300

 

 

 

 

 

 

 

Kingdom of Norway

R4310

 

 

 

 

 

 

 

Republic of Poland

R4320

 

 

 

 

 

 

 

Portuguese Republic

R4330

 

 

 

 

 

 

 

Romania

R4340

 

 

 

 

 

 

 

Slovak Republic

R4350

 

 

 

 

 

 

 

Republic of Slovenia

R4360

 

 

 

 

 

 

 

Kingdom of Spain

R4370

 

 

 

 

 

 

 

Kingdom of Sweden

R4380

 

 

 

 

 

 

 

Swiss Confederation

R4390

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R4400

 

 

 

 

 

 

 

 

 

Income protection

Medical expense

 

Health Catastrophe risk — Pandemic

 

Number of insured people

Total pandemic exposure

Number of insured persons

Unit claim cost hospitalisation

Ratio of insured persons using hospitalisation

Unit claim cost medical practitioner

(cont.)

 

 

C1420

C1430

C1440

C1450

C1460

C1470

 

Other countries to be considered in the Pandemic

 

 

 

 

 

 

 

 

C1550

 

 

 

 

 

 

 

 

Country 1

R4410

 

 

 

 

 

 

 

…

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Pandemic all countries

R4420

 

 

 

 

 

 

 

 

 

Medical expense

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

Health Catastrophe risk — Pandemic

 

Ratio of insured persons using medical practitioner

Unit claim cost no formal medical care

Ratio of insured persons using no formal medical care

 

 

C1480

C1490

C1500

C1510

C1520

C1530

C1540

Other countries to be considered in the Pandemic

 

 

 

 

 

 

 

 

C1550

 

 

 

 

 

 

 

 

Country 1

R4410

 

 

 

 

 

 

 

…

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Pandemic all countries

R4420

 

 

 

 

 

 

 
SR.27.01.01
Solvency Capital Requirement — Non-life and Health catastrophe risk

Article 112

Z0010

 

Ring Fenced Fund/Matching adjustment portfolio or remaining part

Z0020

 

Fund/Portfolio number

Z0030

 

Non-life and Health catastrophe risk — Summary

 

SCR before risk mitigation

Total risk mitigation

SCR after risk mitigation

 

 

C0010

C0020

C0030

Non-life catastrophe risk — Summary

 

 

 

 

Natural catastrophe risk

R0010

 

 

 

Windstorm

R0020

 

 

 

Earthquake

R0030

 

 

 

Flood

R0040

 

 

 

Hail

R0050

 

 

 

Subsidence

R0060

 

 

 

Diversification between perils

R0070

 

 

 

Catastrophe risk non-proportional property reinsurance

R0080

 

 

 

Man-made catastrophe risk

R0090

 

 

 

Motor vehicle liability

R0100

 

 

 

Marine

R0110

 

 

 

Aviation

R0120

 

 

 

Fire

R0130

 

 

 

Liability

R0140

 

 

 

Credit & Suretyship

R0150

 

 

 

Diversification between perils

R0160

 

 

 

Other non-life catastrophe risk

R0170

 

 

 

Diversification between perils

R0180

 

 

 

Total Non-life catastrophe risk before diversification

R0190

 

 

 

Diversification between sub-modules

R0200

 

 

 

Total Non-life catastrophe risk after diversification

R0210

 

 

 

Health catastrophe risk — Summary

 

 

 

 

Health catastrophe risk

R0300

 

 

 

Mass accident

R0310

 

 

 

Accident concentration

R0320

 

 

 

Pandemic

R0330

 

 

 

Diversification between sub-modules

R0340

 

 

 

Natural Catastrophe risk — Windstorm

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Scenario A or B

Catastrophe Risk Charge before risk mitigation

(cont.)

 

 

C0040

C0050

C0060

C0070

C0080

C0090

 

Republic of Austria

R0400

 

 

 

 

 

 

 

Kingdom of Belgium

R0410

 

 

 

 

 

 

 

Czech Republic

R0420

 

 

 

 

 

 

 

Swiss Confederation; Principality of Lichtenstein

R0430

 

 

 

 

 

 

 

Kingdom of Denmark

R0440

 

 

 

 

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R0450

 

 

 

 

 

 

 

Federal Republic of Germany

R0460

 

 

 

 

 

 

 

Republic of Iceland

R0470

 

 

 

 

 

 

 

Ireland

R0480

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R0490

 

 

 

 

 

 

 

Kingdom of the Netherlands

R0500

 

 

 

 

 

 

 

Kingdom of Norway

R0510

 

 

 

 

 

 

 

Republic of Poland

R0520

 

 

 

 

 

 

 

Kingdom of Spain

R0530

 

 

 

 

 

 

 

Kingdom of Sweden

R0540

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R0550

 

 

 

 

 

 

 

Guadeloupe

R0560

 

 

 

 

 

 

 

Martinique

R0570

 

 

 

 

 

 

 

Collectivity of Saint Martin

R0580

 

 

 

 

 

 

 

Réunion

R0590

 

 

 

 

 

 

 

Total Windstorm EEA Regions before diversification

R0600

 

 

 

 

 

 

 

Northern Europe

R0610

 

 

 

 

 

 

 

Western Europe

R0620

 

 

 

 

 

 

 

Eastern Europe

R0630

 

 

 

 

 

 

 

Southern Europe

R0640

 

 

 

 

 

 

 

Central and Western Asia

R0650

 

 

 

 

 

 

 

Eastern Asia

R0660

 

 

 

 

 

 

 

South and South-Eastern Asia

R0670

 

 

 

 

 

 

 

Oceania

R0680

 

 

 

 

 

 

 

Northern Africa

R0690

 

 

 

 

 

 

 

Southern Africa

R0700

 

 

 

 

 

 

 

Northern America excluding the United States of America

R0710

 

 

 

 

 

 

 

Natural Catastrophe risk — Windstorm

 

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0100

C0110

C0120

Republic of Austria

R0400

 

 

 

Kingdom of Belgium

R0410

 

 

 

Czech Republic

R0420

 

 

 

Swiss Confederation; Principality of Lichtenstein

R0430

 

 

 

Kingdom of Denmark

R0440

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R0450

 

 

 

Federal Republic of Germany

R0460

 

 

 

Republic of Iceland

R0470

 

 

 

Ireland

R0480

 

 

 

Grand Duchy of Luxemburg

R0490

 

 

 

Kingdom of the Netherlands

R0500

 

 

 

Kingdom of Norway

R0510

 

 

 

Republic of Poland

R0520

 

 

 

Kingdom of Spain

R0530

 

 

 

Kingdom of Sweden

R0540

 

 

 

United Kingdom of Great Britain and Northern Ireland

R0550

 

 

 

Guadeloupe

R0560

 

 

 

Martinique

R0570

 

 

 

Collectivity of Saint Martin

R0580

 

 

 

Réunion

R0590

 

 

 

Total Windstorm EEA Regions before diversification

R0600

 

 

 

Northern Europe

R0610

 

 

 

Western Europe

R0620

 

 

 

Eastern Europe

R0630

 

 

 

Southern Europe

R0640

 

 

 

Central and Western Asia

R0650

 

 

 

Eastern Asia

R0660

 

 

 

South and South-Eastern Asia

R0670

 

 

 

Oceania

R0680

 

 

 

Northern Africa

R0690

 

 

 

Southern Africa

R0700

 

 

 

Northern America excluding the United States of America

R0710

 

 

 

Natural Catastrophe risk — Windstorm

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Scenario A or B

Catastrophe Risk Charge before risk mitigation

(cont.)

 

 

C0040

C0050

C0060

C0070

C0080

C0090

 

Caribbean and Central America

R0720

 

 

 

 

 

 

 

Eastern South America

R0730

 

 

 

 

 

 

 

Northern, southern and western South America

R0740

 

 

 

 

 

 

 

North-east United States of America

R0750

 

 

 

 

 

 

 

South-east United States of America

R0760

 

 

 

 

 

 

 

Mid-west United States of America

R0770

 

 

 

 

 

 

 

Western United States of America

R0780

 

 

 

 

 

 

 

Total Windstorm Other Regions before diversifications

R0790

 

 

 

 

 

 

 

Total Windstorm all Regions before diversification

R0800

 

 

 

 

 

 

 

Diversification effect between regions

R0810

 

 

 

 

 

 

 

Total Windstorm after diversification

R0820

 

 

 

 

 

 

 

Natural Catastrophe risk — Windstorm

 

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0100

C0110

C0120

Caribbean and Central America

R0720

 

 

 

Eastern South America

R0730

 

 

 

Northern, southern and western South America

R0740

 

 

 

North-east United States of America

R0750

 

 

 

South-east United States of America

R0760

 

 

 

Mid-west United States of America

R0770

 

 

 

Western United States of America

R0780

 

 

 

Total Windstorm Other Regions before diversifications

R0790

 

 

 

Total Windstorm all Regions before diversification

R0800

 

 

 

Diversification effect between regions

R0810

 

 

 

Total Windstorm after diversification

R0820

 

 

 

Natural Catastrophe risk — Earthquake

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

(cont.)

 

 

C0130

C0140

C0150

C0160

C0170

C0180

 

Republic of Austria

R0830

 

 

 

 

 

 

 

Kingdom of Belgium

R0840

 

 

 

 

 

 

 

Republic of Bulgaria

R0850

 

 

 

 

 

 

 

Republic of Croatia

R0860

 

 

 

 

 

 

 

Republic of Cyprus

R0870

 

 

 

 

 

 

 

Czech Republic

R0880

 

 

 

 

 

 

 

Swiss Confederation; Principality of Lichtenstein

R0890

 

 

 

 

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R0900

 

 

 

 

 

 

 

Federal Republic of Germany

R0910

 

 

 

 

 

 

 

Hellenic Republic

R0920

 

 

 

 

 

 

 

Republic of Hungary

R0930

 

 

 

 

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R0940

 

 

 

 

 

 

 

Republic of Malta

R0950

 

 

 

 

 

 

 

Portuguese Republic

R0960

 

 

 

 

 

 

 

Romania

R0970

 

 

 

 

 

 

 

Slovak Republic

R0980

 

 

 

 

 

 

 

Republic of Slovenia

R0990

 

 

 

 

 

 

 

Guadeloupe

R1000

 

 

 

 

 

 

 

Martinique

R1010

 

 

 

 

 

 

 

Collectivity of Saint Martin

R1020

 

 

 

 

 

 

 

Total Earthquake EEA Regions before diversification

R1030

 

 

 

 

 

 

 

Northern Europe

R1040

 

 

 

 

 

 

 

Western Europe

R1050

 

 

 

 

 

 

 

Eastern Europe

R1060

 

 

 

 

 

 

 

Southern Europe

R1070

 

 

 

 

 

 

 

Central and Western Asia

R1080

 

 

 

 

 

 

 

Eastern Asia

R1090

 

 

 

 

 

 

 

South and South-Eastern Asia

R1100

 

 

 

 

 

 

 

Oceania

R1110

 

 

 

 

 

 

 

Northern Africa

R1120

 

 

 

 

 

 

 

Southern Africa

R1130

 

 

 

 

 

 

 

Northern America excluding the United States of America

R1140

 

 

 

 

 

 

 

Natural Catastrophe risk — Earthquake

 

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0190

C0200

Republic of Austria

R0830

 

 

Kingdom of Belgium

R0840

 

 

Republic of Bulgaria

R0850

 

 

Republic of Croatia

R0860

 

 

Republic of Cyprus

R0870

 

 

Czech Republic

R0880

 

 

Swiss Confederation; Principality of Lichtenstein

R0890

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R0900

 

 

Federal Republic of Germany

R0910

 

 

Hellenic Republic

R0920

 

 

Republic of Hungary

R0930

 

 

Italian Republic; Republic of San Marino; Vatican City State

R0940

 

 

Republic of Malta

R0950

 

 

Portuguese Republic

R0960

 

 

Romania

R0970

 

 

Slovak Republic

R0980

 

 

Republic of Slovenia

R0990

 

 

Guadeloupe

R1000

 

 

Martinique

R1010

 

 

Collectivity of Saint Martin

R1020

 

 

Total Earthquake EEA Regions before diversification

R1030

 

 

Northern Europe

R1040

 

 

Western Europe

R1050

 

 

Eastern Europe

R1060

 

 

Southern Europe

R1070

 

 

Central and Western Asia

R1080

 

 

Eastern Asia

R1090

 

 

South and South-Eastern Asia

R1100

 

 

Oceania

R1110

 

 

Northern Africa

R1120

 

 

Southern Africa

R1130

 

 

Northern America excluding the United States of America

R1140

 

 

Natural Catastrophe risk — Earthquake

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

(cont.)

 

 

C0130

C0140

C0150

C0160

C0170

C0180

 

Caribbean and Central America

R1150

 

 

 

 

 

 

 

Eastern South America

R1160

 

 

 

 

 

 

 

Northern, southern and western South America

R1170

 

 

 

 

 

 

 

North-east United States of America

R1180

 

 

 

 

 

 

 

South-east United States of America

R1190

 

 

 

 

 

 

 

Mid-west United States of America

R1200

 

 

 

 

 

 

 

Western United States of America

R1210

 

 

 

 

 

 

 

Total Earthquake Other Regions before diversifications

R1220

 

 

 

 

 

 

 

Total Earthquake all Regions before diversification

R1230

 

 

 

 

 

 

 

Diversification effect between regions

R1240

 

 

 

 

 

 

 

Total Earthquake after diversification

R1250

 

 

 

 

 

 

 

Natural Catastrophe risk — Earthquake

 

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0190

C0200

Caribbean and Central America

R1150

 

 

Eastern South America

R1160

 

 

Northern, southern and western South America

R1170

 

 

North-east United States of America

R1180

 

 

South-east United States of America

R1190

 

 

Mid-west United States of America

R1200

 

 

Western United States of America

R1210

 

 

Total Earthquake Other Regions before diversifications

R1220

 

 

Total Earthquake all Regions before diversification

R1230

 

 

Diversification effect between regions

R1240

 

 

Total Earthquake after diversification

R1250

 

 

Natural Catastrophe risk — Flood

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Scenario A or B

Catastrophe Risk Charge before risk mitigation

(cont.)

 

 

C0210

C0220

C0230

C0240

C0250

C0260

 

Republic of Austria

R1260

 

 

 

 

 

 

 

Kingdom of Belgium

R1270

 

 

 

 

 

 

 

Republic of Bulgaria

R1280

 

 

 

 

 

 

 

Czech Republic

R1290

 

 

 

 

 

 

 

Swiss Confederation; Principality of Lichtenstein

R1300

 

 

 

 

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R1310

 

 

 

 

 

 

 

Federal Republic of Germany

R1320

 

 

 

 

 

 

 

Republic of Hungary

R1330

 

 

 

 

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R1340

 

 

 

 

 

 

 

Republic of Poland

R1350

 

 

 

 

 

 

 

Romania

R1360

 

 

 

 

 

 

 

Slovak Republic

R1370

 

 

 

 

 

 

 

Republic of Slovenia

R1380

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R1390

 

 

 

 

 

 

 

Total Flood EEA Regions before diversification

R1400

 

 

 

 

 

 

 

Northern Europe

R1410

 

 

 

 

 

 

 

Western Europe

R1420

 

 

 

 

 

 

 

Eastern Europe

R1430

 

 

 

 

 

 

 

Southern Europe

R1440

 

 

 

 

 

 

 

Central and Western Asia

R1450

 

 

 

 

 

 

 

Eastern Asia

R1460

 

 

 

 

 

 

 

South and South-Eastern Asia

R1470

 

 

 

 

 

 

 

Oceania

R1480

 

 

 

 

 

 

 

Northern Africa

R1490

 

 

 

 

 

 

 

Southern Africa

R1500

 

 

 

 

 

 

 

Northern America excluding the United States of America

R1510

 

 

 

 

 

 

 

Caribbean and Central America

R1520

 

 

 

 

 

 

 

Eastern South America

R1530

 

 

 

 

 

 

 

Northern, southern and western South America

R1540

 

 

 

 

 

 

 

North-east United States of America

R1550

 

 

 

 

 

 

 

South-east United States of America

R1560

 

 

 

 

 

 

 

Mid-west United States of America

R1570

 

 

 

 

 

 

 

Natural Catastrophe risk — Flood

 

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0270

C0280

C0290

Republic of Austria

R1260

 

 

 

Kingdom of Belgium

R1270

 

 

 

Republic of Bulgaria

R1280

 

 

 

Czech Republic

R1290

 

 

 

Swiss Confederation; Principality of Lichtenstein

R1300

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R1310

 

 

 

Federal Republic of Germany

R1320

 

 

 

Republic of Hungary

R1330

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R1340

 

 

 

Republic of Poland

R1350

 

 

 

Romania

R1360

 

 

 

Slovak Republic

R1370

 

 

 

Republic of Slovenia

R1380

 

 

 

United Kingdom of Great Britain and Northern Ireland

R1390

 

 

 

Total Flood EEA Regions before diversification

R1400

 

 

 

Northern Europe

R1410

 

 

 

Western Europe

R1420

 

 

 

Eastern Europe

R1430

 

 

 

Southern Europe

R1440

 

 

 

Central and Western Asia

R1450

 

 

 

Eastern Asia

R1460

 

 

 

South and South-Eastern Asia

R1470

 

 

 

Oceania

R1480

 

 

 

Northern Africa

R1490

 

 

 

Southern Africa

R1500

 

 

 

Northern America excluding the United States of America

R1510

 

 

 

Caribbean and Central America

R1520

 

 

 

Eastern South America

R1530

 

 

 

Northern, southern and western South America

R1540

 

 

 

North-east United States of America

R1550

 

 

 

South-east United States of America

R1560

 

 

 

Mid-west United States of America

R1570

 

 

 

Natural Catastrophe risk — Flood

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Scenario A or B

Catastrophe Risk Charge before risk mitigation

(cont.)

 

 

C0210

C0220

C0230

C0240

C0250

C0260

 

Western United States of America

R1580

 

 

 

 

 

 

 

Total Flood Other Regions before diversifications

R1590

 

 

 

 

 

 

 

Total Flood all Regions before diversification

R1600

 

 

 

 

 

 

 

Diversification effect between regions

R1610

 

 

 

 

 

 

 

Total Flood after diversification

R1620

 

 

 

 

 

 

 

Natural Catastrophe risk — Flood

 

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0270

C0280

C0290

Western United States of America

R1580

 

 

 

Total Flood Other Regions before diversifications

R1590

 

 

 

Total Flood all Regions before diversification

R1600

 

 

 

Diversification effect between regions

R1610

 

 

 

Total Flood after diversification

R1620

 

 

 

Natural Catastrophe risk — Hail

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Scenario A or B

Catastrophe Risk Charge before risk mitigation

(cont.)

 

 

C0300

C0310

C0320

C0330

C0340

C0350

 

Republic of Austria

R1630

 

 

 

 

 

 

 

Kingdom of Belgium

R1640

 

 

 

 

 

 

 

Swiss Confederation; Principality of Lichtenstein

R1650

 

 

 

 

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R1660

 

 

 

 

 

 

 

Federal Republic of Germany

R1670

 

 

 

 

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R1680

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R1690

 

 

 

 

 

 

 

Kingdom of the Netherlands

R1700

 

 

 

 

 

 

 

Kingdom of Spain

R1710

 

 

 

 

 

 

 

Total Hail EEA Regions before diversification

R1720

 

 

 

 

 

 

 

Northern Europe

R1730

 

 

 

 

 

 

 

Western Europe

R1740

 

 

 

 

 

 

 

Eastern Europe

R1750

 

 

 

 

 

 

 

Southern Europe

R1760

 

 

 

 

 

 

 

Central and Western Asia

R1770

 

 

 

 

 

 

 

Eastern Asia

R1780

 

 

 

 

 

 

 

South and South-Eastern Asia

R1790

 

 

 

 

 

 

 

Oceania

R1800

 

 

 

 

 

 

 

Northern Africa

R1810

 

 

 

 

 

 

 

Southern Africa

R1820

 

 

 

 

 

 

 

Northern America excluding the United States of America

R1830

 

 

 

 

 

 

 

Caribbean and Central America

R1840

 

 

 

 

 

 

 

Eastern South America

R1850

 

 

 

 

 

 

 

Northern, southern and western South America

R1860

 

 

 

 

 

 

 

North-east United States of America

R1870

 

 

 

 

 

 

 

South-east United States of America

R1880

 

 

 

 

 

 

 

Mid-west United States of America

R1890

 

 

 

 

 

 

 

Western United States of America

R1900

 

 

 

 

 

 

 

Total Hail Other Regions before diversifications

R1910

 

 

 

 

 

 

 

Total Hail all Regions before diversification

R1920

 

 

 

 

 

 

 

Diversification effect between regions

R1930

 

 

 

 

 

 

 

Total Hail after diversification

R1940

 

 

 

 

 

 

 

Natural Catastrophe risk — Hail

 

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0360

C0370

C0380

Republic of Austria

R1630

 

 

 

Kingdom of Belgium

R1640

 

 

 

Swiss Confederation; Principality of Lichtenstein

R1650

 

 

 

French Republic [except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion]; Principality of Monaco; Principality of Andorra

R1660

 

 

 

Federal Republic of Germany

R1670

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R1680

 

 

 

Grand Duchy of Luxemburg

R1690

 

 

 

Kingdom of the Netherlands

R1700

 

 

 

Kingdom of Spain

R1710

 

 

 

Total Hail EEA Regions before diversification

R1720

 

 

 

Northern Europe

R1730

 

 

 

Western Europe

R1740

 

 

 

Eastern Europe

R1750

 

 

 

Southern Europe

R1760

 

 

 

Central and Western Asia

R1770

 

 

 

Eastern Asia

R1780

 

 

 

South and South-Eastern Asia

R1790

 

 

 

Oceania

R1800

 

 

 

Northern Africa

R1810

 

 

 

Southern Africa

R1820

 

 

 

Northern America excluding the United States of America

R1830

 

 

 

Caribbean and Central America

R1840

 

 

 

Eastern South America

R1850

 

 

 

Northern, southern and western South America

R1860

 

 

 

North-east United States of America

R1870

 

 

 

South-east United States of America

R1880

 

 

 

Mid-west United States of America

R1890

 

 

 

Western United States of America

R1900

 

 

 

Total Hail Other Regions before diversifications

R1910

 

 

 

Total Hail all Regions before diversification

R1920

 

 

 

Diversification effect between regions

R1930

 

 

 

Total Hail after diversification

R1940

 

 

 

Natural Catastrophe risk -Subsidence

 

Estimation of the gross premiums to be earned

Exposure

Specified Gross Loss

Catastrophe Risk Charge Factor before risk mitigation

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

 

 

C0390

C0400

C0410

C0420

C0430

C0440

Total Subsidence before diversification

R1950

 

 

 

 

 

 

Diversification effect between zones

R1960

 

 

 

 

 

 

Total Subsidence after diversification

R1970

 

 

 

 

 

 

Natural Catastrophe risk -Subsidence

 

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0450

C0460

Total Subsidence before diversification

R1950

 

 

Diversification effect between zones

R1960

 

 

Total Subsidence after diversification

R1970

 

 

Catastrophe risk — Non-proportional property reinsurance

 

Estimation of the premiums to be earned

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C0470

C0480

C0490

C0500

C0510

Non-proportional property reinsurance

R2000

 

 

 

 

 

Man made catastrophe risk — Motor Vehicle Liability

 

Number of vehicles policy limit above 24M€

Number of vehicles policy limit below or equal to 24M€

Catastrophe Risk Charge Motor Vehicle Liability before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Motor Vehicle Liability after risk mitigation

 

 

C0520

C0530

C0540

C0550

C0560

C0570

Motor Vehicle Liability

R2100

 

 

 

 

 

 

Man made catastrophe risk — Marine Tanker Collision

 

Catastrophe Risk Charge Share marine hull in tanker t before risk mitigation

Catastrophe Risk Charge Share marine liability in tanker t before risk mitigation

Catastrophe Risk Charge Share marine oil pollution liability in tanker t before risk mitigation

Catastrophe Risk Charge Marine Tanker Collision before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

(cont.)

 

 

C0580

C0590

C0600

C0610

C0620

C0630

 

Marine Tanker Collision

R2200

 

 

 

 

 

 

 

Man made catastrophe risk — Marine Tanker Collision

 

Catastrophe Risk Charge Marine Tanker Collision after risk mitigation

Name vessel

 

 

C0640

C0650

Marine Tanker Collision

R2200

 

 

Man made catastrophe risk — Marine Platform Explosion

 

Catastrophe Risk Charge Property damage before risk mitigation

Catastrophe Risk Charge Removal of wreckage before risk mitigation

Catastrophe Risk Charge Loss of production income before risk mitigation

Catastrophe Risk Charge Capping of the well or making the well secure before risk mitigation

Catastrophe Risk Charge Liability insurance and reinsurance obligations before risk mitigation

Catastrophe Risk Charge Marine Platform Explosion before risk mitigation

(cont.)

 

 

C0660

C0670

C0680

C0690

C0700

C0710

 

Marine Platform Explosion

R2300

 

 

 

 

 

 

 

Man made catastrophe risk — Marine Platform Explosion

 

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Marine Platform Explosion after risk mitigation

Name platform

 

 

C0720

C0730

C0740

C0750

Marine Platform Explosion

R2300

 

 

 

 

Man made catastrophe risk — Marine

 

Catastrophe Risk Charge Marine before risk mitigation

Estimated Total Risk Mitigation

Catastrophe Risk Charge Marine after risk mitigation

 

 

C0760

C0770

C0780

Total before diversification

R2400

 

 

 

Diversification between type of event

R2410

 

 

 

Total after diversification

R2420

 

 

 

Man made catastrophe risk — Aviation

 

Catastrophe risk Charge Aviation hull before risk mitigation

Catastrophe risk Charge Aviation liability before risk mitigation

Catastrophe Risk Charge Aviation before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Aviation after risk mitigation

 

 

C0790

C0800

C0810

C0820

C0830

C0840

Gross Catastrophe Risk Charge Aviation

R2500

 

 

 

 

 

 

Man made catastrophe risk — Fire

 

Catastrophe Risk Charge Fire before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Fire after risk mitigation

 

 

C0850

C0860

C0870

C0880

Fire

R2600

 

 

 

 

Man made catastrophe risk — Liability

 

Earned premium following 12 months

Largest liability limit provided

Number of claims

Catastrophe Risk Charge Liability before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Liability after risk mitigation

 

 

C0890

C0900

C0910

C0920

C0930

C0940

C0950

Professional malpractice liability

R2700

 

 

 

 

 

 

 

Employers liability

R2710

 

 

 

 

 

 

 

Directors and officers liability

R2720

 

 

 

 

 

 

 

Other liability

R2730

 

 

 

 

 

 

 

Non-proportional reinsurance

R2740

 

 

 

 

 

 

 

Total

R2750

 

 

 

 

 

 

 

Man made catastrophe risk — Liability

 

Catastrophe Risk Charge Liability before risk mitigation

Estimated Total Risk Mitigation

Catastrophe Risk Charge Liability after risk mitigation

 

 

C0960

C0970

C0980

Total before diversification

R2800

 

 

 

Diversification between type of cover

R2810

 

 

 

Total after diversification

R2820

 

 

 

Man made catastrophe risk — Credit & Suretyship — Large Credit Default

 

Exposure (individual or group)

Proportion of damage caused by scenario

Catastrophe Risk Charge Credit & Surety before risk mitigation — Large Credit Default

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Credit & Surety after risk mitigation — Large Credit Default

 

 

C0990

C1000

C1010

C1020

C1030

C1040

Largest exposure 1

R2900

 

 

 

 

 

 

Largest exposure 2

R2910

 

 

 

 

 

 

Total

R2920

 

 

 

 

 

 

Man made catastrophe risk — Credit & Suretyship — Recession Risk

 

Earned premium following 12 months

Catastrophe Risk Charge Credit & Suretyship before risk mitigation — Recession Risk

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge Credit & Suretyship after risk mitigation — Recession Risk

 

 

C1050

C1060

C1070

C1080

C1090

Total

R3000

 

 

 

 

 

Man made catastrophe risk — Credit & Suretyship

 

Catastrophe Risk Charge Credit & Suretyship before risk mitigation

Estimated Total Risk Mitigation

Catastrophe Risk Charge Credit & Suretyship after risk mitigation

 

 

C1100

C1110

C1120

Total before diversification

R3100

 

 

 

Diversification between type of event

R3110

 

 

 

Total after diversification

R3120

 

 

 

Other non-life catastrophe risk

 

Estimation of the gross premiums to be earned

Catastrophe Risk Charge Other non-life catastrophe risk before risk mitigation

Estimated Total Risk Mitigation

Catastrophe Risk Charge Other non-life catastrophe risk after risk mitigation

 

 

C1130

C1140

C1150

C1160

MAT other than Marine and Aviation

R3200

 

 

 

 

Non-proportional MAT reinsurance other than Marine and Aviation

R3210

 

 

 

 

Miscellaneous financial loss

R3220

 

 

 

 

Non-proportional Casualty reinsurance other than General liability

R3230

 

 

 

 

Non-proportional Credit & Surety reinsurance

R3240

 

 

 

 

Total before diversification

R3250

 

 

 

 

Diversification between groups of obligations

R3260

 

 

 

 

Total after diversification

R3270

 

 

 

 

 

 

Accidental death

Permanent disability

Disability 10 years

 

Health Catastrophe risk — Mass accident

 

# Policyholders

Total value of benefits payable

# Policyholders

Total value of benefits payable

# Policyholders

Total value of benefits payable

(cont.)

 

 

C1170

C1180

C1190

C1200

C1210

C1220

 

Republic of Austria

R3300

 

 

 

 

 

 

 

Kingdom of Belgium

R3310

 

 

 

 

 

 

 

Republic of Bulgaria

R3320

 

 

 

 

 

 

 

Republic of Croatia

R3330

 

 

 

 

 

 

 

Republic of Cyprus

R3340

 

 

 

 

 

 

 

Czech Republic

R3350

 

 

 

 

 

 

 

Kingdom of Denmark

R3360

 

 

 

 

 

 

 

Republic of Estonia

R3370

 

 

 

 

 

 

 

Republic of Finland

R3380

 

 

 

 

 

 

 

French Republic; Principality of Monaco; Principality of Andorra

R3390

 

 

 

 

 

 

 

Hellenic Republic

R3400

 

 

 

 

 

 

 

Federal Republic of Germany

R3410

 

 

 

 

 

 

 

Republic of Hungary

R3420

 

 

 

 

 

 

 

Republic of Iceland

R3430

 

 

 

 

 

 

 

Ireland

R3440

 

 

 

 

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R3450

 

 

 

 

 

 

 

Republic of Latvia

R3460

 

 

 

 

 

 

 

Republic of Lithuania

R3470

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R3480

 

 

 

 

 

 

 

Republic of Malta

R3490

 

 

 

 

 

 

 

Kingdom of the Netherlands

R3500

 

 

 

 

 

 

 

Kingdom of Norway

R3510

 

 

 

 

 

 

 

Republic of Poland

R3520

 

 

 

 

 

 

 

Portuguese Republic

R3530

 

 

 

 

 

 

 

Romania

R3540

 

 

 

 

 

 

 

Slovak Republic

R3550

 

 

 

 

 

 

 

Republic of Slovenia

R3560

 

 

 

 

 

 

 

Kingdom of Spain

R3570

 

 

 

 

 

 

 

Kingdom of Sweden

R3580

 

 

 

 

 

 

 

Swiss Confederation

R3590

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R3600

 

 

 

 

 

 

 

Total Mass accident all countries before diversification

R3610

 

 

 

 

 

 

 

Diversification effect between countries

R3620

 

 

 

 

 

 

 

Total Mass accident all countries after diversification

R3630

 

 

 

 

 

 

 

 

 

Disability 12 months

Medical treatment

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

 

Health Catastrophe risk — Mass accident

 

# Policyholders

Total value of benefits payable

# Policyholders

Total value of benefits payable

(cont.)

 

 

C1230

C1240

C1250

C1260

C1270

C1280

 

Republic of Austria

R3300

 

 

 

 

 

 

 

Kingdom of Belgium

R3310

 

 

 

 

 

 

 

Republic of Bulgaria

R3320

 

 

 

 

 

 

 

Republic of Croatia

R3330

 

 

 

 

 

 

 

Republic of Cyprus

R3340

 

 

 

 

 

 

 

Czech Republic

R3350

 

 

 

 

 

 

 

Kingdom of Denmark

R3360

 

 

 

 

 

 

 

Republic of Estonia

R3370

 

 

 

 

 

 

 

Republic of Finland

R3380

 

 

 

 

 

 

 

French Republic; Principality of Monaco; Principality of Andorra

R3390

 

 

 

 

 

 

 

Hellenic Republic

R3400

 

 

 

 

 

 

 

Federal Republic of Germany

R3410

 

 

 

 

 

 

 

Republic of Hungary

R3420

 

 

 

 

 

 

 

Republic of Iceland

R3430

 

 

 

 

 

 

 

Ireland

R3440

 

 

 

 

 

 

 

Italian Republic; Republic of San Marino; Vatican City State

R3450

 

 

 

 

 

 

 

Republic of Latvia

R3460

 

 

 

 

 

 

 

Republic of Lithuania

R3470

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R3480

 

 

 

 

 

 

 

Republic of Malta

R3490

 

 

 

 

 

 

 

Kingdom of the Netherlands

R3500

 

 

 

 

 

 

 

Kingdom of Norway

R3510

 

 

 

 

 

 

 

Republic of Poland

R3520

 

 

 

 

 

 

 

Portuguese Republic

R3530

 

 

 

 

 

 

 

Romania

R3540

 

 

 

 

 

 

 

Slovak Republic

R3550

 

 

 

 

 

 

 

Republic of Slovenia

R3560

 

 

 

 

 

 

 

Kingdom of Spain

R3570

 

 

 

 

 

 

 

Kingdom of Sweden

R3580

 

 

 

 

 

 

 

Swiss Confederation

R3590

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R3600

 

 

 

 

 

 

 

Total Mass accident all countries before diversification

R3610

 

 

 

 

 

 

 

Diversification effect between countries

R3620

 

 

 

 

 

 

 

Total Mass accident all countries after diversification

R3630

 

 

 

 

 

 

 

Health Catastrophe risk — Mass accident

 

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C1290

C1300

Republic of Austria

R3300

 

 

Kingdom of Belgium

R3310

 

 

Republic of Bulgaria

R3320

 

 

Republic of Croatia

R3330

 

 

Republic of Cyprus

R3340

 

 

Czech Republic

R3350

 

 

Kingdom of Denmark

R3360

 

 

Republic of Estonia

R3370

 

 

Republic of Finland

R3380

 

 

French Republic; Principality of Monaco; Principality of Andorra

R3390

 

 

Hellenic Republic

R3400

 

 

Federal Republic of Germany

R3410

 

 

Republic of Hungary

R3420

 

 

Republic of Iceland

R3430

 

 

Ireland

R3440

 

 

Italian Republic; Republic of San Marino; Vatican City State

R3450

 

 

Republic of Latvia

R3460

 

 

Republic of Lithuania

R3470

 

 

Grand Duchy of Luxemburg

R3480

 

 

Republic of Malta

R3490

 

 

Kingdom of the Netherlands

R3500

 

 

Kingdom of Norway

R3510

 

 

Republic of Poland

R3520

 

 

Portuguese Republic

R3530

 

 

Romania

R3540

 

 

Slovak Republic

R3550

 

 

Republic of Slovenia

R3560

 

 

Kingdom of Spain

R3570

 

 

Kingdom of Sweden

R3580

 

 

Swiss Confederation

R3590

 

 

United Kingdom of Great Britain and Northern Ireland

R3600

 

 

Total Mass accident all countries before diversification

R3610

 

 

Diversification effect between countries

R3620

 

 

Total Mass accident all countries after diversification

R3630

 

 

Health Catastrophe risk — Concentration accident

 

Largest known accident risk concentration

Accidental death

Permanent disability

Disability 10 years

Disability 12 months

Medical treatment

 

 

Average sum insured

Average sum insured

Average sum insured

Average sum insured

Average sum insured

(cont.)

 

 

C1310

C1320

C1330

C1340

C1350

C1360

 

Republic of Austria

R3700

 

 

 

 

 

 

 

Kingdom of Belgium

R3710

 

 

 

 

 

 

 

Republic of Bulgaria

R3720

 

 

 

 

 

 

 

Republic of Croatia

R3730

 

 

 

 

 

 

 

Republic of Cyprus

R3740

 

 

 

 

 

 

 

Czech Republic

R3750

 

 

 

 

 

 

 

Kingdom of Denmark

R3760

 

 

 

 

 

 

 

Republic of Estonia

R3770

 

 

 

 

 

 

 

Republic of Finland

R3780

 

 

 

 

 

 

 

French Republic

R3790

 

 

 

 

 

 

 

Hellenic Republic

R3800

 

 

 

 

 

 

 

Federal Republic of Germany

R3810

 

 

 

 

 

 

 

Republic of Hungary

R3820

 

 

 

 

 

 

 

Republic of Iceland

R3830

 

 

 

 

 

 

 

Ireland

R3840

 

 

 

 

 

 

 

Italian Republic

R3850

 

 

 

 

 

 

 

Republic of Latvia

R3860

 

 

 

 

 

 

 

Republic of Lithuania

R3870

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R3880

 

 

 

 

 

 

 

Republic of Malta

R3890

 

 

 

 

 

 

 

Kingdom of the Netherlands

R3900

 

 

 

 

 

 

 

Kingdom of Norway

R3910

 

 

 

 

 

 

 

Republic of Poland

R3920

 

 

 

 

 

 

 

Portuguese Republic

R3930

 

 

 

 

 

 

 

Romania

R3940

 

 

 

 

 

 

 

Slovak Republic

R3950

 

 

 

 

 

 

 

Republic of Slovenia

R3960

 

 

 

 

 

 

 

Kingdom of Spain

R3970

 

 

 

 

 

 

 

Kingdom of Sweden

R3980

 

 

 

 

 

 

 

Swiss Confederation

R3990

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R4000

 

 

 

 

 

 

 

Health Catastrophe risk — Concentration accident

 

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C1370

C1380

C1390

C1400

Republic of Austria

R3700

 

 

 

 

Kingdom of Belgium

R3710

 

 

 

 

Republic of Bulgaria

R3720

 

 

 

 

Republic of Croatia

R3730

 

 

 

 

Republic of Cyprus

R3740

 

 

 

 

Czech Republic

R3750

 

 

 

 

Kingdom of Denmark

R3760

 

 

 

 

Republic of Estonia

R3770

 

 

 

 

Republic of Finland

R3780

 

 

 

 

French Republic

R3790

 

 

 

 

Hellenic Republic

R3800

 

 

 

 

Federal Republic of Germany

R3810

 

 

 

 

Republic of Hungary

R3820

 

 

 

 

Republic of Iceland

R3830

 

 

 

 

Ireland

R3840

 

 

 

 

Italian Republic

R3850

 

 

 

 

Republic of Latvia

R3860

 

 

 

 

Republic of Lithuania

R3870

 

 

 

 

Grand Duchy of Luxemburg

R3880

 

 

 

 

Republic of Malta

R3890

 

 

 

 

Kingdom of the Netherlands

R3900

 

 

 

 

Kingdom of Norway

R3910

 

 

 

 

Republic of Poland

R3920

 

 

 

 

Portuguese Republic

R3930

 

 

 

 

Romania

R3940

 

 

 

 

Slovak Republic

R3950

 

 

 

 

Republic of Slovenia

R3960

 

 

 

 

Kingdom of Spain

R3970

 

 

 

 

Kingdom of Sweden

R3980

 

 

 

 

Swiss Confederation

R3990

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R4000

 

 

 

 

Health Catastrophe risk — Concentration accident

 

Largest known accident risk concentration

Accidental death

Permanent disability

Disability 10 years

Disability 12 months

Medical treatment

 

 

Average sum insured

Average sum insured

Average sum insured

Average sum insured

Average sum insured

(cont.)

 

 

C1310

C1320

C1330

C1340

C1350

C1360

 

Other countries to be considered in the Concentration accident

 

 

 

 

 

 

 

 

C1410

 

 

 

 

 

 

 

 

Country 1

R4010

 

 

 

 

 

 

 

…

 

 

 

 

 

 

 

 

Health Catastrophe risk — Concentration accident

 

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

C1370

C1380

C1390

C1400

Other countries to be considered in the Concentration accident

 

 

 

 

 

C1410

 

 

 

 

 

Country 1

R4010

 

 

 

 

…

 

 

 

 

 

Health Catastrophe risk — Concentration accident

 

Largest known accident risk concentration

Accidental death

Permanent disability

Disability 10 years

Disability 12 months

Medical treatment

 

 

Average sum insured

Average sum insured

Average sum insured

Average sum insured

Average sum insured

(cont.)

 

 

C1310

C1320

C1330

C1340

C1350

C1360

 

Total Concentration accident all countries before diversification

R4020

 

 

 

 

 

 

 

Diversification effect between countries

R4030

 

 

 

 

 

 

 

Total Concentration accident all countries after diversification

R4040

 

 

 

 

 

 

 

Health Catastrophe risk — Concentration accident

 

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

 

 

 

C1370

C1380

C1390

C1400

Total Concentration accident all countries before diversification

R4020

 

 

 

 

Diversification effect between countries

R4030

 

 

 

 

Total Concentration accident all countries after diversification

R4040

 

 

 

 

Health Catastrophe risk — Pandemic

 

Income protection

Medical expense

 

Number of insured people

Total pandemic exposure

Number of insured persons

Unit claim cost hospitalisation

Ratio of insured persons using hospitalisation

Unit claim cost medical practitioner

(cont.)

 

 

C1420

C1430

C1440

C1450

C1460

C1470

 

Republic of Austria

R4100

 

 

 

 

 

 

 

Kingdom of Belgium

R4110

 

 

 

 

 

 

 

Republic of Bulgaria

R4120

 

 

 

 

 

 

 

Republic of Croatia

R4130

 

 

 

 

 

 

 

Republic of Cyprus

R4140

 

 

 

 

 

 

 

Czech Republic

R4150

 

 

 

 

 

 

 

Kingdom of Denmark

R4160

 

 

 

 

 

 

 

Republic of Estonia

R4170

 

 

 

 

 

 

 

Republic of Finland

R4180

 

 

 

 

 

 

 

French Republic

R4190

 

 

 

 

 

 

 

Hellenic Republic

R4200

 

 

 

 

 

 

 

Federal Republic of Germany

R4210

 

 

 

 

 

 

 

Republic of Hungary

R4220

 

 

 

 

 

 

 

Republic of Iceland

R4230

 

 

 

 

 

 

 

Ireland

R4240

 

 

 

 

 

 

 

Italian Republic

R4250

 

 

 

 

 

 

 

Republic of Latvia

R4260

 

 

 

 

 

 

 

Republic of Lithuania

R4270

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R4280

 

 

 

 

 

 

 

Republic of Malta

R4290

 

 

 

 

 

 

 

Kingdom of the Netherlands

R4300

 

 

 

 

 

 

 

Kingdom of Norway

R4310

 

 

 

 

 

 

 

Republic of Poland

R4320

 

 

 

 

 

 

 

Portuguese Republic

R4330

 

 

 

 

 

 

 

Romania

R4340

 

 

 

 

 

 

 

Slovak Republic

R4350

 

 

 

 

 

 

 

Republic of Slovenia

R4360

 

 

 

 

 

 

 

Kingdom of Spain

R4370

 

 

 

 

 

 

 

Kingdom of Sweden

R4380

 

 

 

 

 

 

 

Swiss Confederation

R4390

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R4400

 

 

 

 

 

 

 

Health Catastrophe risk — Pandemic

 

Medical expense

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

Ratio of insured persons using medical practitioner

Unit claim cost no formal medical care

Ratio of insured persons using no formal medical care

 

 

C1480

C1490

C1500

C1510

C1520

C1530

C1540

Republic of Austria

R4100

 

 

 

 

 

 

 

Kingdom of Belgium

R4110

 

 

 

 

 

 

 

Republic of Bulgaria

R4120

 

 

 

 

 

 

 

Republic of Croatia

R4130

 

 

 

 

 

 

 

Republic of Cyprus

R4140

 

 

 

 

 

 

 

Czech Republic

R4150

 

 

 

 

 

 

 

Kingdom of Denmark

R4160

 

 

 

 

 

 

 

Republic of Estonia

R4170

 

 

 

 

 

 

 

Republic of Finland

R4180

 

 

 

 

 

 

 

French Republic

R4190

 

 

 

 

 

 

 

Hellenic Republic

R4200

 

 

 

 

 

 

 

Federal Republic of Germany

R4210

 

 

 

 

 

 

 

Republic of Hungary

R4220

 

 

 

 

 

 

 

Republic of Iceland

R4230

 

 

 

 

 

 

 

Ireland

R4240

 

 

 

 

 

 

 

Italian Republic

R4250

 

 

 

 

 

 

 

Republic of Latvia

R4260

 

 

 

 

 

 

 

Republic of Lithuania

R4270

 

 

 

 

 

 

 

Grand Duchy of Luxemburg

R4280

 

 

 

 

 

 

 

Republic of Malta

R4290

 

 

 

 

 

 

 

Kingdom of the Netherlands

R4300

 

 

 

 

 

 

 

Kingdom of Norway

R4310

 

 

 

 

 

 

 

Republic of Poland

R4320

 

 

 

 

 

 

 

Portuguese Republic

R4330

 

 

 

 

 

 

 

Romania

R4340

 

 

 

 

 

 

 

Slovak Republic

R4350

 

 

 

 

 

 

 

Republic of Slovenia

R4360

 

 

 

 

 

 

 

Kingdom of Spain

R4370

 

 

 

 

 

 

 

Kingdom of Sweden

R4380

 

 

 

 

 

 

 

Swiss Confederation

R4390

 

 

 

 

 

 

 

United Kingdom of Great Britain and Northern Ireland

R4400

 

 

 

 

 

 

 

 

 

Income protection

Medical expense

 

Health Catastrophe risk — Pandemic

 

Number of insured people

Total pandemic exposure

Number of insured persons

Unit claim cost hospitalisation

Ratio of insured persons using hospitalisation

Unit claim cost medical practitioner

(cont.)

 

 

C1420

C1430

C1440

C1450

C1460

C1470

 

Other countries to be considered in the Pandemic

 

 

 

 

 

 

 

 

C1550

 

 

 

 

 

 

 

 

Country 1

R4410

 

 

 

 

 

 

 

…

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Pandemic all countries

R4420

 

 

 

 

 

 

 

 

 

Medical expense

Catastrophe Risk Charge before risk mitigation

Estimated Risk Mitigation

Estimated Reinstatement Premiums

Catastrophe Risk Charge after risk mitigation

Health Catastrophe risk — Pandemic

 

Ratio of insured persons using medical practitioner

Unit claim cost no formal medical care

Ratio of insured persons using no formal medical care

 

 

C1480

C1490

C1500

C1510

C1520

C1530

C1540

Other countries to be considered in the Pandemic

 

 

 

 

 

 

 

 

C1550

 

 

 

 

 

 

 

 

Country 1

R4410

 

 

 

 

 

 

 

…

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Pandemic all countries

R4420

 

 

 

 

 

 

 
S.28.01.01
Minimum Capital Requirement — Only life or only non-life insurance or reinsurance activity
Linear formula component for non-life insurance and reinsurance obligations

 

 

C0010

MCRNL Result

R0010

 

 

 

 

 

Net (of reinsurance/SPV) best estimate and TP calculated as a whole

Net (of reinsurance) written premiums in the last 12 months

 

 

 

 

C0020

C0030

Medical expense insurance and proportional reinsurance

R0020

 

 

Income protection insurance and proportional reinsurance

R0030

 

 

Workers' compensation insurance and proportional reinsurance

R0040

 

 

Motor vehicle liability insurance and proportional reinsurance

R0050

 

 

Other motor insurance and proportional reinsurance

R0060

 

 

Marine, aviation and transport insurance and proportional reinsurance

R0070

 

 

Fire and other damage to property insurance and proportional reinsurance

R0080

 

 

General liability insurance and proportional reinsurance

R0090

 

 

Credit and suretyship insurance and proportional reinsurance

R0100

 

 

Legal expenses insurance and proportional reinsurance

R0110

 

 

Assistance and proportional reinsurance

R0120

 

 

Miscellaneous financial loss insurance and proportional reinsurance

R0130

 

 

Non-proportional health reinsurance

R0140

 

 

Non-proportional casualty reinsurance

R0150

 

 

Non-proportional marine, aviation and transport reinsurance

R0160

 

 

Non-proportional property reinsurance

R0170

 

 
Linear formula component for life insurance and reinsurance obligations

 

 

C0040

MCRL Result

R0200

 

 

 

 

 

Net (of reinsurance/SPV) best estimate and TP calculated as a whole

Net (of reinsurance/SPV) total capital at risk

 

 

 

 

C0050

C0060

Obligations with profit participation — guaranteed benefits

R0210

 

 

Obligations with profit participation — future discretionary benefits

R0220

 

 

Index-linked and unit-linked insurance obligations

R0230

 

 

Other life (re)insurance and health (re)insurance obligations

R0240

 

 

Total capital at risk for all life (re)insurance obligations

R0250

 

 
Overall MCR calculation

 

 

C0070

Linear MCR

R0300

 

SCR

R0310

 

MCR cap

R0320

 

MCR floor

R0330

 

Combined MCR

R0340

 

Absolute floor of the MCR

R0350

 

 

 

C0070

Minimum Capital Requirement

R0400

 
S.28.02.01
Minimum Capital Requirement — Both life and non-life insurance activity

 

 

Non-life activities

Life activities

 

Non-life activities

Life activities

 

 

MCR(NL,NL) Result

MCR(NL,L)Result

 

 

 

 

 

 

 

C0010

C0020

 

 

 

 

 

Linear formula component for non-life insurance and reinsurance obligations

R0010

 

 

 

 

 

 

 

 

 

 

 

 

Net (of reinsurance/ SPV) best estimate and TP calculated as a whole

Net (of reinsurance) written premiums in the last 12 months

Net (of reinsurance/SPV) best estimate and TP calculated as a whole

Net (of reinsurance) written premiums in the last 12 months

 

 

 

 

 

C0030

C0040

C0050

C0060

Medical expense insurance and proportional reinsurance

R0020

 

 

 

 

Income protection insurance and proportional reinsurance

R0030

 

 

 

 

Workers' compensation insurance and proportional reinsurance

R0040

 

 

 

 

Motor vehicle liability insurance and proportional reinsurance

R0050

 

 

 

 

Other motor insurance and proportional reinsurance

R0060

 

 

 

 

Marine, aviation and transport insurance and proportional reinsurance

R0070

 

 

 

 

Fire and other damage to property insurance and proportional reinsurance

R0080

 

 

 

 

General liability insurance and proportional reinsurance

R0090

 

 

 

 

Credit and suretyship insurance and proportional reinsurance

R0100

 

 

 

 

Legal expenses insurance and proportional reinsurance

R0110

 

 

 

 

Assistance and proportional reinsurance

R0120

 

 

 

 

Miscellaneous financial loss insurance and proportional reinsurance

R0130

 

 

 

 

Non-proportional health reinsurance

R0140

 

 

 

 

Non-proportional casualty reinsurance

R0150

 

 

 

 

Non-proportional marine, aviation and transport reinsurance

R0160

 

 

 

 

Non-proportional property reinsurance

R0170

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-life activities

Life activities

 

Non-life activities

Life activities

 

 

MCR(L,NL) Result

MCR(L,L) Result

 

 

 

 

 

 

 

C0070

C0080

 

 

 

 

 

Linear formula component for life insurance and reinsurance obligations

R0200

 

 

 

 

 

 

 

 

 

 

 

 

Net (of reinsurance/SPV) best estimate and TP calculated as a whole

Net (of reinsurance/SPV) total capital at risk

Net (of reinsurance/SPV) best estimate and TP calculated as a whole

Net (of reinsurance/SPV) total capital at risk

 

 

 

 

 

C0090

C0100

C0110

C0120

Obligations with profit participation — guaranteed benefits

R0210

 

 

 

 

Obligations with profit participation — future discretionary benefits

R0220

 

 

 

 

Index-linked and unit-linked insurance obligations

R0230

 

 

 

 

Other life (re)insurance and health (re)insurance obligations

R0240

 

 

 

 

Total capital at risk for all life (re)insurance obligations

R0250

 

 

 

 
Overall MCR calculation

 

 

C0130

Linear MCR

R0300

 

SCR

R0310

 

MCR cap

R0320

 

MCR floor

R0330

 

Combined MCR

R0340

 

Absolute floor of the MCR

R0350

 

 

 

C0130

Minimum Capital Requirement

R0400

 

Notional non-life and life MCR calculation

 

Non-life activities

Life activities

 

 

C0140

C0150

Notional linear MCR

R0500

 

 

Notional SCR excluding add-on (annual or latest calculation)

R0510

 

 

Notional MCR cap

R0520

 

 

Notional MCR floor

R0530

 

 

Notional Combined MCR

R0540

 

 

Absolute floor of the notional MCR

R0550

 

 

Notional MCR

R0560

 

 
S.29.01.01
Excess of Assets over Liabilities

 

 

Year N

Year N-1

Variation

Basic own funds before deduction for participations in other financial sector as foreseen in article 68 of Delegated Regulation 2015/35

 

C0010

C0020

C0030

Ordinary share capital (gross of own shares)

R0010

 

 

 

Share premium account related to ordinary share capital

R0020

 

 

 

Initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual-type undertakings

R0030

 

 

 

Subordinated mutual member accounts

R0040

 

 

 

Surplus funds

R0050

 

 

 

Preference shares

R0060

 

 

 

Share premium account related to preference shares

R0070

 

 

 

Reconciliation reserve before deduction for participations

R0080

 

 

 

Subordinated liabilities

R0090

 

 

 

An amount equal to the value of net deferred tax assets

R0100

 

 

 

Other own fund items approved by the supervisory authority as basic own funds not specified above

R0110

 

 

 

Variation of total BOF items before adjustments

R0120

 

 

 

Variation of components of reconciliation reserve — Items reported in ‘Own funds’

 

 

 

 

Excess of assets over liabilities (Variations of BOF explained by Variation Analysis Templates)

R0130

 

 

 

Own shares

R0140

 

 

 

Forseeable dividends, distributions and charges

R0150

 

 

 

Other basic own fund items

R0160

 

 

 

Restricted own fund items due to ring fencing and matching

R0170

 

 

 

Total variation of Reconciliation Reserve

R0180

 

 

 

Summary Analysis of Variation of Excess of Assets over Liabilities

 

 

 

 

Variations due to investments and financial liabilities

R0190

 

 

 

Variations due to technical provisions

R0200

 

 

 

Variations in capital basic own fund items and other items approved

R0210

 

 

 

Variation in Deffered Tax position

R0220

 

 

 

Income Tax of the reporting period

R0230

 

 

 

Dividend distribution

R0240

 

 

 

Other variations in Excess of Assets over Liabilities

R0250

 

 

 
S.29.02.01
Excess of Assets over Liabilities — explained by investments and financial liabilities

Analysis of movements affecting Excess of Assets over Liabilities

 

 

Of which movements in valuation with an impact on Excess of Assets over Liabilities

 

C0010

Valuation movements on investments

R0010

 

Valuation movements on own shares

R0020

 

Valuation movements on financial liabilities and subordinated liabilities

R0030

 

Of which Investments revenues and expenses with an impact on Excess of Assets over Liabilities

 

 

Investment revenues

R0040

 

Investments expenses incl. Interest charges on subordinated and financial liabilities

R0050

 

Variation in Excess of Assets over Liabilities explained by Investments and financial liabilities management

R0060

 

Detail of Investment revenues

 

 

Dividends

R0070

 

Interests

R0080

 

Rents

R0090

 

Other

R0100

 
S.29.03.01
Excess of Assets over Liabilities — explained by technical provisions

Of which the following breakdown of Variation in Best Estimate — analysis per UWY if applicable

 

LIFE

NON LIFE

 

 

Gross of reinsurance

Gross of reinsurance

 

 

C0010

C0020

Opening Best Estimate

R0010

 

 

Exceptional elements triggering restating of opening Best Estimate

R0020

 

 

Changes in perimeter

R0030

 

 

Foreign exchange variation

R0040

 

 

Best Estimate on risk accepted during the period

R0050

 

 

Variation of Best Estimate due to unwinding of discount rate — risks accepted prior to period

R0060

 

 

Variation of Best Estimate due to year N projected in and out flows — risks accepted prior to period

R0070

 

 

Variation of Best Estimate due to experience — risks accepted prior to period

R0080

 

 

Variation of Best Estimate due to changes in non economic assumptions — risks accepted prior to period

R0090

 

 

Variation of Best Estimate due to changes in economic environment — risks accepted prior to period

R0100

 

 

Other changes not elsewhere explained

R0110

 

 

Closing Best Estimate

R0120

 

 

 

 

LIFE

NON LIFE

 

 

Reinsurance recoverables

Reinsurance recoverables

 

 

C0030

C0040

Openning Best Estimate

R0130

 

 

Closing Best Estimate

R0140

 

 
Of which the following breakdown of Variation in Best Estimate — analysis per AY if applicable

 

 

LIFE

NON LIFE

 

 

Gross of reinsurance

Gross of reinsurance

 

 

C0050

C0060

Opening Best Estimate

R0150

 

 

Exceptional elements triggering restating of opening Best Estimate

R0160

 

 

Changes in perimeter

R0170

 

 

Foreign exchange variation

R0180

 

 

Variation of Best Estimate on risk covered after the period

R0190

 

 

Variation of Best Estimate on risks covered during the period

R0200

 

 

Variation of Best Estimate due to unwinding of discount rate — risks covered prior to period

R0210

 

 

Variation of Best Estimate due to year N projected in and out flows — risks covered prior to period

R0220

 

 

Variation of Best Estimate due to experience and other sources — risks covered prior to period

R0230

 

 

Variation of Best Estimate due to changes in non economic assumptions — risks covered prior to period

R0240

 

 

Variation of Best Estimate due to changes in economic environment — risks covered prior to period

R0250

 

 

Other changes not elsewhere explained

R0260

 

 

Closing Best Estimate

R0270

 

 

 

 

LIFE

NON LIFE

 

 

Reinsurance recoverables

Reinsurance recoverables

 

 

C0070

C0080

Openning Best Estimate

R0280

 

 

Closing Best Estimate

R0290

 

 
Of which adjustments in Technical Provisions related to valuation of Unit linked contracts, with theoretically a neutralizing impact on Assets over Liabilities

 

 

LIFE

 

 

C0090

Variation in Investments in unit-linked

R0300

 
Technical flows affecting Technical provisions

 

 

LIFE

NON LIFE

 

 

C0100

C0110

Premiums written during the period

R0310

 

 

Claims and Benefits during the period, net of salvages and subrogations

R0320

 

 

Expenses (excluding Investment expenses)

R0330

 

 

Total technical flows on gross technical provisions

R0340

 

 

Technical flows related to reinsurance during the period (recoverables received net of premiums paid)

R0350

 

 
Variation in Excess of Assets over Liabilities explained by Technical provisions

 

 

LIFE

NON LIFE

 

 

C0120

C0130

Gross Technical Provisions

R0360

 

 

Reinsurance recoverables

R0370

 

 
S.29.04.01
Detailed analysis per period — Technical flows versus Technical provisions
Detailed analysis per period — Technical flows versus Technical provisions — UWY

 

 

Line of Business

 

 

 

Z0010

 

 

 

 

 

 

 

 

 

 

 

Risks accepted during period

Risks accepted prior to period

 

 

C0010

C0020

Written premiums underwritten during period

R0010

 

 

Claims and benefits — net of salvages and subrogations recovered

R0020

 

 

Expenses (related to insurance and reinsurance obligations)

R0030

 

 

Variation of Best Estimate

R0040

 

 

Variation of TP as a whole

R0050

 

 

Adjustment of valuation of Assets held for unit-linked funds

R0060

 

 

Total

R0070

 

 
Detailed analysis per period — Technical flows versus Technical provisions — AY

 

 

Risks covered after the period

Risks covered during the period

Risks covered prior to period

 

 

C0030

C0040

C0050

Premiums earned/to be earned

R0080

 

 

 

Claims and benefits — net of salvages and subrogations recovered

R0090

 

 

 

Expenses (related to insurance and reinsurance obligations)

R0100

 

 

 

Variation of BE

R0110

 

 

 

Variation of TP as a whole

R0120

 

 

 

Adjustment of valuation of Assets held for unit-linked funds

R0130

 

 

 

Total

R0140

 

 

 
S.30.01.01
Facultative covers for non-life and life business basic data
Facultative covers non-life (10 most important risks in terms of reinsured exposure)

Line of business

 

 

 

 

 

 

 

 

 

 

Z0010

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinsurance program code

Risk identification code

Facultative reinsurance placement identification code

Finite reinsurance or similar arrangements

Proportional

Identification of the company/ person to which the risk relates

Description risk

Description risk category covered

Validity period (start date)

Validity period (expiry date)

(cont.)

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

 

 

 

 

 

 

 

 

 

 

 

 

Currency

Sum insured

Type of underwriting model

Amount underwriting model

Sum reinsured on a facultative basis, with all reinsurers

Facultative reinsurance premium ceded to all reinsurers for 100 % of the reinsurance placement

Facultative reinsurance commission

C0120

C0130

C0140

C0150

C0160

C0170

C0180

 

 

 

 

 

 

 
Facultative covers life (10 most important risks in terms of reinsured exposure)

Line of business

 

 

 

 

 

 

 

 

 

 

Z0010

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinsurance program code

Risk identification code

Facultative reinsurance placement identification code

Finite reinsurance or similar arrangements

Proportional

Identification of the company/ person to which the risk relates

Description risk category covered

Validity period (start date)

Validity period (expiry date)

Currency

(cont.)

C0190

C0200

C0210

C0220

C0230

C0240

C0250

C0260

C0270

C0280

 

 

 

 

 

 

 

 

 

 

 

 

Sum Insured

Capital at risk

Sum reinsured on a facultative basis, with all reinsurers

Facultative reinsurance premium ceded to all reinsurers for 100 % of the reinsurance placement

Facultative reinsurance commission

C0290

C0300

C0310

C0320

C0330

 

 

 

 

 
S.30.02.01
Facultative covers for non-life and life business shares data
Facultative covers non-life (10 most important risks in terms of reinsured exposure)

Line of business

 

 

 

 

 

 

 

 

 

 

 

 

Z0010

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinsurance program code

Risk identification code

Facultative reinsurance placement identification code

Code reinsurer

Type of code reinsurer

Code broker

Type of code broker

Activity code broker

Share reinsurer (%)

Currency

Sum reinsured to facultative reinsurer

Facultative ceded reinsurance premium

Annotations

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

C0120

C0130

C0140

 

 

 

 

 

 

 

 

 

 

 

 

 
Facultative covers life (10 most important risks in terms of reinsured exposure)

Line of business

 

 

 

 

 

 

 

 

 

 

Z0010

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinsurance program code

Risk identification code

Facultative reinsurance placement identification code

Code reinsurer

Type of code reinsurer

Code broker

Type of code broker

Activity code broker

Share reinsurer (%)

Currency

Sum reinsured to facultative reinsurer

Facultative ceded reinsurance premium

Annotations

C0150

C0160

C0170

C0180

C0190

C0200

C0210

C0220

C0230

C0240

C0250

C0260

C0270

 

 

 

 

 

 

 

 

 

 

 

 

 
Information on reinsurers and brokers

Code reinsurer

Type of code reinsurer

Legal name reinsurer

Type of reinsurer

Country of residency

External rating assessment by nominated ECAI

Nominated ECAI

Credit quality step

Internal rating

C0280

C0290

C0300

C0310

C0320

C0330

C0340

C0350

C0360

 

 

 

 

 

 

 

 

 

Code broker

Type of code broker

Legal name broker

C0370

C0380

C0390

 

 

 
S.30.03.01
Outgoing Reinsurance Program basic data

Reinsurance program code

Treaty identification code

Progressive section number in treaty

Progressive number of surplus/ layer in program

Quantity of surplus/ layers in program

Finite reinsurance or similar arrangements

Line of business

Description risk category covered

Type of reinsurance treaty

Inclusion of catastrophic reinsurance cover

Validity period (start date)

(cont.)

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

 

 

 

 

 

 

 

 

 

 

 

 

 

Validity period (expiry date)

Currency

Type of underwriting model

Estimated Subject Premium income (XL-ESPI)

Gross Estimated Treaty Premium Income (proportional and non proportional)

Aggregate deductibles (amount)

Aggregate deductibles (%)

Retention or priority (amount)

Retention or priority (%)

Limit (amount)

Limit (%)

(cont.)

C0120

C0130

C0140

C0150

C0160

C0170

C0180

C0190

C0200

C0210

C0220

 

 

 

 

 

 

 

 

 

 

 

 

 

Maximum cover per risk or event

Maximum cover per treaty

Number of reinstatements

Descriptions of reinstatements

Maximum reinsurance commission

Minimum reinsurance commission

Expected reinsurance commission

Maximum overriding commission

Minimum overriding commission

Expected overriding commission

Maximum profit commission

(cont.)

C0230

C0240

C0250

C0260

C0270

C0280

C0290

C0300

C0310

C0320

C0330

 

 

 

 

 

 

 

 

 

 

 

 

 

Minimum profit commission

Expected profit commission

XL rate 1

XL rate 2

XL premium flat

C0340

C0350

C0360

C0370

C0380

 

 

 

 

 
S.30.04.01
Outgoing Reinsurance Program shares data

Reinsurance program code

Treaty identification code

Progressive section number in treaty

Progressive number of surplus/ layer in program

Code reinsurer

Type of code reinsurer

Code broker

Type of code broker

Activity code broker

Share reinsurer (%)

(cont.)

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

 

 

 

 

 

 

 

 

 

 

 

 

Exposure ceded for reinsurer's share

(amount)

Type of collateral (if applicable)

Description of the reinsurers limit collateralised

Code collateral provider (if applicable)

Type of code of collateral provider

Estimated outgoing reinsurance premium for reinsurer's share

Annotations

C0110

C0120

C0130

C0140

C0150

C0160

C0170

 

 

 

 

 

 

 
Information on reinsurers and brokers

Code reinsurer

Type of code reinsurer

Legal name reinsurer

Type of reinsurer

Country of residency

External rating assessment by nominated ECAI

Nominated ECAI

Credit quality step

Internal rating

C0180

C0190

C0200

C0210

C0220

C0230

C0240

C0250

C0260

 

 

 

 

 

 

 

 

 

Code broker

Type of code broker

Legal name broker

C0270

C0280

C0290

 

 

 

Code collateral provider (if applicable)

Type of code collateral provider (if applicable)

Collateral provider name (if applicable)

C0300

C0310

C0320

 

 

 
S.31.01.01
Share of reinsurers (including Finite Reinsurance and SPV's)

Code reinsurer

Type of code reinsurer

Reinsurance recoverables: Premium provision Non-life including Non-SLT Health

Reinsurance recoverables: Claims provisions Non-life including Non-SLT Health

Reinsurance recoverables: Technical provisions Life including SLT Health

Adjustment for expected losses due to counterparty default

Reinsurance recoverables: Total reinsurance recoverables

Net receivables

Assets pledged by reinsurer

Financial guarantees

Cash deposits

Total guarantees received

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

C0120

C0130

C0140

C0150

 

 

 

 

 

 

 

 

 

 

 

 
Information on reinsurers

Code reinsurer

Type of code reinsurer

Legal name reinsurer

Type of reinsurer

Country of residency

External rating assessment by nominated ECAI

Nominated ECAI

Credit quality step

Internal rating

C0160

C0170

C0180

C0190

C0200

C0210

C0220

C0230

C0240

 

 

 

 

 

 

 

 

 
S.31.01.04
Share of reinsurers (including Finite Reinsurance and SPV's)

Legal name of reinsured undertaking

Identification code of the undertaking

Type of code of the ID of the undertaking

Code reinsurer

Type of code reinsurer

Reinsurance recoverables: Premium provision Non-life including Non-SLT Health

Reinsurance recoverables: Claims provisions Non-life including Non-SLT Health

Reinsurance recoverables: Technical provisions Life including SLT Health

Adjustment for expected losses due to counterparty default

(cont.)

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

 

 

 

 

 

 

 

 

 

 

 

Reinsurance recoverables: Total reinsurance recoverables

Net receivables

Assets pledged by reinsurer

Financial guarantees

Cash deposits

Total guarantees received

C0100

C0110

C0120

C0130

C0140

C0150

 

 

 

 

 

 
Information on reinsurers

Code reinsurer

Type of code reinsurer

Legal name reinsurer

Type of reinsurer

Country of residency

External rating assessment by nominated ECAI

Nominated ECAI

Credit quality step

Internal rating

C0160

C0170

C0180

C0190

C0200

C0210

C0220

C0230

C0240

 

 

 

 

 

 

 

 

 
S.31.02.01
Special Purpose Vehicles

Internal code of SPV

ID Code of SPV notes or other financing mechanism issued

ID Code Type of SPV notes or other financing mechanism issued

Lines of Business SPV securitisation relates

Type of Trigger(s) in the SPV

Contractual trigger event

Same trigger as in underlying cedant's portfolio?

Basis risk arising from risk-transfer structure

Basis risk arising from contractual terms

(cont.)

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

 

 

 

 

 

 

 

 

 

 

 

SPV assets ring-fenced to settle cedant-specific obligations

Other non cedant-specific SPV Assets for which recourse may exist

Other recourse arising from securitisation

Total maximum possible obligations from SPV under reinsurance policy

SPV fully funded in relation to cedant obligations throughout the reporting period

Current recoverables from SPV

Identification of material investments held by cedant in SPV

Securitisation assets related to cedant held in trust with other third party than cedant / sponsor?

C0120

C0130

C0140

C0150

C0160

C0170

C0180

C0190

 

 

 

 

 

 

 

 
Information on SPV

Internal code of SPV

Type of code SPV

Legal nature of SPV

Name of SPV

Incorporation no. of SPV

SPV country of authorisation

SPV authorisation conditions

External rating assessment by nominated ECAI

Nominated ECAI

Credit quality step

Internal rating

C0200

C0210

C0220

C0230

C0240

C0250

C0260

C0270

C0280

C0290

C0300

 

 

 

 

 

 

 

 

 

 

 
S.31.02.04
Special Purpose Vehicles

Legal name of reinsured undertaking

Identification code of the undertaking

Internal code of SPV

ID Code of SPV notes or other financing mechanism issued

ID Code Type of SPV notes or other financing mechanism issued

Lines of Business SPV securitisation relates

Type of Trigger(s) in the SPV

Contractual trigger event

Same trigger as in underlying cedant's portfolio?

Basis risk arising from risk-transfer structure

(cont.)

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

 

 

 

 

 

 

 

 

 

 

 

 

Basis risk arising from contractual terms

SPV assets ring-fenced to settle cedant-specific obligations

Other non cedant-specific SPV Assets for which recourse may exist

Other recourse arising from securitisation

Total maximum possible obligations from SPV under reinsurance policy

SPV fully funded in relation to cedant obligations throughout the reporting period

Current recoverables from SPV

Identification of material investments held by cedant in SPV

Securitisation assets related to cedant held in trust with other third party than cedant / sponsor?

C0110

C0120

C0130

C0140

C0150

C0160

C0170

C0180

C0190

 

 

 

 

 

 

 

 

 
Information on SPV

Internal code of SPV

Type of code SPV

Legal nature of SPV

Name of SPV

Incorporation no. of SPV

SPV country of authorisation

SPV authorisation conditions

External rating assessment by nominated ECAI

Nominated ECAI

Credit quality step

Internal rating

C0200

C0210

C0220

C0230

C0240

C0250

C0260

C0270

C0280

C0290

C0300

 

 

 

 

 

 

 

 

 

 

 
S.32.01.04
Undertakings in the scope of the group

Country

Identification code of the undertaking

Type of code of the ID of the undertaking

Legal Name of the undertaking

Type of undertaking

Legal form

Category (mutual/ non mutual)

Supervisory Authority

(cont.)

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

 

 

 

 

 

 

 

 

 

 

Ranking criteria (in the group currency)

 

 

Total Balance Sheet (for (re)insurance undertakings)

Total Balance Sheet (for other regulated undertakings)

Total Balance Sheet (non-regulated undertakings)

Written premiums net of reinsurance ceded under IFRS or local GAAP for (re)insurance undertakings

Turn over defined as the gross revenue under IFRS or local GAAP for other types of undertakings or insurance holding companies

Underwriting performance

Investment performance

Total performance

Accounting standard

(cont.)

C0090

C0100

C0110

C0120

C0130

C0140

C0150

C0160

C0170

 

 

 

 

 

 

 

 

 

 

 

 Criteria of influence

Inclusion in the scope of Group supervision

Group solvency calculation

% capital share

% used for the establishment of consolidated accounts

% voting rights

Other criteria

Level of influence

Proportional share used for group solvency calculation

Yes/No

Date of decision if art. 214 is applied

Method used and under method 1, treatment of the undertaking

C0180

C0190

C0200

C0210

C0220

C0230

C0240

C0250

C0260

 

 

 

 

 

 

 

 

 
S.33.01.04
Insurance and Reinsurance individual requirements

 

 

 

 

 

EEA and non EEA insurance and reinsurance undertakings (using SII rules) included only via D&A

 

 

 

 

 

 

SCR

Market Risk

SCR

Counterparty Default Risk

SCR

Life Underwriting Risk

SCR

Health Underwriting Risk

SCR

Non-life Underwriting Risk

SCR

Operational Risk

Individual SCR

 

Legal name of the undertaking

Identification code of the undertaking

Type of code of the ID of the undertaking

Entity Level/RFF or MAP/ Remaining Part

Fund Number

(cont.)

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

C0120

 

 

 

 

 

 

 

 

 

 

 

 

 

 

EEA and non EEA insurance and reinsurance undertakings (using SII rules) included only via D&A

 

Individual MCR

Eligible Individual Own Funds to cover the SCR

Standard Formula used

Group or individual Internal Model Used

Individual Capital Add-On

 

Use of undertaking specific parameters

Use of simplifications

Use of Partial Internal Model

Group or individual internal model

Date of initial approval of IM

Date of approval of latest major change of IM

Date of decision of capital add-on

Amount of capital add-on

Reason of capital add-on

(cont.)

C0130

C0140

C0150

C0160

C0170

C0180

C0190

C0200

C0210

C0220

C0230

 

 

 

 

 

 

 

 

 

 

 

 

 

Non EEA insurance and reinsurance undertakings (both using SII rules and not using SII rules) regardless of the method used

Local capital requirement

Local minimum capital requirement

Eligible own funds in accordance with local rules

C0240

C0250

C0260

 

 

 
S.34.01.04
Other regulated and non-regulated financial undertakings including insurance holding companies and mixed financial holding company individual requirements

Legal name of the undertaking

Identification code of the undertaking

Type of code of the ID of the undertaking

Aggregated or not

Type of capital requirement

Notional SCR or Sectoral capital requirement

Notional MCR or Sectoral minimum capital requirement

Notional or Sectoral Eligible Own Funds

C0010

 C0020

C0030

 C0040

C0050

 C0060

C0070

 C0080

 

 

 

 

 

 

 

 
S.35.01.04
Contribution to group Technical Provisions

 

 

 

 

Total amount of TP

Technical Provisions — Non-Life (excluding Health)

Technical Provisions — Health (similar to non-life)

 

Legal name of each undertaking

Identification code of the undertaking

Type of code of the ID of the undertaking

Method of group solvency calculation used

Amount of TP gross of IGT

Amount of TP net of IGT

Amount of TP gross of IGT

Amount of TP net of IGT

Net contribution to Group TP (%)

Amount of TP gross of IGT

Amount of TP net of IGT

Net contribution to Group TP (%)

(cont.)

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

C0120

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Technical Provisions — Health (similar to life)

Technical Provisions — Life (excluding health and index-linked and unit-linked)

Technical Provisions — Index-linked and unit-Linked insurance

Transitional on Technical Provisions

 

Amount of TP gross of IGT

Amount of TP net of IGT

Net contribution to Group TP (%)

Amount of TP gross of IGT

Amount of TP net of IGT

Net contribution to Group TP (%)

Amount of TP gross of IGT

Amount of TP net of IGT

Net contribution to Group TP (%)

Amount of TP gross of IGT

Amount of TP net of IGT

(cont.)

C0130

C0140

C0150

C0160

C0170

C0180

C0190

C0200

C0210

C0220

C0230

 

 

 

 

 

 

 

 

 

 

 

 

 

LTG measures and transitionals — Technical Provisions subject to Transitional on Risk Free Rate

LTG measures and transitionals — Technical Provisions subject to Volatility Adjustment

LTG measures and transitionals — Technical Provisions subject to Matching Adjustment

Amount of TP gross of IGT

Amount of TP gross of IGT

Amount of TP gross of IGT

C0240

C0250

C0260

 

 

 
S.36.01.01
IGT — Equity-type transactions, debt and asset transfer

ID of intragroup transaction

Investor/ lender name

Identification code for investor/ lender

ID code type of the investor/lender

Issuer/ borrower name

Identification code for issuer / borrower

ID code type of the issuer / borrower

ID code of the instrument

ID code type of the instrument

Transaction type

(cont.)

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

 

 

 

 

 

 

 

 

 

 

 

 

Transaction Issue date

Maturity date of transaction

Currency of transaction

Contractual amount of transaction/ Transaction price

Value of collateral/ asset

Amount of redemptions/ prepayments/ paybacks during reporting period

Amount of dividends/ interest/ coupon and other payments made during reporting period

Balance of contractual amount of transaction at reporting date

Coupon/ Interest rate

C0110

C0120

C0130

C0140

C0150

C0160

C0170

C0180

C0190

 

 

 

 

 

 

 

 

 
S.36.02.01
IGT — Derivatives

ID of intragroup transaction

Investor/ Buyer

Identification code of investor / buyer

ID code type of the investor/ buyer

Issuer/ Seller name

Identification code of the issuer / seller

ID code type of the issuer / seller

ID code of the instrument

ID code type of the instrument

Transaction type

Transaction Trade date

Maturity date

(cont.)

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

C0110

C0120

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options, futures, forwards and other derivatives

Credit protection -CDS and Guarantees

Swaps

Currency

Notional amount at transaction date

Notional amount at reporting date

Value of collateral

Use of derivatives (by buyer)

Identification code Asset / Liability underlying the derivative

ID code type of the Asset / Liability underlying the derivative

Counterparty name for which credit protection is purchased

Swap delivered interest rate (for buyer)

Swap received interest rate (for buyer)

Swap delivered currency (for buyer)

Swap received currency (for buyer)

C0130

C0140

C0150

C0160

C0170

C0180

C0190

C0200

C0210

C0220

C0230

C0240

 

 

 

 

 

 

 

 

 

 

 

 
S.36.03.01
IGT — Internal reinsurance

ID of intragroup transaction

Name of cedent

Identification code of cedent

ID code type of the cedent

Name of reinsurer

Identification code of reinsurer

ID code type of the reinsurer

Validity period (start date)

Validity period (expiry date)

(cont.)

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

 

 

 

 

 

 

 

 

 

 

 

Currency of contract/treaty

Type of reinsurance contract/treaty

Maximum cover by reinsurer under contract/treaty

Net Receivables

Total reinsurance recoverables

Reinsurance result (for reinsured entity)

Line of business

C0100

C0110

C0120

C0130

C0140

C0150

C0160

 

 

 

 

 

 

 
S.36.04.01
IGT — Cost Sharing, contingent liabilities, off BS and other items

ID of intragroup transaction

Investor/ Buyer/ Beneficiary name

Identification code of the Investor/ Buyer/ Beneficiary

ID code type of the Investor/ Buyer/ Beneficiary

Issuer/ Seller/ Provider name

Identification code of the Issuer/ Seller/ Provider

ID code type of the Issuer/ Seller/ Provider

(cont.)

C0010

C0020

C0030

C0040

C0050

C0060

C0070

 

 

 

 

 

 

 

 

 

Transaction type

Transaction Issue date

Effective date of agreement/ contract underlying transaction

Expiry date of agreement/ contract underlying transaction

Currency of transaction

Trigger event

Value of transaction/ collateral / Guarantee

(cont.)

C0080

C0090

C0100

C0110

C0120

C0130

C0140

 

 

 

 

 

 

 

 

 

Maximum possible value of contingent liabilities

Maximum possible value of contingent liabilities not included in Solvency II Balance Sheet

Maximum value of letters of credit/ guarantees

Value of guaranteed assets

C0150

C0160

C0170

C0180

 

 

 

 
S.37.01.04
Risk concentration

Name of the external counterparty

Identification code of the counterparty of the Group

ID code type of the counterparty of the Group

Country of the exposure

Nature of the exposure

Identification code of the exposure

Identification code type of the exposure

External rating

Nominated ECAI

Sector

(cont.)

C0010

C0020

C0030

C0040

C0050

C0060

C0070

C0080

C0090

C0100

 

 

 

 

 

 

 

 

 

 

 

 

Group entity subject to the exposure

Identification code of the group entity

ID code type of the group entity

Maturity (asset side) / Validity (liability side)

Value of the exposure

Currency

Maximum amount to be paid by the reinsurer

C0110

C0120

C0130

C0140

C0150

C0160

C0170

 

 

 

 

 

 

 

ANNEX II

Instructions regarding reporting templates for individual undertakings

This Annex contains additional instructions in relation to the templates included in Annex I of this Regulation. The first column of the tables identifies the items to be reported by identifying the columns and rows as showed in the template in Annex I.
Templates which shall be filled in in accordance with the instructions of the different sections of this Annex are referred to as ‘this template’ throughout the text of the Annex.

S.01.01 — Content of the submission

General comments:
This section relates to opening, quarterly and annual submission of information for individual entities, ring fenced–funds, matching portfolios and remaining part.
When a special justification is needed, the explanation is not to be submitted within the reporting template but shall be part of the dialogue between undertakings and national competent authorities.

 

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.

When item Z0010 = 2, then report ‘0’

C0010/R0010

S.01.02 — Basic Information — General

This template shall always be reported. The only option possible is:

1 — Reported

C0010/R0020

S.01.03 — Basic Information — RFF and matching adjustment portfolios

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

 

1 — Reported

 

2 — Not reported as no RFF or MAP

 

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

C0010/R0030

S.02.01 — Balance sheet

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

 

1 — Reported

 

6 — Exempted under Article 35 (6) to (8)

 

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

C0010/R0040

S.02.02 — Assets and liabilities by currency

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

 

1 — Reported

 

3 — Not due in accordance with instructions of the template

 

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

C0010/R0060

S.03.01 — Off–balance sheet items — general

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

 

1 — Reported

 

2 — Not reported as no off–balance sheet items

 

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

C0010/R0070

S.03.02 — Off–balance sheet items — List of unlimited guarantees received by the undertaking

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

 

1 — Reported

 

2 — Not reported as no unlimited guarantees received

 

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

C0010/R0080

S.03.03 — Off–balance sheet items — List of unlimited guarantees provided by the undertaking

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

 

1 — Reported

 

2 — Not reported as no unlimited guarantees provided

 

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

C0010/R0090

S.04.01 — Activity by country

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

 

1 — Reported

 

2 — Not reported as no activity outside the home country

 

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

C0010/R0100

S.04.02 — Information on class 10 in Part A of Annex I of Solvency II Directive, excluding carrier's liability

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

 

1 — Reported

 

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

 

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

C0010/R0110

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

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

 

1 — Reported

 

6 — Exempted under Article 35 (6) to (8)

 

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

C0010/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 (in this case special justification is needed)

C0010/R0130

S.06.01 — Summary of Assets

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

 

1 — Reported

 

4 — Not due as S.06.02 reported quarterly

 

5 — Not due as S.06.02 reported annually

 

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

C0010/R0140

S.06.02 — List of assets

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

 

1 — Reported

 

6 — Exempted under Article 35 (6) to (8)

 

7 — Not due as no material changes since quarterly submission (this option is only applicable on annual submissions)

 

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

C0010/R0150

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

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

 

1 — Reported

 

2 — Not reported as no Collective investment undertakings

 

6 — Exempted under Article 35 (6) to (8)

 

7 — Not due as no material changes since quarterly submission (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

 

6 — Exempted under 35 (6) to (8)

 

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

C0010/R0170

S.08.01 — Open derivatives

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

 

1 — Reported

 

2 — Not reported as no derivative transactions

 

6 — Exempted under Article 35 (6) to (8)

 

7 — Not due as no material changes since quarterly submission (this option is only applicable on annual submissions)

 

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

C0010/R0180

S.08.02 — Derivatives Transactions

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 35 (6) to (8)

 

7 — Not due as no material changes since quarterly submission (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

 

6 — Exempted under Article 35 (6) to (8)

 

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

C0010/R0210

S.11.01 — Assets held as collateral

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

 

1 — Reported

 

2 — Not reported as no Assets held as collateral

 

6 — Exempted under Article 35 (6) to (8)

 

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

C0010/R0220

S.12.01 — Life and Health SLT Technical Provisions

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

 

1 — Reported

 

2 — Not reported as no life and health SLT business

 

6 — Exempted under Article 35 (6) to (8)

 

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

C0010/R0230

S.12.02 — Life and Health SLT Technical Provisions — by country

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

 

1 — Reported

 

2 — Not reported as no life and health SLT business

 

3 — Not due in accordance with instructions of the template

 

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

C0010/R0240

S.13.01 — Projection of future gross cash flows

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

 

1 — Reported

 

2 — Not reported as no life and health SLT business

 

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

C0010/R0250

S.14.01 — Life obligations analysis

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

 

1 — Reported

 

2 — Not reported as no life and health SLT business

 

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

C0010/R0260

S.15.01 — Description of the guarantees of variable annuities

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

 

1 — Reported

 

2 — Not reported as no variable annuities

 

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

C0010/R0270

S.15.02 — Hedging of guarantees of variable annuities

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

 

1 — Reported

 

2 — Not reported as no variable annuities

 

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

C0010/R0280

S.16.01 — Information on annuities stemming from Non–Life Insurance obligations

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

 

1 — Reported

 

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

 

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

C0010/R0290

S.17.01 — Non–Life Technical Provisions

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

 

1 — Reported

 

2 — Not reported as no non–life business

 

6 — Exempted under Article 35 (6) to (8)

 

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

C0010/R0300

S.17.02 — Non–Life Technical Provisions — By country

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

 

1 — Reported

 

2 — Not reported as no non–life business

 

3 — Not due in accordance with instructions of the template

 

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

C0010/R0310

S.18.01 — Projection of future cash flows (Best Estimate — Non Life)

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

 

1 — Reported

 

2 — Not reported as no non–life business

 

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

C0010/R0320

S.19.01 — Non–life insurance claims

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

 

1 — Reported

 

2 — Not reported as no non–life business

 

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

C0010/R0330

S.20.01 — Development of the distribution of the claims incurred

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

 

1 — Reported

 

2 — Not reported as no non–life business

 

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

C0010/R0340

S.21.01 — Loss distribution risk profile

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

 

1 — Reported

 

2 — Not reported as no non–life business

 

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

C0010/R0350

S.21.02 — Underwriting risks non–life

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

 

1 — Reported

 

2 — Not reported as no non–life business

 

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

C0010/R0360

S.21.03 — Non–life distribution of underwriting risks — by sum insured

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

 

1 — Reported

 

2 — Not reported as no non–life business

 

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

C0010/R0370

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

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

 

1 — Reported

 

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

 

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

C0010/R0380

S.22.04 — Information on the transitional on interest rates calculation

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

 

1 — Reported

 

2 — Not reported as no such transitional measure is applied

 

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

C0010/R0390

S.22.05 — Overall calculation of the transitional on technical provisions

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

1 — Reported

2 — Not reported as no such transitional measure is applied

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

C0010/R0400

S.22.06 — Best estimate subject to volatility adjustment by country and currency

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

 

1 — Reported

 

2 — Not reported as volatility adjustment not applied

 

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

C0010/R0410

S.23.01 — Own funds

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

 

1 — Reported

 

6 — Exempted under Article 35 (6) to (8)

 

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

C0010/R0420

S.23.02 — Detailed information by tiers on own funds

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

 

1 — Reported

 

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

C0010/R0430

S.23.03 — Annual movements on own funds

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

 

1 — Reported

 

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

C0010/R0440

S.23.04 — List of items on own funds

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

 

1 — Reported

 

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

C0010/R0450

S.24.01 — Participations held

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

 

1 — Reported

 

2 — Not reported as no participations held

 

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

C0010/R0460

S.25.01 — Solvency Capital Requirement — for undertakings on Standard Formula

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

 

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

 

2 — Reported due to Article 112 request

 

8 — Not reported as use of partial internal model (‘PIM’)

 

9 — Not reported as use of full internal model (‘IM’)

 

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

C0010/R0470)

S.25.02 — Solvency Capital Requirement — for undertakings using the standard formula and partial internal model

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

 

1 — Reported

 

9 — Not reported as use of full internal model

 

10 — Not reported as use of standard formula

 

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

C0010/R0480

S.25.03 — Solvency Capital Requirement — for undertakings on Full Internal Models

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

 

1 — Reported

 

8 — Not reported as use of partial internal model

 

10 — Not reported as use of standard formula

 

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

C0010/R0500

S.26.01 — Solvency Capital Requirement — Market risk

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

 

1 — Reported

 

2 — Not reported as risk not existent

 

8 — Not reported as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

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 as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

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 as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

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 as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

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 as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

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 as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

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 as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

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 — Risk not existent

 

8 — Not reported as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

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

C0010/R0580

S.28.01 — Minimum Capital Requirement — Only life or only non–life insurance or reinsurance activity

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

 

1– Reported

 

2 — Not reported as both life and non–life insurance or reinsurance activity

 

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

C0010/R0590

S.28.02 — Minimum Capital Requirement — Both life and non–life insurance activity

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

 

1 — Reported

 

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

 

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

C0010/R0600

S.29.01 — Excess of Assets over Liabilities

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

 

1 — Reported

 

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

C0010/R0610

S.29.02 — Excess of Assets over Liabilities — explained by investments and financial liabilities

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

 

1 — Reported

 

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

C0010/R0620

S.29.03 — Excess of Assets over Liabilities — explained by technical provisions

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

 

1 — Reported

 

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

C0010/R0630

S.29.04 — Detailed analysis per period — Technical flows versus Technical provisions

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

 

1 — Reported

 

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

C0010/R0640

S.30.01 — Facultative covers for non–life and life business basic data

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

 

1 — Reported

 

2 — Not reported as no facultative covers

 

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

C0010/R0650

S.30.02 — Facultative covers for non–life and life business shares data

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

 

1 — Reported

 

2 — Not reported as no facultative covers

 

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

C0010/R0660

S.30.03 — Outgoing Reinsurance Program basic data

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

 

1 — Reported

 

2 — Not reported as no reinsurance

 

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

C0010/R0670

S.30.04 — Outgoing Reinsurance Program shares data

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

 

1 — Reported

 

2 — Not reported as no reinsurance

 

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

C0010/R0680

S.31.01 — Share of reinsurers (including Finite Reinsurance and SPV's)

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

 

1 — Reported

 

2 — Not reported as no reinsurance

 

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

C0010/R0690

S.31.02 — Special Purpose Vehicles

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

 

1 — Reported

 

2 — Not reported as no Special Purpose Insurance Vehicles

 

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

C0010/R0740

S.36.01 — IGT — Equity–type transactions, debt and asset transfer

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

 

1 — Reported

 

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

 

12 — Not reported as no parent undertaking is a mixed–activity insurance holding company where they are not part of a group as defined under Article 213 (2) (a), (b) and (c) of Solvency II Directive

 

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

C0010/R0750

S.36.02 — IGT — Derivatives

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

 

1 — Reported

 

2 — Not reported as no IGT on Derivatives

 

12 — Not reported as no parent undertaking is a mixed–activity insurance holding company where they are not part of a group as defined under Article 213 (2) (a), (b) and (c) of Solvency II Directive

 

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

C0010/R0760

S.36.03 — IGT — Internal reinsurance

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

 

1 — Reported

 

2 — Not reported as no IGT on Internal reinsurance

 

12 — Not reported as no parent undertaking is a mixed–activity insurance holding company where they are not part of a group as defined under Article 213 (2) (a), (b) and (c) of Solvency II Directive

 

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

C0010/R0770

S.36.04 — IGT — Cost Sharing, contingent liabilities, off BS and other items

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

 

1 — Reported

 

2 — Not reported as no IGT on Cost Sharing, contingent liabilities, off Balance Sheet (‘BS’) and other items

 

12 — Not reported as no parent undertaking is a mixed–activity insurance holding company where they are not part of a group as defined under Article 213 (2) (a), (b) and (c) of Solvency II Directive

 

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

C0010/R0790

SR.02.01 — Balance Sheet

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

 

1 — Reported

 

2 — Not reported as no RFF/MAP

 

14 — Not reported as refers to MAP fund

 

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

C0010/R0800

SR.12.01 — Life and Health SLT Technical Provisions

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

 

1 — Reported

 

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

 

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

C0010/R0810

SR.17.01 — Non–Life Technical Provisions

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

 

1 — Reported

 

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

 

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

C0010/R0820

SR.22.02 — Projection of future cash flows (Best Estimate — Matching portfolios)

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

 

1 — Reported

 

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

 

15 –Not reported as refers to RFF or remaining part

 

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

C0010/R0830

SR.22.03 — Information on the matching adjustment calculation

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

 

1 — Reported

 

2 — Not reported as no MA is applied

 

15 –Not reported as refers to RFF or remaining part

 

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

C0010/R0840

SR.25.01 — Solvency Capital Requirement — Only SF

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

 

1 — Reported as standard formula is used

 

2 — Reported due to Article 112 request

 

8 — Not reported as use of partial internal model

 

9 — Not reported as use of full internal model

 

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

C0010/R0850

SR.25.02 — Solvency Capital Requirement — SF and PIM

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

 

1 — Reported

 

9 — Not reported as use of full internal model

 

10 — Not reported as use of standard formula

 

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

C0010/R0860

SR.25.03 — Solvency Capital Requirement — IM

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

 

1 — Reported

 

8 — Not reported as use of partial internal model

 

10 — Not reported as use of standard formula

 

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

C0010/R0870

SR.26.01 — Solvency Capital Requirement — Market risk

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

 

1 — Reported

 

2 — Risk not existent

 

8 — Not reported as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

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 — Risk not existent

 

8 — Not reported as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

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 — Risk not existent

 

8 — Not reported as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

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 — Risk not existent

 

8 — Not reported as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

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 — Risk not existent

 

8 — Not reported as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

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 as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

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 as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

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 — Risk not existent

 

8 — Not reported as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

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

S.01.02 — Basic information

General comments:
This section relates to opening, quarterly and annual submission of information for individual entities.

 

ITEM

INSTRUCTIONS

C0010/R0010

Undertaking name

Legal name of the undertaking. Needs to be consistent over different submissions

C0010/R0020

Undertaking identification code

Identification code of the undertaking, using the following priority:

—

Legal Entity Identifier (‘LEI’)

—

Identification code used in the local market, attributed by supervisory authority

C0010/R0030

Type of code of undertaking

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

 

1 — LEI

 

2 — Specific code

C0010/R0040

Type of undertaking

Identify the type of the reporting undertaking. The following closed list of options shall be used to identify the activity of the undertaking:

 

1 — Undertakings pursuing both life and non–life insurance activity

 

2 — Life undertakings

 

3 — Non–Life undertakings

C0010/R0050

Country of authorisation

Identify the ISO 3166–1 alpha–2 code of the country where the undertaking was authorised (Home–country)

C0010/R0070

Language of reporting

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

C0010/R0080

Reporting submission date

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

C0010/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

C0010/R0110

Currency used for reporting

Identify the ISO 4217 alphabetic code of the currency of the monetary amounts used in each report

C0010/R0120

Accounting standards

Identification of the accounting standards used for reporting items in S.02.01, financial statements valuation. The following closed list of options shall be used:

 

1 — The undertaking is using International Financial Reporting Standards (‘IFRS’)

 

2 — The undertaking is using local generally accepted accounting principles (‘GAAP’) (other than IFRS)

C0010/R0130

Method of Calculation of the SCR

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

 

1 — Standard formula

 

2 — Partial internal model

 

3 — Full internal model

C0010/R0140

Use of undertaking specific parameters

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

 

1 — Use of undertaking specific parameters

 

2 — Don't use undertaking specific parameters

C0010/R0150

Ring–Fenced Funds

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

 

1 — Reporting activity by RFF

 

2 — Not reporting activity by RFF

C0010/R0170

Matching adjustment

Identify if the undertaking is reporting figures using the matching adjustment. The following closed list of options shall be used:

 

1– Use of matching adjustment

 

2 — No use of matching adjustment

C0010/R0180

Volatility adjustment

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

 

1– Use of volatility adjustment

 

2 — No use of volatility adjustment

C0010/R0190

Transitional measure on the risk–free interest rate

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

 

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

 

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

C0010/R0200

Transitional measure on technical provisions

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

 

1 — Use of transitional measure on technical provisions

 

2 — No use of transitional measure on technical provisions

C0010/R0210

Initial submission or re–submission

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

 

1 — Initial submission

 

2 — Re–submission

S.01.03 — Basic Information — RFF and matching adjustment portfolios

General comments:
This section relates to opening and annual submission of information for individual entities.
All ring–fenced funds and matching portfolios should be identified regardless if they are material for the purposes of submission of information.
In the first table all ring–fenced funds and matching adjustments portfolios shall be reported. In case a ring–fenced fund has a matching portfolio not covering the full RFF three funds have to be identified, one for the RFF, other for the MAP inside the RFF and other for the remaining part of the fund (vice–versa for the situations where a MAP has a RFF).
In the second table the relations between the funds as explained in previous paragraph are explained. Only the funds with such relations shall be reported in the second table.

 

ITEM

INSTRUCTIONS

List of all RFF/MAP (overlaps allowed)

C0040

Fund /Portfolio Number

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

C0050

Name of ring–fenced fund/Matching adjustment portfolio

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

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

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

C0060

RFF/MAP/Remaining part of a fund

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

 

1 — Ring–fenced fund

 

2 — Matching portfolio

 

3 — Remaining part of a fund

C0070

RFF/MAP with sub RFF/MAP

Identify if the fund identified has other funds embedded. One of the options in the following closed list shall be used:

 

1 — Fund with other funds embedded

 

2 — Not a fund with other funds embedded

Only the ‘mother’ fund shall be identified with option 1.

C0080

Material

Indicate if the ring–fenced fund or a matching portfolio is material for the purposes of detailed submission of information. One of the options in the following closed list shall be used:

 

1 — Material

 

2 — Not material

In case of fund with other funds embedded, this item is to be reported only for the ‘mother’ fund.

C0090

Article 304

Indicate whether the RFF is under Article 304 of Solvency II Directive. One of the following option 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 opening, quarterly and annual submission of information for individual entities, ring fenced–funds and remaining part.
The ‘Solvency II value’ column (C0010) shall be completed using the valuation principles set out in the Directive2009/138/EC, Delegated Regulation (EU) 2015/35, Solvency 2 Technical Standards and Guidelines.
With regards to the ‘Statutory accounts value’ column (C0020), recognition and valuation methods are the ones used by undertakings in their statutory accounts in accordance with the local GAAP or IFRS if accepted as local GAAP. In template SR.02.01 this column is only applicable if the development of financial statements by RFF is required by national law.
The default instruction is that each item shall be reported in the ‘Statutory accounts value’ column, separately. However, in the ‘Statutory accounts value’ column the dotted rows were introduced in order to enable the reporting of aggregated figures if the split figures are not available.

 

ITEM

INSTRUCTIONS

Assets

Z0020

Ring–fenced fund or remaining part

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

 

1 — RFF

 

2 — Remaining part

Z0030

Fund number

When item Z0020 = 1, this is a unique number of fund, as attributed by the undertaking. It shall remain unvarying over time. It shall not be re–used for any other fund.

The number shall be used consistently across all templates, where relevant, to identify that fund.

When item Z0020 = 2, then report ‘0’

C0020/R0010

Goodwill

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

C0020/R0020

Deferred acquisition costs

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

C0010–C0020/R0030

Intangible assets

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

C0010–C0020/R0040

Deferred tax assets

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

(a)

deductible temporary differences;

(b)

the carryforward of unused tax losses; and/or

(c)

the carryforward of unused tax credits.

C0010–C0020/R0050

Pension benefit surplus

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

C0010–C0020/R0060

Property, plant & equipment held for own use

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

C0010–C0020/R0090

Holdings in related undertakings, including participations

Participations as defined in Article 13(20) and 212 (2) and holdings in related undertakings in Article 212(1)(b) of Directive 2009/138/EC.

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

C0010–C0020/R0100

Equities

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

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

C0010–C0020/R0110

Equities — listed

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

It shall exclude holdings in related undertakings, including participations.

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

C0010–C0020/R0120

Equities — unlisted

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

It shall exclude holdings in related undertakings, including participations.

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

C0010–C0020/R0130

Bonds

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

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

C0010–C0020/R0140

Government Bonds

Bonds issued by public authorities, whether by central governments, supra–national government institutions, regional governments or local authorities and bonds that are fully, unconditionally and irrevocably guaranteed by the European Central Bank, Member States' central government and central banks denominated and funded in the domestic currency of that central government and the central bank, 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, 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’). Assets under this category are not subject to unbundling.

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

C0010–C0020/R0170

Collateralised securities

Securities whose value and payments are derived from a portfolio of underlying assets. Includes Asset Backed Securities (‘ABS’), Mortgage Backed securities (‘MBS’), Commercial Mortgage Backed securities (‘CMBS’), Collateralised Debt Obligations (‘CDO’), Collateralised Loan Obligations (‘CLO’), Collateralised Mortgage Obligations (‘CMO’)

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

C0010–C0020/R0180

Collective Investments Undertakings

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

C0010–C0020/R0190

Derivatives

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

(a)

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

(b)

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

(c)

It is settled at a future date.

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

C0010–C0020/R0200

Deposits other than cash equivalents

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

C0010–C0020/R0210

Other investments

Other investments not covered already within investments reported above.

C0010–C0020/R0220

Assets held for index–linked and unit–linked contracts

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

C0010–C0020/R0230

Loans and mortgages

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

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

C0010–C0020/R0240

Loans on policies

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

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

C0010–C0020/R0250

Loans and mortgages to individuals

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

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

C0010–C0020/R0260

Other loans and mortgages

Financial assets created when creditors lend funds to debtors — others, not classifiable in item R0240 or R0250, with collateral or not, including cash pools.

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

C0010–C0020/R0270

Reinsurance recoverables from:

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

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 past–due for payment by policyholders, insurers, and other linked to insurance business, that are not included in cash–in flows of technical provisions.

It shall include receivables from reinsurance accepted.

C0010–C0020/R0370

Reinsurance receivables

Amounts past due by reinsurers and linked to reinsurance business that are not included in reinsurance recoverables.

It might include: the amounts past due from receivables from reinsurers that relate to settled claims of policyholders or beneficiaries; receivables from reinsurers in relation to other than insurance events or settled insurance claims, for example commissions.

C0010–C0020/R0380

Receivables (trade, not insurance)

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

C0010–C0020/R0390

Own shares (held directly)

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

C0010–C0020/R0400

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

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

C0010–C0020/R0410

Cash and cash equivalents

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

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

C0010–C0020/R0420

Any other assets, not elsewhere shown

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

C0010–C0020/R0500

Total assets

This is the overall total amount of all assets.

Liabilities

C0010–C0020/R0510

Technical provisions — non–life

Sum of the technical provisions non–life.

This amount shall include the apportionment from the transitional deduction to technical provisions in accordance with the contributory methodology used for the purposes of Minimum capital requirement (‘MCR’) calculation.

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

C0010–C0020/R0520

Technical provisions — non–life (excluding health)

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

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

C0010/R0530

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

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

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

C0010/R0540

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

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

Best estimate shall be reported gross of reinsurance.

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

C0010/R0550

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

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

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

C0010–C0020/R0560

Technical provisions — health (similar to non–life)

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

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

C0010/R0570

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

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

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

C0010/R0580

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

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

Best estimate shall be reported gross of reinsurance.

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

C0010/R0590

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

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

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

C0010–C0020/R0600

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

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

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

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

C0010–C0020/R0610

Technical provisions — health (similar to life)

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

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

C0010/R0620

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

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

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

C0010/R0630

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

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

Best estimate shall be reported gross of reinsurance.

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

C0010/R0640

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

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

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

C0010–C0020/R0650

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

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

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

C0010/R0660

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

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

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

C0010/R0670

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

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

Best estimate shall be reported gross of reinsurance.

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

C0010/R0680

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

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

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

C0010–C0020/R0690

Technical provisions — index–linked and unit–linked

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

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

C0010/R0700

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

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

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

C0010/R0710

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

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

Best estimate shall be reported gross of reinsurance

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

C0010/R0720

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

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

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

C0020/R0730

Other technical provisions

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

C0010–C0020/R0740

Contingent liabilities

A contingent liability is defined as:

a)

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

b)

a present obligation that arises from past events even if:

(i)

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

(ii)

the amount of the obligation cannot be measured with sufficient reliability.

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

C0010–C0020/R0750

Provisions other than technical provisions

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

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

C0010–C0020/R0760

Pension benefit obligations

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

C0010–C0020/R0770

Deposits from reinsurers

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

C0010–C0020/R0780

Deferred tax liabilities

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

C0010–C0020/R0790

Derivatives

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

(a)

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

(b)

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

(c)

It is settled at a future date.

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

Undertakings which do not value derivatives in their Local GAAP do not need to provide a financial statements value.

C0010–C0020/R0800

Debts owed to credit institutions

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

C0010–C0020/R0810 (L20)

Financial liabilities other than debts owed to credit institutions

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

Subordinated liabilities shall not be included here.

C0010–C0020/R0820

Insurance and intermediaries payables

Amounts past due to policyholders, insurers and other business linked to insurance, but that are not technical provisions.

Includes amounts past due 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, past due to reinsurers (in particular current accounts) other than deposits linked to reinsurance business, that are not included in reinsurance recoverables.

Includes payables to reinsurers that relate to ceded premiums.

C0010–C0020/R0840

Payables (trade, not insurance)

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

C0010–C0020/R0850

Subordinated liabilities

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

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

C0010–C0020/R0860

Subordinated liabilities not in Basic Own Funds

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

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

C0010–C0020/R0870

Subordinated liabilities in Basic Own Funds

Subordinated liabilities classified in Basic Own Funds.

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

C0010–C0020/R0880

Any other liabilities, not elsewhere shown

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

C0010–C0020/R0900

Total liabilities

This is the overall total amount of all liabilities

C0010/R1000

Excess of assets over liabilities

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

C0020/R1000

Excess of assets over liabilities

(statutory accounts value)

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

S.02.02 — Assets and liabilities by currency

General comment:
This section relates to annual submission of information for individual entities.
This template is to be filled in accordance to 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 90 % of assets and also of liabilities.
If submitted, information on the reporting currency shall always be reported regardless of the amount of assets and liabilities. Information reported by currency shall at least represent 90 % of the total assets and of the total liabilities. The remaining 10 % shall be aggregated. If a specific currency has to be reported for either assets or liabilities to comply with the 90 % rule then that currency shall be reported for both assets and liabilities.

 

ITEM

INSTRUCTIONS

C0010/R0010

Currencies

Identify the ISO 4217 alphabetic code of each currency to be reported.

C0020/R0020

Total value of all currencies — Investments (other than assets held for index–linked and unit–linked contracts)

Report the total value of the investments (other than assets held for index–linked and unit–linked contracts) for all currencies.

C0030/R0020

Value of the reporting currency — Investments (other than assets held for index–linked and unit–linked contracts)

Report the value of the investments (other than assets held for index–linked and unit–linked contracts) for the reporting currency.

C0040/R0020

Value of the remaining other currencies — Investments (other than assets held for index–linked and unit–linked contracts)

Report the total value of the investments (other than assets held for 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/R0020) and in the material currencies reported by currency (C0050/R0020).

C0050/R0020

Value of material currencies — Investments (other than assets held for index–linked and unit–linked contracts)

Report the value of the investments (other than assets held for index–linked and unit–linked contracts) for each of the currencies required to be reported separately.

C0020/R0030

Total value of all currencies — Other assets: Property, plant & equipment held for own use, Cash and cash equivalents, Loans on policies, Loans & mortgages to individuals and Other loans & mortgages (other than index–linked and unit–linked contracts)

Report the total value of other assets: Property, plant & equipment held for own use, Cash and cash equivalents, Loans on policies, Loans & mortgages to individuals and Other loans & mortgages (other than index–linked and unit–linked contracts) for all currencies.

C0030/R0030

Value of the reporting currency — Other assets: Property, plant & equipment held for own use, Cash and cash equivalents, Loans on policies, Loans & mortgages to individuals and Other loans & mortgages (other than index–linked and unit–linked contracts)

Report the value of the other assets: Property, plant & equipment held for own use, Cash and cash equivalents, Loans on policies, Loans & mortgages to individuals and Other loans & mortgages (other than index–linked and unit–linked contracts) for the reporting currency.

C0040/R0030

Value of remaining other currencies — Other assets: Property, plant & equipment held for own use, Cash and cash equivalents, Loans on policies, Loans & mortgages to individuals and Other loans & mortgages (other than index–linked and unit–linked contracts)

Report the total value the other assets: Property, plant & equipment held for own use, Cash and cash equivalents, Loans on policies, Loans & mortgages to individuals and Other loans & mortgages (other than 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/R0030) and in the currencies reported by currency (C0050/R0030).

C0050/R0030

Value of material currencies — Other assets: Property, plant & equipment held for own use, Cash and cash equivalents, Loans on policies, Loans & mortgages to individuals and Other loans & mortgages (other than index–linked and unit–linked contracts)

Report the value of the other assets: Property, plant & equipment held for own use, Cash and cash equivalents, Loans on policies, Loans & mortgages to individuals and Other loans & mortgages (other than index–linked and unit–linked contracts) for each of the currencies required to be reported separately.

C0020/R0040

Total value of all currencies — Assets held for index–linked and unit–linked contracts

Report the total value of the assets held for index–linked and unit–linked contracts for all currencies.

C0030/R0040

Value of the reporting currency — Assets held for index–linked and unit–linked contracts

Report the value of the assets held for index–linked and unit–linked contracts for the reporting currency.

C0040/R0040

Value of remaining other currencies — Assets held for index–linked and unit–linked contracts

Report the total value of the assets held for 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/R0040) and in the currencies reported by currency (C0050/R0040).

C0050/R0040

Value of material currencies — Assets held for index–linked and unit–linked contracts

Report the value of the assets held for index–linked and unit–linked contracts for all currencies required to be reported separately.

C0020/R0050

Total value of all currencies — Reinsurance recoverables

Report the total value of the reinsurance recoverables for all currencies.

C0030/R0050

Value of the reporting currency — Reinsurance recoverables

Report the value of the reinsurance recoverables for the reporting currency.

C0040/R0050

Value of remaining other currencies — Reinsurance recoverables

Report the total value of the reinsurance recoverables for remaining currencies that are not reported by currency.

This means that this cell excludes the amount reported in the reporting currency (C0030/R0050) and in the currencies reported by currency (C0050/R0050).

C0050/R0050

Value of material currencies — Reinsurance recoverables

Report the value of the Reinsurance recoverables for each of the currencies required to be reported separately.

C0020/R0060

Total value of all currencies — Deposits to cedants, insurance and intermediaries receivables and reinsurance receivables

Report the total value of the deposits to cedants, insurance and intermediaries receivables and reinsurance receivables for all currencies.

C0030/R0060

Value of the reporting currency — Deposits to cedants, insurance and intermediaries receivables and reinsurance receivables

Report the value of the deposits to cedants, insurance and intermediaries receivables and reinsurance receivables for the reporting currency.

C0040/R0060

Value of remaining other currencies — Deposits to cedants, insurance and intermediaries receivables and reinsurance receivables

Report the value of the deposits to cedants, insurance and intermediaries receivables and reinsurance receivables for the remaining currencies that are not reported by currency.

This means that this cell excludes the amount reported in the reporting currency (C0030/R0060) and in the currencies reported by currency (C0050/R0060).

C0050/R0060

Value of material currencies — Deposits to cedants, insurance and intermediaries receivables and reinsurance receivables

Report the value of the deposits to cedants, insurance and intermediaries receivables and reinsurance receivables for each of the currencies required to be reported separately.

C0020/R0070

Total value of all currencies — Any other assets

Report the total value of any other assets for all currencies.

C0030/R0070

Value of the reporting currency — Any other assets

Report the value of any other assets for the reporting currency.

C0040/R0070

Value of remaining other currencies — Any other assets

Report the total value of any other assets for the remaining currencies that are not reported by currency.

This means that this cell excludes the amount reported in the reporting currency (C0030/R0070) and in the currencies reported by currency (C0050/R0070).

C0050/R0070

Value of material currencies — Any other assets

Report the value of any other assets for each of the currencies required to be reported separately.

C0020/R0100

Total value of all currencies — Total assets

Report the total value of the total assets for all currencies.

C0030/R0100

Value of the reporting currency — Total assets

Report the value of total assets for the reporting currency.

C0040/R0100

Value of remaining other currencies — Total assets

Report the value of total assets for the remaining currencies that are not reported by currency.

This means that this cell excludes the amount reported in the reporting currency (C0030/R0100) and in the currencies reported by currency (C0050/R0100).

C0050/R0100

Value of material currencies — Total assets

Report the value of total assets for each of the currencies required to be reported separately.

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 and insurance, intermediaries 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 and insurance, intermediaries 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 and insurance, intermediaries 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 and insurance, intermediaries and reinsurance payables for each of the currencies required to be reported separately.

C0020/R0140

Total value of all currencies — Derivatives

Report the total value of the derivatives for all currencies.

C0030/R0140

Value of the reporting currency — Derivatives

Report the value of the derivatives for the reporting currency.

C0040/R0140

Value of remaining other currencies — Derivatives

Report the total value of the derivatives for the remaining currencies that are not reported by currency.

This means that this cell excludes the amount reported in the reporting currency (C0030/R0140) and in the currencies reported by currency (C0050/R0140).

C0050/R0140

Value of material currencies — Derivatives

Report the value of the derivatives for each of the currency required to be reported separately.

C0020/R0150

Total value of all currencies — Financial liabilities

Report the total value of the financial liabilities for all currencies.

C0030/R0150

Value of the reporting currency — Financial liabilities

Report the value of the financial liabilities for the reporting currency.

C0040/R0150

Value of remaining other currencies — Financial liabilities

Report the total value of the financial liabilities for the remaining currencies that are not reported by currency.

This means that this cell excludes the amount reported in the reporting currency (C0030/R0150) and in the currencies reported by currency (C0050/R0150).

C0050/R0150

Value of material currencies — Financial liabilities

Report the value of the financial liabilities for each of the currencies required to be reported separately.

C0020/R0160

Total value of all currencies — Contingent liabilities

Report the total value of the Contingent liabilities for all currencies.

C0030/R0160

Value of the reporting currency — Contingent liabilities

Report the value of the contingent liabilities for the reporting currency.

C0040/R0160

Value of remaining other currencies — Contingent liabilities

Report the total value of the contingent liabilities for the remaining currencies that are not reported by currency.

This means that this cell excludes the amount reported in the reporting currency (C0030/R0160) and in the currencies reported by currency (C0050/R0160).

C0050/R0160

Value of material currencies — Contingent liabilities

Report the value of the contingent liabilities for each of the currencies required to be reported separately

C0020/R0170

Total value of all currencies — Any other liabilities

Report the total value of any other liabilities for all currencies.

C0030/R0170

Value of the reporting currency — Any other liabilities

Report the value of any other liabilities for the reporting currency.

C0040/R0170

Value of remaining other currencies — Any other liabilities

Report the total value of any other liabilities for remaining currencies that are not reported by currency.

This means that this cell excludes the amount reported in the reporting currency (C0030/R0170) and in the currencies reported by currency (C0050/R0170).

C0050/R0170

Value of material currencies — Any other liabilities

Report the value of any other liabilities for each of the currencies required to be reported separately.

C0020/R0200

Total value of all currencies — Total liabilities

Report the total value of the total liabilities for all currencies.

C0030/R0200

Value of the reporting currency — Total liabilities

Report the value of total liabilities for the reporting currency.

C0040/R0200

Value of remaining other currencies — Total liabilities

Report the total value of total liabilities for the remaining currencies that are not reported by currency.

This means that this cell excludes the amount reported in the reporting currency (C0030/R0200) and in the currencies reported by currency (C0050/R0200).

C0050/R0200

Value of material currencies — Total liabilities

Report the value of total liabilities for each of the currency required to be reported separately.

S.03.01 — Off–balance sheet items — General

General comments:
This section relates to annual submission of information for individual entities.
This section includes the information referring to off–balance sheet items and the maximum and solvency II value of contingent liabilities in Solvency II balance sheet.
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.
Guarantees require the issuer to make specified payments to reimburse the holder for a loss it incurs if a specified debtor fails to make payment when due under the original or modified terms of a debt instrument. These guarantees can have various legal forms, such as financial guarantees, letters of credit, credit default contracts. These items shall not include guarantees stemming from insurance contracts, which are recognised in technical provisions.
A contingent liability is defined as:
a)
a possible obligation that arises from past events and whose existence will be confirmed only by the occurrence or non–occurrence of one or more uncertain future events not wholly within the control of the entity; or
b)
a present obligation that arises from past events even if:
i.
it is not probable that an outflow of resources embodying economic benefits will be required to settle the obligation; or
ii.
the amount of the obligation cannot be measured with sufficient reliability.
Collateral is an asset with a monetary value or a commitment that secure the lender against the defaults of the borrower.
The guarantees listed in this template are not reported in S.03.02 and S.03.03. This means that only limited guarantees are to be reported in this template.

 

ITEM

INSTRUCTIONS

C0010/R0010

Maximum value — Guarantees provided by the undertaking, including letters of credit

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

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

C0010/R0020

Maximum value — Guarantees provided by the undertaking, including letters of credit, of which, guarantees, including letters of credit provided to other undertakings of the same group

Part of C0010/R0010 related to guarantees, including letters of credit, provided to other undertakings of the same group.

C0020/R0010

Value of guarantee/collateral/contingent liabilities — Guarantees provided by the undertaking, including letters of credit

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

C0020/R0020

Value of guarantee/collateral/contingent liabilities — Guarantees provided by the undertaking, including letters of credit, of which, guarantees, including letters of credit provided to other undertakings of the same group

Part of C0020/R0010 related guarantees, including letters of credit provided to other undertakings of the same group.

C0010/R0030

Maximum value — Guarantees received by the undertaking, including letters of credit

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

C0010/R0040

Maximum value — Guarantees received by the undertaking, including letters of credit, of which, guarantees, including letters of credit received from other undertakings of the same group

Part of C0010/R0030 related to guarantees, including letters of credit received from other undertakings of the same group.

C0020/R0030

Value of guarantee/collateral/contingent liabilities — Guarantees received by the undertaking, including letters of credit

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

C0020/R0040

Value of guarantee/collateral/contingent liabilities — Guarantees received by the undertaking, including letters of credit, of which, guarantees, including letters of credit received from other undertakings of the same group

Part of C0020/R0030 related to guarantees, including letters of credit received from other undertakings of the same group.

C0020/R0100

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

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

C0020/R0110

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

Solvency II value of the collaterals held for derivatives.

C0020/R0120

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

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

C0020/R0130

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

Solvency II value of other collaterals held.

C0020/R0200

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

Total Solvency II value of the collaterals held.

C0030/R0100

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

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

C0030/R0110

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

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

C0030/R0120

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

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

C0030/R0130

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

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

C0030/R0200

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

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

C0020/R0210

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

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

C0020/R0220

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

Solvency II value of the collaterals pledged for derivatives.

C0020/R0230

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

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

C0020/R0240

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

Solvency II value of the collateral pledged for other collateral.

C0020/R0300

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

Total Solvency II value of the collateral pledged.

C0040/R0210

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

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

C0040/R0220

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

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

C0040/R0230

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

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

C0040/R0240

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

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

C0040/R0300

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

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

C0010/R0310

Maximum value — Contingent liabilities not in Solvency II Balance Sheet

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

This shall relate to contingent liabilities that are not material.

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

C0010/R0320

Maximum value — Contingent liabilities not in Solvency II Balance Sheet, of which contingent liabilities toward entities of the same group

Part of C0010/R0310 related to contingent liabilities toward entities of the same group.

C0010/R0330

Maximum value — Contingent liabilities in Solvency II Balance Sheet

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

S.03.02 — Off Balance–sheet items — list of unlimited guarantees received

General comments:
This section relates to annual submission of information for individual entities.
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.
Unlimited guarantees refer to guarantees with unlimited amount, regardless of the date being limited or unlimited.
The guarantees listed in this template are not reported in S.03.01.

 

ITEM

INSTRUCTIONS

C0010

Code of guarantee

Code of guarantee received. This number, attributed by the undertaking, must be unique and consistent over time. It shall not be reused for other guarantees.

C0020

Name of provider of guarantee

Identification of the name of the provider of the guarantee

C0030

Code of provider of guarantee

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

If not available this item shall not be reported.

C0040

Type of code of provider of guarantee

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

 

1 — LEI

 

9 — None

C0050

Provider of guarantee belonging to the same group

Indication if provider of the guarantee belongs to the same group as the undertaking.

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

 

1 — Belonging to the same group

 

2 — Not belonging to the same group

C0060

Triggering event(s) of guarantee

Identify the triggering event. One of the options in the following closed list shall be used:

 

1 — Bankruptcy filing International Swaps and Derivatives Association (‘ISDA’) credit event

 

2 — Downgrading by a rating agency

 

3 — Fall of SCR below a threshold but higher than 100 %

 

4 — Fall of MCR below a threshold but higher than 100 %

 

5 — Breach of SCR

 

6 — Breach of MCR

 

7 — Non–payment of a contractual obligation

 

8 — Fraud

 

9 — Breach of contractual obligation linked with the disposal of assets

 

10 — Breach of contractual obligation linked with the acquisition of assets

 

0 — Other

C0070

Specific triggering event (s) of guarantee

Description of the triggering event in case undertakings selected ‘0 — Other’ for item C0060 ‘Triggering event(s) of guarantee’.

C0080

Effective date of guarantee

Identify the ISO 8601 (yyyy–mm–dd) code of the starting date of the coverage of the contract.

C0090

Ancillary Own Funds

Indication if the guarantee is classified as Ancillary Own Fund and is presented in the following items of S.23.01:

—

Letters of credit and guarantees under Article 96(2) of the Directive 2009/138/EC (C0010/R0340)

—

Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC (C0010/R0350)

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

 

1 — Ancillary own fund

 

2 — Not an ancillary own fund

S.03.03 — Off Balance–sheet items — List of unlimited guarantees provided by the undertaking

General comments:
This section relates to annual submission of information for individual entities.
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.
Unlimited guarantees refer to guarantees with unlimited amount, regardless of the date being limited or unlimited.
The guarantees listed in this template are not reported in S.03.01.

 

ITEM

INSTRUCTIONS

C0010

Code of guarantee

Code of guarantee provided. This number, attributed by the undertaking, must be unique and consistent over time. It shall not be reused for other guarantees.

C0020

Name of receiver of guarantee

Identification of the name of the receiver of the guarantee.

C0030

Code of receiver of guarantee

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

If none is available this item shall not be reported.

C0040

Type of code of receiver of guarantee

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

 

1 — LEI

 

9 — None

C0050

Receiver of guarantee belonging to the same group

Indication if the receiver of the guarantee belongs to the same group as undertaking.

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

 

1 — Belonging to the same group

 

2 — Not belonging to the same group

C0060

Triggering event(s) of guarantee

List of triggering events. One of the options in the following closed list shall be used:

 

1 — Bankruptcy filing ISDA credit event

 

2 — Downgrading by a rating agency

 

3 — Fall of SCR below a threshold but higher than 100 %

 

4 — Fall of MCR below a threshold but higher than 100 %

 

5 — Breach of SCR

 

6 — Breach of MCR

 

7 — Non–payment of a contractual obligation

 

8 — Fraud

 

9 — Breach of contractual obligation linked with the disposal of assets

 

10 — Breach of contractual obligation linked with the acquisition of assets

 

0 — Other

C0070

Estimation of the maximum value of guarantee

Sum of all possible cash flows if events triggering guarantees were all to happen in relation to guarantees provided by the undertaking to another party

C0080

Specific triggering event(s) of guarantee

Description of the triggering event in case undertakings selected ‘0 — Other’ for item C0060 ‘Triggering event(s) of guarantee’

C0090

Effective date of guarantee

Identify the ISO 8601 (yyyy–mm–dd) code of the date indicating the start of the guarantee being valid.

S.04.01 — Activity by country

General comments:
This section relates to annual submission of information for individual entities.
This template is to be reported from an accounting perspective, i.e.: Local GAAP or IFRS if accepted as local GAAP. It shall however be fulfilled using the lines of business as defined in Annex I to Delegated Regulation (EU) 2015/35. Undertakings shall use the recognition and valuation basis as for the published financial statements, no new recognition or re–valuation is required.
When the insurance and reinsurance undertaking has business outside the home–country information shall be reported distinguishing between the home country, each of the other countries belonging to the European Economic Area and material non–EEA countries;
a)
The information in relation to EEA countries shall cover the following:
i.
Business underwritten by the undertaking in the country where it is established;
ii.
Business underwritten by the undertaking under freedom to provide services (‘FPS’) in other EEA members;
iii.
Business underwritten by each EEA branch in the country where they are established;
iv.
Business underwritten by each EEA branch under freedom to provide services in other EEA members;
v.
Premiums written in the country under freedom to provide services by the undertaking or any of the undertaking's EEA branches;
b)
Material non–EEA shall be reported when needed to report at least 90 % of the gross written premiums or if gross written premiums of a non–EEA country are higher than 5 % of the total gross written premiums;
c)
The information not reported by non–EEA country shall be reported as a sum. The localisation of business by country shall depend on where the business is underwritten, meaning that the business performed by a branch under FPS shall be reported under the country where the branch is established.
Information shall include direct business and accepted reinsurance business and be presented gross, without deduction of reinsurance ceded.

 

ITEM

INSTRUCTIONS

Z0010

Line of Business

Identification of the line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:

 

1 — Medical expense insurance

 

2 — Income protection insurance

 

3 — Workers' compensation insurance

 

4 — Motor vehicle liability insurance

 

5 — Other motor insurance

 

6 — Marine, aviation and transport insurance

 

7 — Fire and other damage to property insurance

 

8 — General liability insurance

 

9 — Credit and suretyship insurance

 

10 — Legal expenses insurance

 

11 — Assistance

 

12 — Miscellaneous financial loss

 

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

C0010

Undertaking — Business underwritten in the home country, by the undertaking

Amount of business underwritten in the home country, by the undertaking.

This excludes the business underwritten by branches and it excludes the business underwritten through FPS, by the undertaking in the EEA countries different from the home country.

C0020

Undertaking — Business underwritten through FPS, by the undertaking in the EEA countries different from the home country

Business underwritten through FPS, by the undertaking in the EEA countries different from the home country.

This excludes the business underwritten by branches.

C0030

Undertaking — Business underwritten through FPS in the home country, by any EEA branch

Business underwritten through FPS in the home country, by any EEA branch

C0040

All EEA members — Total business underwritten by all EEA branches in the country where they are established

Total of business underwritten by EEA branches in the country where they are established.

This shall be the sum of C0080 for all branches.

C0050

All EEA members — Total business underwritten through FPS, by all EEA branches

Total of business underwritten through FPS by EEA branches in countries of EEA where they are not established.

This shall be the sum of C0090 for all branches.

C0060

All EEA members — Total of the business underwritten through FPS by the undertaking and all EEA branches

Total of business underwritten through FPS by the undertaking and all EEA branches in EEA countries where they are not established.

This shall be the sum of C0100 for all branches.

C0070

Total business underwritten by all non–EEA branches

Amount of the business underwritten by all non–EEA branches.

C0080

By EEA member — Business underwritten in the considered country, by the EEA branch established in this country

Amount of business underwritten in the country, by the EEA branch that is established in this country.

C0090

By EEA member — Business underwritten through FPS, by the EEA branch established in the considered country

Amount of business underwritten through FPS, by the EEA branch in the EEA countries where it is not established.

C0100

By EEA member — Business underwritten in the considered country through FPS, by the undertaking or any EEA branch

Amount of business underwritten through FPS, by the undertaking or any EEA branch in the considered country.

This column shall be reported in relation to all EEA countries were the undertaking or any branch does business through FPS, except for the home country. In this latter case the relevant amount shall be reported in C0030.

C0110

By material non–EEA member — Business underwritten by material non–EEA country branches

Amount of business underwritten by material non–EEA country branches in the country where it is established.

R0010/C0080

Country

ISO 3166–1 alpha–2 code of the EEA member where branch is established.

R0010/C0090

By EEA member — Country

ISO 3166–1 alpha–2 code of the EEA member where the branch is established

R0010/C0100

By EEA member — Country

ISO 3166–1 alpha–2 code of the EEA member where FPS is done

R0010/C0110

By material non–EEA member — Country

ISO 3166–1 alpha–2 code of the non–EEA member where branch is established

R0020

Premiums written

Definition of premiums written provided in application of directive 91/674/EEC where applicable: gross premiums written shall comprise all amounts due during the financial year in respect of insurance contracts, regardless of the fact that such amounts may relate in whole or in part to a later financial year.

R0030

Claims incurred

Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the financial year related to insurance contracts.

This shall exclude claims management expenses.

R0040

Commissions

Acquisition expenses incurred, including renewal expenses, which can be identified at the level of individual insurance contract and have been incurred because the undertaking has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs.

For reinsurance undertakings, definition shall be applied mutatis mutandis.

S.04.02 — Information on class 10 in Part A of Annex I of Solvency II Directive, excluding carrier's liability

General comments:
This section relates to annual submission of information for individual entities.
This template is to be reported according to Article 159 of directive 2009/138/EC and addresses only direct business.
Information shall be reported in relation to freedom to provide services performed by the undertaking and by EEA country, identifying separately the business performed by branch and through freedom to provide services.

 

ITEM

INSTRUCTIONS

C0010/R0010

…

Country

ISO 3166–1 alpha–2 code of the EEA member where the branch is located

C0010/R0020

Undertaking — FPS — Frequency of claims for Motor Vehicle Liability (except carrier's liability)

Number of claims, in relation to the business performed by the undertaking through freedom to provide services, incurred with regard to class 10 in Part A of Annex I of Solvency II Directive (except carrier's liability), over the average insured vehicles in the reporting period. The average insured vehicles correspond to the mean between the number of insured vehicles at the end of the reporting year and the number of insured vehicles at the end of the year before the reporting year. Claims without any incurred amounts shall not be taken into account.

C0010/R0030

Undertaking — FPS — Average cost of claims for Motor Vehicle Liability (except carrier's liability)

Average of claims incurred, in relation to the business performed by the undertaking through freedom to provide services, with regard to class 10 in Part A of Annex I of Solvency II Directive (except carrier's liability), measured as amount of claims incurred divided by the number of claims incurred. Claims without any incurred amounts shall not be taken into account.

C0020/R0020

…

Branch — Frequency of claims for Motor Vehicle Liability (except carrier's liability)

Number of claims, for each branch in relation to the business performed in the country where the branch is established, incurred with regard to class 10 in Part A of Annex I of Solvency II Directive (except carrier's liability), over the average insured vehicles in the reporting period. The average insured vehicles correspond to the mean between the number of insured vehicles at the end of the reporting year and the number of insured vehicles at the end of the year before the reporting year. Claims without any incurred amounts shall not be taken into account.

C0030/R0020

…

FPS — Frequency of claims for Motor Vehicle Liability (except carrier's liability)

Number of claims, for each branch in relation to the business performed through freedom to provide services, incurred with regard to class 10 in Part A of Annex I of Solvency II Directive (except carrier's liability), over the average insured vehicles in the reporting period. The average insured vehicles correspond to the mean between the number of insured vehicles at the end of the reporting year and the number of insured vehicles at the end of the year before the reporting year. Claims without any incurred amounts shall not be taken into account.

C0020/R0030

…

Branch — Average cost of claims for Motor Vehicle Liability (except carrier's liability)

Average of claims incurred, for each branch in relation to the business performed in the country where the branch is established, with regard to class 10 in Part A of Annex I of Solvency II Directive (except carrier's liability), measured as amount of claims incurred divided by the number of claims incurred. Claims without any incurred amounts shall not be taken into account.

C0030/R0030

…

FPS — Average cost of claims for Motor Vehicle Liability (except carrier's liability)

Average of claims incurred, for each branch in relation to the business performed through freedom to provide services, with regard to class 10 in Part A of Annex I of Solvency II Directive (except carrier's liability), measured as amount of claims incurred divided by the number of claims incurred. Claims without any incurred amounts shall not be taken into account.

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

General comments
This section relates to quarterly and annual submission of information for individual entities.
This template shall be reported from an accounting perspective, i.e.: Local GAAP or IFRS if accepted as local GAAP but using Solvency II lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. Undertakings shall use the recognition and valuation basis as for the published financial statements, no new recognition or re–valuation is required. The template is based on a year–to–date basis.
For quarterly reporting administrative expenses, investment management expenses, acquisition expenses, overhead expenses shall be presented aggregated.

 

ITEM

INSTRUCTIONS

Non–life insurance and reinsurance obligations

C0010 to C0120/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 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.

C0010 to C0120/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 financial year 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 financial year.

C0130 to C0160/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 financial year 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 financial year.

C0010 to C0160/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 financial year in respect of insurance contracts regardless of the fact that such amounts may relate in whole or in part to a later financial year.

C0010 to C0160/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.

C0010 to C0120/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 direct insurance business.

C0010 to C0120/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.

C0130 to C0160/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.

C0010 to C0160/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.

C0010 to C0160/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.

C0010 to C0120/R0310

Claims incurred Gross — Direct business

Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the financial year related to insurance contracts arising from direct business.

This shall exclude claims management expenses and the movement in provisions in claims management expenses.

C0010 to C0120/R0320

Claims incurred Gross — Proportional reinsurance accepted

Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the financial year related to insurance contracts arising from the gross proportional reinsurance accepted.

This shall exclude claims management expenses and the movement in provisions in claims management expenses.

C0130 to C0160/R0330

Claims incurred — Gross — Non proportional reinsurance accepted

Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the financial year related to insurance contracts arising from the gross non proportional reinsurance accepted.

This shall exclude claims management expenses and the movement in provisions in claims management expenses.

C0010 to C0160/R0340

Claims incurred — Reinsurers' share

Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: it is the reinsurer's share in the sum of the claims paid and the change in the provision for claims during the financial year.

This shall exclude claims management expenses and the movement in provisions in claims management expenses.

C0010 to C0160/R0400

Claims incurred — Net

Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the financial year 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 C0120/R0410

Changes in other technical provisions — Gross — Direct business

Changes in other technical provisions as defined in directive 91/674/EEC where applicable: it is the changes in other technical provisions for the gross direct business.

C0010 to C0120/R0420

Changes in other technical provisions — Gross — Proportional reinsurance accepted

Changes in other technical provisions as defined in directive 91/674/EEC where applicable: it is the changes in other technical provisions for the gross proportional reinsurance accepted.

C0130 to C0160/R0430

Changes in other technical provisions — Gross — Non– proportional reinsurance accepted

Changes in other technical provisions as defined in directive 91/674/EEC where applicable: it is the changes in other technical provisions for the gross non– proportional reinsurance accepted.

C0010 to C0160/R0440

Changes in other technical provisions — Reinsurers' share

Changes in other technical provisions as defined in directive 91/674/EEC where applicable: it is the changes in other technical provisions related to the amounts ceded to reinsurers.

C0010 to C0160/R0500

Changes in other technical provisions — Net

Changes in other technical provisions as defined in directive 91/674/EEC where applicable: the net amount of changes in other technical provisions represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.

C0010 to C0160/R0550

Expenses incurred

All technical expenses incurred by the undertaking during the reporting period, on accrual basis.

C0010 to C0120/R0610

Administrative expenses — Gross — direct business

Administrative expenses incurred by the undertaking during the financial year, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.

The amount relates to the gross direct business.

C0010 to C0120/R0620

Administrative expenses — Gross — Proportional reinsurance accepted

Administrative expenses incurred by the undertaking during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.

The amount relates to the gross proportional reinsurance accepted.

C0130 to C0160/R0630

Administrative expenses — Gross — non proportional reinsurance accepted

Administrative expenses incurred by the undertaking during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.

The amount relates to the gross non proportional reinsurance accepted.

C0010 to C0160/R0640

Administrative expenses — reinsurers' share

Administrative expenses incurred by the undertaking during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.

The amount relates to the reinsurer's share.

Reinsurers' share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses.

C0010 to C0160/R0700

Administrative expenses — Net

Administrative expenses incurred by the undertaking during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.

The net administrative expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.

C0010 to C0120/R0710

Investment management expenses — Gross — direct business

Investment management expenses are usually not allocated on a policy by policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of record keeping of the investments' portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.

The amount relates to the gross direct business.

C0010 to C0120/R0720

Investment management expenses — Gross — proportional reinsurance accepted

Investment management expenses are usually not allocated on a policy by policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments' portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.

The amount relates to the gross proportional reinsurance accepted.

C0130 to C0160/R0730

Investment management expenses — Gross — non proportional reinsurance accepted

Investment management expenses are usually not allocated on a policy by policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments' portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.

The amount relates to the gross non proportional reinsurance accepted.

C0010 to C0160/R0740

Investment management expenses — reinsurers' share

Investment management expenses are usually not allocated on a policy by policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments' portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.

The amount relates to the reinsurers' share.

Reinsurers' share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses.

C0010 to C0160/R0800

Investment management expenses — Net

Investment management expenses are usually not allocated on a policy by policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments' portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.

The amount relates to the net investment management expenses.

The net investment management expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.

C0010 to C0120/R0810

Claims management expenses– Gross — direct business

Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster's fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster's fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).

The amount relates to the gross direct business.

This shall include the movement in provisions in claims management expenses.

C0010 to C0120/R0820

Claims management expenses — Gross — Proportional reinsurance accepted

Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster's fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster's fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).

The amount relates to the gross proportional reinsurance accepted.

This shall include the movement in provisions in claims management expenses.

C0130 to C0160/R0830

Claims management expenses — Gross — Non–proportional reinsurance accepted

Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster's fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster's fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).

The amount relates to the gross non proportional reinsurance accepted.

This shall include the movement in provisions in claims management expenses.

C0010 to C0160/R0840

Claims management expenses — Reinsurers' share

Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster's fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster's fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).

The amount relates to the reinsurers' share.

This shall include the movement in provisions in claims management expenses.

Reinsurers' share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses.

C0010 to C0160/R0900

Claims management expenses — Net

Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster's fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster's fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).

The net claims management expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.

This shall include the movement in provisions in claims management expenses.

C0010 to C0120/R0910

Acquisition expenses — Gross — direct business

Acquisition expenses include expenses, including renewal expenses, which can be identified at the level of individual insurance contract and have been incurred because the undertaking has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.

The amount relates to the gross direct business.

C0010 to C0120/R0920

Acquisition expenses — Gross — Proportional reinsurance accepted

Acquisition expenses include expenses, including renewal expenses, which can be identified at the level of individual insurance contract and have been incurred because the undertaking has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.

The amount relates to the gross proportional reinsurance accepted.

C0130 to C0160/R0930

Acquisition expenses — Gross — Non proportional reinsurance accepted

Acquisition expenses include expenses, including renewal expenses, which can be identified at the level of individual insurance contract and have been incurred because the undertaking has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.

The amount relates to the non–proportional reinsurance accepted.

C0010 to C0160/R0940

Acquisition expenses — Reinsurers' share

Acquisition expenses include expenses, including renewal expenses, which can be identified at the level of individual insurance contract and have been incurred because the undertaking has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.

The amount relates to the reinsurers' share.

Reinsurers' share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses.

C0010 to C0160/R1000

Acquisition expenses — Net

Acquisition expenses include expenses, including renewal expenses, which can be identified at the level of individual insurance contract and have been incurred because the undertaking has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.

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.

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/R1200

Other expenses

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.

C0200/R1300

Total expenses

Amount of all technical expenses

Life insurance and reinsurance obligations

C0210 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 financial year 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 financial year.

It includes both direct and reinsurance business.

C0210 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 financial year in respect of insurance contracts regardless of the fact that such amounts may relate in whole or in part to a later financial year.

C0210 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.

C0210 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 insurance and reinsurance accepted business.

C0210 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.

C0210 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.

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 financial year, 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 financial year.

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 financial year, 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/R1710

Changes in other technical provisions — Gross

Definition of changes in other technical provisions provided in directive 91/674/EEC where applicable: it is the changes in other technical provisions relating to insurance contracts arising from the gross direct and reinsurance business.

C0210 to C0280/R1720

Change in other technical provisions — Reinsurers' share

Definition of changes in other technical provisions provided in directive 91/674/EEC where applicable: it is the reinsurers' share in changes in other technical provisions.

C0210 to C0280/R1800

Change in other technical provisions — Net

Definition of changes in other technical provisions provided in directive 91/674/EEC where applicable: the net changes in other technical provisions related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.

C0210 to C0280/R1900

Expenses incurred

All technical expenses incurred by the undertaking during the reporting period, on accrual basis.

C0210 to C0280/R1910

Administrative expenses — Gross

Administrative expenses incurred by the undertaking during the financial year, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.

The amount relates to the gross direct and reinsurance business.

C0210 to C0280/R1920

Administrative expenses — reinsurers' share

Administrative expenses incurred by the undertaking during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.

The amount relates to the reinsurer's share.

Reinsurers' share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses.

C0210 to C0280/R2000

Administrative expenses — Net

Administrative expenses incurred by the undertaking during the reporting period, on accrual basis are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to activity regarding a specific insurance contract (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.

The amount relates to the net administrative expenses.

The net administrative expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.

C0210 to C0280/R2010

Investment management expenses — Gross

Investment management expenses are usually not allocated on a policy by policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments' portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.

The amount relates to the gross direct and reinsurance business.

C0210 to C0280/R2020

Investment management expenses — reinsurers' share

Investment management expenses are usually not allocated on a policy by policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments' portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.

The amount relates to the reinsurers' share.

Reinsurers' share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses.

C0210 to C0280/R2100

Investment management expenses — Net

Investment management expenses are usually not allocated on a policy by policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of recordkeeping of the investments' portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.

The amount relates to the net investment management expenses.

The net investment management expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.

C0210 to C0280/R2110

Claims management expenses — Gross

Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster's fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster's fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).

The amount relates to the gross direct and reinsurance business.

This shall include the movement in provisions in claims management expenses.

C0210 to C0280/R2120

Claims management expenses — Reinsurers' share

Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster's fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster's fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).

The amount relates to the reinsurers' share.

This shall include the movement in provisions in claims management expenses.

Reinsurers' share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses.

C0210 to C0280/R2200

Claims management expenses — Net

Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster's fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster's fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department).

The net claims management expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.

This shall include the movement in provisions in claims management expenses.

C0210 to C0280/R2210

Acquisition expenses — Gross

Acquisition expenses include expenses which can be identified at the level of individual insurance contract and have been incurred because the undertaking has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.

The amount relates to the gross direct and reinsurance business.

C0210 to C0280/R2220

Acquisition expenses — Reinsurers' share

Acquisition expenses include expenses which can be identified at the level of individual insurance contract and have been incurred because the undertaking has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.

The amount relates to the reinsurers' share.

Reinsurers' share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses.

C0210 to C0280/R2300

Acquisition expenses — Net

Acquisition expenses include expenses which can be identified at the level of individual insurance contract and have been incurred because the undertaking has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertaking definition shall be applied mutatis mutandis.

The net acquisition expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.

C0210 to C0280/R2310

Overhead expenses — Gross

Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software).

The amount relates to the gross direct and reinsurance business.

C0210 to C0280/R2320

Overhead expenses — Reinsurers' share

Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software).

The amount relates to the reinsurers' share.

Reinsurers' share shall by default be allocated by type of expenses, if not possible shall be reported as acquisition expenses.

C0210 to C0280/R2400

Overhead expenses — Net

Overhead expenses include salaries to general managers, auditing costs and regular day–to–day costs i.e. electricity bill, rent for accommodations, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software).

The net overhead expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.

C0300/R1410–R2400

Total

Total for different items for all life lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0300/R2500

Other expenses

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.

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 annual submission of information for individual entities.
This template shall be reported from an accounting perspective, i.e.: Local GAAP or IFRS if accepted as local GAAP The template is based on a year–to–date basis Undertakings shall use the recognition and valuation basis as for the published financial statements, no new recognition or re–valuation is required.
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, as defined in Annex I to Delegated Regulation (EU) 2015/35, ‘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 line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, 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 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.

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 financial year 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 financial year.

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 financial year 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 financial year.

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 financial year in respect of insurance contracts regardless of the fact that such amounts may relate in whole or in part to a later financial year.

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 financial year 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 financial year 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 financial year 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 financial year.

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 financial year 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/R0410

Changes in other technical provisions — Gross — Direct business

Changes in other technical provisions as defined in directive 91/674/EEC where applicable: it is the changes in other technical provisions for the gross direct business.

C0080 to C0140/R0420

Changes in other technical provisions — Gross — Proportional reinsurance accepted

Changes in other technical provisions as defined in directive 91/674/EEC where applicable: it is the changes in other technical provisions for the gross proportional reinsurance accepted.

C0080 to C0140/R0430

Changes in other technical provisions — Gross — Non– proportional reinsurance accepted

Changes in other technical provisions as defined in directive 91/674/EEC where applicable: it is the changes in other technical provisions for the gross non– proportional reinsurance accepted.

C0080 to C0140/R0440

Changes in other technical provisions — Reinsurers' share

Changes in other technical provisions as defined in directive 91/674/EEC where applicable: it is the changes in other technical provisions related to the amounts ceded to reinsurers.

C0080 to C0140/R0500

Changes in other technical provisions — Net

Changes in other technical provisions as defined in directive 91/674/EEC where applicable: the net amount of changes in other technical provisions represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.

C0080 to C0140/R0550

Expenses incurred

All technical expenses incurred by the undertaking during the reporting period, on accrual basis.

C0140/R1200

Other expenses

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 expenses

Amount of all technical expenses corresponding to countries covered by this template.

Life insurance and reinsurance 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 financial year 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 financial year.

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 financial year in respect of insurance contracts regardless of the fact that such amounts may relate in whole or in part to a later financial year.

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 financial year 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 financial year.

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 financial year 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/R1710

Changes in other technical provisions — Gross

Definition of changes in other technical provisions provided in directive 91/674/EEC where applicable: it is the changes in other technical provisions relating to insurance contracts arising from the gross direct and reinsurance business.

C0220 to C0280/R1720

Change in other technical provisions — Reinsurers' share

Definition of changes in other technical provisions provided in directive 91/674/EEC where applicable: it is the reinsurers' share in changes in other technical provisions.

C0220 to C0280/R1800

Change in other technical provisions — Net

Definition of changes in other technical provisions provided in directive 91/674/EEC where applicable: it is the changes in other technical provisions related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.

C0220 to C0280/R1900

Expenses incurred

All technical expenses incurred by the undertaking during the reporting period, on accrual basis.

C0280/R2500

Other expenses

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.

C0280/R2600

Total expenses

Amount of all technical expenses corresponding to countries covered by this template.

S.06.01 — Summary of assets

General comments:
This section relates to annual submission of information for individual entities. This template is relevant only for the insurance and reinsurance undertakings exempted from the annual submission of information in templates S.06.02 or S.08.01 in accordance with Article 35 (7) of Directive 2009/138/EC.
The asset categories referred to in this template are the ones defined in Annex IV — Assets Categories of this Regulation.
This template contains a summary of information on assets and derivatives regarding the undertaking as a whole, including assets and derivatives held in unit linked and index linked contracts.
Items shall be reported with positive values unless its Solvency II value is negative (e.g. the case of derivatives that are a liability of the undertaking).

 

ITEM

INSTRUCTIONS

C0010 to C0060/R0010

Assets listed

Value of listed assets by portfolio.

For the purpose of this template an asset is considered as being listed if it is negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2004/39/EC.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0020

Assets that are not listed in a stock exchange

Value of assets not listed in a stock exchange, by portfolio.

For the purpose of this template, not listed assets are the ones that are not negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2004/39/EC.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring–fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0030

Assets that are not exchange tradable

Value of assets that are not exchange tradable, by portfolio.

For the purpose of this template, not exchange tradable assets are the ones that by their nature are not subject to negotiation on a regulated market or on a multilateral trading facility, as defined by Directive 2004/39/EC.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0040

Government bonds

Value of assets classifiable under asset category 1 of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0050

Corporate bonds

Value of assets classifiable under asset category 2 of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0060

Equity

Value of assets classifiable under asset category 3 of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0070

Collective Investment Undertakings

Value of assets classifiable under asset category 4 of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0080

Structured notes

Value of assets classifiable under asset category 5 of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0090

Collateralised securities

Value of assets classifiable under asset category 6 of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0100

Cash and deposits

Value of assets classifiable under asset category 7 of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0110

Mortgages and loans

Value of assets classifiable under asset category 8 of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0120

Properties

Value of assets classifiable under asset category 9 of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0130

Other investments

Value of assets classifiable under asset category 0 of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0140

Futures

Value of assets classifiable under asset category A of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0150

Call options

Value of assets classifiable under asset category B of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0160

Put options

Value of assets classifiable under asset category C of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0170

Swaps

Value of assets classifiable under asset category D of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0180

Forwards

Value of assets classifiable under asset category E of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0190

Credit derivatives

Value of assets classifiable under asset category F of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

S.06.02 — List of assets

General comments:
This section relates to quarterly and annual submission of information for individual entities.
The asset categories referred to in this template are the ones defined in Annex IV — Assets Categories of this Regulation and references to Complementary Identification Code (‘CIC’) refer to Annex VI — CIC table of this Regulation.
This template shall reflect the list of all assets included in the Balance–sheet classifiable as asset categories 0 to 9 of Annex IV — Assets Categories of this Regulation. In particular in case of securities lending and repurchase agreements the underlying securities that are kept in the Balance–sheet shall be reported in this template.
This template contains an item–by–item list of assets held directly by the undertaking (i.e. not on a look–through basis), classifiable as asset categories 0 to 9 (in case of unit–linked and index–linked product 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 this products shall not be reported), with the following exceptions:
a)
Cash shall be reported in one row per currency, for each combination of items C0060, C0070, C0080 and C0090;
b)
Transferable deposits (cash equivalents) and other deposits with maturity of less than one year shall be reported in one row per pair of bank and currency, for each combination of items C0060, C0070, C0080, C0090 and C0290;
c)
Mortgages and loans to individuals, including loans on policies, shall be reported in two rows, one row regarding loans to administrative, management and supervisory body, for each combination of items C0060, C0070, C0080, C0090 and C0290 and another regarding loans to other natural persons, for each combination of items C0060, C0070, C0080, C0090 and C0290;
d)
Deposits to cedants shall be reported in one single line, for each combination of items C0060, C0070, C0080 and C0090;
e)
Plant and equipment for the own use of the undertaking shall be reported in one single line, for each combination of items C0060, C0070, C0080 and C0090.
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 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.
On the table Information on assets, each asset shall be reported separately, with one row for each asset, filling in all applicable variables requested in that table.
The information regarding the external rating (C0320) and nominated External Credit Assessment Institutions (‘ECAI’) (C0330) may be limited (not reported) in the following circumstances:
a)
through a decision of the national supervisory authority (‘NSA’) under Article 35 (6) and (7) of 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

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 9 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code+currency: ‘9/1’.

C0060

Portfolio

Distinction between life, non–life, shareholder's funds, other internal funds, general (no split) and ring fenced funds. 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, 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 according to national markets).

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

C0080

Matching portfolio number

Number which is attributed by the undertaking, corresponding to the unique number assigned to each matching adjustment portfolio as prescribed in Article 77b(1)(a) of Directive 2009/138/EC. This number 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 pledged part of 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 corresponding to the legal establishment 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 (for mortgages and loans to natural persons, as those assets are not required to be individualised), CIC 71, 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 issuer country 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.

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

This item is not applicable for CIC category 8 — Mortgages and Loans (for mortgages and loans to natural persons, as those assets are not required to be individualised), CIC 71, CIC 75 and for CIC category 9 — Property.

C0130

Quantity

Number of assets, for relevant assets.

This item shall not be reported if item Par amount (C0140) is reported.

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 and 79 if applicable.

This item shall not be reported if item Quantity (C0130) is reported.

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 and 8.

C0170

Total Solvency II amount

Value calculated as defined by Article 75 of the Directive 2009/138/EC.

The following shall be considered:

—

Corresponds to the multiplication of ‘Par amount’ by ‘Unit percentage of par amount Solvency II price’ plus ‘Accrued interest’, for assets where the first two items are relevant;

—

Corresponds to the multiplication of ‘Quantity’ by ‘Unit Solvency II price’, for assets where these two items are relevant;

—

For assets classifiable under asset categories 7, 8 and 9, this shall indicate the Solvency II value of the asset.

C0180

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 Solvency II amount.

 

ITEM

INSTRUCTION

Information on assets

C0040

Asset ID Code

Asset ID code using the following priority:

—

ISO 6166 code of ISIN when available

—

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

—

Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time.

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code+EUR’

C0050

Asset ID Code Type

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

 

1 — ISO 6166 for ISIN code

 

2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)

 

3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)

 

4 — WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)

 

5 — Bloomberg Ticker (Bloomberg letters code that identify a company's securities)

 

6 — BBGID (The Bloomberg Global ID)

 

7 — Reuters RIC (Reuters instrument code)+

 

8 — FIGI (Financial Instrument Global Identifier)

 

9 — Other code by members of the Association of National Numbering Agencies

 

99 — Code attributed by the undertaking

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 9 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code+currency: ‘9/1’..

C0190

Item Title

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

The following shall be considered:

—

Regarding CIC category 8 — Mortgages and Loans, when relating to mortgage and loans to natural persons, 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.

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;

—

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.

C0210

Issuer Code

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

If none is available this item shall not be reported.

The following shall be considered:

—

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

—

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 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 75and 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.

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 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 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). The letter reference of the NACE code identifying the Section shall be used as a minimum for identifying sectors (e.g. ‘A’ or ‘A0111’ would be acceptable) except for the NACE relating to Financial and Insurance activities, for which the letter identifying the Section followed by the 4 digits code for the class shall be used (e.g. ‘K6411’).

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 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 75and 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.

C0240

Issuer Group

Name of issuer's ultimate parent entity. For collective investment undertakings the group relation relates to the fund manager.

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 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.

C0250

Issuer Group Code

Issuer group's identification 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 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.

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

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.

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 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 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.

One of the options shall be used:

—

ISO 3166–1 alpha–2 code

—

XA: Supranational issuers

—

EU: European Union Institutions

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 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.

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.

C0300

Infrastructure investment

Identify if the asset is an infrastructure investment.

Infrastructure investment is defined as investments in or loans to utilities such as toll roads, bridges, tunnels, ports and airports, oil and gas distribution, electricity distribution and social infrastructure such as healthcare and educational facilities.

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

 

1 — Not an infrastructure investment

 

2 — Government Guarantee: where there is an explicit government guarantee

 

3 — Government Supported including Public Finance initiative: where there is a government policy or public finance initiatives to promote or support the sector

 

4 — Supranational Guarantee/Supported: where there is an explicit supranational guarantee or support

 

9 — Other: Other infrastructure loans or investments, not classified under the above categories

C0310

Holdings in related undertakings, including participations

Only applicable to asset categories 3 and 4.

Identify if an equity and other share is a participation. One of the options in the following closed list shall be used:

 

1 — Not a participation

 

2 — Is a participation

C0320

External rating

Only applicable to CIC categories 1, 2, 5 and 6.

Rating of the asset at the reporting reference date issued by the nominated credit assessment institution (ECAI).

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.

C0330

Nominated ECAI

Only applicable to CIC categories 1, 2, 5 and 6.

Identify the credit assessment institution (ECAI) giving the external rating, by using the name of the ECAI as published at ESMA website.

This item shall be reported when External rating (C0320) is reported.

C0340

Credit quality step

Only applicable to CIC categories 1, 2, 5 and 6.

Identify the credit quality step attributed to the asset, as defined by Article 109a(1) of Directive 2009/138/EC.

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

 

3 — Credit quality step 3

 

4 — Credit quality step 4

 

5 — Credit quality step 5

 

6 — Credit quality step 6

 

9 — No rating available

C0350

Internal rating

Only applicable to CIC categories 1, 2, 5 and 6.

Internal rating of assets for undertakings using an 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.

C0360

Duration

Only applies to CIC categories 1, 2, 4 (when applicable, e.g. for collective investment undertaking mainly invested in bonds), 5 and 6.

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. 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’).

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

C0390

Maturity date

Only applicable for CIC categories 1, 2, 5, 6, and 8, 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 category 8, regarding loans and mortgages to individuals, the weighted (based on the loan amount) remaining maturity is to be reported.

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

General comments:
This section relates to quarterly and annual submission of information for individual entities.
This template contains information on the look through of collective investment undertakings or investments packaged as funds, including when they are participations, by underlying asset category, country of issue and currency. 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.
For the identification of countries the look–through should be implemented in order to identify all countries that represent more than 5 % of the fund being looked–through and until 90 % of the value of the fund is identified by country.
Quarterly information shall only be reported when the ratio of collective investments undertakings held by the undertaking to total investments, measured as the ratio between item C0010/R0180 of template S.02.01 plus collective investments undertakings included in item C0010/R0220 of template S.02.01 plus collective investments undertakings included in item C0010/R0090 and the sum of item C0010/R0070 and C0010/RC0220 of template S.02.01, is higher than 30 %.
Items shall be reported with positive values unless otherwise stated in the respective instructions.
The asset categories referred to in this template are the ones defined in Annex IV — Assets Categories of this Regulation and references to CIC codes refer to Annex VI — CIC table of this Regulation.

 

ITEM

INSTRUCTIONS

C0010

Collective Investments Undertaking ID Code

Asset ID code using the following priority:

—

ISO 6166 code of ISIN when available

—

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

—

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

C0020

Collective Investments Undertaking ID Code type

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

 

1 — ISO/6166 for ISIN

 

2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)

 

3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)

 

4 — WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)

 

5 — Bloomberg Ticker (Bloomberg letters code that identify a company's securities)

 

6 — BBGID (The Bloomberg Global ID)

 

7 — Reuters RIC (Reuters instrument code)

 

8 — FIGI (Financial Instrument Global Identifier)

 

9 — Other code by members of the Association of National Numbering Agencies

 

99 — Code attributed by the undertaking

C0030

Underlying asset category

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

 

1 — Government bonds

 

2 — Corporate bonds

 

3L — Listed equity

 

3X — Unlisted equity

 

4 — Collective Investment Undertakings

 

5 — Structured notes

 

6 — Collateralised securities

 

7 — Cash and deposits

 

8 — Mortgages and loans

 

9 — Properties

 

0 — Other investments (including receivables)

 

A — Futures

 

B-Call Options

 

C — Put Options

 

D — Swaps

 

E — Forwards

 

F — Credit derivatives

 

L — Liabilities

When the look–through regards a fund of funds, category ‘4 — Collective Investment Units’ shall be used only for non–material residual values.

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 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

C0060

Total amount

Total amount invested by asset category, country and currency through collective investment undertakings.

For liabilities a positive amount shall be reported.

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 annual submission of information for individual entities.
The asset categories referred to in this template are the ones defined in Annex IV — Assets Categories of this Regulation and references to CIC codes refer to Annex VI — CIC table of this Regulation.
This template contains an item–by–item list of structured products held directly by the undertaking in its portfolio (i.e. not on a look–through basis). Structured products are defined as assets falling into the asset categories 5 (Structured notes) and 6 (Collateralised securities).
This template shall only be reported when the amount of structured products, measured as the ratio between assets classified as asset categories 5 (Structured notes) and 6 (Collateralised securities) as defined in Annex IV — Asset Categories of this Regulation and the sum of item C0010/R0070 and C0010/R0220 of template S.02.01, is higher than 5 %.
In some cases the types of structured products (C0070) identify the derivative embedded in the structured product. In this case this classification shall be used when the structured product has the referred derivative embedded.

 

ITEM

INSTRUCTIONS

C0040

Asset ID Code

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

—

ISO 6166 ISIN when available

—

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

—

Code attributed by the undertaking, when the options above are not available. The code used shall be kept consistent over time and shall not be reused for other product.

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code+EUR’

C0050

Asset ID Code type

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

 

1 — ISO/6166 for ISIN

 

2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)

 

3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)

 

4 — WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)

 

5 — Bloomberg Ticker (Bloomberg letters code that identify a company's securities)

 

6 — BBGID (The Bloomberg Global ID)

 

7 — Reuters RIC (Reuters instrument code)

 

8 — FIGI (Financial Instrument Global Identifier)

 

9 — Other code by members of the Association of National Numbering Agencies

 

99 — Code attributed by the undertaking

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 9 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code+currency: ‘9/1’.

C0060

Collateral type

Identify the type of collateral, using the assets categories defined in Annex IV — Assets Categories. One of the options in the following closed list shall be used:

 

1 — Government bonds

 

2 — Corporate bonds

 

3 — Equity

 

4 — Collective Investment Undertakings

 

5 — Structured notes

 

6 — Collateralised securities

 

7 — Cash and deposits

 

8 — Mortgages and loans

 

9 — Properties

 

0 — Other investments

 

10 — No collateral

When more than one category of collateral exists for one single structured product, the most representative one shall be reported.

C0070

Type of structured product

Identify the type of structure of the product. One of the options in the following closed list shall be used:

 

1 — Credit linked notes

Security or deposit with an embedded credit derivative (e.g. credit default swaps or credit default options)

 

2 — Constant maturity swaps

(security with an embedded interest rate swap (‘IRS’), where the floating interest portion is reset periodically according to a fixed maturity market rate.)

 

3 — Asset backed securities

(security that has an asset as collateral.)

 

4 — Mortgage backed securities

(security that has real estate as collateral.)

 

5 — Commercial mortgage backed securities

(security that has real estate as collateral such as retail properties, office properties, industrial properties, multifamily housing and hotels.)

 

6 — Collateralised debt obligations

(structured debt security backed by a portfolio consisting of secured or unsecured bonds issued by corporate or sovereign obligators, or secured or unsecured loans made to corporate commercial and industrial loan costumers of lending banks.)

 

7 — Collateralised loan obligations

(security that has as underlying a trust of a portfolio of loans where the cash–flows from the security are derived from the portfolio.)

 

8 — Collateralised mortgage obligations

(investment–grade security backed by a pool of bonds, loans and other assets.)

 

9 — Interest rate–linked notes and deposits

 

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

 

11 — FX and commodity–linked notes and deposits

 

12 — Hybrid linked notes and deposits

(it includes real estate and equity securities)

 

13 — Market–linked notes and deposits

 

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

 

99 — Others not covered by the previous options

C0080

Capital protection

Identify whether the product has capital protection. One of the options in the following closed list shall be used:

 

1 — Full capital protection

 

2 — Partial capital protection

 

3 — No capital protection

C0090

Underlying security/index/portfolio

Describe the type of underlying. One of the options in the following closed list shall be used:

 

1 — Equity and Funds (a selected group or basket of equities)

 

2 — Currency (a selected group or basket of currencies)

 

3 — Interest rate and yields (bond indices, yield curves, differences in prevailing interest rates on shorter and longer–term maturities, credit spreads, inflation rates and other 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

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.

C0170

Loss given default

The percentage (reported as a decimal, e.g. 5 % shall be reported as 0,05) of the invested amount that will not be recovered following default, if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities).

If information is not defined in the contract this item shall not be reported. This item is not applicable for non–credit structured product.

C0180

Attachment point

The contractually defined loss percentage (reported as a decimal) above which the losses affect the structured product, if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). This item is not applicable for non–credit structured product.

C0190

Detachment point

The contractually defined loss percentage (reported as a decimal) above which the losses seize to affect the structured product, if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). This item is not applicable for non–credit structured product.

S.08.01 — Open derivatives

General comments:
This section relates to quarterly and annual submission of information for individual entities.
The derivatives categories referred to in this template are the ones defined in Annex IV — Assets Categories of this Regulation and references to CIC codes refer to Annex VI — CIC table of this Regulation. This template contains an item–by–item list of derivatives held directly by the undertaking (i.e. not on a look–through basis), classifiable as asset categories A to F.
Derivatives are considered assets if their Solvency II value is positive or zero. They are considered liabilities if their Solvency II value is negative or if they are issued by the undertaking. Both derivatives considered as assets or considered as liabilities shall be included.
Information shall include all derivatives contracts that existed during the reporting period and were not closed prior to the reporting reference date.
If there are frequent trades on the same derivative, resulting in multiple open positions, the derivative can be reported on an aggregated or net basis, as long as all the relevant characteristics are common and following the specific instruction for each relevant item.
Items shall be reported with positive values unless otherwise stated in the respective instructions.
A derivative is a financial instrument or other contract with all three of the following characteristics:
a)
Its value changes in response to the change in a specified interest rate, financial instrument price, commodity price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided in the case of a non–financial variable that the variable is not specific to a party to the contract (sometimes called the ‘underlying’).
b)
It requires no initial net investment or an initial net investment that is smaller than would be required for other types of contracts that would be expected to have a similar response to changes in market factors.
c)
It is settled at a future date.
This template comprises two tables: Information on positions held and Information on derivatives.
On the table Information on positions held, each derivative shall be reported separately in as many rows as needed in order to properly fill in all items requested in that table. If for the same derivative two values can be attributed to one variable, then this derivative needs to be reported in more than one line.
In particular, for derivatives that have more than a pair of currencies, it shall be split into the pair components and reported in different rows.
On the table Information on derivative, each derivative shall be reported separately, with one row for each derivative, filling in all variables requested in that table.
The information regarding the External rating (C0290) and Nominated ECAI (C0300) may be limited (not reported) in the following circumstances:
c)
through a decision of the national supervisory authority under Article 35 (6) and (7) of the Directive 2009/138/EC; or
d)
through a decision of the national supervisory authority in the cases where the insurance and reinsurance undertakings have in place outsourcing arrangements in the area of investments that lead to this specific information not being available directly to the undertaking.

 

ITEM

INSTRUCTIONS

Information on positions held

C0040

Derivative ID Code

Derivative ID code using the following priority:

—

ISO 6166 code of ISIN when available

—

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

—

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

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

 

1 — Life

 

2 — Non–life

 

3 — Ring fenced funds

 

4 — Other internal fund

 

5 — Shareholders' funds

 

6 — General

The split is not mandatory, except for identifying ring fenced funds, but shall be reported if the undertaking uses it internally. When an undertaking does not apply a split ‘general’ shall be used.

C0070

Fund number

Applicable to derivatives held in ring fenced funds or other internal funds (defined according to national markets).

Number which is attributed by the undertaking, corresponding to the unique number assigned to each fund. This number has to be consistent over time and shall be used to identify the funds in other templates. 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, when the options above are not available, and must 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.

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

This item is not reported for derivatives which have as underlying more than one asset or liability.

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’

C0120

Delta

Only applicable to CIC categories B and C (Call and put options), with reference to the reporting date.

Measures the rate of change of option value with respect to changes in the underlying asset's price.

This shall be reported as a decimal.

C0130

Notional amount of the derivative

The amount covered or exposed to the derivative.

For futures and options corresponds to contract size multiplied by the trigger value and by the number of contracts reported in that line. For swaps and forwards it corresponds to the contract amount of the contracts reported in that line. When the trigger value corresponds to a range, the average value of the range shall be used.

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

C0140

Buyer/Seller

Only for futures and options, swaps and credit derivatives contracts (currency, credit and securities swaps).

Identify whether the derivative contract was bought or sold.

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

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

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

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

 

1 — Buyer

 

2 — Seller

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

 

3 — FX–FL: Deliver fixed–for–floating

 

4 — FX–FX: Deliver fixed–for–fixed

 

5 — FL–FX: Deliver floating–for–fixed

 

6 — FL–FL: Deliver floating–for–floating

C0150

Premium paid to date

The payment made (if bought), for options and also up–front and periodical premium amounts paid for swaps, since inception.

C0160

Premium received to date

The payment received (if sold), for options and also up–front and periodical premium amounts received for swaps, since inception.

C0170

Number of contracts

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

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

C0180

Contract size

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

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

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

Only applicable for futures and options.

C0190

Maximum loss under unwinding event

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

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

C0200

Swap outflow amount

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

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

C0210

Swap inflow amount

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

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

C0220

Initial date

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

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

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

C0230

Duration

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

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

C0240

Solvency II value

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

C0250

Valuation method

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

 

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

 

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

 

3 — alternative valuation methods

 

6 — Market valuation according to Article 9(4) of Delegated Regulation (EU) 2015/35

 

ITEM

INSTRUCTIONS

Information on derivatives

C0040

Derivative ID Code

Derivative ID code using the following priority:

—

ISO 6166 code of ISIN when available

—

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

—

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

C0050

Derivative ID Code type

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

 

1 — ISO/6166 for ISIN

 

2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)

 

3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)

 

4 — WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)

 

5 — Bloomberg Ticker (Bloomberg letters code that identify a company's securities)

 

6 — BBGID (The Bloomberg Global ID)

 

7 — Reuters RIC (Reuters instrument code)

 

8 — FIGI (Financial Instrument Global Identifier)

 

9 — Other code by members of the Association of National Numbering Agencies

 

99 — Code attributed by the undertaking

C0260

Counterparty Name

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

The following shall be considered:

—

Name of the exchange market for exchanged traded derivatives; or

—

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

—

Name of the contractual counterparty for the other Over–The–Counter derivatives.

C0270

Counterparty Code

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 Legal Entity Identifier (LEI) if available.

If none is available this item shall not be reported

C0280

Type of counterparty code

Only applicable to Over–The–Counter derivatives.

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

C0290

External rating

Only applicable to Over–The–Counter derivatives.

The rating of the counterparty of the derivative at the reporting reference date issued 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.

C0300

Nominated ECAI

Identify the credit assessment institution (ECAI) giving the external rating, by using the name of the ECAI as published at ESMA website.

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

C0310

Credit quality step

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

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

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

 

0 — Credit quality step 0

 

1 — Credit quality step 1

 

2 — Credit quality step 2

 

3 — Credit quality step 3

 

4 — Credit quality step 4

 

5 — Credit quality step 5

 

6 — Credit quality step 6

 

9 — No rating available

C0320

Internal rating

Internal rating of assets for undertakings using internal model to the extent that the internal ratings are used in their internal modelling. If an internal model undertaking is using solely external ratings this item shall not be reported.

C0330

Counterparty group

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

Name of the ultimate parent entity of counterparty. When available, this item corresponds to the entity name in the LEI database. When not available, corresponds to the legal name.

C0340

Counterparty group code

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

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

If none is available 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

 

9 — None

C0360

Contract name

Name of the derivative contract.

C0370

Currency

Identify the ISO 4217 alphabetic code of the currency of the derivative, i.e., currency of the notional amount of the derivative (e.g.: option having as underlying an amount in USD, currency for which the notional amount is expressed contractually for FX swap, etc.).

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

Identify the event that causes the unwinding of the contract, out of the regular expiration or term conditions. 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

C0410

Swap delivered currency

Identify the ISO 4217 alphabetic code of the currency of the swap price (only for currency swaps and currency and interest rate swaps).

C0420

Swap received currency

Identify the ISO 4217 alphabetic code of the currency of the swap notional amount (only for currency swaps and currency and interest rate swaps).

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.

S.08.02 — Derivatives Transactions

General comments:
This section relates to quarterly and annual submission of information for individual entities.
The derivatives categories referred to in this template are the ones defined in Annex IV — Assets Categories of this Regulation and references to CIC codes refer to Annex V — CIC table of this Regulation.
This template contains an item–by–item list of closed derivatives held directly by the undertaking (i.e. not on a look–through basis), classifiable as asset categories A to F. When a contract is still open but has been reduced in size the closed portion shall be reported.
Derivatives are considered assets if their Solvency II value is positive or zero. They are considered liabilities if their Solvency II value is negative or if they are issued by the undertaking. Both derivatives considered as assets or considered as liabilities shall be included.
Closed derivatives are the ones that were open at some point of the reference period (i.e. last quarter if template is submitted quarterly or last year if template is only submitted annually) but were closed before the end of the reporting period.
If there are frequent trades on the same derivative, the derivative can be reported on an aggregated or net basis (indicating only the first and the last trade dates), 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:
d)
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’).
e)
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.
f)
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 items 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.

 

ITEM

INSTRUCTIONS

Information on positions held

C0040

Derivative ID Code

Derivative ID code using the following priority:

—

ISO 6166 code of ISIN when available

—

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

—

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

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

 

1 — Life

 

2 — Non–life:

 

3 — Ring fenced funds

 

4 — Other internal fund

 

5 — Shareholders' funds

 

6 — General

The split is not mandatory, except for identifying ring fenced funds, but shall be reported if the undertaking uses it internally. When an undertaking does not apply a split ‘general’ shall be used.

C0070

Fund number

Applicable to derivatives held in ring fenced funds or other internal funds (defined according to national markets).

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

—

‘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.

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

This item is not reported for derivatives which have as underlying more than one asset or liability.

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’

C0120

Notional amount of the derivative

The amount covered or exposed to the derivative.

For futures and options corresponds to contract size multiplied by the trigger value and by the number of contracts reported in that line. For swaps and forwards it corresponds to the contract amount of the contracts reported in that line.

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.

C0130

Buyer/Seller

Only for futures and options, swaps and credit derivatives contracts (currency, credit and securities swaps).

Identify whether the derivative contract was bought or sold.

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

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

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

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

 

1 — Buyer

 

2 — Seller

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

 

3 — FX–FL: Deliver fixed–for–floating

 

4 — FX–FX: Deliver fixed–for–fixed

 

5 — FL–FX: Deliver floating–for–fixed

 

6 — FL–FL: Deliver floating–for–floating

C0140

Premium paid to date

The payment made (if bought), for options and also up–front and periodical premium amounts paid for swaps, since inception.

C0150

Premium received to date

The payment received (if sold), for options and also up–front and periodical premium amounts received for swaps, since inception.

C0160

Profit and loss to date

Amount of profit and loss arising from the derivative since inception, realised at the closing/maturing date. Corresponds to the difference between the value (price) at sale date and the value (price) at acquisition date.

This amount could be positive (profit) or negative (loss).

C0170

Number of contracts

Number of similar derivative contracts reported in the line. For Over–The–Counter derivatives, e.g., one swap contract, 1 shall be reported, if ten swaps with the same characteristics, 10 shall be reported.

The number of contracts shall be the ones entered into and that were closed 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.

C0200

Swap outflow amount

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

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

C0210

Swap inflow amount

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

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

C0220

Initial date

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

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

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

C0230

Solvency II value

Value of the derivative calculated as defined by Article 75 of the Directive 2009/138/EC as of the trade (closing or sale) or maturity date. It can be positive, negative or zero.

 

ITEM

INSTRUCTIONS

Information on derivatives

C0040

Derivative ID Code

Derivative ID code using the following priority:

—

ISO 6166 code of ISIN when available

—

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

—

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

C0050

Derivative ID Code type

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

 

1 — ISO/6166 for ISIN

 

2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)

 

3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)

 

4 — WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)

 

5 — Bloomberg Ticker (Bloomberg letters code that identify a company's securities)

 

6 — BBGID (The Bloomberg Global ID)

 

7 — Reuters RIC (Reuters instrument code)

 

8 — FIGI (Financial Instrument Global Identifier)

 

9 — Other code by members of the Association of National Numbering Agencies

 

99 — Code attributed by the undertaking

C0240

Counterparty Name

Name of the counterparty of the derivative. When available, corresponds to the entity name in the LEI database. When not available, corresponds to the legal name.

The following shall be considered:

—

Name of the exchange market for exchanged traded derivatives; or

—

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

Name of the contractual counterparty for the other Over–The–Counter derivatives.

C0250

Counterparty Code

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

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

If none is available this item shall not be reported.

C0260

Type of counterparty code

Only applicable to Over–The–Counter derivatives.

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

C0270

Counterparty group

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

Name of the ultimate parent entity of counterparty. When available, this item corresponds to the entity name in the LEI database. When not available, corresponds to the legal name.

C0280

Counterparty group code

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

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

If none is available this item shall not be reported.

C0290

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

 

9 — None

C0300

Contract name

Name of the derivative contract.

C0310

Currency

Identify the ISO 4217 alphabetic code of the currency of the derivative, i.e., currency of the notional amount of the derivative (e.g.: option having as underlying an amount in USD, currency for which the notional amount is expressed contractually for FX swap, etc.).

C0320

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.

C0330

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.

C0340

Unwind trigger of contract

Identify the event that causes the unwinding of the contract, out of the regular expiration or term conditions. 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

C0350

Swap delivered currency

Identify the ISO 4217 alphabetic code of the currency of the swap price (only for currency swaps and currency and interest rate swaps).

C0360

Swap received currency

Identify the ISO 4217 alphabetic code of the currency of the swap notional amount (only for currency swaps and currency and interest rate swaps).

C0370

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.

S.09.01 — Information on gains/income and losses in the period

General comments:
This section relates to annual submission of information for individual entities.
This template contains information on gains/income and losses by asset category (including derivatives). i.e., no item–by–item reporting is required. The asset categories considered in this template are the ones defined in Annex IV — Assets Categories.
Items shall be reported with positive values unless otherwise stated in the respective instructions.

 

ITEM

INSTRUCTIONS

C0040

Asset category

Identify the asset categories present in the portfolio.

Use the categories defined in Annex IV — Assets Categories.

C0050

Portfolio

Distinction between life, non–life, shareholder's funds, other internal funds, general (no split) and ring fenced funds. 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, 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’ must be used.

C0060

Asset held in unit linked and index linked contracts

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

 

1 — Unit–linked or index–linked

 

2 — Neither unit–linked nor index–linked

C0070

Dividends

Amount of dividends earned over the reporting period, i.e. dividends received less the right to receive a dividend already recognised at the beginning of the reporting period, plus the right to receive a dividend recognised at the end of the reporting period. Applicable to dividend paying assets such as equity, preferred securities and collective investment undertakings.

Includes also dividends received from assets that have been sold or matured.

C0080

Interest

Amount of interest earned, i.e. interest received less accrued interest at the start of the period plus accrued interest at the end of the reporting period.

Includes interest received when the asset is sold/matured or when the coupon is received.

Applicable to coupon and interest paying assets such as bonds, loans and deposits.

C0090

Rent

Amount of rent earned i.e. rent received less accrued rent at the start of the period plus accrued rent at the end of the reporting period. Includes also rents received when the asset is sold or matured.

Only applicable to properties, regardless of the function.

C0100

Net gains and losses

Net gains and losses resulting from assets sold or matured during the reporting period.

The gains and losses are calculated as the difference between selling or maturity value and the value according to Article 75 of Directive 2009/138/EC at the end of the prior reporting year (or, in case of assets acquired during the reporting period, the acquisition value).

The net value can be positive, negative or zero.

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.

S.10.01 — Securities lending and repos

General comments:
This section relates to annual submission of information for individual entities.
This template contains an item–by–item list of securities lending transactions and repurchase agreements (buyer and seller) contracts, held directly by the undertaking (i.e. not on a look–through basis), which include also the liquidity swaps referred to in Article 309 (2)(f) of the Delegated Regulation (EU) 2015/35.
It shall be reported only when the value of the underlying securities on and off balance sheet involved in lending or repurchase agreements, with maturity date falling after the reporting reference date represent more than 5 % of the total investments as reported in C0010/R0070 and C0010/R0220 of template S.02.01.
All contracts that are on the balance sheet or off balance sheet shall be reported. The information shall include all contracts in the reporting period regardless of whether they were open or closed at the reporting date. For contracts which are part of a roll–over strategy, where they substantially are the same transaction, only open positions shall be reported.
A repurchase agreement (repo) is defined as the sale of securities together with an agreement for the seller to buy back the securities at a later date. Securities lending is defined as the lending of securities by one party to another, which requires that the borrower provides the lender with collateral.
Items shall be reported with positive values unless otherwise stated in the respective instructions.
The asset categories referred to in this template are the ones defined in Annex IV — Assets Categories of this Regulation and references to CIC codes refer to Annex VI — CIC table of this Regulation.
Each repo and securities lending contract shall be reported in as many rows as needed to provide the information requested. If for one item one option fits one part of the instrument being reported and a different option fits the other part then the contract needs to be unbundled unless is stated otherwise in the instructions.

 

ITEM

INSTRUCTIONS

C0040

Portfolio

Distinction between life, non–life, shareholder's funds, general (no split) and ring fenced funds. One of the options in the following closed list shall be used:

 

1 — Life

 

2 — Non–life:

 

3 — Ring fenced funds

 

4 — Other internal fund

 

5 — Shareholders' funds

 

6 — General

The split is not mandatory, 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’ must be used.

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

C0050

Fund number

Applicable to assets held in ring fenced funds or other internal funds (defined according to national markets).

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

C0060

Asset category

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

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

C0070

Counterparty Name

Name of the counterparty of the contract.

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

C0080

Counterparty code

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

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

C0090

Type of counterparty code

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

 

1 — LEI

 

9 — None

C0100

Counterparty asset category

Identify the most significant asset category borrowed/received as part of a securities lending transactions or repurchase agreements.

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

C0110

Asset held in unit–linked and index–linked contracts

Identify if the underlying asset identified in C0060 is held by unit linked and index linked contracts. One of the options in the following closed list shall be used:

 

1 — Unit–linked or index–linked

 

2 — Neither unit–linked nor index–linked

C0120

Position in the contract

Identify whether the undertaking is a buyer or seller in the repo or a lender or borrower in the securities lending. One of the options in the following closed list shall be used:

 

1 — Buyer in a repo

 

2 — Seller in a repo

 

3 — Lender in a securities lending

 

4 — Borrower in a securities lending

C0130

Near leg amount

Represents the following amounts:

—

Buyer in a repo: amount received at the contract inception

—

Seller in a repo: amount ceded at the contract inception

—

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

—

Borrower in a securities lending: amount or market value of the securities received at the contract inception

C0140

Far leg amount

This item is only applicable for repos and represents the following amounts:

—

Buyer in a repo: amount ceded at the contract maturity

—

Seller in a repo: amount received at the contract maturity

C0150

Start date

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

C0160

Maturity date

Identify the ISO 8601 (yyyy–mm–dd) code of the contract closing date. Even if the contract is on an open call basis, there is usually a date when the contract expires. In these cases this date must be reported, if no call occurs before.

An agreement is considered closed when it has matured, a call occurs or the agreement is cancelled.

For contracts with no defined maturity date report ‘9999–12–31’.

C0170

Solvency II Value

This item is only applicable for contracts that are still open at the reporting date.

Value of the repo or securities lending contract, following Article 75 of Directive 2009/138/EC rules for valuation of contracts.

This value can be positive, negative or zero.

S.11.01 — Assets held as collateral

General comments:
This section relates to annual submission of information for individual entities.
This template contains an item–by–item list of off–balance sheet assets held as collateral for covering balance sheet assets held directly by the undertaking (i.e. not on a look–through basis).
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.
On the table Information on assets, each asset held as collateral shall be reported separately, with one row for each asset, filling in all variables requested in that table.
All items except items ‘Type of asset for which the collateral is held’ (C0140), ‘Name of the counterparty pledging the collateral’ (C0060) and ‘Name of the group of the counterparty pledging the collateral’ (C0070) relate to information on the assets held as collateral. Item C0140 relates to the asset on the balance sheet for which the collateral is held while items C0060 and C0070 relate to the counterparty pledging the collateral.
The asset categories referred to in this template are the ones defined in Annex IV — Assets Categories of this Regulation and references to CIC codes refer to Annex VI — CIC table of this Regulation.

 

ITEM

INSTRUCTIONS

Information on positions held

C0040

Asset ID Code

Asset ID code using the following priority:

—

ISO 6166 code of ISIN when available

—

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

—

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

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code+EUR’

C0050

Asset ID Code Type

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

 

1 — ISO/6166 for ISIN

 

2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)

 

3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)

 

4 — WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)

 

5 — Bloomberg Ticker (Bloomberg letters code that identify a company's securities)

 

6 — BBGID (The Bloomberg Global ID)

 

7 — Reuters RIC (Reuters instrument code)

 

8 — FIGI (Financial Instrument Global Identifier)

 

9 — Other code by members of the Association of National Numbering Agencies

 

99 — Code attributed by the undertaking

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 9 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code+currency: ‘9/1’.

C0060

Name of the counterparty pledging the collateral

The name of the counterpart that is pledging the collateral. When available, this item corresponds to the entity name in the LEI database. When this is not available corresponds to the legal name.

When the assets on the balance sheet for which the collateral is held are loans on policies, ‘Policyholder’ shall be reported.

C0070

Name of the group of the counterparty pledging the collateral

Identify the economic group of the counterpart pledging the collateral. When available, this item corresponds to the entity name in the LEI database. When this is not available corresponds to the legal name.

This item is not applicable when the assets on the balance sheet for which the collateral is held are loans on policies.

C0080

Country of custody

ISO 3166–1 alpha–2 code of the country where undertaking assets are held in custody. For identifying international custodians, such as Euroclear, the country of custody will be the one corresponding to the legal establishment 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 (for mortgages and loans to natural persons, as those assets are not required to be individualised), CIC 71, 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 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 and 79 if applicable.

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 the Directive 2009/138/EC.

The following shall be considered:

—

Corresponds to the multiplication of ‘Par amount’ by ‘Unit percentage of par amount Solvency II price’ plus ‘Accrued interest’, for assets where the first two items are relevant;

—

Corresponds to the multiplication of ‘Quantity’ by ‘Unit Solvency II price’, for assets where these two items are relevant;

—

For assets classifiable under asset categories 7, 8 and 9, this shall indicate the Solvency II value of the asset.

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

 

ITEM

INSTRUCTIONS

Information on assets

C0040

Asset ID Code

Asset ID code using the following priority:

—

ISO 6166 code of ISIN when available

—

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

—

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

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code+EUR’

C0050

Asset ID Code Type

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

 

1 — ISO/6166 for ISIN

 

2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)

 

3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)

 

4 — WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)

 

5 — Bloomberg Ticker (Bloomberg letters code that identify a company's securities)

 

6 — BBGID (The Bloomberg Global ID)

 

7 — Reuters RIC (Reuters instrument code)

 

8 — FIGI (Financial Instrument Global Identifier)

 

9 — Other code by members of the Association of National Numbering Agencies

 

99 — Code attributed by the undertaking

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 9 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code+currency: ‘9/1’.

C0150

Item Title

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

The following shall be considered:

—

Regarding CIC category 8 — Mortgages and Loans, when relating to mortgage and loans to natural persons, this item shall contain ‘Loans to AMSB members’ or ‘Loans to other natural persons’, according to its nature, as those assets are not required to be individualised. Loans to other than natural persons shall be reported line–by–line.

—

This item is not applicable for CIC 95 — Plant and equipment (for own use) as those assets are not required to be individualised, CIC 71 and CIC 75

—

When the collateral comprises insurance policies (regarding loans collateralised by insurance policies) those policies don't need to be individualised and this item is not applicable.

C0160

Issuer Name

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

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

The following shall be considered:

—

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

—

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

—

Regarding CIC category 8 — Mortgages and Loans, when relating to mortgage and loans to natural persons, this item shall contain ‘Loans to AMSB members’ or ‘Loans to other natural persons’, according to its nature, as those assets are not required to be individualised;

—

Regarding CIC 8 — Mortgages and Loans, other than mortgage and loans to natural persons the information shall relate to the borrower;

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

C0170

Issuer Code

Identification code of the issuer code using the Legal Entity Identifier (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 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). The letter reference of the NACE code identifying the Section shall be used as a minimum for identifying sectors (e.g. ‘A’ or ‘A111’ would be acceptable) except for the NACE relating to Financial and Insurance activities, for which the letter identifying the Section followed by the 4 digits code for the class shall be used (e.g. ‘K6411’).

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 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.

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 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 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 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 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.

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 not be reported if item Unit price (C0260) is reported.

C0280

Maturity date

Only applicable for CIC categories 1, 2, 5, 6 and 8, and CIC 74 and CIC 79.

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

Corresponds always to the maturity date, even for callable securities. The following shall be considered:

—

For perpetual securities use ‘9999–12–31’

—

For CIC category 8, regarding loans and mortgages to individuals, the weighted (based on the loan amount) remaining maturity is to be reported.

S.12.01 — Life and Health SLT Technical Provisions

General comments:
This section relates to quarterly and annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
Undertakings may apply appropriate approximations in the calculation of the technical provisions as referred to in Article 21 of Delegated Regulation (EU) 2015/35. In addition, Article 59 of the Delegated Regulation (EU) 2015/35 may be applied to calculate the risk margin during the financial year.
Line of business for life obligations: The lines of business, referred to in Article 80 of the Directive 2009/138/EC, as defined in Annex I to Delegated Regulation (EU) 2015/35. The segmentation shall reflect the nature of the risks underlying the contract (substance), rather than the legal form of the contract (form). By default, where an insurance or reinsurance contract covers risks across the lines of business undertakings shall, where possible, unbundled the obligations into the appropriate lines of business (Article 55 of Delegated Regulation (EU) 2015/35).
Lines of business ‘Index–linked and unit–linked insurance’, ‘Other life insurance’ and ‘Health insurance’ are split between ‘Contracts without options and guarantees’ and ‘Contracts with options or guarantees’. For this split the following shall be considered:
— ‘Contracts without options and guarantees’ shall include the amounts related to contracts without any financial guarantees or contractual options, meaning that the technical provision calculation does not reflect the amount of any financial guarantees or contractual options. Contracts with non–material contractual options or financial guarantees that are not reflected in the technical provisions calculation shall also be reported in this column;
— ‘Contracts with options or guarantees’ shall include contracts that have either financial guarantees, contractual options, or both as far as the technical provision calculation reflect the existence of those financial guarantees or contractual options.
The information reported shall be gross of reinsurance as information on Recoverables from reinsurance/SPV and Finite reinsurance is requested in specific rows.
The information to be reported between R0010 and R0100 shall be after the volatility adjustment, the matching adjustment and the transitional adjustment to the relevant risk-free interest rate term structure if applied but shall not include the transitional deduction to technical provisions. The amount of transitional deduction to technical provisions is requested separately between rows R0110 and R0130.

 

ITEM

INSTRUCTIONS

Z0020

Ring Fenced Fund/Matching adjustment portfolio or remaining part

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

 

1 — RFF/MAP

 

2 — Remaining part

Z0030

Fund/Portfolio number

Identification number for a ring fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates.

This item is to be completed only when item Z0020 = 1

Technical provisions calculated as a whole

C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0010

Technical provisions calculated as a whole

Amount of Technical provisions calculated as a whole per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0150/R0010

Technical provisions calculated as a whole — Total (Life other than health insurance, incl. Unit–Linked)

Total amount of technical provisions calculated as a whole for Life other than health insurance, including Unit–Linked.

C0210/R0010

Technical provisions calculated as a whole — Total (Health similar to life insurance)

Total amount of technical provisions calculated as a whole for Health similar to life insurance.

C0020, C0030, C0060, C0090, C0100 to C0140, C0160, C0190, C0200/R0020

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

Amount of recoverables from reinsurance/SPV and finite reinsurance (‘Finite Re’) after the adjustment for expected losses due to counterparty default of technical provisions (‘TP’) calculated as a whole per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0150/R0020

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole — Total (Life other than health insurance, incl. Unit–Linked)

Total amount of recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default of technical provisions calculated as a whole for Life other than health insurance, including Unit–Linked.

C0210/R0020

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole — Total (Health similar to life insurance)

Total amount of recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default of technical provisions calculated as a whole for Health similar to life insurance.

Technical provisions calculated as a sum of best estimate and risk margin

C0020, C0040, C0050, C0070, C0080, C0090, C0100 to C0140, C0170, C0180, C0190, C0200/R0030

Technical provisions calculated as a sum of Best Estimate (‘BE’) and Risk Margin (‘RM’), Gross Best Estimate

Amount of Gross Best estimate (no deduction of reinsurance, SPVs and Finite Re according to Article 77(2) of Directive 2009/138/EC) per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0150/R0030

Technical provisions calculated as a sum of BE and RM, Gross Best Estimate — Total (Life other than health insurance, incl. Unit–Linked)

Total amount of Gross Best estimate (no deduction of reinsurance, SPVs and Finite Re according to Article 77(2) of Directive 2009/138/EC), for Life other than health insurance, including Unit–Linked.

C0210/R0030

Technical provisions calculated as a sum of BE and RM, Gross Best Estimate — Total (Health similar to life insurance)

Total amount of Gross Best estimate (no deduction of reinsurance, SPVs and Finite Re according to Article 77(2) of Directive 2009/138/EC), for Health similar to life insurance.

C0020, C0040, C0050, C0070, C0080, C0090, C0100, C0170, C0180, C0190, C0200/R0040

Total Recoverables from reinsurance/SPV and Finite Re before the adjustment for expected losses due to counterparty default

Amount of recoverables before adjustment for expected losses due to possibility of default of the reinsurer, as defined in Article 81 of Directive 2009/138/EC, including ceded intra group reinsurance, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0150/R0040

Total Recoverables from reinsurance/SPV and Finite Re before the adjustment for expected losses due to counterparty default — Total (Life other than health insurance, incl. Unit–Linked)

Total amount of recoverables before adjustment for expected losses due to possibility of default of the reinsurer, as defined in art. 81 of Directive 2009/138/EC, including ceded intra group reinsurance, for Life other than health insurance, including Unit–Linked.

C0210/R0040

Total Recoverables from reinsurance/SPV and Finite Re before the adjustment for expected losses due to counterparty default — Total (Health similar to life insurance)

Total amount of the recoverables from reinsurance and SPVs before the adjustment for expected losses due to counterparty default for Health similar to life insurance.

C0020, C0040, C0050, C0070, C0080, C0090, C0100, C0170, C0180, C0190, C0200/R0050

Recoverables from reinsurance (except SPV and Finite Re) before adjustment for expected losses

Amount of recoverables (before adjustment for expected losses) from ‘traditional’ reinsurance, i.e. without SPVs and Finite Reinsurance, calculated consistently with the boundaries of the contracts to which they relate, including ceded intra group reinsurance, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0150/R0050

Total Recoverables from reinsurance (except SPV and Finite Re) before adjustment for expected losses — Total (Life other than health insurance, incl. Unit–Linked)

Total Amount of recoverables (before adjustment for expected losses) from ‘traditional’ reinsurance, i.e. without SPVs and Finite Reinsurance, calculated consistently with the boundaries of the contracts to which they relate, including ceded intra group reinsurance, for Life other than health insurance, including Unit–Linked.

C0210/R0050

Total Recoverables from reinsurance (except SPV and Finite Re) before adjustment for expected losses — Total (Health similar to life insurance)

Total amount of recoverables from reinsurance (except SPVs and Finite Reinsurance) before adjustment for expected losses, calculated consistently with the boundaries of the contracts to which they relate, for Health similar to life insurance.

C0020, C0040, C0050, C0070, C0080, C0090, C0100, C0170, C0180, C0190, C0200/R0060

Recoverables from SPV before adjustment for expected losses

Amount of recoverables from SPVs before adjustment for expected losses, calculated consistently with the boundaries of the contracts to which they relate, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, including ceded intra group reinsurance, per each line of business.

C0150/R0060

Total Recoverables from SPV before adjustment for expected losses — Total (Life other than health insurance, incl. Unit–Linked)

Total amount of recoverables from SPVs before adjustment for expected losses, calculated consistently with the boundaries of the contracts to which they relate, for Life other than health insurance, including Unit–Linked.

C0210/R0060

Total Recoverables from SPV before adjustment for expected losses — Total (Health similar to life insurance)

Total amount of recoverables from SPVs before adjustment for expected losses for Health similar to life insurance

C0020, C0040, C0050, C0070, C0080, C0090, C0100, C0170, C0180, C0190, C0200/R0070

Recoverables from Finite Re before adjustment for expected losses

Amount of recoverables from Finite Re before adjustment for expected losses, calculated consistently with the boundaries of the contracts to which they relate, including ceded intra group reinsurance, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0150/R0070

Total Recoverables from Finite Re before adjustment for expected losses — Total (Life other than health insurance, incl. Unit–Linked)

Total amount of recoverables from Finite Re before adjustment for expected losses, calculated consistently with the boundaries of the contracts to which they relate, including ceded intra group reinsurance, for Life other than health insurance, including Unit–Linked.

C0210/R0070

Total Recoverables from Finite Re before adjustment for expected losses — Total (Health similar to life insurance)

Total amount of recoverables from Finite Reinsurance before adjustment for expected losses for Health similar to life insurance.

C0020, C0040, C0050, C0070, C0080, C0090, C0100 to C0140, C0170, C0180, C0190, C0200/R0080

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default

Amount of recoverables after adjustment for expected losses due to possibility of default of the reinsurer, as defined in art. 81 of Directive 2009/138/EC, including ceded intra group reinsurance, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0150/R0080

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default — Total (Life other than health insurance, incl. Unit–Linked)

Total amount of recoverables after adjustment for expected losses due to possibility of default of the reinsurer, as defined in art. 81 of Directive 2009/138/EC, including ceded intra group reinsurance, for Life other than health insurance, including Unit–Linked.

C0210/R0080

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default — Total (Health similar to life insurance)

Total amount of recoverables after adjustment for expected losses due to possibility of default of the reinsurer, as defined in art. 81 of Directive 2009/138/EC, including ceded intra group reinsurance, for Health similar to life insurance.

C0020, C0040, C0050, C0070, C0080, C0090, C0100, C0170, C0180, C0190, C0200/R0090

Best Estimate minus recoverables from reinsurance/SPV and Finite Re

Amount of Best Estimate minus recoverables from reinsurance/SPV and Finite Re after adjustment for expected losses due to possibility of default of the reinsurer, as defined in art. 81 of Directive 2009/138/EC, per each Line of Business.

C0150/R0090

Best Estimate minus recoverables from reinsurance/SPV and Finite Re — Total (Life other than health insurance, incl. Unit–Linked)

Total amount of Best Estimate minus recoverables from reinsurance/SPV and Finite Re, after adjustment for expected losses due to possibility of default of the reinsurer, as defined in art. 81 of Directive 2009/138/EC, for Life other than health insurance, including Unit–Linked.

C0210/R0090

Best estimate minus recoverables from reinsurance/SPV and Finite Re — Total (Health similar to life insurance)

Total amount of Best estimate minus recoverables from reinsurance/SPV and Finite Re after adjustment for expected losses due to possibility of default of the reinsurer, as defined in art. 81 of Directive 2009/138/EC, for Health similar to life insurance.

C0020, C0030, C0060, C0090, C0100 to C0140, C0160, C0190, C0200/R0100

Risk Margin

Amount of Risk margin, as defined in Article 77(3) of Directive 2009/138/EC, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0150/R0100

Risk Margin — Total (Life other than health insurance, incl. Unit–Linked)

Total amount of Risk Margin for Life other than health insurance, including Unit–Linked.

C0210/R0100

Risk Margin — Total (Health similar to life insurance)

Total amount of Risk Margin for Health similar to life insurance.

Amount of the transitional on Technical Provisions

C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0110

Technical Provisions calculated as a whole

Amount of the transitional deduction to technical provisions allocated to the technical provisions calculated as a whole, per each Line of Business.

This value shall be reported as a negative value.

C0150/R0110

Technical Provisions calculated as a whole — Total (Life other than health insurance, including Unit–Linked)

Amount of the transitional deduction to technical provisions allocated to the technical provisions calculated as a whole for Life other than health insurance, including Unit–Linked.

This value shall be reported as a negative value.

C0210/R0110

Technical Provisions calculated as a whole — Total (Health similar to life insurance)

Amount of the transitional deduction to technical provisions allocated to the technical provisions calculated as a whole for Health similar to life insurance.

This value shall be reported as a negative value.

C0020, C0040, C0050, C0070, C0080, C0090, C0100, C0170, C0180, C0190, C0200/R0120

Best Estimate

Amount of the transitional deduction to technical provisions allocated to the best estimate, per each Line of Business.

This value shall be reported as a negative value.

C0150/R0120

Best Estimate — Total (Life other than health insurance, including Unit–Linked)

Total amount of the transitional deduction to technical provisions allocated to the best estimate for Life other than health insurance, including Unit–Linked.

This value shall be reported as a negative value.

C0210/R0120

Best Estimate — Total (Health similar to life insurance)

Total amount of the transitional deduction to technical provisions allocated to the best estimate for Health similar to life insurance.

This value shall be reported as a negative value.

C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0130

Risk Margin

Amount of the transitional deduction to technical provisions allocated to the risk margin, per each Line of Business.

This value shall be reported as a negative value.

C0150/R0130

Risk Margin — Total (Life other than health insurance, including Unit–Linked)

Total amount of the transitional deduction to technical provisions allocated to the risk margin for Life other than health insurance, including Unit–Linked.

This value shall be reported as a negative value.

C0210/R0130

Risk Margin — Total (Health similar to life insurance)

Total amount of the transitional deduction to technical provisions allocated to the risk margin for Health similar to life insurance.

This value shall be reported as a negative value.

Technical provisions — Total

C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0200

Technical Provisions — Total

Total amount of Technical Provisions for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, including technical provisions calculated as a whole and after the transitional deduction to technical provisions.

C0150/R0200

Technical Provisions — Total — Total (Life other than health insurance, including Unit–Linked)

Total amount of Technical Provisions for Life other than health insurance, including Unit–Linked, including technical provisions calculated as a whole and after the transitional deduction to technical provisions.

C0210/R0200

Technical Provisions — Total — Total (Health similar to life insurance)

Total amount of Technical Provisions for Health similar to life insurance, including technical provisions calculated as a whole and after the transitional deduction to technical provisions.

C0020, C0030, C0060, C0090, C0100, C0110, C0120, C0130, C0140, C0160, C0190, C0200/R0210

Technical Provisions minus Recoverables from reinsurance/SPV and Finite Re — Total

Total amount of Technical Provisions minus Recoverables from reinsurance/SPV and Finite Re per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, including technical provisions calculated as a whole and after the transitional deduction to technical provisions.

C0150/R0210

Technical Provisions minus Recoverables from reinsurance/SPV and Finite Re — Total — Total (Life other than health insurance, including Unit–Linked)

Total amount of Technical Provisions minus Recoverables from reinsurance/SPV and Finite Re for Life other than health insurance, including Unit–Linked, including technical provisions calculated as a whole and after the transitional deduction to technical provisions.

C0210/R0210

Technical Provisions minus Recoverables from reinsurance/SPV and Finite Re — Total — Total (Health similar to life insurance)

Total amount of Technical Provisions minus Recoverables from reinsurance/SPV and Finite Re for Health similar to life insurance, including technical provisions calculated as a whole and after the transitional deduction to technical provisions.

Best Estimate of products with a surrender option

C0020, C0030, C0060, C0090, C0160, C0190,/R0220

Best Estimate of products with a surrender option

Amount of gross Best Estimate of products with a surrender option per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, except for accepted reinsurance.

This amount shall also be included in R0030 to R0090.

C0150/R0220

Best Estimate of products with a surrender option — Total (Life other than health insurance, including Unit–Linked)

Total amount of gross Best Estimate of products with a surrender option for Life other than health insurance, including Unit–Linked.

This amount shall also be included in R0030 to R0090.

C0210/R0220

Best Estimate of products with a surrender option — Total (Health similar to life insurance)

Total amount of gross Best Estimate of products with a surrender option for Health similar to life insurance.

This amount shall also be included in R0030 to R0090.

Gross BE for Cash flow

C0030, C0060, C0090, C0160, C0190, C0200/R0230

Gross Best Estimate for Cash flow, Cash out–flow, Future guaranteed and discretionary benefits

Amount of discounted Cash out–flows (payments to policyholders and beneficiaries) for future guaranteed benefits and for future discretionary benefits, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

Future Discretionary Benefits means future benefits other than index–linked or unit–linked benefits of insurance or reinsurance contracts which have one of the following characteristics:

a)

The benefits are legally or contractually based on one or several of the following results:

i.

the performance of a specified group of contracts or a specified type of contract or a single contract;

ii.

the realised or unrealised investment return on a specified pool of assets held by the insurance or reinsurance undertaking;

iii.

the profit or loss of the insurance or reinsurance undertaking or fund corresponding to the contract;

b)

the benefits are based on a declaration of the insurance or reinsurance undertaking and the timing or the amount of the benefits is at its full or partial discretion.

C0020, C0100/R0240

Gross Best Estimate for Cash flow, Cash out–flow, Future guaranteed benefits — Insurance with profit participation

Amount of discounted Cash out–flows (payments to policyholders and beneficiaries) for future guaranteed benefits, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, ‘Insurance with profit participation’.

C0020, C0100/R0250

Gross Best Estimate for Cash flow, Cash out–flows, Future discretionary benefits — Insurance with profit participation

Amount of discounted Cash out–flows (payments to policyholders and beneficiaries) for future discretionary benefits, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, ‘Insurance with profit participation’.

Future Discretionary Benefits means future benefits other than index–linked or unit–linked benefits of insurance or reinsurance contracts which have one of the following characteristics:

a)

The benefits are legally or contractually based on one or several of the following results:

i.

the performance of a specified group of contracts or a specified type of contract or a single contract;

ii.

the realised or unrealised investment return on a specified pool of assets held by the insurance or reinsurance undertaking;

iii.

the profit or loss of the insurance or reinsurance undertaking or fund corresponding to the contract;

b)

the benefits are based on a declaration of the insurance or reinsurance undertaking and the timing or the amount of the benefits is at its full or partial discretion.

C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0260

Gross Best Estimate for Cash flow, Cash out–flow, Future expenses and other cash out–flows

Amount of discounted Cash out–flows for Future expenses and other cash out–flows, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. Shall reflect expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash–flow items such as taxation payments which are, or are expected to be, charged to policyholders, or are required to settle the insurance or reinsurance obligations.

C0150/R0260

Gross Best Estimate for Cash flow, Cash out–flow, Future expenses and other cash out–flows — Total (Life other than health insurance, including Unit–Linked)

Total amount of discounted Cash out–flows for Future expenses and other cash out–flows, for Life other than health insurance, including Unit–Linked

Shall reflect expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash–flow items such as taxation payments which are, or are expected to be, charged to policyholders, or are required to settle the insurance or reinsurance obligations.

C0210/R0260

Gross Best Estimate for Cash flow, Cash out–flow, Future expenses and other cash out–flows — Total (Health similar to life insurance)

Total amount of discounted Cash out–flows for Future expenses and other cash out–flows, for Health similar to life insurance.

Shall reflect expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash–flow items such as taxation payments which are, or are expected to be, charged to policyholders, or are required to settle the insurance or reinsurance obligations.

C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0270

Gross Best Estimate for Cash flow, Cash in–flows, Future premiums

Amount of discounted Cash in–flows from future premiums and any additional cash–flows that results from those premiums, including accepted reinsurance premiums, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0150/R0270

Gross Best Estimate for Cash flow, Cash in–flows, Future premiums — Total (Life other than health insurance, including Unit–Linked)

Amount of discounted Cash in–flows from future premiums and any additional cash–flows that results from those premiums, including accepted reinsurance premiums, for Life other than health insurance, including Unit–Linked.

C0210/R0270

Gross Best Estimate for Cash flow, Cash in–flows, Future premiums — Total (Health similar to life insurance)

Amount of discounted Cash in–flows from future premiums and any additional cash–flows that results from those premiums, including accepted reinsurance premiums, for Health similar to life insurance.

C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0280

Gross Best Estimate for Cash flow, Cash in–flows, Other cash in–flows

Amount of any other discounted cash in–flows not included in Future premiums and not including investment returns, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0150/R0280

Gross Best Estimate for Cash flow, Cash in–flows, Other cash in–flows — Total (Life other than health insurance, including Unit–Linked)

Amount of any other discounted cash in–flows not included in Future premiums and not including investment returns, for Life other than health insurance, including Unit–Linked.

C0210/R0280

Gross Best Estimate for Cash flow, Cash in–flows, Other cash in–flows — Total (Health similar to life insurance)

Amount of any other discounted cash in–flows not included in Future premiums and not including investment returns, for Health similar to life insurance.

C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0290

Percentage of gross Best Estimate calculated using approximations

Indicate the percentage of gross best estimate included in Gross Best Estimate (R0030) calculated using approximations as established in Article 21 of Delegated Regulation (EU) 2015/35, per each Line of Business.

C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0300

Surrender value

Indicate the amount of surrender value, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, as mentioned in Article 185 (3) (f) of Directive 2009/138/EC, net of taxes.

Shall reflect the amount, defined contractually, to be paid to the policyholder in case of early termination of the contract (i.e. before it becomes payable by maturity or occurrence of the insured event, such as death), net of charges and policy loans. It includes surrender values guaranteed and not guaranteed.

C0150/R0300

Surrender value, Total (Life other than health insurance, including Unit–Linked)

Total surrender value for Life other than health insurance, including Unit–Linked.

C0210/R0300

Surrender value, Total (Health similar to life insurance)

Total surrender value for Health similar to life insurance.

C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0310

Best estimate subject to transitional of the interest rate

Indicate the amount of gross best estimate (R0030) subject to the transitional adjustment to the relevant risk-free interest rate term structure, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0150/R0310

Best estimate subject to transitional of the interest rate — Total (Life other than health insurance, including Unit–Linked)

Total amount of gross best estimate (R0030) subject to the transitional adjustment to the relevant risk-free interest rate term structure, for Life other than health insurance, including Unit–Linked.

C0210/R0310

Best estimate subject to transitional of the interest rate — Total (Health similar to life insurance)

Total amount of gross best estimate (R0030) subject to transitional adjustment to the relevant risk-free interest rate term structure, for Health similar to life insurance.

C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0320

Technical provisions without transitional on interest rate

Amount of technical provisions where the transitional adjustment to the relevant risk-free interest rate term structure has been applied calculated without the transitional adjustment to the relevant risk-free interest rate term structure, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

In the cases where the same best estimates were also subject to the volatility adjustment, the amount reported in this item shall reflect the value without the transitional adjustment to the relevant risk-free interest rate term structure but with the volatility adjustment.

C0150/R0320

Technical provisions without transitional on interest rate

Total amount of technical provisions where the transitional adjustment to the relevant risk-free interest rate term structure has been applied calculated without the transitional adjustment to the relevant risk-free interest rate term structure, for Life other than health insurance, including Unit–Linked.

In the cases where the same best estimates were also subject to the volatility adjustment, the amount reported in this item shall reflect the value without the transitional adjustment to the relevant risk-free interest rate term structure but with the volatility adjustment.

C0210/R0320

Technical provisions without transitional on interest rate

Total amount of technical provisions where the transitional adjustment to the relevant risk-free interest rate term structure has been applied calculated without the transitional adjustment to the relevant risk-free interest rate term structure, for Health similar to life insurance.

In the cases where the same best estimates were also subject to the volatility adjustment, the amount reported in this item shall reflect the value without the transitional adjustment to the relevant risk-free interest rate term structure but with the volatility adjustment.

C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0330

Best estimate subject to volatility adjustment

Indicate the amount of gross best estimate (R0030) subject to volatility adjustment, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0150/R0330

Best estimate subject to volatility adjustment — Total (Life other than health insurance, including Unit–Linked)

Total amount of gross best estimate (R0030) subject to volatility adjustment, for Life other than health insurance, including Unit–Linked

C0210/R0330

Best estimate subject to volatility adjustment — Total (Health similar to life insurance)

Total amount of gross best estimate (R0030) subject to volatility adjustment, for Health similar to life insurance.

C0020, C0020, C0060, C0090, C0100, C0160, C0190, C0200/R0340

Technical provisions without volatility adjustment and without others transitional measures

Amount of technical provisions where the volatility adjustment has been applied calculated without volatility adjustment, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

In the cases where the same technical provisions were also subject to the transitional deduction to technical provisions/transitional adjustment to the relevant risk-free interest rate term structure, the amount reported in this item shall reflect the value with neither the volatility adjustment nor the transitional deduction to technical provisions/transitional adjustment to the relevant risk-free interest rate term structure.

C0150/R0340

Technical provisions without volatility adjustment and without others transitional measures — Total (Life other than health insurance, including Unit–Linked)

Total amount of technical provisions where the volatility adjustment has been applied calculated without volatility adjustment, for Life other than health insurance, including Unit–Linked.

In the cases where the same technical provisions were also subject to the transitional deduction to technical provisions/transitional adjustment to the relevant risk-free interest rate term structure, the amount reported in this item shall reflect the value with neither the volatility adjustment nor the transitional deduction to technical provisions/transitioanl adjustment to the relevant risk-free interest rate term structure.

C0210/R0340

Technical provisions without volatility adjustment and without others transitional measures — Total (Health similar to life insurance)

Total amount of technical provisions where the volatility adjustment has been applied calculated without volatility adjustment, for Health similar to life insurance.

In the cases where the same technical provisions were also subject to the transitional deduction to technical provisions/transitional adjustment to the relevant risk-free interest rate term structure, the amount reported in this item shall reflect the value with neither the volatility adjustment nor the transitional deduction to technical provisions/transitional adjustment to the relevant risk-free interest rate term structure.

C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0350

Best estimate subject to matching adjustment

Indicate the amount of gross best estimate (R0030) subject to matching adjustment, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0150/R0350

Best estimate subject to matching adjustment — Total (Life other than health insurance, including Unit–Linked)

Total amount of gross best estimate (R0030) subject to matching adjustment, for Life other than health insurance, including Unit–Linked

C0210/R0350

Best estimate subject to matching adjustment — Total (Health similar to life insurance)

Total amount of gross best estimate (R0030) subject to matching adjustment, for Health similar to life insurance

C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0360

Technical provisions without matching adjustment and without all the others

Amount of technical provisions where the matching adjustment has been applied calculated without matching adjustment, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

In the cases where the same technical provisions were also subject to the transitional deduction to technical provisions, the amount reported in this item shall reflect the value with neither the matching adjustment nor the transitional deduction to technical provisions.

C0150/R0360

Technical provisions without matching adjustment and without all the others — Total (Life other than health insurance, including Unit–Linked)

Total amount of technical provisions where the matching adjustment has been applied calculated without matching adjustment, for Life other than health insurance, including Unit–Linked.

In the cases where the same technical provisions were also subject to the transitional deduction to technical provisions, the amount reported in this item shall reflect the value with neither the matching adjustment nor the transitional deduction to technical provisions.

C0210/R0360

Technical provisions without matching adjustment and without all the others — Total (Health similar to life insurance)

Total amount of technical provisions where the matching adjustment has been applied calculated without matching adjustment, for Health similar to life insurance.

In the cases where the same technical provisions were also subject to the transitional deduction to technical provisions, the amount reported in this item shall reflect the value with neither the matching adjustment nor the transitional deduction to technical provisions.

S.12.02 — Life and Health SLT Technical Provisions — by Country

General comments:
This section relates to annual submission of information for individual entities.
Undertakings shall take into account all the obligations in different currencies and convert them into the reporting currency.
The information by country shall be reported according to the following specifications:
e)
Information on the home country shall be always reported regardless of the amount of technical provisions calculated as a whole and gross best estimate;
f)
Information reported by country shall at least represent 90 % of the sum of the technical provisions calculated as a whole and gross best estimate of any line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35;
g)
If a specific country has to be reported for a particular line of business to comply with sub–paragraph b) then that country shall be reported for all lines of business;
h)
The other countries shall be reported aggregated in ‘other–EEA’ or ‘other–non EEA’
i)
For direct business information shall be reported by country where the contract was entered into;
j)
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:
k)
The country where the insurance undertaking is established (home country) when the contract was not sold through a branch or freedom to provide services;
l)
The country where the branch is located (host country) when the contract was sold through a branch;
m)
The country where the freedom to provide services was notified (host country) when the contract was sold through freedom to provide services.
n)
If an intermediary is used or in any other situation, it is a), b) or c) depending on who sold the contract.
The information to be reported shall include the volatility adjustment, the matching adjustment, the transitional adjustment to the relevant risk-free interest rate term structure and the transitional deduction to technical provisions.
Gross TP calculated as a whole and Gross BE for different countries

 

ITEM

INSTRUCTIONS

C0010/R0040, …

Geographical zone/Country

Report the country ISO 3166–1 alpha–2 code for identifying the countries within the materiality threshold

C0020, C0030, C0060, C0090, C0100, C0150, C0160, C0190, C0200, C0210/R0010

Gross TP calculated as a whole and Gross BE for different countries — Home country

Amount of Gross TP calculated as a whole and gross Best Estimate by country where the contract was entered into or country of localisation of the ceding undertaking, when the country is the home country, for each Line of Business and totals for Life other than health insurance, including Unit–Linked and Health similar to life insurance.

C0020, C0030, C0060, C0090, C0100, C0150, C0160, C0190, C0200, C0210/R0020

Gross TP calculated as a whole and Gross BE for different countries — EEA countries outside the materiality threshold — not reported by country

Amount of Gross TP calculated as a whole and gross Best Estimate, for EEA countries outside the materiality threshold (i.e. those not reported separately by country), except the home country, for each Line of Business and totals for Life other than health insurance, including Unit–Linked and Health similar to life insurance.

C0020, C0030, C0060, C0090, C0100, C0150, C0160, C0190, C0200, C0210/R0030

Gross TP calculated as a whole and Gross BE for different countries — Non–EEA countries outside the materiality threshold — not reported by country

Amount of Gross TP calculated as a whole and gross Best Estimate, for non–EEA countries outside the materiality threshold (i.e. those not reported separately by country), except the home country, for each Line of Business and totals for Life other than health insurance, including Unit–Linked and Health similar to life insurance.

C0020, C0030, C0060, C0090, C0100, C0150, C0160, C0190, C0200, C0210/R0040, …

Gross TP calculated as a whole and Gross BE for different countries — Country 1 [one row for each country in the materiality threshold]

Amount of Gross TP calculated as a whole and gross Best Estimate by country where the contract was entered into or country of localisation of the ceding undertaking, for each of the countries in the materiality threshold, except the home country, for each Line of Business and totals for Life other than health insurance, including Unit–Linked and Health similar to life insurance.

S.13.01 — Projection of future gross cash flows (Best Estimate –life)

General comments:
This part of Annex II relates to annual submission of information for individual entities.
This template shall include information only in relation to the best estimates. The cash flows to be reported are gross of reinsurance and undiscounted.
Cash–flow projections such as central scenarios can be used as no perfect reconciliation with Best Estimate calculation is required. If difficult to project some future cash–flows like collective Future Discretionary Benefits the undertaking shall report the cash flow it effectively uses for calculating the Best Estimate.
All cash flows expressed in different currencies shall be considered and converted in the reporting currency using the exchange rate at the reporting date
In case the undertaking uses simplifications for the calculation of technical provisions, for which an estimate of the expected future cash–flows arising from the contracts are not calculated, the information shall be reported only in those cases where more than 10 % of total technical provisions have a settlement period longer than 24 months.

 

ITEM

INSTRUCTIONS

C0010/R0010–R0330

Future cash–flows used in the Best estimate, Insurance with profit participation (gross), Cash out–flows — Future benefits

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash–flows are the ones stemming from future benefits regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Insurance with profit participation.

C0020/R0010–R0330

Future cash–flows used in the Best estimate, Insurance with profit participation (gross), Cash out–flows — Future expenses and other cash out–flows

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash–flows are the ones related to expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash–flow items such as taxation payments which are, or expected to be, charged to policyholders or are required to settle the insurance obligations, for line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Insurance with profit participation.

Cash out–flows from non–life insurance contracts that will change to Annuities but not yet formally settled as Annuities, and dealt with within the same company shall also be included.

C0030/R0010–R0330

Future cash–flows used in the Best estimate, Insurance with profit participation (gross), Cash in–flows — Future premiums

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash– flows are the ones stemming from future premiums and any additional cash–flows that result from those premiums, for line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Insurance with profit participation.

C0040/R0010–R0330

Future cash–flows used in the Best estimate, Insurance with profit participation (gross), Cash in–flows — Other cash in–flows

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash– flows are the ones not included in Future premiums and not including investment returns, for line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Insurance with profit participation.

C0050/R0010–R0330

Future cash–flows used in the Best estimate, Index linked and unit–linked insurance (gross), Cash out–flows — Future benefits

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash–flows are the ones stemming from Future benefits regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Index linked and unit–linked insurance.

C0060/R0010–R0330

Future cash–flows used in the Best estimate, Index linked and unit–linked insurance (gross), Cash out–flows — Future expenses and other cash out–flows

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash–flows are the ones related to expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash–flow items such as taxation payments which are, or expected to be, charged to policyholders or are required to settle the insurance obligations, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Index linked and unit–linked insurance.

Cash out–flows from non–life insurance contracts that will change to Annuities but not yet formally settled as Annuities, and dealt with within the same company shall also be included.

C0070/R0010–R0330

Future cash–flows used in the Best estimate, Index linked and unit–linked insurance (gross), Cash in–flows — Future premiums

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash– flows are the ones stemming from future premiums and any additional cash–flows that result from those premiums,, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Index linked and unit–linked insurance.

C0080/R0010–R0330

Future cash–flows used in the Best estimate, Index linked and unit–linked insurance (gross), Cash in–flows — Other cash in–flows

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash– flows are the ones not included in Future premiums and not including investment returns, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Index linked and unit–linked insurance.

C0090/R0010–R0330

Future cash–flows used in the Best estimate, Other life insurance (gross), Cash out–flows — Future benefits

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash–flows are the ones stemming from Future benefits regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Other life insurance.

C0100/R0010–R0330

Future cash–flows used in the Best estimate, Other life insurance (gross), Cash out–flows — Future expenses and other cash out–flows

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash–flows are the ones related to expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash–flow items such as taxation payments which are, or expected to be, charged to policyholders or are required to settle the insurance obligations, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Other life insurance.

Cash out–flows from non–life insurance contracts that will change to Annuities but not yet formally settled as Annuities, and dealt with within the same company shall also be included.

C0110/R0010–R0330

Future cash–flows used in the Best estimate, Other life insurance (gross), Cash in–flows — Future premiums

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash– flows are the ones stemming from future premiums and any additional cash–flows that result from those premiums, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Other life insurance.

C0120/R0010–R0330

Future cash–flows used in the Best estimate, Other life insurance (gross), Cash in–flows — Other cash in–flows

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash– flows are the ones not included in Future premiums and not including investment returns, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Other life insurance.

C0130/R0010–R0330

Future cash–flows used in the Best estimate, Annuities stemming from non–life contracts (gross), Cash out–flows — Future benefits

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash–flows are the ones stemming from Future benefits regarding lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Annuities stemming from non–life contracts relating to insurance obligations, including health insurance obligations.

Cash out–flows from non–life insurance contracts that will change to Annuities but are not yet formally settled as Annuities and shall not be included.

C0140/R0010–R0330

Future cash–flows used in the Best estimate, Annuities stemming from non–life contracts (gross), Cash out–flows — Future expenses and other cash out–flows

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash–flows are the ones related to expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash–flow items such as taxation payments which are, or expected to be, charged to policyholders or are required to settle the insurance obligations, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Annuities stemming from non–life contracts relating to insurance obligations, including health insurance obligations.

Cash out–flows from non–life insurance contracts that are not yet settled as Annuities and will change to Annuities and dealt with within the same company shall not be included.

C0150/R0010–R0330

Future cash–flows used in the Best estimate, Annuities stemming from non–life contracts (gross), Cash in–flows — Future premiums

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash– flows are the ones stemming from future premiums and any additional cash–flows that result from those premiums, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Annuities stemming from non–life contracts relating to insurance obligations, including health insurance obligations.

Cash out–flows from non–life insurance contracts that are not yet settled as Annuities and will change to Annuities shall not be included.

C0160/R0010–R0330

Future cash–flows used in the Best estimate, Annuities stemming from non–life contracts (gross), Cash in–flows — Other cash in–flows

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash– flows are the ones not included in Future premiums and not including investment returns, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Annuities stemming from non–life contracts relating to insurance obligations, including health insurance obligations.

Cash out–flows from non–life insurance contracts that are not yet settled as Annuities and will change to Annuities shall not be included.

C0170/R0010–R0330

Future cash–flows used in the Best estimate, Accepted reinsurance (gross), Cash out–flows — Future benefits

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash–flows are the ones stemming from Future benefits regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Life reinsurance.

C0180/R0010–R0330

Future cash–flows used in the Best estimate, Accepted reinsurance (gross), Cash out–flows — Future expenses and other cash out–flows

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash–flows are the ones related to expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash–flow items such as taxation payments which are, or expected to be, charged to policyholders or are required to settle the insurance obligations, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Life reinsurance.

Cash out–flows from non–life insurance contracts that will change to Annuities but not yet formally settled as Annuities, and dealt with within the same company shall also be included.

C0190/R0010–R0330

Future cash–flows used in the Best estimate, Accepted reinsurance (gross), Cash in–flows — Future premiums

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash– flows are the ones stemming from future premiums and any additional cash flows that result from those premiums, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Life reinsurance.

C0200/R0010–R0330

Future cash–flows used in the Best estimate, Accepted reinsurance (gross), Cash in–flows — Other cash in–flows

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash– flows are the ones not included in Future premiums and not including investment returns, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Life reinsurance.

C0210/R0010–R0330

Future cash–flows used in the Best estimate, Health insurance (gross), Cash out–flows — Future benefits

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash–flows are the ones stemming from Future benefits regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Health insurance.

C0220/R0010–R0330

Future cash–flows used in the Best estimate, Health insurance (gross), Cash out–flows — Future expenses and other cash out–flows

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash–flows are the ones related to expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash–flow items such as taxation payments which are, or expected to be, charged to policyholders or are required to settle the insurance obligations, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Health insurance.

C0230/R0010–R0330

Future cash–flows used in the Best estimate, Health insurance (gross), Cash in–flows — Future premiums

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash– flows are the ones stemming from future premiums and any additional cash flows that result from those premiums, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35,line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Health insurance.

C0240/R0010–R0330

Future cash–flows used in the Best estimate, Health insurance (gross), Cash in–flows — Other cash in–flows

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash– flows are the ones not included in Future premiums and not including investment returns, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Health insurance.

C0250/R0010–R0330

Future cash–flows used in the Best estimate, Health reinsurance (gross), Cash out–flows — Future benefits

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash–flows are the ones stemming from Future benefits regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Health reinsurance.

C0260/R0010–R0330

Future cash–flows used in the Best estimate, Health reinsurance (gross), Cash out–flows — Future expenses and other cash out–flows

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash–flows are the ones related to expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash–flow items such as taxation payments which are, or expected to be, charged to policyholders or are required to settle the insurance obligations, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Health reinsurance.

Cash out–flows from non–life insurance contracts that will change to Annuities but not yet formally settled as Annuities, and dealt within the same company shall also be included.

C0270/R0010–R0330

Future cash–flows used in the Best estimate, Health reinsurance (gross), Cash in–flows — Future premiums

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash– flows are the ones stemming from future premiums and any additional cash flows that result from those premiums, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Health reinsurance.

C0280/R0010–R0330

Future cash–flows used in the Best estimate, Health reinsurance (gross), Cash in–flows — Other cash in–flows

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The cash– flows are the ones not included in Future premiums and not including investment returns, regarding line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Health reinsurance.

C0290/R0010–R0330

Future cash–flows used in the Best estimate, Total recoverable from reinsurance (after the adjustment)

Amount of undiscounted cash–flows expected for each year from year 1 to year 30, aggregated for the interval of years 31 to 40, aggregated for the interval of years 41 to 50 and aggregated for all the years after year 50.

The future cash–flows undiscounted from amounts recoverables from reinsurance and SPVs/Finite Re, including ceded intra group reinsurance, including future reinsurance premiums. Amount shall be reported net of adjustment for counterparty default risk.

S.14.01 — Life obligations analysis

General comments:
This section relates to annual submission of information for individual entities.
This template includes information about life insurance contracts (direct business and accepted reinsurance) and also includes annuities stemming from non–life contracts (which are also analysed in S.16.01). All insurance contracts shall be reported even if classified as investments contract on accounting basis. In case of products unbundled, the different parts of the product shall be reported in different rows, using different ID codes.
Columns C0010 to C0080 shall be reported by product.
Columns C0090 to C0160 characterise the product.
Columns C0170 to C0210 shall be reported by Homogeneous Risk Group.

 

ITEM

INSTRUCTIONS

Portfolio

C0010

Product ID code

Internal product ID code used by the undertaking for the product. If a code is already in use or is attributed by the competent authority for supervisory purposes that code shall be used.

Different products are characterised according to cells C0090 to C0160.

The ID code shall be consistent over time.

C0020

Fund number

Applicable to products that are part of ring fenced funds or other internal funds (defined according to national markets). This number is attributed by the undertaking and shall be consistent over time and shall not be reused for other funds.

The number shall be used consistently across all templates, where relevant, to identify the fund.

C0030

Line of Business

Line of business as defined in Annex 1 of Delegated Regulation (EU) 2015/35.The following closed list shall be used:

 

29 — Health insurance

 

30 — Insurance with profit participation

 

31 — Index–linked and unit–linked insurance

 

32 — Other life insurance

 

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

 

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

 

35 — Health reinsurance

 

36 — Life reinsurance

C0040

Number of contracts at the end of the year

Number of contracts attached to each reported product. Contracts with more than one policyholder count as only one contract.

In case of inactive policyholder (no premium paid) the contract shall be reported anyway unless the contract is cancelled.

For annuities stemming from non–life use the number of annuities obligations.

C0050

Number of new contracts during year

Number of new contracts during reporting year (this is for all new contracts). Otherwise use the same instructions as for cell C0040.

For annuities stemming from non–life use the number of annuities obligations.

C0060

Total amount of Written premiums

Total amount of gross written premiums as defined in Article 1(11) of Delegated Regulation (EU) 2015/35.

For annuities stemming from non–life this cell is not applicable.

C0070

Total amount of claims paid during year

Total amount of gross claims paid during the year, including claims management expenses.

C0080

Country

Country ISO 3166–1 alpha–2 code or list of codes according to the following instructions:

—

ISO 3166–1 alpha–2 code of the country where the contract was entered into, for countries representing more than 10 % of technical provisions or written premiums for a given product.

—

If reinsurance it shall refer to the country of the cedent undertaking.

—

For countries representing less than 10 % of Technical Provisions or written premiums for a given product, report a list of ISO 3166–1 alpha–2 Codes of the countries concerned.

In case of a list please report the codes split by a ‘,’.

Characteristics of product

C0090

Product ID code

Same code as in C0010.

Internal product ID code used by the undertaking for the product. If a code is already in use or is attributed by the competent authority for supervisory purposes that code shall be used.

The ID code shall be consistent over time.

C0100

Product classification

The following close list shall be used:

 

1 — single life

 

2 — joint life

 

3 — collective

 

4 — pension entitlements

 

5 — other

If more than one characteristic is applicable use ‘5 — other’.

For annuities stemming from non–life use ‘5 — other’.

C0110

Type of product

General qualitative description of the product type. If a product code is attributed by the competent authority for supervisory purposes, the description of product type for that code shall be used.

C0120

Product denomination

Commercial name of product (undertaking–specific).

C0130

Product still commercialised?

Specify if product is still for sale or if it is just in run–off. The following closed list shall be used:

 

1 — Still comercialised

 

2 — In run–off

C0140

Type of premium

The following close list shall be used:

 

1 — Regular premium, premiums that policyholder has to pay at pre–determined dates and predetermined or variable amounts in order to have the full effect of its guarantee, including those cases when contracts provide the right of policyholders of changing dates and amount of premiums.

 

2 — Single premium with possibility of additional premiums with additional guarantee according to amount paid

 

3 — Single premium without possibility to pay an additional premium in the future

 

4 — Other, any other case not mentioned in options above or a combination

For annuities stemming from non–life use ‘4 — other’.

C0150

Use of financial instrument for replication?

State whether the product is considered replicable by a financial instrument (i.e. hedgeable, with technical provisions calculated as a whole). The following closed list shall be used:

 

1 — Replicable by financial instrument;

 

2 — Not replicable by financial instrument;

 

3 — Partially replicable by financial instrument.

C0160

Number of HRGs in products

If Homogeneous Risk Groups (‘HRG’) within the product are common to other products, specify the number of Homogeneous Risk Groups in the product that are common to other products.

Information on Homogeneous risk groups

C0170

HRG code

Homogeneous Risk Group Internal ID code used by undertaking for each Homogeneous Risk Group, as referred to in Article 80 of Directive 2009/138/EC.

The ID code shall be consistent over time.

C0180

Best Estimate

Amount of gross best estimate calculated by Homogenous Risk Group.

C0190

Capital–at–risk

The capital at risk, as defined in the Delegated Regulation (EU) 2015/35.

For annuities stemming from non–life contracts this cell shall be filled in with zero unless the annuities have positive risk.

C0200

Surrender value

Surrender value (where available), as mentioned in Article 185 (3) (f) of Directive 2009/138/EC, net of taxes: amount to be paid to the policyholder in case of early termination of the contract (i.e. before it becomes payable by maturity or occurrence of the insured event, such as death), net of charges and policy loans; does not concern contracts without options, given that surrender value is an option.

C0210

Annualised guaranteed rate (over average duration of guarantee)

Average guaranteed rate to the policy holder over the remaining life time of the contract. Only applicable where a guaranteed rate is provided in the contract.

Not applicable for unit linked contracts.

Information on products and homogeneous risk groups

C0220

Product ID code

Same code as in C0010.

Internal product ID code used by the undertaking for the product. If a code is already in use or is attributed by the competent authority for supervisory purposes that code shall be used.

The ID code shall be consistent over time.

If one product corresponds to more than one Homogeneous Risk Group identify which ones by rows, repeating the Product ID code.

If different products correspond to one single Homogeneous Risk Group report each product once identifying the HRG ID code.

C0230

HRG ID code

Same code as in in C0170.

Internal HRG ID code used by the undertaking for each Homogeneous Risk Group, as referred to in Article 80 of Directive 2009/138/EC.

The ID code shall be consistent over time.

Identify the HRG for each product that is considered for the purposes of calculating the technical provisions.

S.15.01 — Description of the guarantees of variable annuities

General comments:
This section relates to annual submission of information for individual entities.
This template shall only be reported in relation to the direct business by insurance companies that have variable annuities portfolios.
Variable annuities are unit–linked life insurance contracts with investment guarantees which, in exchange for single or regular premiums, allow the policyholder to benefit from the upside of the unit but be partially or totally protected when the unit loses value.
If Variable Annuities policies are split between two insurance undertakings, for instance a life company and a non–life company for the variable annuities guarantee, the company with the guarantee shall report this template. Only one row per product shall be reported.

 

ITEM

INSTRUCTIONS

C0040

Product ID code

Internal product ID code used by the undertaking for the product. If a code is already in use or is attributed by the competent authority for supervisory purposes that code shall be used.

C0050

Product denomination

Commercial name of product (undertaking–specific)

C0060

Description of the product

General qualitative description of the product. If a product code is attributed by the competent authority for supervisory purposes, the description of product type for that code shall be used.

C0070

Initial date of guarantee

The ISO 8601 (yyyy–mm–dd) code of the initial date of the cover.

C0080

Final date of guarantee

The ISO 8601 (yyyy–mm–dd) code of the final date of the cover.

C0090

Type of guarantee

The following closed list shall be used:

 

1 — Guaranteed minimum death benefit

 

2 — Guaranteed minimum accumulation benefit

 

3 — Guaranteed minimum income benefit

 

4 — Guaranteed minimum withdrawal benefits

 

9 — Other

C0100

Guaranteed level

Indicate the level of the guaranteed benefit in percentage (as a decimal).

C0110

Description of the guarantee

General description of the guarantees.

This shall include at least the capital accumulation mechanisms (e.g. roll–up, ratchet, step–up, reset), its frequency (infra–annual, annual, x–yearly), the base for computation of guaranteed levels (e.g. premium paid, premium paid net of expenses and/or withdrawals and/or paid–ups, premium increased by the capital accumulation mechanism), the guaranteed conversion factor, other general information about how the guarantee works.

S.15.02 — Hedging of guarantees of variable annuities

General comments:
This section relates to annual submission of information for individual entities.
This template shall only be reported in relation to the direct business by insurance companies that have Variable Annuities portfolios.
Variable annuities are unit–linked life insurance contracts with investment guarantees which, in exchange for single or regular premiums, allow the policyholder to benefit from the upside of the unit but be partially or totally protected when the unit loses value.
If Variable Annuities policies are split between two insurance undertakings, for instance a life company and a non–life company for the Variable Annuities guarantee, the company with the guarantee shall report this template. Only one row per product shall be reported.

 

ITEM

INSTRUCTIONS

C0040

Product ID code

Internal product ID code used by the undertaking for the product. If a code is already in use or is attributed by the competent authority for supervisory purposes that code shall be used.

The ID code shall be consistent over time and for the individual reporting correspond with the ID code reported in S.14.01 (C0010) and S.15.01 (C0020).

C0050

Product denomination

Commercial name of product (undertaking–specific)

C0060

Type of hedging

The following closed list shall be used:

 

1 — No hedging

 

2 — Dynamic hedging

 

3 — Static hedging

 

4 — Ad hoc hedging

Dynamic hedging is frequently rebalanced; static hedging is made of ‘standard’ derivatives but not frequently rebalanced; ad hoc hedging is made of financial products structured for the specific purpose of hedging those liabilities.

C0070

Delta hedged

The following closed list shall be used:

 

1 — Delta hedged

 

2 — Delta not hedged

 

3 — Delta partially hedged

 

4 — Guarantee not sensitive to delta.

Partial means that the strategy is not intended to cover the whole risk. Not sensitive is to be selected if the guarantee sold is deemed independent from the risk factor.

C0080

Rho hedged

The following closed list shall be used:

 

1 — Rho hedged

 

2 — Rho not hedged

 

3 — Rho partially hedged

 

4 — Guarantee not sensitive to rho.

Partial means that the strategy is not intended to cover the whole risk. Not sensitive is to be selected if the guarantee sold is deemed independent from the risk factor.

C0090

Gamma hedged

The following closed list shall be used:

 

1 — Gamma hedged

 

2 — Gamma not hedged

 

3 — Gamma partially hedged

 

4 — Guarantee not sensitive to gamma

Partial means that the strategy is not intended to cover the whole risk. Not sensitive is to be selected if the guarantee sold is deemed independent from the risk factor.

C0100

Vega hedged

The following closed list shall be used:

 

1 — Vega hedged

 

2 — Vega not hedged

 

3 — Vega partially hedged

 

4 — Guarantee not sensitive to vega

Partial means that the strategy is not intended to cover the whole risk. Not sensitive is to be selected if the guarantee sold is deemed independent from the risk factor.

C0110

FX hedged

The following closed list shall be used:

 

1 — FX hedged

 

2 — FX not hedged

 

3 — FX partially hedged

 

4 — Guarantee not sensitive to FX

Partial means that the strategy is not intended to cover the whole risk. Not sensitive is to be selected if the guarantee sold is deemed independent from the risk factor.

C0120

Other hedged risks

If other risks are hedged specify their names

C0130

Economic result without hedging

The ‘economic result’ that the guarantee of the policies has generated during the reporting year if there is no hedging strategy in place, or would have generated without it if there is one in place.

It shall be equal to: written premium/fees for the guarantee, minus expenses incurred to the guarantee, minus claims due to the guarantee, minus variation of guarantee technical provisions.

C0140

Economic result with hedging

The ‘economic result’ that the guarantee of the policies has generated during the reporting year considering the result of the hedging strategy. Where hedging is performed for a portfolio of products, for instance in cases where hedge instruments may not be allocated to specific products, the undertaking shall allocate the effect of hedging to the different products using the weight of each product in the ‘Economic result without hedging’ (C0110).

S.16.01. — Information on annuities stemming from Non–Life Insurance obligations

General comments:
This section relates to annual submission of information for individual undertakings.
This template shall be reported only for annuities formally settled stemming from non–life contracts and relating to health insurance obligations and relating to insurance obligations other than health insurance obligations.
Undertakings are required to report data on an accident year or underwriting year basis, in accordance with any requirements of the National Supervisory Authority. If the National Supervisory Authority has not stipulated which to use then the undertaking may use accident or underwriting year according to how they manage each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, provided that they use the same year consistently, year on year.
This template shall be reported by non–life line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, originating the annuity and by currency, considering the following specifications:
i.
If the best estimate for the annuity claims provisions on a discounted basis from one non–life line of business represents more than 3 % of the total best estimate for all annuity claims provisions the information shall be reported with the following split by currencies in addition to the total for the line of business:
a)
Amounts for the reporting currency;
b)
Amounts for any currency that represents more than 25 % of the best estimate for the annuity claims provisions on a discounted basis in the original currency from that non–life line of business; or
c)
Amounts for any currency that represents less than 25 % of the best estimate for the annuity claims provisions (discounted basis) in the original currency from that non–life line of business but more than 5 % of total best estimate for all annuity claims provisions.
ii.
If the best estimate for the annuity claims provisions on a discounted basis from one non–life line of business represents less than 3 % of the total best estimate for all annuity claims provisions no currency split is required, only the total for the line of business shall be reported;
iii.
The information shall be reported in the original currency of the contracts unless otherwise specified.
This template is interlinked with the non–Life template S.19.01. The sum of technical provisions in templates S.16.01 and S.19.01 for one non–life line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, represents the total claims best estimate originating from this line of business (also refer log to template S.19.01). All or part of an obligation moves from S.19.01 into S.16.01, when both of the conditions below are met:
i.
All or part of the obligation has been formally settled as an annuity; and
ii.
a best estimate of an obligation formally settled as an annuity can be established using life techniques.
Formally settled as an annuity typically means that a legal process has ordered that the beneficiary is to receive payments as an annuity.
In the event that after an obligation has been formally settled as an annuity some of that obligation subsequently ends up being settled via a lump sum payment that was not in the original annuity payment order, that lump sum would be recorded as a payment in template S.16.01; i.e. there is no movement of claims data out of template S.16.01 and into S.19.01.
Amounts shall be reported by year of occurrence of the accidents that have originated the claims associated to annuities.
Year N is the reporting year.

 

ITEM

INSTRUCTIONS

Z0010

The related non–life line of business

Name of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

The origin of the liability (medical expense, income protection, workers' comp, motor liability etc.). All the figures in the template are stemming from the related line of business.

The following close list shall be used:

 

1 — Medical expense insurance

 

2 — Income protection insurance

 

3 — Workers' compensation insurance

 

4 — Motor vehicle liability insurance

 

5 — Other motor insurance

 

6 — Marine, aviation and transport insurance

 

7 — Fire and other damage to property insurance

 

8 — General liability insurance

 

9 — Credit and suretyship insurance

 

10 — Legal expenses insurance

 

11 — Assistance

 

12 — Miscellaneous financial loss

Z0020

Accident year/Underwriting year

Report the standard used by the undertakings for reporting of claims development.

The following close list shall be used:

 

1 — Accident year

 

2 — Underwriting year

Z0030

Currency

Identify the ISO 4217 alphabetic code of the settlement currency of the obligation. All amounts are reported in the undertaking's reporting currency.

This item shall be filled in with ‘Total’ when reporting the total for the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

Z0040

Currency conversion

Identify if the information reported by currency is being reported in the original currency (default) or in the reporting currency (otherwise specified). The following close list shall be used:

 

1 — Original currency

 

2 — Reporting currency

Only applicable when reporting by currency.

Information on year N:

C0010/R0010

The average interest rate

The average interest rate used in percentage (as a decimal) for the end of year N

C0010/R0020

The average duration of the obligations

Average duration in years on total obligations basis for the end of the year N

C0010/R0030

The weighted average age of the beneficiaries

The weight shall be the Best Estimate for annuity claims provisions at the end of year N. Age of beneficiaries calculated on a weighted average for total obligations.

The beneficiary is the person to whom the payments are reverting to, following the occurrence of a claim (that affects the insured person) which originates this type of payment.

Annuities information:

C0020/R0040–R0190

Undiscounted annuity claims provisions at the start of year N

Amount of annuity claims best estimate stemming from Non–Life Insurance obligations at beginning of year N.

This is a part of technical provisions set up during year N (Net movements between new reserves during year N/release of reserves during year N)

C0030/R0040–R0190

Undiscounted annuity claims provisions set up during year N

Total amount of annuity claims provisions stemming from Non–Life Insurance obligations set up during year N as at the moment they were first set up (i.e., where assumptions used were for the first time based on life techniques)

C0040/R0040–R0190

Annuity payments paid during year N

Total amount of annuity payments stemming from Non–Life Insurance obligations made during the calendar year N.

C0050/R0040–R0190

Undiscounted annuity claims provisions at the end of year N

Total amount of annuity claims provisions stemming from Non–Life Insurance obligations at end of year N.

C0060/R0040–R0190

Number of annuities obligations at the end of year N

Number of non–life insurance annuity obligations.

C0070/R0040–R0190

Best Estimate for annuity claims provisions at the end of year N (discounted basis)

Best estimate covering annuities stemming from Non–Life Insurance obligations at the end of calendar year N.

C0080/R0040–R0190

Undiscounted development result

Undiscounted development result calculated as the undiscounted annuity claims provisions at the start of year N, plus the undiscounted annuity claims provisions set up during year N, minus annuity payments paid during year N and minus undiscounted annuity claims provisions at the end of year N.

C0020–C0080/R0200

Total

Total amount of the undiscounted development result for all accident/underwriting years.

S.17.01 — Non–life Technical Provisions

General comments:
This section relates to quarterly and annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
Undertakings may apply appropriate approximations in the calculation of the technical provisions as referred to in Article 21 of Delegated Regulation (EU) 2015/35. In addition, Article 59 of the Delegated Regulation (EU) 2015/35 may be applied to calculate the risk margin during the financial year.
Line of Business for non–life obligations: The lines of business, referred to in Article 80 of the Directive 2009/138/EC, as defined in Annex I to Delegated Regulation (EU) 2015/35, referred to direct business/accepted proportional reinsurance and accepted non–proportional reinsurance. The segmentation shall reflect the nature of the risks underlying the contract (substance), rather than the legal form of the contract (form).
Health direct insurance business pursued on a non–similar technical basis to life insurance shall be segmented into Non–Life line of business 1 to 3.
Accepted proportional reinsurance shall be considered together with the direct business in the C0020 to C0130.
The information to be reported between R0010 and R0280 shall be after the volatility adjustment, the matching adjustment and the transitional adjustment to the relevant risk-free interest rate term structure if applied but shall not include the transitional deduction to technical provisions. The amount of transitional deduction to technical provisions is requested separately between rows R0290 and R0310.

 

ITEM

INSTRUCTIONS

Z0020

Ring Fenced Fund/Matching adjustment portfolio or remaining part

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

 

1 — RFF/MAP

 

2 — Remaining part

Z0030

Fund/Portfolio number

Identification number for a ring fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates.

This item is to be completed only when item Z0020 = 1.

Technical provisions calculated as a whole

C0020 to C0170/R0010

Technical provisions calculated as a whole

The amount of technical provisions calculated as a whole per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted business.

This amount shall be gross of any recoverable from reinsurance contract/SPV and Finite Re related to this business.

C0180/R0010

Technical provisions calculated as a whole — Total Non–Life obligation

The total amount of technical provisions calculated as a whole regarding direct and accepted business.

This amount shall be gross of any recoverable from reinsurance contract/SPV and Finite Re related to this business.

C0020 to C0130/R0020

Technical provisions calculated as a whole — direct business

The amount of technical provisions calculated as a whole per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, for the direct business.

This amount shall be gross of any recoverable from reinsurance contract/SPV and Finite Re related to this business.

C0180/R0020

Total Non–Life obligations, Technical provisions calculated as a whole, total direct business

The total amount of technical provisions calculated as a whole, for the direct business.

This amount shall be gross of any recoverable from reinsurance contract/SPV and Finite Re related to this business.

C0020 to C0130/R0030

Technical provisions calculated as a whole — accepted proportional reinsurance business

The amount of technical provisions calculated as a whole per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, for the accepted proportional reinsurance business.

This amount shall be gross of any recoverable from reinsurance contract/SPV and Finite Re related to this business.

C0180/R0030

Total Non–Life obligations, Technical provisions calculated as a whole, total accepted proportional reinsurance business

The total amount of technical provisions calculated as a whole, for the accepted proportional reinsurance business.

This amount shall be gross of any recoverable from reinsurance contract/SPV and Finite Re related to this business.

C0140 to C0170/R0040

Technical provisions calculated as a whole — accepted non–proportional reinsurance business

The amount of technical provisions calculated as a whole per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, for the accepted non–proportional reinsurance business.

This amount shall be gross of any recoverable from reinsurance contract/SPV and Finite Re related to this business.

C0180/R0040

Total Non–Life obligations, Technical provisions calculated as a whole, total accepted non proportional reinsurance business

The total amount of technical provisions calculated as a whole, for the accepted non–proportional reinsurance business.

This amount shall be gross of any recoverable from reinsurance contract/SPV and Finite Re related to this business.

C0020 to C0170/R0050

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

The amount of recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default of technical provisions calculated as a whole per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35

C0180/R0050

Total Recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole

The total amount, for all lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of recoverables from reinsurance/SPV and Finite Re after the adjustment for expected losses due to counterparty default of technical provisions calculated as a whole per each line of business.

Technical provisions calculated as a sum of a best estimate and a risk margin — Best estimate

C0020 to C0170/R0060

Best Estimate of Premium provisions, Gross, total

The amount of best estimate for premium provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted business.

C0180/R0060

Total Non–Life obligations, Best Estimate of Premium provisions, Gross, total

The total amount of best estimate for premium provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance regarding direct and accepted business.

C0020 to C0130/R0070

Best Estimate of Premium provisions, Gross — direct business

The amount of best estimate for premium provisions, for the direct business, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0180/R0070

Total Non–Life obligations, Best Estimate of Premium provisions, Gross, total direct business

The total amount of best estimate for premium provisions, for the direct business, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance.

C0020 to C0130/R0080

Best Estimate of Premium provisions, Gross — accepted proportional reinsurance business

The amount of best estimate for premium provisions, for accepted proportional reinsurance business, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0180/R0080

Total Non–Life obligations, Best Estimate of Premium provisions, Gross, total accepted proportional reinsurance business

The total amount of best estimate for premium provisions, for the accepted proportional reinsurance business, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance.

C0140 to C0170/R0090

Best Estimate of Premium provisions, Gross — accepted non proportional reinsurance business

The amount of best estimate for premium provisions, for accepted non–proportional reinsurance business, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0180/R0090

Total Non–Life obligations, Best Estimate of Premium provisions, Gross, total accepted non proportional reinsurance business

The total amount of best estimate for premium provisions, for accepted non–proportional reinsurance business, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance.

C0020 to C0170/R0100

Best estimate of Premium provisions, Total recoverable from reinsurance/SPV and Finite re before the adjustment for expected losses due to counterparty default Direct and accepted reinsurance business

Total recoverable from reinsurance/SPV and Finite reinsurance before the adjustment for expected losses due to counterparty default, referred to the best estimate for premium provisions for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0180/R0100

Total Non–Life obligations, Best estimate of Premium provisions, Total recoverable from reinsurance/SPV and Finite re before the adjustment for expected losses due to counterparty default

The Total recoverable from reinsurance/SPV and Finite reinsurance before the adjustment for expected losses due to counterparty default, referred to the best estimate for premium provisions.

C0020 to C0170/R0110

Best Estimate of Premium provisions, Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses — Direct and accepted reinsurance business

The amount of Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses, referred to the best estimate for premium provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35 regarding direct and accepted reinsurance business.

C0180/R0110

Total Non–Life obligations, Best Estimate of Premium provisions, Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses

The total amount of Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses, referred to the best estimate for premium provisions.

C0020 to C0170/R0120

Best Estimate of Premium provisions, Recoverables from SPV before adjustment for expected losses — Direct and accepted reinsurance business.

The amount of Recoverables from SPV before adjustment for expected losses, referred to the best estimate for premium provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business.

C0180/R0120

Total Non–Life obligations, Best Estimate of Premium provisions, Recoverables from SPV before adjustment for expected losses

The total amount of Recoverables from SPV before adjustment for expected losses, referred to the best estimate for premium provisions.

C0020 to C0170/R0130

Best Estimate of Premium provisions, Recoverables from Finite Reinsurance before adjustment for expected losses — Direct and accepted reinsurance business

The amount of Recoverables from Finite Reinsurance before adjustment for expected losses, referred to the best estimate for premium provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business.

C0180/R0130

Total Non–Life obligations, Best Estimate of Premium provisions, Recoverables from Finite Reinsurance before adjustment for expected losses.

The total amount of Recoverables from Finite Reinsurance before adjustment for expected losses, referred to the best estimate for premium provisions.

C0020 to C0170/R0140

Best Estimate of Premium provisions, Total recoverable from reinsurance/SPV and Finite reinsurance after the adjustment for expected losses due to counterparty default — Direct and accepted reinsurance business

The amount of recoverable from reinsurance/SPV and Finite reinsurance after the adjustment for expected losses due to counterparty default, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted reinsurance business.

C0180/R0140

Total Non–Life obligations, Best Estimate of Premium provisions, Recoverable from reinsurance/SPV and Finite reinsurance after the adjustment for expected losses due to counterparty default.

The total amount of Recoverable from reinsurance/SPV and Finite reinsurance after the adjustment for expected losses due to counterparty default, referred to the best estimate for premium provisions.

C0020 to C0170/R0150

Net best estimate of Premium provisions — Direct and accepted reinsurance business

The amount of net best estimate for premium provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0180/R0150

Total Non–Life obligations, Net best estimate of Premium provisions

The total amount of net best estimate for premium provisions.

C0020 to C0170/R0160

Best Estimate of Claims Provisions, Gross, Total

The amount of best estimate for Claims Provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted business.

C0180/R0160

Total Non–Life obligations, Best Estimate of Claims Provisions, Gross, total

The total amount of best estimate for Claims Provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance.

C0020 to C0130/R0170

Best Estimate of Claims Provisions, Gross — direct business

The amount of best estimate for claims provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business.

C0180/R0170

Total Non–Life obligations, Best Estimate of Claims Provisions, Gross, total direct business

The total amount of best estimate for Claims provisions, direct business, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance.

C0020 to C0130/R0180

Best Estimate of Claims Provisions, Gross — accepted proportional reinsurance business

The amount of best estimate for claims provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding accepted proportional reinsurance.

C0180/R0180

Total Non–Life obligations, Best Estimate of Claims Provisions, Gross, total accepted proportional reinsurance business

The total amount of best estimate for Claims provisions, accepted proportional reinsurance business, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance.

C0140 to C0170/R0190

Best Estimate of Claims Provisions, Gross — accepted non proportional reinsurance business

The amount of best estimate for Claims Provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding accepted non proportional reinsurance.

C0180/R0190

Total Non–Life obligations, Best Estimate of Claims Provisions, Gross — accepted non proportional reinsurance business

The total amount of best estimate for Claims Provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance.

C0020 to C0170/R0200

Best Estimate of Claims provisions, Total recoverable from reinsurance/SPV and Finite before the adjustment for expected losses due to counterparty default

Total recoverable from reinsurance/SPV and Finite Re, before the adjustment for expected losses due to counterparty default, referred to the Best Estimate for Claims Provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business.

C0180/R0200

Total Non–Life obligations, Best estimate of Claims Provisions, Total recoverable from reinsurance/SPV and Finite re before the adjustment for expected losses due to counterparty default

The Total recoverable from reinsurance/SPV, and Finite before the adjustment for expected losses due to counterparty default, referred to the Best Estimate for Claims Provisions.

C0020 to C0170/R0210

Best Estimate of Claims provisions, Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses — Direct and accepted reinsurance business

The amount of Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses, referred to the Best Estimate for Claims Provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business.

C0180/R0210

Total Non–Life obligations, Best estimate of Claims provisions, Total Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses — Direct and accepted reinsurance business

The total amount of Recoverables from reinsurance (except SPV and Finite Reinsurance) before adjustment for expected losses, referred to the Best Estimate for Claims Provisions.

C0020 to C0170/R0220

Best Estimate of Claims provisions, Recoverables from SPV before adjustment for expected losses — Direct and accepted reinsurance business.

The amount of Recoverables from SPV before adjustment for expected losses, referred to the Best Estimate for Claims Provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business.

C0180/R0220

Total Non–Life obligations, Best Estimate of Claims Provisions, Recoverables from SPV before adjustment for expected losses

The total amount of Recoverables from SPV before adjustment for expected losses, referred to the Best Estimate for Claims Provisions.

C0020 to C0170/R0230

Best Estimate of Claims provisions, Recoverables from Finite Reinsurance before adjustment for expected losses — Direct and accepted reinsurance business.

The amount of Recoverables from Finite Reinsurance before adjustment for expected losses, referred to the best estimate for claims provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted reinsurance business.

C0180/R0230

Total Non–Life obligations, Best Estimate of Claims Provisions, Recoverables from Finite Reinsurance before adjustment for expected losses.

The total amount of Recoverables from Finite Reinsurance before adjustment for expected losses, referred to the Best Estimate for Claims Provisions.

C0020 to C0170/R0240

Best Estimate of Claims provisions, Total recoverable from reinsurance/SPV and Finite re after the adjustment for expected losses due to counterparty default — Direct and accepted reinsurance business

The amount recoverable from reinsurance/SPV and Finite re after the adjustment for expected losses due to counterparty default, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business.

C0180/R0240

Total Non–Life obligations, Best Estimate of Claims Provisions, Recoverable from reinsurance/SPV and Finite re after the adjustment for expected losses due to counterparty default.

The total amount of Recoverable from reinsurance/SPV and Finite re after the adjustment for expected losses due to counterparty default, referred to the Best Estimate for Claims Provisions.

C0020 to C0170/R0250

Net best estimate of Claims provisions — Direct and accepted reinsurance business

The amount of net best estimate for claims provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business.

C0180/R0250

Total Non–Life obligations, Net best estimate of Claims Provisions

The total amount of net Best Estimate for Claims Provisions.

C0020 to C0170/R0260

Total best estimate, Gross — Direct and accepted reinsurance business

The amount of Total gross best estimate, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business.

C0180/R0260

Total Non–Life obligations, Total Best Estimate, Gross

The total amount of Gross Best Estimate (sum of the Premium Provision and Claims Provisions).

C0020 to C0170/R0270

Total best estimate, Net — Direct and accepted reinsurance business

The amount of Total net best estimate, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business.

C0180/R0270

Total Non–Life obligations, Total Best Estimate, Net

The total amount of Net Best Estimate (sum of the Premium Provision and Claims Provisions).

C0020 to C0170/R0280

Technical provisions calculated as a sum of a best estimate and a risk margin — Risk margin

The amount of risk margin, as required by Directive 2009/138/EC (Article 77 (3)). The risk margin is calculated to whole portfolio of (re)insurance obligations and then allocated to each single line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted reinsurance business.

C0180/R0280

Total Non–Life obligations, Total risk margin

The total amount of risk margin, as required by Directive 2009/138/EC (Article 77 (3)).

Amount of the transitional on Technical Provisions

C0020 to C0170/R0290

Amount of the transitional on Technical Provisions — Technical Provisions calculated as a whole

Amount of the transitional deduction to Technical Provisions allocated to the technical provisions calculated as a whole, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

This value shall be reported as a negative value.

C0180/R0290

Amount of the transitional on Technical Provisions — Technical Provisions calculated as a whole

Total amount, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of the transitional deduction to technical provisions allocated to the technical provisions calculated as a whole.

This value shall be reported as a negative value.

C0020 to C0170/R0300

Amount of the transitional on Technical Provisions — Best Estimate

Amount of the transitional deduction to technical provisions allocated to the best estimate, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

This value shall be reported as a negative value.

C0180/R0300

Amount of the transitional on Technical Provisions — Best Estimate

Total amount, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of the transitional deduction to technical provisions allocated to the best estimate.

This value shall be reported as a negative value.

C0020 to C0170/R0310

Amount of the transitional on Technical Provisions — Risk Margin

Amount of the transitional deduction to technical provisions allocated to the risk margin, per each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

This value shall be reported as a negative value.

C0180/R0310

Amount of the transitional on Technical Provisions — Risk Margin

Total amount, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of the transitional deduction to technical provisions allocated to the risk margin.

This value shall be reported as a negative value.

Technical provisions — Total

C0020 to C0170/R0320

Technical provisions, Total — Direct and accepted reinsurance business

The total amount of gross technical provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business, including technical provisions calculated as a whole and after the transitional deduction to technical provisions.

C0180/R0320

Total Non–Life obligations, Technical Provision — total

The total amount of gross technical provisions regarding direct and accepted reinsurance business, including technical provisions calculated as a whole and after the transitional deduction to technical provisions.

C0020 to C0170/R0330

Technical provisions, Total — Recoverable from reinsurance contract/SPV and Finite reinsurance, after the adjustment for expected losses due to counterparty default — Direct and accepted reinsurance business

The total amount of recoverable from reinsurance contract/SPV and Finite reinsurance, after the adjustment for expected losses due to counterparty default, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business.

C0180/R0330

Total Non–Life obligations, Recoverable from reinsurance contract/SPV and Finite re, after the adjustment for expected losses due to counterparty default — Direct and accepted reinsurance business

The total amount of recoverable from reinsurance contract/SPV and Finite reinsurance, after the adjustment for expected losses due to counterparty default regarding direct and accepted reinsurance business.

C0020 to C0170/R0340

Technical provisions, Total — Technical provisions minus recoverables from reinsurance/SPV and Finite reinsurance — Direct and accepted reinsurance business

The total amount of net technical provisions, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct and accepted reinsurance business, including technical provisions calculated as a whole and after the transitional deduction to technical provisions.

C0180/R0340

Total Non–Life obligations, Technical provisions minus recoverables from reinsurance and SPV — Direct and accepted reinsurance business

The total amount of net technical provisions regarding direct and accepted reinsurance business, including technical provisions calculated as a whole and after the transitional deduction to technical provisions.

Line of Business: further segmentation (Homogeneous Risk Groups)

C0020 to C0170/R0350

Line of Business, further segmentation by (Homogeneous Risk Groups) — Premium provisions — Total number of homogeneous risk groups

Information regarding the number of HRG in the segmentation, if the (re)insurance undertaking further segmented line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, into homogenous risk groups according to nature of the risks underlying the contract, for each line of business where that segmentation was performed, regarding direct business and accepted proportional reinsurance and accepted non–proportional reinsurance, in respect of premium provisions.

C0020 to C0170/R0360

Line of Business, further segmentation by (Homogeneous Risk Groups) — Claims provisions — Total number of homogeneous risk groups

Information regarding the number of HRG in the segmentation, if the (re)insurance undertaking further segmented line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, into homogenous risk groups according to nature of the risks underlying the contract, for each line of business where that segmentation was performed, regarding direct business and accepted proportional reinsurance and accepted non–proportional reinsurance, in respect of claims provisions.

C0020 to C0170/R0370

Best estimate Premium Provisions, Cash out–flows, future benefits and claims

The amount of split, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted proportional reinsurance and Accepted non–proportional reinsurance, of cash flows for future benefits and claims used to determine the gross best estimate of premium provisions, i.e. the probability–weighted average of future cash out–flows, discounted to take into account the time value of money (expected present value of future cash–flows). In case of use of a stochastic methodology for the cash–flow projection, it is required to report the average scenario.

C0180/R0370

Best estimate Premium Provisions, Cash out–flows, future benefits and claims — Total

The total amount of cash flows for future benefits and claims used to determine the gross best estimate of premium provisions.

C0020 to C0170/R0380

Best estimate Premium Provisions, Cash out–flows, future expenses and other cash–out flows

The amount of split, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted proportional reinsurance and Accepted non–proportional reinsurance, of cash flows for future expenses and other cash out–flows used to determine the gross best estimate of premium provisions, i.e. the probability–weighted average of future cash out–flows, discounted to take into account the time value of money (expected present value of future cash–flows). In case of use of a stochastic methodology for the cash–flow projection, it is required to report the average scenario.

C0180/R0380

Best estimate Premium Provisions, Cash out–flows, future expenses and other cash–out flows — Total

The total amount of future expenses and other cash–out flows used to determine the gross best estimate of premium provisions.

C0020 to C0170/R0390

Best estimate Premium Provisions, Cash in–flows, future premiums

The amount of split, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted proportional reinsurance and accepted non–proportional reinsurance, of cash flows for future premiums used to determine the gross best estimate of premium provisions, i.e. the probability–weighted average of future cash in–flows, discounted to take into account the time value of money (expected present value of future cash–flows). In case of use of a stochastic methodology for the cash–flow projection, it is required to report the average scenario.

C0180/R0390

Best estimate Premium Provisions, Cash in–flows, future premiums — Total

The total amount of future premiums used to determine the gross best estimate of premium provisions.

C0020 to C0170/R0400

Best estimate Premium Provisions, Cash in–flows, Other cash–in flows (incl. Recoverables from salvages and subrogations)

The amount of split, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted proportional reinsurance and Accepted non–proportional reinsurance, of cash flows for other cash in–flows, including recoverables from salvages and subrogations, used to determine the gross best estimate of premium provisions, i.e. the probability–weighted average of future cash in–flows, discounted to take into account the time value of money (expected present value of future cash–flows). In case of use of a stochastic methodology for the cash–flow projection, it is required to report the average scenario.

C0180/R0400

Best estimate Premium Provisions, Cash in–flows, Other cash–in flows (incl. recoverables from salvages and subrogations) — Total

The total amount of Other cash–in flows (including recoverables from salvages and subrogations) used to determine the gross best estimate of premium provisions.

C0020 to C0170/R0410

Best estimate Claims Provisions, Cash out–flows, future benefits and claims

The amount of split, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted proportional reinsurance and Accepted non–proportional reinsurance, of cash flows for future benefits and claims used to determine the gross best estimate of Claims provisions, i.e. the probability–weighted average of future cash out–flows, discounted to take into account the time value of money (expected present value of future cash–flows). In case of use of a stochastic methodology for the cash–flow projection, it is required to report the average scenario.

C0180/R0410

Best estimate Claims Provisions, Cash out–flows, future benefits and claims — Total

The total amount of Claims Provisions, Cash out–flows, future benefits and claims used to determine the gross best estimate of claims provisions.

C0020 to C0170/R0420

Best estimate Claims Provisions, Cash out–flows, future expenses and other cash–out flows

The amount of split, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted proportional reinsurance and Accepted non–proportional reinsurance, of cash flows for future expenses and other cash out–flows used to determine the gross best estimate of Claims provisions, i.e. the probability–weighted average of future cash out–flows, discounted to take into account the time value of money (expected present value of future cash–flows). In case of use of a stochastic methodology for the cash–flow projection, it is required to report the average scenario.

C0180/R0420

Best estimate Claims Provisions, Cash out–flows, future expenses and other cash–out flows — Total

The total amount of Claims Provisions, Cash out–flows, future expenses and other cash–out flows used to determine the gross best estimate of claims provisions.

C0020 to C0170/R0430

Best estimate Claims Provisions, Cash in–flows, future premiums

The amount of split, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted proportional reinsurance and accepted non–proportional reinsurance, of cash flows for future premiums used to determine the gross best estimate of claims provisions, i.e. the probability–weighted average of future cash in–flows, discounted to take into account the time value of money (expected present value of future cash–flows). In case of use of a stochastic methodology for the cash–flow projection, it is required to report the average scenario.

C0180/R0430

Best estimate Claims Provisions, Cash in–flows, future premiums — Total

The total amount of Claims Provisions, cash in–flows, future premiums used to determine the gross best estimate of claims provisions.

C0020 to C0170/R0440

Best estimate Claims Provisions, Cash in–flows, Other cash–in flows (incl. Recoverable from salvages and subrogations)

The amount of split, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, regarding direct business and accepted proportional reinsurance and accepted non–proportional reinsurance, of other cash–in flows (including Recoverable from salvages and subrogations) used to determine the gross best estimate of Claims provisions, i.e. the probability–weighted average of future cash in–flows, discounted to take into account the time value of money (expected present value of future cash–flows). In case of use of a stochastic methodology for the cash–flow projection, it is required to report the average scenario.

C0180/R0440

Best estimate Claims Provisions, Cash in–flows, Other cash–in flows (incl. Recoverable from salvages and subrogations) — Total

The total amount of Claims Provisions, cash in–flows, Other cash–in flows (including Recoverable from salvages and subrogations) used to determine the gross best estimate of claims provisions.

C0020 to C0170/R0450

Use of simplified methods and techniques to calculate technical provisions — Percentage of gross Best Estimate calculated using approximations

Indicate the percentage of gross best estimate included in Total Best Estimate Gross (R0260) calculated using approximations as established in Article 21 of Delegated Regulation (EU) 2015/35, per each Line of Business.

C0180/R0450

Use of simplified methods and techniques to calculate technical provisions — Percentage of gross Best Estimate calculated using approximations — Total

Indicate the percentage of total gross best estimate included in Total Best Estimate Gross (R0260) calculated using approximations as established in Article 21 of Delegated Regulation (EU) 2015/35, per each Line of Business regarding direct business and accepted proportional reinsurance and accepted non–proportional reinsurance.

C0020 to C0170/R0460

Best estimate subject to transitional of the interest rate

Indicate the amount of best estimate reported in R0260 subject to transitional adjustment to the relevant risk-free interest rate term structure, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0180/R0460

Best estimate subject to transitional of the interest rate — Total Non–Life obligation

Indicate the total amount, for all lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of Best estimate reported in R0260 subject to transitional adjustment to the relevant risk-free interest rate term structure.

C0020 to C0170/R0470

Technical provisions without transitional of the interest rate

Indicate the amount of the technical provisions where the transitional adjustment to the relevant risk-free interest rate term structure has been applied calculated without the transitional adjustment to the relevant risk-free interest rate term structure, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

In the cases where the same best estimates were also subject to the volatility adjustment, the amount reported in this item shall reflect the value without the transitional adjustment to the relevant risk-free interest rate term structure but with the volatility adjustment.

C0180/R0470

Technical provisions without transitional of the interest rate — Total Non–Life obligation

Indicate the total amount, for all lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of the technical provisions where the transitional adjustment to the relevant risk-free interest rate term structure has been applied calculated without the transitional adjustment to the relevant risk-free interest rate term structure.

In the cases where the same best estimates were also subject to the volatility adjustment, the amount reported in this item shall reflect the value without the transitional adjustment to the relevant risk-free interest rate term structure but with the volatility adjustment.

C0020 to C0170/R0480

Best estimate subject to volatility adjustment

Indicate the amount of best estimate reported in R0260 subject to volatility adjustment, for each Line of Business.

C0180/R0480

Best estimate subject to volatility adjustment — Total Non–Life obligation

Indicate the total amount, for all lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of the best estimate reported in R0260 subject to volatility adjustment.

C0020 to C0170/R0490

Technical provisions without volatility adjustment and without others transitional measures

Indicate the amount of Technical provisions without volatility adjustment, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

In the cases where the same best estimates were also subject to the transitional deduction to technical provisions/transitional adjustment to the relevant risk-free interest rate term structure, the amount reported in this item shall reflect the value without both the transitional adjustment to the relevant risk-free interest rate term structure and without the volatility adjustment.

C0180/R0490

Technical provisions without volatility adjustment and without others transitional measures — Total Non–Life obligation

Indicate the total amount, for all lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of technical provisions without volatility adjustment.

In the cases where the same best estimates were also subject to the transitional deduction to technical provisions/transitional adjustment to the relevant risk-free interest rate term structure, the amount reported in this item shall reflect the value without both the transitional adjustment to the relevant risk-free interest rate term structure and without the volatility adjustment.

S.17.02 — Non-Life Technical Provisions — By country

General comments:
Line of Business for non–life obligations: the lines of business, referred to in Article 80 of Directive 2009/138/EC, as defined in Annex I to Delegated Regulation (EU) 2015/35, referred to direct business.
Health direct insurance business pursued on a non–similar technical basis to life insurance shall be segmented into Non–Life line of business 1 to 3.
Undertakings shall take into account all the obligations in different currencies and convert them into the reporting currency.
The information by country shall be reported according to the following:
a)
Information on the home country shall be always reported regardless of the amount of Technical Provisions as a whole and Gross Best Estimate (referred to direct business);
b)
Information reported by country shall at least represent 90 % of the total Technical Provisions as a whole and Gross Best Estimate (referred to direct business) of any line of business;
c)
If a specific country has to be reported for a particular line of business to comply with sub–paragraph b) then that country shall be reported for all lines of business;
d)
The other countries shall be reported aggregated in ‘other–EEA’ or ‘other–non EEA’;
e)
For the direct insurance business for the lines of business ‘Medical expense’, ‘Income protection’, ‘Workers' compensation’, ‘Fire and other damage to property’ and ‘Credit and suretyship’ information shall be reported by country where the risk is situated as defined in Article 13 (13) of Directive 2009/138/EC;
f)
For direct insurance business for all other lines of business not referred in sub–paragraph e) information shall be reported by country where the contract was entered into;
For the purposes of this template ‘country where the contract was entered into’ means:
o)
The country where the insurance undertaking is established (home country) when the contract was not sold through a branch or freedom to provide services;
p)
The country where the branch is located (host country) when the contract was sold through a branch;
q)
The country where the freedom to provide services was notified (host country) when the contract was sold through freedom to provide services.
r)
If an intermediary is used or in any other situation, it is a), b) or c) depending on who sold the contract.
The information to be reported shall include the volatility adjustment, the matching adjustment, the transitional adjustment to the relevant risk-free interest rate term structure and the transitional deduction to technical provisions.

 

ITEM

INSTRUCTIONS

C0010/R0040

Country 1

…

Report the country ISO 3166–1 alpha–2 code of each required country, row by row.

C0020 to C0130/R0010

Gross TP calculated as a whole and Gross BE for different countries — Home country

Amount of gross technical provision calculated as a whole and gross best estimate, by country where the risk is situated or country where the contract was entered into when the country is the Home country, for each Line of Business, regarding direct business only (excluding accepted reinsurance).

In some cases undertaking may need to use their judgment/approximations to provide correct data, in line with assumptions used for the calculation of Technical Provisions.

C0020 to C0130/R0020

Gross TP calculated as a whole and Gross BE for different countries — EEA countries outside the materiality threshold — not reported by country

Amount of gross technical provision calculated as a whole and gross best estimate, for EEA countries outside the materiality threshold (i.e. those not reported separately by country), except the home country for each Line of Business, regarding direct business only (excluding accepted reinsurance)

In some cases undertaking may need to use their judgment/approximations to provide correct data, in line with assumptions used for the calculation of TP.

C0020 to C0130/R0030

Gross TP calculated as a whole and Gross BE for different countries — Non–EEA countries outside the materiality threshold — not reported by country

Amount of gross technical provision calculated as a whole and gross best estimate, for non–EEA countries outside the materiality threshold (i.e. those not reported separately by country), for each Line of Business, regarding direct business only (excluding accepted reinsurance).

In some cases undertaking may need to use their judgment/approximations to provide correct data, in line with assumptions used for the calculation of TP.

C0020 to C0130/R0040

Gross TP calculated as a whole and Gross BE for different countries — Country 1 [one row for each country in the materiality threshold]

Amount of gross technical provision calculated as a whole and gross best estimate, by country where the risk is situated or country where the contract was entered into, for each Line of Business, regarding direct business only (excluding accepted reinsurance).

In some cases undertaking may need to use their judgment/approximations to provide correct data, in line with assumptions used for the calculation of TP.

S.18.01 — Projection of future cash flows (Best Estimate — Non Life)

General Comments:
This section relates to annual submission of information for individual undertakings.
This template applies only to Best Estimate and the following shall be considered:
— All cash flows expressed in different currencies shall be considered and converted in the reporting currency using the exchange rate at the reporting date;
— The cash flows shall be reported gross of reinsurance and undiscounted;
— In case the undertaking uses simplifications for the calculation of technical provisions, for which an estimate of the expected future cash–flows arising from the contracts are not calculated, the information shall be reported only in those cases where more than 10 % of technical provisions have a settlement period longer than 24 months.

 

ITEM

INSTRUCTIONS

C0010/R0010 to R0310

Best Estimate Premium Provision (Gross) — Cash out–flows — Future Benefits

Amounts of all the expected payments to policyholders and beneficiaries as defined in Article 78 (3) of Directive 2009/138/EC, referred to the whole portfolio of non–life obligations falling within the contract boundary, used in the calculation of premium provisions, from year 1 to year 30 and from year 31 and after.

C0020/R0010 to R0310

Best Estimate Premium Provision (Gross) — Cash out–flows — Future expenses and other cash–out flows

Amount of expenses that will be incurred in servicing insurance and reinsurance obligations as defined in Article 78 (1) of Directive 2009/138/EC and in Article 31 of Delegated Regulation (EU) 2015/35 and other cash–out flow items such as taxation payments which are charged to policyholders used in the calculation of premium provisions, referred to the whole portfolio of non–life obligations from year 1 to year 30 and from year 31 and after.

C0030/R0010 to R0310

Best Estimate Premium Provision (Gross) — Cash in–flows — Future Premiums

Amounts of all the future premiums stemming from existing policies, excluding the past–due premiums, referred to the whole portfolio of non–life obligations, used in the calculation of premium provisions, from year 1 to year 30 and from year 31 and after.

C0040/R0010 to R0310

Best Estimate Premium Provision (Gross) — Cash in–flows — Other cash–in flows

Amount of recoverables from salvages and subrogations and other cash–in flows (not including investment returns), used in the calculation of premium provisions, referred to the whole portfolio of non–life obligations from year 1 to year 30 and from year 31 and after.

C0050/R0010 to R0310

Best Estimate Claims Provision (Gross) — Cash out–flows — Future Benefits

Amounts of all the expected payments to policyholders and beneficiaries as defined in Article 78 (3) of Directive 2009/138/EC, referred to the whole portfolio of non–life obligations and relating existing contracts, used in the calculation of claims provisions, from year 1 to year 30 and from year 31 and after.

C0060/R0010 to R0310

Best Estimate Claims Provision (Gross) — Cash out–flows — Future Expenses and other cash–out flows

Amount of expenses that will be incurred in servicing insurance and reinsurance obligations as defined in Article 78 (1) of Directive 2009/138/EC and other cash–flow items such as taxation payments which are charged to policyholders used in the calculation of claims provisions, referred to the whole portfolio of non–life obligations from year 1 to year 30 and from year 31 and after.

C0070/R0010 to R0310

Best Estimate Claims Provision (Gross) — Cash in–flows — Future premiums

Amounts of all the future premiums stemming from existing policies, excluding the past–due premiums, referred to the whole portfolio of non–life obligations used in the calculation of claims provisions, from year 1 to year 30 and from year 31 and after.

C0080/R0010 to R0310

Best Estimate Claims Provision (Gross) — Cash in–flows — Other cash–in flows

Amount of recoverables from salvages and subrogations and other cash–in flows (not including investment returns), used in the calculation of claims provisions, referred to the whole portfolio of non–life obligations and relating existing contracts, from year 1 to year 30 and from year 31 and after.

C0090/R0010 to R0310

Total recoverable from reinsurance (after the adjustment)

Amount of undiscounted cash–flows expected for each year from year 1 to year 30 and from year 31 and after.

The future cash–flows undiscounted from amounts recoverables from reinsurance and SPVs/Finite Re, including ceded intra group reinsurance, including future reinsurance premiums. Amount shall be reported net of adjustment for counterparty default risk.

S.19.01 — Non–life insurance claims

General comments:
This section relates to annual submission of information for individual entities.
Claims development triangles show the insurer's estimate of the cost of claims (claims paid and claims provisions under Solvency II valuation principle) and how this estimate develops over time.
Three set of triangles are required regarding claims paid, best estimate of claims provisions and RBNS claims.
This template shall be reported for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and material considering the following specifications:
i.
reporting by line of business: it is required to report lines of business 1–12 (as reported in S.17.01) for both direct and accepted proportional reinsurance (to be reported together) and lines of business 25–28 for accepted non–proportional reinsurance;
ii.
If the total gross best estimate for one non–life line of business represents more than 3 % of the total gross best estimate of the claims provision the information shall be reported with the following split by currencies in addition to the total for the line of business:
a)
Amounts in the reporting currency;
b)
Amounts for any currency that represents more than 25 % of the gross best estimate of the claims provisions in the original currency from that non–life line of business; or
c)
Amounts for any currency that represents less than 25 % of the gross best estimate of the claims provisions in the original currency from that non–life line of business but more than 5 % of total gross best estimate of the claims provisions in the original currency.
iii.
If the total gross best estimate for one non–life line of business represents less than 3 % of the total gross best estimate of the claims provision no currency split is required, only the total for the line of business shall be reported.
iv.
The information by currency shall be reported in the original currency of the contracts unless otherwise specified.
Undertakings are required to report data on an accident year or underwriting year basis, in accordance with any requirements of the National Supervisory Authority. If the National Supervisory Authority has not stipulated which to use then the undertaking may use accident or underwriting year according to how they manage each line of business, provided that they use the same year consistently, year on year.
The default length of run–off triangle is 15 + 1 years for all lines of business but the reporting requirement is based on the undertakings' claims development (if length of the claims settlement cycle is shorter than 15 years, undertakings are required to report according to the internal shorter development).
Historical data, starting from the first time application of Solvency II, are required for claims paid and RBNS claims but not for Best Estimate of Claims Provision. For the compilation of the historical data for claims paid and RBNS claims the same approach concerning the length of triangle for the on–going reporting will be applied (i.e. the shorter between 15 + 1 years and the undertakings' claims settlement cycle).
All or part of an obligation moves from S.19.01 into S.16.01, when both of the conditions below are met:
iii.
All or part of the obligation has been formally settled as an annuity; and
iv.
a best estimate of an obligation formally settled as an annuity can be established using life techniques.
Formally settled as an annuity typically means that a legal process has ordered that the beneficiary is to receive payments as an annuity.
The sum of provisions in templates S.16.01 and S.19.01 for one non–life line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, represents the total claims reserves originating from this line of business.

 

ITEM

INSTRUCTIONS

Z0010

Line of Business

Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:

 

1 — 1 and 13 Medical expense insurance

 

2 — 2 and 14 Income protection insurance

 

3 — 3 and 15 Workers' compensation insurance

 

4 — 4 and 16 Motor vehicle liability insurance

 

5 — 5 and 17 Other motor insurance

 

6 — 6 and 18 Marine, aviation and transport insurance

 

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

 

8 — 8 and 20 General liability insurance

 

9 — 9 and 21 Credit and suretyship insurance

 

10 — 10 and 22 Legal expenses insurance

 

11 — 11 and 23 Assistance

 

12 — 12 and 24 Miscellaneous financial loss

 

25 — Non–proportional health reinsurance

 

26 — Non–proportional casualty reinsurance

 

27 — Non–proportional marine, aviation and transport reinsurance

 

28 — Non–proportional property reinsurance

Z0020

Accident year or Underwriting year

Report the standard used by the undertakings for reporting of claims development. One of the options from the following closed list shall be used:

 

1 — Accident year

 

2 — Underwriting year

Z0030

Currency

Identify the ISO 4217 alphabetic code of the currency in which the obligation is denominated.

This item shall be filled in with ‘Total’ when reporting the total for the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

Z0040

Currency conversion

Identify if the information reported by currency is being reported in the original currency (default) or in the reporting currency (otherwise specified). The following close list shall be used:

 

1 — Original currency

 

2 — Reporting currency

Only applicable when reporting by currency.

C0010 to C0160/ R0100 to R0250

Gross Claims Paid (non–cumulative) –Triangle

The Gross Claims Paid, net of salvage and subrogation, excluding expenses, in a triangle showing the developments of the gross claims payment already made: for each of the accident/underwriting years from N–14 (and prior) and all previous reporting periods to — including — N (last reporting year) report the payments already made corresponding at each development year (which is the delay between the accident/underwriting date and the payment date).

The data are in absolute amount, non–cumulative and undiscounted.

The amount includes all the elements that compose the claim itself but excludes any expenses.

C0170/ R0100 to R0260

Gross Claims Paid (non–cumulative) — In current year

Total ‘Current year’ reflects the last diagonal (all data referred to last reporting year) from R0110 to R0250.

R0260 is the total of R0110 to R0250.

C0180/ R0100 to R0260

Gross Claims Paid — Sum of years (cumulative)

Total ‘Sum of years’ contains the sum of all data in rows (sum of all payments referred to the accident/underwriting year), including total.

C0200 to C0350/ R0100 to R0250

Gross undiscounted Best Estimate Claims Provisions — Triangle

Triangles of undiscounted best estimate of claims provisions, gross of reinsurance for each of the accident/underwriting years from N–14 (and prior) and all previous reporting periods to — including — N (last reporting year). The best estimate for claims provision relates to claims events occurred before or at the valuation date, whether the claims arising from these events have been reported or not.

The data are in absolute amount, non–cumulative and undiscounted.

C0360/ R0100 to R0260

Gross Best Estimate Claims Provisions — Year end (discounted data)

Total ‘Year end’ reflects the last diagonal but on a discounted basis (all data referred to last reporting year) from R0110 to R0250.

R0260 is the total of R0110 to R0250

C0400 to C0550/ R0100 to R0250

Gross Reported but not Settled Claims (RBNS) — Triangle

Triangles for each of the accident/underwriting years from N–14 (and prior) and all previous reporting periods to — including — N (last reporting year) of provisions in respect of claim events that have happened and been reported to the insurer, but have not yet been settled, excluding incurred but not reported claims (‘IBNR’). These may be case–by–case reserves estimated by claim handlers and do not need to be on a best estimate Solvency II basis. The reported but not settled claims (‘RBNS’) shall be measured using consistent reserve strength over time.

The data are in absolute amount, non–cumulative and undiscounted.

The amount includes all the elements that compose the claim itself but excludes any expenses.

C0560/ R0100 to R0260

Gross Reported but not Settled Claims (RBNS) — Year end (discounted data)

Total ‘Year end’ reflects the last diagonal (all data referred to last reporting year) from R0110 to R0250.

R0260 is the total of R0110 to R0250.

C0600 to C0750/ R0300 to R0450

Reinsurance Recoveries received (non–cumulative) — Triangle

Triangles for each of the accident/underwriting years from N–14 (and prior) and all previous reporting periods to — including — N (last reporting year) of payments, reported in the ‘Gross Claims Paid (non–cumulative)’, covered by a reinsurance contract.

The amounts shall be considered after the adjustment for the counterparty default.

The amount includes all the elements that compose the claim itself but excludes any expenses.

C0760/ R0300 to R0460

Reinsurance Recoveries received (non–cumulative) — In current year

Total ‘Current year’ reflects the last diagonal (all data referred to last reporting year) from R0310 to R0450.

R0460 is the total of R0310 to R0450.

The amount includes all the elements that compose the claim itself but excludes any expenses.

C0770/ R0300 to R0450

Reinsurance Recoveries received — Sum of years (cumulative)

Total ‘Sum of years’ contains the sum of all data in rows (sum of all payments referred to the i–accident/underwriting year), including total.

C0800 to C0950/ R0300 to R0450

Undiscounted Best Estimate Claims Provisions — Reinsurance recoverable — Triangle

Provisions referred to the amounts recoverable from reinsurance contracts and special purpose vehicles. In the triangle is required to reported undiscounted data, while the column ‘Year end’ will contain data on discounted basis.

The amounts shall be considered after the adjustment for the counterparty default.

C0960/ R0300 to R0460

Best Estimate Claims Provisions — Reinsurance recoverable — Year end (discounted data)

Total ‘Year end’ reflects the last diagonal but a on discounted basis (all data referred to last reporting year) from R0310 to R0450.

R0460 is the total of R0310 to R0450.

C1000 to C1150/ R0300 to R0450

Reinsurance RBNS Claims — Triangle

Triangles for each of the accident/underwriting years from N–14 (and prior) and all previous reporting periods to — including — N (last reporting year) of reinsurance share of provisions, reported in the ‘Gross Reported but not Settled Claims (RBNS)’, covered by a reinsurance contract.

The amount includes all the elements that compose the claim itself but excludes any expenses.

C1160/ R0300 to R0460

Reinsurance RBNS Claims — Year end

Total ‘Year end’ reflects the last diagonal (all data referred to last reporting year) from R0310 to R0450.

R0460 is the total of R0310 to R0450.

C1200 to C1350/ R0500 to R0650

Net Claims Paid (non–cumulative) — Triangle

Triangles for each of the accident/underwriting years from N–14 (and prior) and all previous reporting periods to — including — N (last reporting year) of claims paid net of salvage/subrogation and reinsurance.

The amount includes all the elements that compose the claim itself but excludes any expenses.

C1360/ R0500 to R0660

Net Claims Paid (non–cumulative) — In current year

Total ‘Current year’ reflects the last diagonal (all data referred to last reporting year), from R0510 to R0650.

R0660 is the total of R0510 to R0650

C1370/ R0500 to R0660

Net Claims Paid — Sum of year (cumulative)

Total ‘Sum of years’ contains the sum of all data in rows (sum of all payments referred to the accident/underwriting year), including total.

C1400 to C1550/ R0500 to R0650

Net Undiscounted Best Estimate Claims Provisions — Triangle

Triangles for each of the accident/underwriting years from N–14 (and prior) and all previous reporting periods to — including — N (last reporting year) of Best Estimate of Claims Provisions, net of reinsurance.

C1560/ R0500 to R0660

Net Undiscounted Best Estimate Claims Provisions — Year end (discounted data)

Total ‘Year end’ reflects the last diagonal but on a on discounted basis (all data referred to last reporting year) from R0510 to R0650.

R0660 is the total of R0510 to R0650

C1600 to C1750/ R0500 to R0650

Net RBNS Claims — Triangle

Triangles for each of the accident/underwriting years from N–14 (and prior) and all previous reporting periods to — including — N (last reporting year) of Claims Outstanding net of salvage/subrogation and reinsurance.

The amount includes all the elements that compose the claim itself but excludes any expenses.

C1760/ R0500 to R0660

Net RBNS Claims — Year end

Total ‘Year end’ reflects the last diagonal (all data referred to last reporting year) from R0510 to R0650.

R0660 is the total of R0510 to R0650.

Inflation rates (only in the case of using methods that take into account inflation to adjust data)

C1800 to C1940/ R0700

Historic inflation rate — total

In the case of use of run–off techniques that explicitly take into account inflation in order to adjust data report by year, and for the 15 years, historic inflation rate used to adjusted historical paid losses triangles.

C1800 to C1940/ R0710

Historic inflation rate — external inflation

In the case of use of run–off techniques that explicitly take into account inflation in order to adjust data report, by year, and for the 15 years, historic external inflation: which is the ‘economic’ or ‘general’ inflation, i.e. the increase of the price of goods and services in an specific economy (e.g. Consumer Price Index, Producer Price Index, etc.

C1800 to C1940/ R0720

Historic inflation rate — endogenous inflation

In the case of use of run–off techniques that explicitly take into account inflation in order to adjust data report, by year, and for the 15 years, historic endogenous inflation: which is an increase of claim costs specific of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, under consideration.

C2000 to C2140/ R0730

Expected inflation rate — total

In the case of use of run–off techniques that explicitly take into account inflation in order to adjust data report by year, and for the 15 years, expected inflation rate used to adjusted historical paid losses triangles.

C2000 to C2140/ R0740

Expected inflation rate — external inflation

In the case of use of run–off techniques that explicitly take into account inflation in order to adjust data report, by year, and for the 15 years, expected external inflation: which is the ‘economic’ or ‘general’ inflation, i.e. the increase of the price of goods and services in an specific economy (e.g. Consumer Price Index, Producer Price Index, etc.

C2000 to C2140/ R0750

Expected inflation rate — endogenous inflation

In the case of use of run–off techniques that explicitly take into account inflation in order to adjust data report, by year, and for the 15 years, expected endogenous inflation: which is an increase of claim costs specific of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, under consideration.

C2200/ R0760

Description of inflation rate used

In the case of use of run–off techniques that explicitly take into account inflation in order to adjust data report narrative description of inflation rate used.

S.20.01 — Development of the distribution of the claims incurred

General comments:
This section provides an overview about the run–off/movement of non–life claims portfolios, in terms of both claims paid (split by different type of claims) and RBNS claims (as defined in S.19.01).
This template must be filled for each Line of Business (12 line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, in total) with regards to gross direct business (i.e. undertakings are exempted to report the accepted — proportional and non–proportional — business); in case of RBNS denominated in different currencies, it is required to report only the total in the reporting currency.
With regard to the number of claims to be reported, undertakings will use their specific definition or, if available, specification existing at national level (for instance requirement laid down by the National Supervisory Authority). However, each claim shall be reported once. If any claim is closed and reopened during the year, it shall not be reported in the column ‘Reopen Claims during the year’ but it shall be reported in relevant column regarding ‘Open Claims at the beginning of the year’ or ‘Claims reported during the year’.
Undertakings are required to report data on accident year or underwriting year basis, in accordance with any requirements of the National Supervisory Authority. If the National Supervisory Authority has not stipulated which to use then the undertaking may use accident or underwriting year according to how they manage each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, provided that they use the same year consistently, year on year.
As per the number of years to be reported, the same reporting requirement introduced in S.19.01 applies.

 

ITEM

INSTRUCTIONS

Z0010

Line of business

Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:

 

1 — Medical expense insurance

 

2 — Income protection insurance

 

3 — Workers' compensation insurance

 

4 — Motor vehicle liability insurance

 

5 — Other motor insurance

 

6 — Marine, aviation and transport insurance

 

7 — Fire and other damage to property insurance

 

8 — General liability insurance

 

9 — Credit and suretyship insurance

 

10 — Legal expenses insurance

 

11 — Assistance

 

12 — Miscellaneous financial loss

Z0020

Accident year/Underwriting year

Report the standard used by the undertakings for reporting of claims development. One of the options from the following closed list shall be used:

 

1 — Accident year

 

2 — Underwriting year

C0020/R0010 to R0160

RBNS claims. Open Claims at the beginning of the year, Open Claims at the end of the year — Number of claims

The number of open claims at the beginning of the year and still open at the end of the reporting year, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.

C0030/R0010 to R0160

RBNS claims. Open Claims at the beginning of the year, Open Claims at the end of the year — Gross RBNS at the beginning of the year

The amount of gross RBNS Claims, net of salvage and subrogation, at the beginning of the year and still open at the end of the reporting year, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.

The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims.

C0040/R0010 to R0160

RBNS claims. Open Claims at the beginning of the year, Open Claims at the end of the year — Gross payments made during the current year

The amount of gross payments, net of salvage and subrogation, made during the current year regarding claims still open at the end of the reporting year, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.

The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims.

C0050/R0010 to R0160

RBNS claims. Open Claims at the beginning of the year, Open Claims at the end of the year — Gross RBNS at the end of the period

The amount of gross RBNS Claims, net of salvage and subrogation, at the end of the period regarding claims still open at the end of the reporting year, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.

The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims.

C0060/R0010 to R0160

RBNS claims. Open Claims at the beginning of the year, Closed Claims at the end of the year, settled with payment — Number of claims ended with payments

The number of Claims open at the beginning of the year and closed at the end of the year and settled with payments, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.

C0070/R0010 to R0160

RBNS claims. Open Claims at the beginning of the year, Closed Claims at the end of the year, settled with payment — Gross RBNS at the beginning of the year

The amount of gross RBNS Claims, net of salvage and subrogation, open at the beginning of the year and closed at the end of the year and settled with payments, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.

The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims.

C0080/R0010 to R0160

RBNS claims. Open Claims at the beginning of the year, Closed Claims at the end of the year, settled with payment — Gross payments made during the current year

The amount of gross payments, net of salvage and subrogation, made during the current year regarding claims closed at the end of the reporting year and settled with payments, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.

The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims

C0090/R0010 to R0160

RBNS claims. Open Claims at the beginning of the year, Closed Claims at the end of the year, settled without any payment — Number of claims ended without any payment

The number of Claims open at the beginning of the year and closed at the end of the year and settled without any payment, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.

C0100/R0010 to R0160

RBNS claims. Open Claims at the beginning of the year, Closed Claims at the end of the year, settled without any payment — Gross RBNS at the beginning of the year referred to claims settled without any payment

The amount of gross RBNS Claims, net of salvage and subrogation, open at the beginning of the year and closed at the end of the year and settled without any payment, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.

The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims.

C0110/R0010 to R0160

Claims reported during the year, Open Claims at the end of the year — Number of claims

The number of claims reported during the year and still open at the end of the year, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.

C0120/R0010 to R0160

Claims reported during the year, Open Claims at the end of the year — Gross payments made during the current year

The amount of gross payments, net of salvage and subrogation, made during the current year regarding claims reported during the year and still open at the end of the reporting year, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.

The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims.

C0130/R0010 to R0160

Claims reported during the year, Open Claims at the end of the year — Gross RBNS at the end of the period

The amount of gross RBNS Claims, net of salvage and subrogation, at the end of the period regarding claims reported during the year and still open at the end of the reporting year, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.

The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims.

C0140/R0010 to R0160

Claims reported during the year, Closed Claims at the end of the year, settled with payment — Number of claims ended with payments

The number of Claims reported during the year and closed at the end of the year and settled with payments, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.

C0150/R0010 to R0160

Claims reported during the year, Closed Claims at the end of the year, settled with payment — Gross payments made during the current year

The amount of gross payments, net of salvage and subrogation, made during the current year regarding claims reported during the year and closed at the end of the year and settled with payments, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.

The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims.

C0160/R0010 to R0160

Claims reported during the year, Closed Claims at the end of the year, settled without any payment — Number of claims ended without any payment

The number of Claims reported during the year and closed at the end of the year and settled without any payment, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.

C0170/R0010 to R0160

Reopen claims during the year, Open Claims at the end of the year — Number of claims

The number of Claims reopened during the year and still open at the end of the year, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.

C0180/R0010 to R0160

Reopen claims during the year, Open Claims at the end of the year — Gross payments made during the current year

The amount of gross payments, net of salvage and subrogation, made during the current year regarding claims reopened during the year and still open at the end of the year, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.

The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims.

C0190/R0010 to R0160

Reopen claims during the year, Open Claims at the end of the year — Gross RBNS at the end of the period

The amount of gross RBNS Claims, net of salvage and subrogation,at the end of the period regarding claims reopened during the year and still open at the end of the year, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.

The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims.

C0200/R0010 to R0160

Reopen claims during the year, Closed Claims at the end of the period — Number of claims ended with payments

The number of Claims reopened during the year and closed at the end of the year and ended with payments, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.

C0210/R0010 to R0160

Reopen claims during the year, Closed Claims at the end of the period — Gross payments made during the current year

The amount of gross payments, net of salvage and subrogation, made during the current year regarding claims reopened during the year and closed at the end of the year with payments, by accident/underwriting years from the year N–1 (the year before the reporting year) to N–14, amount of all previous reporting periods prior to N–14 and the total of all the years from N–1 to prior to year N–14.

The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims.

C0110/R0170

Claims reported during the year, Open Claims at the end of the year — Number of claims

The number of claims reported during the year and still open at the end of the year, for the accident/underwriting year, regarding the reporting year N.

C0120/R0170

Claims reported during the year, Open Claims at the end of the year — Gross payments made during the current year

The amount of gross payments, net of salvage and subrogation, made during the current year regarding claims reported during the year and still open at the end of the reporting year, for the accident/underwriting year, regarding the reporting year N.

The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims.

C0130/R0170

Claims reported during the year, Open Claims at the end of the year — Gross RBNS at the end of the period

The amount of gross RBNS Claims, net of salvage and subrogation, at the end of the period regarding claims reported during the year and still open at the end of the reporting year, for the accident/underwriting year, regarding the reporting year N.

The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims.

C0140/R0170

Claims reported during the year, Closed Claims at the end of the year, settled with payment — Number of claims ended with payments

The number of Claims reported during the year and closed at the end of the year and settled with payments, for the accident/underwriting year, regarding the reporting year N.

C0150/R0170

Claims reported during the year, Closed Claims at the end of the year, settled with payment — Gross payments made during the current year

The amount of gross payments, net of salvage and subrogation, made during the current year regarding claims reported during the year and closed at the end of the year and settled with payments, for the accident/underwriting year, regarding the reporting year N.

The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims.

C0160/R0170

Claims reported during the year, Closed Claims at the end of the year, settled without any payment — Number of claims ended without any payment

The number of Claims reported during the year and closed at the end of the year and settled without any payment, for the accident/underwriting year, regarding the reporting year N.

C0110/R0180

Total Claims reported during the year, Open Claims at the end of the year — Number of claims

Total number of claims reported during the year still open at the end of the year.

C0120/R0180

Total Claims reported during the year, Open Claims at the end of the year — Gross payments made during the current year

Total of gross payments, net of salvage and subrogation,made during the current year in relation to total number of claims reported during the year still open at the end of the year.

The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims.

C0130/R0180

Total Claims reported during the year, Open Claims at the end of the year — Gross RBNS at the end of the period

Total of Gross RBNS, net of salvage and subrogation,at the end of the period in relation to total number of claims reported during the year still open at the end of the year.

The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims.

C0140/R0180

Total Claims reported during the year, Closed Claims at the end of the year, settled with payment — Number of claims ended with payments

Total number of claims reported during the year and settled with payments.

C0150/R0180

Total Claims reported during the year, Closed Claims at the end of the year, settled with payment — Gross payments made during the current year

Gross payments, net of salvage and subrogation, made during the current year in relation to claims reported during the year and settled with payments.

The amount includes all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims.

C0160/R0180

Total Claims reported during the year, Closed Claims at the end of the year, settled without any payment — Number of claims ended without any payment

Total number of claims reported during the year and settled without any payment.

S.21.01 — Loss distribution risk profile

General comments:
This section relates to annual submission of information for individual undertakings.
The information shall be filled in relation to non–life business (including health insurance business other than that pursued on a similar basis to that of life insurance (‘Non–SLT Health’)) only for the direct business. There shall be a separate template for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.
The loss distribution profile non–life shows the distribution, in (predefined) brackets, of the claims incurred during the reporting year.
Claims incurred means the sum of gross claims paid and gross reported but not settled claims (RBNS) on a case by case basis for each and every single claim, open or closed, which belongs to a specific accident year (‘AY’)/underwriting year (‘UWY’) (AY/UWY). Claims incurred amounts include all the elements that compose the claim itself but excludes any expenses except those attributable to specific claims. Data regarding claims shall be reported net of salvage and subrogation.
Undertakings are required to report data on an accident year or underwriting year basis, in accordance with any requirements of the National Supervisory Authority. If the National Supervisory Authority has not stipulated which to use then the undertaking may use accident or underwriting year according to how they manage each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, provided that they use the same year consistently, year on year.
The default brackets to be used are defined in euros. For different reporting currencies each relevant supervisory authority shall define the equivalent options for the amounts to be used in the 20 brackets.
An undertaking may use undertaking specific brackets, in particular when incurred losses are lower than EUR 100 000. The brackets chosen shall be used consistently over the reporting periods, unless the distribution of claims changes significantly. In this case the undertaking shall notify the supervisory authority in advance, unless already specified by the supervisory authority.

 

ITEM

INSTRUCTONS

Z0010

Line of business

Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:

 

1 — Medical expense insurance

 

2 — Income protection insurance

 

3 — Workers' compensation insurance

 

4 — Motor vehicle liability insurance

 

5 — Other motor insurance

 

6 — Marine, aviation and transport insurance

 

7 — Fire and other damage to property insurance

 

8 — General liability insurance

 

9 — Credit and suretyship insurance

 

10 — Legal expenses insurance

 

11 — Assistance

 

12 — Miscellaneous financial loss

Z0020

Accident year/underwriting year

Report the standard used by the undertakings for reporting of template S.19.01. The following closed list shall be used:

 

1 — Accident year

 

2 — Underwriting year

C0030/R0010 to R0210

Start claims incurred

Start amount of the interval of the corresponding bracket.

In case the reporting currency is in Euros, one of the following 5 base options based on the normal loss distribution can be used:

 

1 — 20 brackets of 5 000 plus 1 extra open bracket for incurred losses > 100 000.

 

2 — 20 brackets of 50 000 plus 1 extra open bracket for incurred losses > 1 million.

 

3 — 20 brackets of 250 000 plus 1 extra open bracket for incurred losses > 5 million.

 

4 — 20 brackets of 1 million plus 1 extra open bracket for incurred losses > 20 million.

 

5 — 20 brackets of 5 million plus 1 extra open bracket for incurred losses > 100 million.

However, an undertaking shall use undertaking specific brackets, in particular when incurred losses < 100 000 to guarantee that the level of detail is sufficient to provide adequate insight in the distribution of the claims incurred, unless already specified by the supervisory authority.

The option chosen needs to be used consistently over the reporting periods, unless the distribution of claims changes significantly.

For different reporting currencies National Supervisory Authorities need to define the equivalent options for the amounts to be used in the 20 brackets.

C0040/R0010 to R0200

End claims incurred

End amount of the interval of the corresponding bracket.

C0050, C0070, C0090, C0110, C0130, C0150, C0170, C0190, C0210, C0230, C0250, C0270, C0290, C0310, C0330/R0010 to R0210

Number of claims AY/UWY year N:N–14

The number of claims attributed to each of the accident/underwriting years N to N–14, whose claims incurred during the reporting year falls within the start amount and end amount of the applicable bracket. The number of claims is the sum of the accumulated number of open claims at the end of the period plus the accumulated number of closed claims ended with payments.

C0060, C0080, C0100, C0120, C0140, C0160, C0180, C0200, C0220, C0240, C0260, C0280, C0300, C0320, C0340/R0010 to R0210

Total claims incurred AY/UWY year N:N–14

The accumulated and aggregated amount of claims incurred of all individual claims, attributed to each of the accident/underwriting years N to N–14, whose claims incurred during the reporting year falls within the start amount and end amount of the applicable bracket.

For smaller claims, estimations (e.g. default amount) are allowed as long as it is in line with the amounts considered in run–off triangles reported in Non–life Insurance Claims Information (template S.19.01).

Claims incurred means the sum of gross claims paid and gross reported but not settled claims (RBNS) on a case by case basis for each and every single claim, open and closed, which belongs to a specific accident year/underwriting year (AY/UWY).

C0050, C0070, C0090, C0110, C0130, C0150, C0170, C0190, C0210, C0230, C0250, C0270, C0290, C0310, C0330/R0300

Number of claims AY/UWY year N:N–14 — Total

Total of the accumulated and aggregated number of claims for all brackets for each of the years N to N–14.

C0060, C0080, C0100, C0120, C0140, C0160, C0180, C0200, C0220, C0240, C0260, C0280, C0300, C0320, C0340/R0300

Total claims incurred AY/UWY year N:N–14 — Total

Total of the accumulated and aggregated claims incurred for all brackets for each of the years N to N–14.

S.21.02 — Underwriting risks non–life

General comments:
This section relates to annual submission of information for individual undertakings.
Template shall be filled in relation to non–life business (including Non–SLT Health) only for direct business.
In this template the 20 biggest single underwriting risks, based on net retention, across all lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, shall be reported. If the 2 biggest single underwriting risks for any of the lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35 are not covered through the above methodology, then they shall be reported in addition. In case a single underwriting risk of a specific line of business forms part of the top 20, the same risk of the affected line of business must only be filled in once.
Net retention of the single underwriting risk means the maximum possible liability of the undertaking after the recoverables from reinsurers (including SPV and Finite Reinsurance) and the original deductible of the policyholder has been taken into account. In case the net retention is equal for too many risks the policy with the highest Sum insured shall be used as a second criteria. In case the Sum insured is also the same and the most appropriate risk considering the risk profile of the undertaking must be used as the ultimate criteria.

 

ITEM

INSTRUCTIONS

C0010

Risk identification code

The code is a unique identifying number assigned by the undertaking that identifies the risk and shall remain unchanged for subsequent annual reports.

C0020

Identification of the company/person to which the risk relates

If the risk relates to a company identify the name of the company to whom the risk relates.

If the risk relates to a natural person, pseudonymise the original policy number and report pseudonymised information. Pseudonymous data refer to data that cannot be attributed to a specific individual without the use of additional information, as long as such additional information is kept separately. Consistency over time shall be insured. It implies that if a single underwriting risk appears from one year to another, it shall receive the same pseudonymised format.

C0030

Description risk

The description of the risk. Depending on the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, report the type of company, building or occupation of the specific risk insured.

C0040

Line of business

Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35. The following closed list shall be used:

 

1 — Medical expense insurance

 

2 — Income protection insurance

 

3 — Workers' compensation insurance

 

4 — Motor vehicle liability insurance

 

5 — Other motor insurance

 

6 — Marine, aviation and transport insurance

 

7 — Fire and other damage to property insurance

 

8 — General liability insurance

 

9 — Credit and suretyship insurance

 

10 — Legal expenses insurance

 

11 — Assistance

 

12 — Miscellaneous financial loss

C0050

Description risk category covered

The description of the risk category covered is entity specific and is not mandatory. Also the term ‘risk category’ isn't based on Level 1 and 2 terminologies but can be considered as an extra possibility the give additional information about the underwriting risk(s).

C0060

Validity period (start date)

Identify the ISO 8601 (yyyy–mm–dd) code of the date of commencement of the specific cover, i.e., date when the cover took effect.

C0070

Validity period (expiry date)

Identify the ISO 8601 (yyyy–mm–dd) code of the final expiry date of the specific cover.

C0080

Currency

Identify the ISO 4217 alphabetic code of the reporting currency.

C0090

Sum insured

The highest amount that the insurer can be obliged to pay out under the policy. The insured sum relates to the underwriting risk.

Where the policy covers a number of exposures/risks across the country the individual underwriting risk with the highest net retention shall be specified. If the risk has been accepted on a co–insurance basis, the insured sum indicates the maximum liability of the reporting non–life insurer. In case of a joint several liability, the part belonging to a defaulting co–insurer must be included as well.

C0100

Original deductible policyholder

Part of the sum insured which is retained by the policyholder.

C0110

Type of underwriting model

Type of underwriting model which is used to estimate the exposure of the underwriting risk and the need for reinsurance protection. One of the options in the following closed list shall be used:

 

1 — Sum Insured:

the highest amount that the insurer can be obliged to pay out according to the original policy. Sum insured must also be filled when type of underwriting model is not applicable

 

2 — Maximum Possible Loss:

loss which may occur when the most unfavourable circumstances being more or less exceptionally combined, the fire is only stopped by impassable obstacles or lack of substance.

 

3 — Probable Maximum Loss:

defined as the estimate of the largest loss from a single fire or peril to be expected, assuming the worst single impairment of primary private fire protection systems but with secondary protection systems or organizations (such as emergency organizations and private and/or public fire department response) functioning as intended. Catastrophic conditions like explosions resulting from massive release of flammable gases, which might involve large areas of the plant, detonation of massive explosives, seismic disturbances, tidal waves or flood, falling aircraft, and arson committed in more than one area are excluded in this estimate. This definition is a hybrid form between Maximum Possible Loss and Estimated Maximum Loss that is generally accepted and frequently used by insurers, reinsurers and reinsurance brokers

 

4 — Estimated Maximum Loss:

loss that could reasonably be sustained from the contingencies under consideration, as a result of a single incident considered to be within the realms of probability taking into account all factors likely to increase or lessen the extent of the loss, but excluding such coincidences and catastrophes which may be possible but remain unlikely.

 

5 — Other:

defined as other possible underwriting models used. The type of ‘other’ underwriting model applied must be explained in the Regular Supervisory Report

Although abovementioned definitions are used for the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, ‘Fire and other damage to property insurance’, similar definitions might be in place for other lines of business.

C0120

Amount underwriting model

Maximum loss amount of the single underwriting risk which is the result of the underwriting model applied. In case no specific type of underwriting model is used the amount must be equal to the sum insured reported in C0090 minus the original deductible reported in C0100.

C0130

Sum reinsured on a facultative basis, with all reinsurers

Part of the sum insured that the insurer has reinsured on a facultative basis (by treaty and/or by individual cover) with the reinsurers. When the facultative cover is not placed for 100 % but only for 80 % the 20 % not placed shall be considered as retention.

C0140

Sum reinsured, other than on facultative basis, with all reinsurers

Part of the sum insured that the insurer has reinsured through traditional reinsurance treaties or another basis (including SPV and Finite Reinsurance) other than facultative reinsurance.

C0150

Net retention of the insurer

The net amount for which the insurer acts as risk carrier, i.e.: part of the sum insured that exceeds the original deductible of the policyholder and is not reinsured.

S.21.03 — Non–life distribution of underwriting underwriting risks — by sum insured

General comments:
This section relates to annual submission of information for individual undertakings.
The template is retrospective and shall be filled in relation to non–life business (including Non–SLT Health) only for the direct business and only for the Non–life Lines of Business (lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35).
The underwriting risk portfolio is the distribution, in (predefined) brackets, of the sum insured of each and every single underwriting risk which have been accepted by the undertaking. The underwriting risk portfolio is per line of business. However, whereas some lines of business are reportable on a compulsory basis for all member states, the individual member states may also require compulsory basis reporting for further lines of business where deemed to be relevant. For certain lines of business, the template would not be applicable. (See also item Line of business).
The default brackets to be used are defined in euros. For different reporting currencies each relevant supervisory authority shall define the equivalent options for the amounts to be used in the 20 brackets.
An undertaking may use undertaking specific brackets, in particular when sum insured is lower than EUR 100 000. The brackets chosen shall be used consistently over the reporting periods, unless the distribution of claims changes significantly. In this case the undertaking shall notify the supervisory authority in advance, unless already specified by the supervisory authority.
By default the reference date shall be the end of the reporting year, however if duly justified, the undertaking may choose the reference date of collecting the information from the policy administration. This means that the underwriting risk portfolio can be based for example on the same reference date that is used to collect similar information for the renewal of reinsurance treaties and facultative cover.
The sum insured relates to each and every individual underwriting risk, only looking at the main coverage of the policy per line of business, and means the highest amount that the insurer can be obliged to pay out. This means:
— If the sum insured of the additional cover for ‘Theft’ is lower than the sum insured of the main cover for ‘Fire and other damage’ (both belonging to the same line of business), the highest sum insured must be taken.
— A policy cover comprising a number of buildings across the country/car fleet etc must be broken down.
— If the risk has been accepted on a co–insurance basis, the insured sum indicates the maximum liability of the reporting non–life insurer.
— In case of joint liability through co–insurance, the part belonging to a defaulting co–insurer must be included in the sum insured as well.

 

ITEMS

INSTRUCTIONS

Z0010

Line of business

Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, reported.

First category: lines of business that are compulsory for all member states:

—

Other motor insurance;

—

Marine, aviation and transport insurance;

—

Fire & other damage to property insurance;

—

Credit & Suretyship insurance.

Second category: lines of business that are compulsory at the discretion of each individual NSAs:

—

Motor vehicle liability insurance;

—

General liability insurance;

—

Medical expense insurance;

—

Income protection insurance;

—

Worker's compensation insurance;

—

Miscellaneous financial loss;

—

Legal expenses insurance;

—

Assistance.

The following closed list shall be used:

 

1 — Medical expense insurance

 

2 — Income protection insurance

 

3 — Workers' compensation insurance

 

4 — Motor vehicle liability insurance

 

5 — Other motor insurance

 

6 — Marine, aviation and transport insurance

 

7 — Fire and other damage to property insurance

 

8 — General liability insurance

 

9 — Credit and suretyship insurance

 

10 — Legal expenses insurance

 

11 — Assistance

 

12 — Miscellaneous financial loss

C0020/R0010–R0210

Start sum insured

Start amount of the interval within which the sum insured of the individual underwriting risk belongs and needs to be aggregated.

In case the reporting currency is in Euros, one of the following 5 base options for the distribution of the underwriting risks can be used:

 

1 — 20 brackets of 25 000 plus 1 extra bracket for Sum Insured > 500 000.

 

2 — 20 brackets of 50 000 plus 1 extra bracket for Sum Insured > 1 million.

 

3 — 20 brackets of 250 000 plus 1 extra bracket for Sum Insured > 5 million.

 

4 — 20 brackets of 1 million plus 1 extra bracket for Sum Insured > 20 million.

 

5 — 20 brackets of 5 million plus 1 extra bracket for Sum Insured > 100 million.

However, an undertaking shall use undertaking specific brackets, in particular when Sum Insured < 100 000 to guarantee that the level of detail is sufficient to provide adequate insight in the distribution of the claims incurred, unless already specified by the supervisory authority.

For policies where there is no Sum Insured defined in the policy the undertaking shall do their own estimations or use default values.

The option chosen needs to be used consistently over the reporting periods, unless the distribution of claims changes significantly.

For different reporting currencies National Supervisory Authorities need to define the equivalent options for the amounts to be used in the 20 brackets.

C0030/R0010–R0200

End sum insured

End amount of the interval within which the sum insured of the individual underwriting risk belongs and needs to be aggregated.

C0040/R0010–R0210

Number of underwriting risks

The number of underwriting risks whose sum insured falls within the start amount and end amount of the applicable bracket.

C0040/R0220

Number of underwriting risks — Total

Total number of underwriting risks reported in all brackets.

C0050/R0010–R0210

Total sum insured

The aggregated amount of the sum insured, on a gross basis and using the reporting currency, of all the individual underwriting risks, whose sum insured falls within the start amount and end amount of the applicable bracket.

C0050/R0220

Total sum insured — Total

Total of the aggregated amounts of the sum insured, on a gross basis and using the reporting currency, of all the individual underwriting risks reported in all brackets.

C0060/R0010–R0210

Total annual written premium

The aggregated amount of the written premium as defined in Article 1(11) of Delegated Regulation (EU) 2015/35of the underlying underwriting risks.

C0060/R0220

Total annual written premium — Total

Total of the aggregated amounts of the annual written premium reported in all brackets.

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

General comments:
This section relates to annual submission of information for individual entities.
This template is relevant when at least one long term guarantee measure or transitional is used by the undertaking.
This template shall reflect the impact on the financial positions when no transitional is used and each LTG measures or transitional is set to zero. For that purpose, a 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.
The impacts need to be reported positive if they increase the amount of the item being reported and negative if they decrease the amount of the item (e.g. if amount of SCR increases or if amount of Own Funds increases then positive values shall be reported).

 

ITEM

INSTRUCTIONS

C0010/R0010

Amount with LTG measures and transitionals — Technical Provisions

Total amount of technical provisions including long term guarantee measures and transitional measures

C0020/R0010

Without transitional on technical provisions — Technical Provisions

Total amount of 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.

C0030/R0010

Impact of transitional on technical provisions — Technical provisions

Amount of the adjustment to the 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 technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping adjustments due to the volatility adjustment and the matching adjustment (‘MA’).

C0050/R0010

Impact of transitional on interest rate — Technical provisions

Amount of the adjustment to the 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 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.

C0070/R0010

Impact of volatility adjustment set to zero — Technical provisions

Amount of the adjustment to the 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 technical provisions without any LTG measure.

C0090/R0010

Impact of matching adjustment set to zero — Technical Provisions

Amount of the adjustment to the 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 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.

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 technical provisions without transitional deduction to technical provisions and considering 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.

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 technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and considering technical provisions with LTG and transitional measures.

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.

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 considering technical provisions without volatility adjustment and without other transitional measures and the maximum between the basic own funds considering technical provisions reported under C0010, C0020 and 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.

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 considering technical provisions without matching adjustment and without all the other transitional measures and the maximum between the basic own funds considering technical provisions reported under C0010, C0020, C0040 and 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.

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 technical provisions without transitional deduction to technical provisions and considering 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.

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 technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and considering technical provisions with LTG and transitional measures.

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.

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 considering technical provisions without volatility adjustment and without other transitional measures and the maximum between the excess of assets over liabilities considering technical provisions reported under C0010, C0020 and 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.

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 considering technical provisions without matching adjustment and without all the other transitional measures and the maximum between the excess of assets over liabilities considering technical provisions reported under C0010, C0020, C0040 and 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.

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 technical provisions without transitional deduction to technical provisions and considering 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.

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 technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and considering technical provisions with LTG and transitional measures.

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.

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 considering technical provisions without volatility adjustment and without other transitional measures and the maximum between the restricted own funds due to ring–fencing considering technical provisions reported under C0010, C0020 and 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.

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 considering technical provisions without matching adjustment and without all the other transitional measures and the maximum between the restricted own funds due to ring–fencing considering technical provisions reported under C0010, C0020, C0040 and 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.

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 technical provisions without transitional deduction to technical provisions and considering 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.

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 technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and considering technical provisions with LTG and transitional measures.

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.

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 considering technical provisions without volatility adjustment and without other transitional measures and the maximum between the eligible own funds to meet SCR considering technical provisions reported under C0010, C0020 and 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.

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 technical provisions without matching adjustment and without all the other transitional measures and the maximum between the eligible own funds to meet SCR considering technical provisions reported under C0010, C0020, C0040 and 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.

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 technical provisions without transitional deduction to technical provisions and considering 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.

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 technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and considering technical provisions with LTG and transitional measures.

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.

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 considering technical provisions without volatility adjustment and without other transitional measures and the maximum between the eligible own funds to meet SCR–Tier 1 considering technical provisions reported under C0010, C0020 and 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.

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 technical provisions without matching adjustment and without all the other transitional measures and the maximum between the eligible own funds to meet SCR–Tier 1 considering technical provisions reported under C0010, C0020, C0040 and 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.

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 technical provisions without transitional deduction to technical provisions and considering 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.

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 technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and considering technical provisions with LTG and transitional measures.

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.

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 considering technical provisions without volatility adjustment and without other transitional measures and the maximum between the eligible own funds to meet SCR–Tier 2 considering technical provisions reported under C0010, C0020 and 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.

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 technical provisions without matching adjustment and without all the other transitional measures and the maximum between the eligible own funds to meet SCR–Tier 2 considering technical provisions reported under C0010, C0020, C0040 and 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.

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 technical provisions without transitional deduction to technical provisions and considering 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.

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 technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and considering technical provisions with LTG and transitional measures.

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.

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 considering technical provisions without volatility adjustment and without other transitional measures and the maximum between the eligible own funds to meet SCR–Tier 3 considering technical provisions reported under C0010, C0020 and 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.

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 technical provisions without matching adjustment and without all the other transitional measures and the maximum between the eligible own funds to meet SCR–Tier 3 considering technical provisions reported under C0010, C0020, C0040 and 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.

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 technical provisions without transitional deduction to technical provisions and considering 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.

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 technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and considering technical provisions with LTG and transitional measures.

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.

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 considering technical provisions without volatility adjustment and without other transitional measures and the maximum between the SCR considering technical provisions reported under C0010, C0020 and C0040.

C0080/R0090

Without matching adjustment and without all the others — SCR

Total amount of SCR calculated considering Technical provisions without any LTG measure.

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 technical provisions without matching adjustment and without all the other transitional measures and the maximum between the SCR considering technical provisions reported under C0010, C0020, C0040 and 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/R0100

Amount with LTG measures and transitionals — Eligible own funds to meet MCR

Total amount of eligible own funds to meet MCR calculated considering technical provisions including the adjustments due to the long term guarantee measures and transitional measures.

C0020/R0100

Without transitional on technical provisions — Eligible own funds to meet MCR

Total amount of eligible own funds to meet MCR calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment.

C0030/R0100

Impact of transitional on technical provisions — Eligible own funds to meet MCR

Amount of the adjustment to the eligible own funds to meet MCR due to the application of the transitional deduction to technical provisions.

It shall be the difference between the eligible own funds to meet MCR calculated considering technical provisions without transitional deduction to technical provisions and considering technical provisions with LTG and transitional measures.

C0040/R0100

Without transitional on interest rate — Eligible own funds to meet MCR

Total amount of eligible own funds to meet MCR calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment.

C0050/R0100

Impact of transitional on interest rate — Eligible own funds to meet MCR

Amount of the adjustment to the Eligible own funds to meet MCR due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.

It shall be the difference between the eligible own funds to meet MCR calculated considering technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and considering technical provisions with LTG and transitional measures.

C0060/R0100

Without volatility adjustment and without other transitional measures — Eligible own funds to meet MCR

Total amount of Eligible own funds to meet MCR calculated considering Technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment.

C0070/R0100

Impact of volatility adjustment set to zero — Eligible own funds to meet MCR

Amount of the adjustment to the Eligible own funds to meet MCR due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.

It shall be the difference between the eligible own funds to meet MCR considering technical provisions without volatility adjustment and without other transitional measures and the maximum between the eligible own funds to meet MCR considering technical provisions reported under C0010, C0020 and C0040.

C0080/R0100

Without matching adjustment and without all the others — Eligible own funds to meet MCR

Total amount of Eligible own funds to meet MCR calculated considering Technical provisions without any LTG measure.

C0090/R0100

Impact of matching adjustment set to zero — Eligible own funds to meet MCR

Amount of the adjustment to the Eligible own funds to meet MCR due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.

It shall be the difference between the eligible own funds to meet MCR calculated considering technical provisions without matching adjustment and without all the other transitional measures and the maximum between the eligible own funds to meet MCR considering technical provisions reported under C0010, C0020, C0040 and C0060.

C0100/R0100

Impact of all LTG measures and transitionals — Eligible own funds to meet MCR

Amount of the adjustment to the Eligible own funds to meet MCR due to the application of the LTG measures and transitionals.

C0010/R0110

Amount with LTG measures and transitionals — Minimum Capital Requirement

Total amount of MCR calculated considering technical provisions including the adjustments due to the long term guarantee measures and transitional measures.

C0020/R0110

Without transitional on technical provisions — Minimum Capital Requirement

Total amount of MCR calculated considering technical provisions without the adjustment due to the transitional deduction to technical provisions, but keeping the adjustments due to the volatility adjustment and the matching adjustment.

C0030/R0110

Impact of transitional on technical provisions — Minimum Capital Requirement

Amount of the adjustment to the MCR due to the application of the transitional deduction to technical provisions.

It shall be the difference between the MCR calculated considering technical provisions without transitional deduction to technical provisions and considering technical provisions with LTG and transitional measures.

C0040/R0110

Without transitional on interest rate — Minimum Capital Requirement

Total amount of MCR calculated considering technical provisions without the adjustment due to the transitional adjustment to the relevant risk-free interest rate term structure, but keeping the adjustments due to the volatility adjustment and the matching adjustment.

C0050/R0110

Impact of transitional on interest rate — Minimum Capital Requirement

Amount of the adjustment to the MCR due to the application of the transitional adjustment to the relevant risk-free interest rate term structure.

It shall be the difference between the MCR calculated considering technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and considering technical provisions with LTG and transitional measures.

C0060/R0110

Without volatility adjustment and without other transitional measures — Minimum Capital Requirement

Total amount of MCR calculated considering technical provisions without the adjustments due to the transitional deduction to technical provisions, the transitional adjustment to the relevant risk-free interest rate term structure and the volatility adjustment, but keeping the adjustments due to the matching adjustment.

C0070/R0110

Impact of volatility adjustment set to zero — Minimum Capital Requirement

Amount of the adjustment to the MCR due to the application of the volatility adjustment. It shall reflect the impact of setting the volatility adjustment to zero.

It shall be the difference between the MCR considering technical provisions without volatility adjustment and without other transitional measures and the maximum between the MCR considering technical provisions reported under C0010, C0020 and C0040.

C0080/R0110

Without matching adjustment and without all the others — MCR

Total amount of MCR calculated considering technical provisions without any LTG measure.

C0090/R0110

Impact of matching adjustment set to zero — Minimum Capital Requirement

Amount of the adjustment to the MCR due to the application of the matching adjustment. It shall include the impact of setting the volatility adjustment and the matching adjustment to zero.

It shall be the difference between the MCR calculated considering technical provisions without matching adjustment and without all the other transitional measures and the maximum between the MCR considering technical provisions reported under C0010, C0020, C0040 and C0060.

C0100/R0110

Impact of all LTG measures and transitionals — Minimum Capital Requirement

Amount of the adjustment to the MCR due to the application of the LTG measures and transitionals.

S.22.02 — Projection of future cash flows (Best Estimate — Matching portfolios)

General comments:
This section relates to annual submission of information for individual entities.
This template shall be reported by each matching portfolio approved by the supervisory authority.

 

ITEM

INSTRUCTIONS

Z0010

Matching portfolio

Indicate the number which is attributed by the undertaking, corresponding to the unique number assigned to each matching portfolio.

This number shall be consistent over time and shall be used to identify the matching portfolio number in other templates.

C0020/R0010 to R0450

Projection of future cash–flows at the end of the reporting period — Longevity, mortality and revision obligations cash outflows

Future cash out–flows related to the longevity, mortality and revision benefits of insurance and reinsurance obligations for each matching portfolio and split by year of due payment of the cash flow, counting the periods of 12 months from the date of reference of the reporting.

C0030/R0010 to R0450

Projection of future cash–flows at the end of the reporting period — Expenses cash outflows

Future cash out–flows related to the expenses of insurance and reinsurance obligations for each matching portfolio and split by year of due payment of the cash flow, counting the periods of 12 months from the date of reference of the reporting.

C0040/R0010 to R0450

Projection of future cash–flows at the end of the reporting period — De–risked Assets cash–flows

Cash flows (out–flows and in–flows) of assets linked to each matching portfolio and split by year of due payment or receipt of the cash flow. These flows shall be appropriately corrected to take into account the probability of default or the portion of the long term average of the spread over the risk–free interest rate as set out in Article 53 of Delegated Regulation (EU) 2015/35.

C0050/R0010 to R0450

Mismatch during reporting period — Positive undiscounted mismatch (inflows > outflows)

If the frequency is lower than yearly then report the sum of the positive undiscounted mismatches (inflows > outflows) through the year of each row.

Positive mismatches for some periods shall not be netted off of negative mismatches.

C0060/R0010 to R0450

Mismatch during reporting period — Negative undiscounted mismatch (inflows < outflows)

If the frequency is lower than yearly then report the sum of the deficit undiscounted mismatches (inflows < outflows) through the year of each row.

Negative mismatches for some periods shall not be netted off of positive mismatches.

S.22.03 –Information on the matching adjustment calculation

General comments:
This section relates to annual submission of information for individual entities.
This template shall be reported by each matching portfolio approved by the supervisory authority.

 

ITEM

INSTRUCTIONS

Z0010

Matching portfolio

Indicate the number which is attributed by the undertaking, corresponding to the unique number assigned to each matching portfolio.

This number has to be consistent over time and shall be used to identify the matching portfolio number in other templates.

Overall calculation of the matching adjustment

C0010/R0010

Annual effective rate applied to the CF of the obligations

The annual effective rate, calculated as the single discount rate that, where applied to the cash flows (‘CF’) of the portfolio of insurance or reinsurance obligations, results in a value that is equal to the value in accordance with Article 75 of Directive 2009/138/EC of the portfolio of assigned assets.

C0010/R0020

Annual effective rate of the best estimate

The annual effective rate, calculated as the single discount rate that, where applied to the cash flows of the portfolio of insurance or reinsurance obligations, results in a value that is equal to the value of the best estimate of the portfolio of insurance or reinsurance obligations where the time value of money is taken into account using the basic risk–free interest rate term structure.

C0010/R0030

Probability of default used to de–risk assets cash flows

The probability of default corresponds to the amount expressed as a financial percentage (same format as for rows R0010 and R0020) used to adjust the assets cash flows of the assigned portfolio of assets pursuant to Article 53 of Delegated Regulation (EU) 2015/35.

‘De–risked assets cash flows’ means ‘expected assets cash–flows’ as referred to in Article 53 of Delegated Regulation (EU) 2015/35.

This amount shall not include the increase reported in row R0050.

C0010/R0040

Portion of the fundamental spread not reflected when de–risking assets cash flows

Portion of the fundamental spread that has not been reflected in the adjustment to the cash–flows of the assigned portfolio of assets as set out in Article 53 of Delegated Regulation (EU) 2015/35.

This amount shall be expressed as a financial percentage (same format as rows R0010 and R0020). This amount shall not include the increase reported in row R0050.

C0010/R0050

Increase of fundamental spread for sub investment grade assets

Increase of the fundamental spread for sub–investment grade assets expressed as a financial percentage (same format as rows R0010, R0020 and R0120). The increase of the probability of default for sub investment grade assets shall be considered in the de–risking of cash flows.

C0010/R0060

Matching adjustment to the risk free rate

Matching adjustment to the risk free rate for the reported portfolio, reported as a decimal.

Eligibility criteria using SCR mortality stress

C0010/R0070

Mortality risk stress for the purpose of the matching adjustment

Increase of the gross best estimate calculated with the basic risk free rate following a mortality risk stress compared to the gross best estimate calculated with the basic risk rate, as set out in Article 77b (1–f) of Directive 2009/138/EC and Article 52 of Delegated Regulation (EU) 2015/35.

Portfolio

C0010/R0080

Market value of the assets of the portfolio

Solvency II value of the assets of the portfolio.

C0010/R0090

Market value of assets linked to inflation

Solvency II value of the assets with return linked to inflation (Article 77b (1) of Directive 2009/138/EC).

C0010/R0100

Best estimate linked to inflation

Amount of best estimate of cash flows of the insurance or reinsurance obligations that depend on inflation.

C0010/R0110

Market value assets where third party can change the cash flows

Value of the assets where third party can change the cash flows (Article 77b (1) of Directive 2009/138/EC).

C0010/R0120

Return on assets — portfolio assets

Identify the de–risked Internal Rate of Return (‘IRR’) of the assets linked to any matching adjustment portfolio measured as the discount rate at which the present value of the cash outflows of an asset equals the present value of its de–risked cash inflows.

C0010/R0130

Market value of surrendered contracts

Value of the best estimate of the insurance and reinsurance obligations stemming from contracts underlying each matching adjustment portfolio which have been surrendered during the reporting period.

C0010/R0140

Number of surrender options exercised

Number of surrender options exercised during the reporting period related to insurance and reinsurance obligations of each matching portfolio.

C0010/R0150

Market value of assets covering surrendered contracts

Value of the assets, valued in accordance with Article 75 of the Directive 2009/138/EC, covering the insurance and reinsurance obligations surrendered at the time the surrender options were exercised.

C0010/R0160

Amount paid to policyholders

Value of the amount paid to policyholders according to their surrender rights.

This amount differs from row R0130 and R0150 where the surrender clause of the contract does not give the policyholder the right to receive the full amount in those rows.

Liabilities

C0010/R0170

Duration

Measure equivalent to Macaulay duration for liabilities considering all cash flows of insurance or reinsurance obligations arising from portfolios where the matching adjustment has been used.

S.22.04 — Information on the transitional on interest rates calculation

General comments:
This section relates to annual submission of information for individual entities.
This template shall be reported by currency for which the transitional adjustment to the relevant risk-free interest rate term structure is applied. When filling C0020 only the guaranteed Best Estimate of obligations stemming from products providing a guaranteed rate shall be considered. The Future Discretionary Benefits shall not be considered.
The assessment to distinguish between the Solvency I interest rate intervals might be done by Homogeneous Risk Groups (HRG).

 

ITEM

INSTRUCTIONS

Overall calculation of the transitional adjustment

Z0010

Currency

Identify the ISO 4217 alphabetic code of each of the currency for which the transitional adjustment to the relevant risk-free interest rate term structure is applied.

C0010/R0010

Solvency I interest rate

The interest rate (as a decimal) as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive.

C0010/R0020

Annual effective rate

The annual effective rate, calculated as the single discount rate that, where applied to the cash flows of the portfolio of admissible insurance and reinsurance obligations, results in a value that is equal to the value of the best estimate of the portfolio of admissible insurance and reinsurance obligations where the time value of money is taken into account using the relevant risk–free interest rate term structure referred to in Article 77(2) of Directive 2009/138/EC.

C0010/R0030

Portion of the difference applied at the reporting date

Percentage (as a decimal) of the difference between the Solvency I interest rate (R0010) and the Annual effective rate (R0020) (e.g. 1,00 at the beginning of the transitional period and 0,00 at the end).

C0010/R0040

Adjustment to risk free rate

Transitional adjustment to the risk free rate expressed as a percentage (as a decimal).

Solvency I interest rate

C0020/R0100

Best estimate — Up to 0.5 per cent

Value of the best estimate of the insurance and reinsurance obligations for which the interest rate as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive was up to 0,5 % (inclusive).

Only the guaranteed Best Estimate of obligations stemming from products providing a guaranteed rate shall be considered. The Future Discretionary Benefits shall not be considered.

C0020/R0110 to R0200

Best estimate — Best estimate

Value of the best estimate of the insurance and reinsurance obligations for which the interest rate as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive was in the correspondent interval.

The lower reference is exclusive and the higher reference is inclusive.

Only the guaranteed Best Estimate of obligations stemming from products providing a guaranteed rate shall be considered. The Future Discretionary Benefits shall not be considered.

C0020/R0210

Best estimate — Above 8.0 per cent

Value of the best estimate of the insurance and reinsurance obligations for which the interest rate as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive was above 8,0 % (exclusive).

Only the guaranteed Best Estimate of obligations stemming from products providing a guaranteed rate shall be considered. The Future Discretionary Benefits shall not be considered.

C0030/R0100

Average duration of insurance and reinsurance obligations — Up to 0.5 per cent

Residual Macaulay duration of the insurance and reinsurance obligations for which the interest rate as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive was up to 0,5 % (inclusive).

C0030/R0110 to R0200

Average duration of insurance and reinsurance obligations — Average duration of insurance and reinsurance obligations

Residual Macaulay duration of the insurance and reinsurance obligations for which the interest rate as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive was in the correspondent interval.

The lower reference is exclusive and the higher reference is inclusive.

C0030/R0210

Average duration of insurance and reinsurance obligations — Above 8.0 per cent

Residual Macaulay duration of the insurance and reinsurance obligations for which the interest rate as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive was above 8,0 % (exclusive).

S.22.05 — Overall calculation of the transitional on technical provisions

General comments:
This section relates to annual submission of information for individual entities.

 

ITEM

INSTRUCTIONS

C0010/R0010

Day 1 Solvency II technical provisions

Amount of technical provisions, subject to transitional deduction to technical provisions, after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, calculated in accordance with Article 76 of Directive 2009/138/EC at the first date of the application of the Directive 2009/138/EC. This calculation shall consider all insurance and reinsurance obligations existing at the first date of application of the Directive 2009/138/EC.

If a re–calculation was requested on the basis of Article 308d(3) of the Directive 2009/138/EC this calculation shall consider only those insurance and reinsurance obligations subject to the transitional and that still exist at the reporting date valued at the reporting date (Solvency II value reducing the contracts not existing anymore).

C0010/R0020

Technical provisions subject to transitional measure on technical provisions — TP calculated as a whole

Amount of the technical provisions calculated as a whole, subject to transitional deduction to technical provisions, after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, calculated in accordance with Article 76 of Directive 2009/138/EC at the reporting date, before the application of the transitional.

If a re–calculation was requested on the basis of Article 308d(3) of the Directive 2009/138/EC this calculation shall consider only those insurance and reinsurance obligations subject to the transitional and that still exist at the reporting date valued at the reporting date (Solvency II value reducing the contracts not existing anymore).

C0010/R0030

Technical provisions subject to technical provisions transitional — Best estimate

Amount of the best estimate, subject to transitional deduction to technical provisions, after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, calculated in accordance with Article 76 of Directive 2009/138/EC at the reporting date, before the application of the transitional.

If a re–calculation was requested on the basis of Article 308d(3) of the Directive 2009/138/EC this calculation shall consider only those insurance and reinsurance obligations subject to the transitional and that still exist at the reporting date valued at the reporting date (Solvency II value minus contracts not existing anymore).

C0010/R0040

Technical provisions subject to technical provisions transitional — Risk margin

Amount of the Risk margin, subject to transitional deduction to technical provisions, after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, calculated in accordance with Article 76 of Directive 2009/138/EC at the reporting date, before the application of the transitional.

If a re–calculation was requested on the basis of Article 308d(3) of the Directive 2009/138/EC this calculation shall consider only those insurance and reinsurance obligations subject to the transitional and that still exist at the reporting date valued at the reporting date (Solvency II value minus contracts not existing anymore).

C0010/R0050

Solvency I technical provisions

Amount of technical provisions at the reporting date, subject to transitional deduction to technical provisions, after deduction of the amounts recoverable from reinsurance contracts calculated in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 15 of Directive 73/239/EEC, Article 20 of Directive 2002/83/EC and Article 32 of Directive 2005/68/EC on the day before those Directives are repealed pursuant to Article 310 of Directive 2009/138/EC.

If a re–calculation was requested on the basis of Article 308d(3) of the Directive 2009/138/EC this calculation shall consider only those insurance and reinsurance obligations existing at the reporting date valued at the reporting date.

C0010/R0060

Portion of the difference adjusted

Percentage (in decimals) of the portion of the difference adjusted.

The maximum portion deductible shall decrease linearly at the end of each year from 1 during the year starting from 1 January 2016 to 0 on 1 January 2032.

C0010/R0070

Limitation applied in accordance to Article 308d(4)

Amount of the limitation applied in accordance to Article 308d (4) of the Directive 2009/138/EC, if applicable.

If not applicable it shall be reported as ‘0’.

C0010/R0080

Technical provision after transitional on technical provisions

Amount of technical provisions, subject to transitional deduction to technical provisions, after transitional deduction to technical provisions.

S.22.06 — Best estimate subject to volatility adjustment by country and currency

General comments:
This section relates to annual submission of information for individual entities.
This template shall only be reported by insurance and reinsurance undertakings that apply volatility adjustment in accordance with Article 77d of the Directive 2009/138/EC.
This template shall reflect the gross best estimate of insurance and reinsurance life obligations subject to volatility adjustment split by currency of the obligations and by country in which the contract was entered into. The best estimate reported shall take into account the volatility adjustment. The best estimate subject to any matching adjustment shall not be reported in this template.
Information shall be reported in relation to material obligations in countries and currencies for which a currency volatility adjustment, and a country increase if applicable, is applied until 90 % of the total best estimate subject to volatility adjustment is reported.

 

ITEM

INSTRUCTIONS

Z0010

Line of Business

Identify if the information is being reported in relation to life or non-life activity. The following close list shall be used:

 

1 — Life and health SLT

 

2 — Non–life and health other than that pursued on a similar basis to that of life insurance

C0010/R0010

By currency

Report the ISO 4217 alphabetic code of each currency reported.

Best estimate subject to country and currency volatility adjustment — Total and home country by currency

C0030/R0020

Total value of Best Estimate subject to volatility adjustment (for all currencies)/Total value of all countries

Total value, for all currencies and all countries, of the best estimate of the insurance and reinsurance obligations subject to volatility adjustment.

C0040/R0020

Part of the Best Estimate subject to volatility adjustment written in the reporting currency/Total value of all countries

Total value for all countries, of the best estimate of the insurance and reinsurance obligations subject to volatility adjustment for the reporting currency.

C0050/R0020

Part of the Best Estimate subject to volatility adjustment written in currencies/Total value of all countries

Total value for all countries of the best estimate of the insurance and reinsurance obligations subject to volatility adjustment split by currency.

C0030/R0030

Total value of Best Estimate subject to volatility adjustment (for all currencies)/Home country

Total value, for all currencies for the home country, of the best estimate of the insurance and reinsurance obligations subject to volatility adjustment.

C0040/R0030

Part of the Best Estimate subject to volatility adjustment written in the reporting currency/Home country

Total value for the home country, of the best estimate of the insurance and reinsurance obligations subject to volatility adjustment for the reporting currency.

C0050/R0030

Part of the Best Estimate subject to volatility adjustment written in currencies/Home country

Value of the best estimate of the insurance and reinsurance obligations subject to volatility adjustment split by currency for the home country.

Best estimate subject to country and currency volatility adjustment — By country and currency

C0020/R0040

Countries

Report the ISO 3166–1 alpha–2 code of each country reported.

C0030/R0040

Total value of Best Estimate subject to volatility adjustment (for all currencies) — by country

Total value, for all currencies by country, of the best estimate of the insurance and reinsurance obligations subject to volatility adjustment.

C0040/R0040

Part of the Best Estimate subject to volatility adjustment written in the reporting currency — by country

Value of the best estimate of the insurance and reinsurance obligations subject to volatility adjustment for the reporting currency split by country.

C0050/R0040

Part of the Best Estimate subject to volatility adjustment written in currencies — by country

Value of the best estimate of the insurance and reinsurance obligations subject to volatility adjustment split by currency and by country.

S.23.01 — Own Funds

General comments:
This section relates to opening, quarterly and annual submission for individual entities.

 

ITEM

INSTRUCTIONS

Basic own funds before deduction for participations in other financial sector as foreseen in Article 68 of Delegated Regulation (EU) 2015/35

R0010/C0010

Ordinary share capital (gross of own shares) — total

This is the total ordinary share capital, both held directly and indirectly (before deduction of own shares). This is the total ordinary share capital of the undertaking that fully satisfies the criteria for Tier 1 or Tier 2 items. Any ordinary share capital that does not fully satisfy the criteria shall be treated as preference shares capital and classified accordingly notwithstanding their description or designation.

R0010/C0020

Ordinary share capital (gross of own shares) — tier 1 unrestricted

This is the amount of paid up ordinary share capital that meets unrestricted Tier 1 criteria.

R0010/C0040

Ordinary share capital (gross of own shares) — tier 2

This is the amount of called up ordinary share capital that meets the criteria for Tier 2.

R0030/C0010

Share premium account related to ordinary share capital — total

The total share premium account related to ordinary share capital of the undertaking that fully satisfies the criteria for Tier 1 or Tier 2 items.

R0030/C0020

Share premium account related to ordinary share capital — tier 1 unrestricted

This is the amount of the share premium account related to ordinary shares that meets the criteria for Tier 1 unrestricted because it relates to ordinary share capital treated as unrestricted Tier 1.

R0030/C0040

Share premium account related to ordinary share capital — tier 2

This is the amount of the share premium account related to ordinary shares that meets the criteria for Tier 2 because it relates to ordinary share capital treated as Tier 2.

R0040/C0010

Initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual–type undertakings — total

The initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual–type undertakings that fully meets the criteria for Tier 1 or Tier 2 items.

R0040/C0020

Initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual–type undertakings — tier 1 unrestricted

This is the amount of the initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual–type undertakings that meets the criteria for Tier 1 unrestricted.

R0040/C0040

Initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual–type undertakings — tier 2

This is the amount of the initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual–type undertakings that meets Tier 2 criteria.

R0050/C0010

Subordinated mutual member accounts — total

This is the total amount of subordinated mutual member accounts that fully satisfy the criteria for Tier 1 restricted, Tier 2 or Tier 3 items.

R0050/C0030

Subordinated mutual member accounts — tier 1 restricted

This is the amount of subordinated mutual member accounts that meet the criteria for Tier 1 restricted.

R0050/C0040

Subordinated mutual member accounts — tier 2

This is the amount of subordinated mutual member accounts that meet the criteria for Tier 2.

R0050/C0050

Subordinated mutual member accounts — tier 3

This is the amount of subordinated mutual member accounts that meet the criteria for Tier 3.

R0070/C0010

Surplus funds — total

This is the total amount of surplus funds that fall under Article 91 (2) of the 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.

R0090/C0010

Preference shares — total

This is the total amount of preference shares issued by the undertaking that fully satisfy the criteria for Tier 1 restricted, Tier 2 or Tier 3 items.

R0090/C0030

Preference shares — tier 1 restricted

This is the amount of the preference shares issued by the undertaking that meet the criteria for Tier 1 restricted.

R0090/C0040

Preference shares — tier 2

This is the amount of the preference shares issued by the undertaking that meet the criteria for Tier 2.

R0090/C0050

Preference shares — tier 3

This is the amount of the preference shares issued by the undertaking that meet the criteria for Tier 3.

R0110/C0010

Share premium account related to preference shares — total

The total share premium account related to preference shares capital of the undertaking that fully satisfies the criteria for Tier 1 restricted, Tier 2 or Tier 3 items.

R0110/C0030

Share premium account related to preference shares — tier 1 restricted

This is the amount of the share premium account that relates to preference shares that meets the criteria for Tier 1 restricted items because it relates to preference shares treated as Tier 1 restricted items.

R0110/C0040

Share premium account related to preference shares — tier 2

This is the amount of the share premium account that relates to preference shares that meets the criteria for Tier 2 because it relates to preference shares treated as Tier 2.

R0110/C0050

Share premium account related to preference shares — tier 3

This is the amount of the share premium account that relates to preference shares that meets the criteria for Tier 3 because it relates to preference shares treated as Tier 3.

R0130/C0010

Reconciliation reserve — total

The total reconciliation reserve represents reserves (e.g. retained earnings), net of adjustments (e.g. ring–fenced funds). It results mainly from differences between accounting valuation and valuation according to 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 according to Directive 2009/138/EC.

R0140/C0010

Subordinated liabilities — total

This is the total amount of subordinated liabilities issued by the undertaking.

R0140/C0030

Subordinated liabilities — tier 1 restricted

This is the amount of subordinated liabilities issued by the undertaking that meet the criteria for Tier 1 restricted items.

R0140/C0040

Subordinated liabilities — tier 2

This is the amount of subordinated liabilities issued by the undertaking that meet the criteria for Tier 2.

R0140/C0050

Subordinated liabilities — tier 3

This is the amount of subordinated liabilities issued by the undertaking that meet the criteria for Tier 3.

R0160/C0010

An amount equal to the value of net deferred tax assets — total

This is the total amount of net deferred tax assets of the undertaking.

R0160/C0050

An amount equal to the value of net deferred tax assets — tier 3

This is the amount of net deferred tax assets of the undertaking that meet the tier 3 classification criteria.

R0180/C0010

Other own fund items approved by the supervisory authority as basic own funds not specified above

This is the total of basic own fund items not identified above and that received supervisory approval.

R0180/C0020

Other own fund items approved by the supervisory authority as basic own funds not specified above — tier 1 unrestricted

This is the amount of basic own fund items not identified above that meet Tier 1 unrestricted criteria and that received supervisory approval.

R0180/C0030

Other own fund items approved by the supervisory authority as basic own funds not specified above — Tier 1 restricted

This is the amount of basic own fund items not identified above which meet the criteria for Tier 1, restricted items and that received supervisory approval.

R0180/C0040

Other own fund items approved by the supervisory authority as basic own funds not specified above — tier 2

This is the amount of basic own fund items not identified above that meet the criteria for Tier 2 and that received supervisory approval.

R0180/C0050

Other own fund items approved by the supervisory authority as basic own funds not specified above — tier 3

This is the amount of basic own fund items not identified above that meet the criteria for Tier 3 and that received supervisory approval.

Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds

R0220/C0010

Own funds from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds — total

This is the total amount of own fund items from financial statements that are not represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds.

These own fund items are either:

i)

items that appear in the lists of own fund items, but fail to meet the classification criteria or the transitional provisions; or

ii)

items intended to perform the role of own funds that are not on the list of own fund items and have not been approved by the supervisory authority, and do not appear on the balance sheet as liabilities.

Subordinated liabilities which do not count as basic own funds shall not be reported here, but on the balance sheet (template S.02.01) as subordinated liabilities that do not count as basic own funds.

Deductions

R0230/C0010

Deduction for participations in financial and credit institutions — total

This is the total deduction for participations in financial and credit institutions in accordance with Article 68 of Delegated Regulation (EU) 2015/35.

R0230/C0020

Deduction for participations in financial and credit institutions — tier 1 unrestricted

This is the amount of the deduction for participations in financial and credit institutions that are deducted from tier 1 unrestricted in accordance with Article 68 of Delegated Regulation (EU) 2015/35.

R0230/C0030

Deduction for participations in financial and credit institutions — tier 1 restricted

This is the amount of the deduction for participations in financial and credit institutions that are deducted from tier 1 restricted in accordance with Article 68 of Delegated Regulation (EU) 2015/35.

R0230/C0040

Deduction for participations in financial and credit institutions — tier 2

This is the amount of the deduction for participations in financial and credit institutions that are deducted from tier 2 in accordance with Article 68 of Delegated Regulation (EU) 2015/35.

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 adjustments 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 adjustments 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 adjustments that meet the criteria for Tier 3.

Ancillary own funds

R0300/C0010

Unpaid and uncalled ordinary share capital callable on demand — total

This is the total amount of issued ordinary share capital that has not been called up or paid up but that is callable on demand.

R0300/C0040

Unpaid and uncalled ordinary share capital callable on demand — tier 2

This is the amount of issued ordinary share capital that has not been called up or paid up but that is callable on demand that meet the criteria for Tier 2.

R0310/C0010

Unpaid and uncalled initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual — type undertakings, callable on demand–total

This is the total amount of initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual–type undertakings that has not been called up or paid up but that is callable on demand.

R0310/C0040

Unpaid and uncalled initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual–type undertakings, callable on demand — tier 2

This is the amount of initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual–type undertakings that has not been called up or paid up but that is callable on demand that meet the criteria for Tier 2.

R0320/C0010

Unpaid and uncalled preference shares callable on demand — total

This is the total amount of preference shares that have not been called up or paid up but that are callable on demand.

R0320/C0040

Unpaid and uncalled preference shares callable on demand — tier 2

This is the amount of preference shares that have not been called up or paid up but that are callable on demand that meet the criteria for Tier 2.

R0320/C0050

Unpaid and uncalled preference shares callable on demand — tier 3

This is the amount of preference shares that have not been called up or paid up but that are callable on demand that meet the criteria for Tier 3

R0330/C0010

A legally binding commitment to subscribe and pay for subordinated liabilities on demand — total

This is the total amount of legally binding commitments to subscribe and pay for subordinated liabilities on demand.

R0330/C0040

A legally binding commitment to subscribe and pay for subordinated liabilities on demand — tier 2

This is the amount of legally binding commitments to subscribe and pay for subordinated liabilities on demand that meet the criteria for Tier 2.

R0330/C0050

A legally binding commitment to subscribe and pay for subordinated liabilities on demand — tier 3

This is the amount of legally binding commitments to subscribe and pay for subordinated liabilities on demand that meet the criteria for Tier 3.

R0340/C0010

Letters of credit and guarantees under Article 96(2) of the Directive 2009/138/EC– total

This is the total amount of letters of credit and guarantees that are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC.

R0340/C0040

Letters of credit and guarantees under Article 96(2) of the Directive 2009/138/EC– tier 2

This is the amount of letters of credit and guarantees that are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC that meet the criteria for Tier 2.

R0350/C0010

Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC– total

This is the total amount of letters of credit and guarantees that satisfy criteria for Tier 2 or Tier 3, other than those that are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC.

R0350/C0040

Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC — tier 2

This is the amount of letters of credit and guarantees that meet the criteria for Tier 2, other than those which are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC.

R0350/C0050

Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC– tier 3

This is the amount of letters of credit and guarantees that meet the criteria for Tier 3, other than those which are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC.

R0360/C0010

Supplementary members calls under first subparagraph of Article 96(3) of the Directive 2009/138/EC– total

This is the total amount of any future claims which mutual or mutual–type associations of ship owners with variable contributions solely insuring risks listed in classes 6, 12 and 17 in Part A of Annex I may have against their members by way of a call for supplementary contributions, within the following 12 months.

R0360/C0040

Supplementary members calls under first subparagraph of Article 96(3) of the Directive 2009/138/EC — tier 2

This is the amount of any future claims which mutual or mutual–type associations of ship owners with variable contributions solely insuring risks listed in classes 6, 12 and 17 in Part A of Annex I may have against their members by way of a call for supplementary contributions, within the following 12 months.

R0370/C0010

Supplementary members calls — other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC

This is the total amount of any future claims which mutual or mutual–type associations with variable contributions may have against their members by way of a call for supplementary contributions, within the following 12 months, other than those described in the first subparagraph of article 96(3) of the Directive 2009/138/EC.

R0370/C0040

Supplementary members calls — other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC — tier 2

This is the amount of any future claims which mutual or mutual–type associations of with variable contributions may have against their members by way of a call for supplementary contributions within the following 12 months, other than those described in the first subparagraph of article 96(3) of the Directive 2009/138/EC that meet the criteria for Tier 2.

R0370/C0050

Supplementary members calls — other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC — tier 3

This is the amount of any future claims which mutual or mutual–type associations with variable contributions may have against their members by way of a call for supplementary contributions within the following 12 months, other than those described in the first subparagraph of article 96(3) of the Framework Directive 2009/138/EC that meet the criteria for Tier 3.

R0390/C0010

Other ancillary own funds — total

This is the total amount of other ancillary own funds.

R0390/C0040

Other ancillary own funds — tier 2

This is the amount of other ancillary own funds that meet criteria for Tier 2.

R0390/C0050

Other ancillary own funds — tier 3

This is the amount of other ancillary own funds that meet criteria for Tier 3.

R0400/C0010

Total ancillary own funds

This is the total amount of ancillary own fund items.

R0400/C0040

Total ancillary own funds tier 2

This is the amount of ancillary own fund items that meet the criteria for Tier 2.

R0400/C0050

Total ancillary own funds — tier 3

This is the amount of ancillary own fund items that meet the criteria for Tier 3.

Available and eligible own funds

R0500/C0010

Total available own funds to meet the SCR

This is the sum of all basic own fund items and ancillary own fund items that meet the tier 1, tier 2 and tier 3 criteria and that are therefore available to meet the SCR.

R0500/C0020

Total available own funds to meet the SCR — tier 1 unrestricted

This the sum of all basic own fund items that meet the criteria to be included in Tier 1 unrestricted items and that are therefore available to meet the SCR.

R0500/C0030

Total available own funds to meet the SCR — tier 1 restricted

This the sum of all basic own fund items that meet the criteria to be included in Tier 1 restricted items and that are therefore available to meet the SCR.

R0500/C0040

Total available own funds to meet the SCR — tier 2

This is the sum of all basic own fund items, after adjustments, and ancillary own fund items that meet the criteria to be included in Tier 2 and that are therefore available to meet the SCR.

R0500/C0050

Total available own funds to meet the SCR — tier 3

This is the sum of all basic own fund items, after adjustments, and ancillary own fund items that meet the criteria to be included in Tier 3 and that are therefore available to meet the SCR.

R0510/C0010

Total available own funds to meet the MCR

This is the sum of all basic own fund items, after adjustments, that meet the tier 1 and tier 2 criteria and that are therefore available to meet the MCR.

R0510/C0020

Total available own funds to meet the MCR — tier 1 unrestricted

This is the sum of all basic own fund items, after adjustments, that meet the criteria to be included in Tier 1 unrestricted items and that are therefore available to meet the MCR.

R0510/C0030

Total available own funds to meet the MCR — tier 1 restricted

This is the sum of all basic own fund items, after adjustments, that meet the criteria to be included in Tier 1 restricted items and that are therefore available to meet the MCR.

R0510/C0040

Total available own funds to meet the MCR — tier 2

This is the sum of all basic own fund items, after adjustments, that meet the criteria to be included in Tier 2 and that are therefore available to meet the MCR.

R0540/C0010

Total eligible own funds to meet the SCR

This is the total amount of available own funds that are eligible to cover the SCR.

R0540/C0020

Total eligible own funds to meet the SCR — tier 1 unrestricted

This is the amount of unrestricted Tier 1 own fund items that are eligible to meet the SCR.

R0540/C0030

Total eligible own funds to meet the SCR — tier 1 restricted

This is the amount of restricted Tier 1 own fund items that are eligible to meet the SCR.

R0540/C0040

Total eligible own funds to meet the SCR — tier 2

This is the amount of Tier 2 own fund items that are eligible to meet the SCR.

R0540/C0050

Total eligible own funds to meet the SCR — tier 3

This is the amount of Tier 3 own fund items that are eligible to meet the SCR.

R0550/C0010

Total eligible own funds to meet the MCR

This is the total amount of own fund items that are eligible to meet the MCR.

R0550/C0020

Total eligible own funds to meet the MCR — tier 1 unrestricted

This is the amount of unrestricted Tier 1 own fund items that are eligible to meet the MCR.

R0550/C0030

Total eligible own funds to meet the MCR — tier 1 restricted

This is the amount of restricted Tier 1 own fund items that are eligible to meet the MCR.

R0550/C0040

Total eligible own funds to meet the MCR — tier 2

This is the amount of Tier 2 basic own fund items that are eligible to meet the MCR.

R0580/C0010

SCR

This is the total SCR of the undertaking as a whole and shall correspond to the SCR reported on the relevant SCR template.

For quarterly reporting this is the latest SCR to be calculated and reported in accordance with Articles 103 to 127 of Directive 2009/138/EC, either the annual one or a more recent one in case the SCR has been recalculated (e.g. due to a change in risk profile), including capital add on.

R0600/C0010

MCR

This is the MCR of the undertaking and shall correspond to the total MCR reported in the relevant MCR template.

R0620/C0010

Ratio of eligible own funds to SCR

This is the solvency ratio calculated as the total eligible own funds to meet the SCR divided by the SCR amount.

R0640/C0010

Ratio of eligible own funds to MCR

This is the MCR ratio calculated as the total of eligible own funds to meet the MCR divided by the MCR amount.

Reconciliation Reserve

R0700/C0060

Excess of assets over liabilities

This is the excess of assets over liabilities as reported in the Solvency 2 balance sheet.

R0710/C0060

Own shares (held directly and indirectly)

This is the amount of own shares held by the undertaking, both directly and indirectly.

R0720/C0060

Foreseeable dividends, distributions and charges

These are the dividends, distributions and charges foreseeable by the undertaking.

R0730/C0060

Other basic own fund items

These are the basic own fund items included in points (a)(i) to (v) of Article 69, Article 72(a) and Article 76(a), as well as those basic own fund items approved by the supervisory authority in accordance with Article 79 of the Delegated Regulation (EU) 2015/35.

R0740/C0060

Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring fenced funds

This is the total amount of the adjustment to the reconciliation reserve due to the existence of restricted own fund items in respect of ring–fenced funds and matching portfolios.

R0760/C0060

Reconciliation reserve — total

This the reconciliation reserve of the undertaking, before deduction for participations in other financial sector as foreseen in Article 68 of Delegated Regulation (EU) 2015/35.

R0770/C0060

Expected profits included in future premiums (EPIFP) — Life business

The reconciliation reserve includes an amount of the excess of assets over liabilities that corresponds to the expected profit in future premiums (‘EPIFP’). This cell represents that amount for the life business of the undertaking.

R0780/C0060

Expected profits included in future premiums (EPIFP) — Non– life business

The reconciliation reserve includes an amount of the excess of assets over liabilities that corresponds to the expected profit in future premiums (EPIFP). This cell represents that amount for the non–life business of the undertaking.

R0790/C0060

Total Expected profits included in future premiums (EPIFP)

This is the total amount calculated as expected profits included in future premiums.

S.23.02 — Detailed information by tiers on own funds

General comments:
This section relates to annual submission for individual entities.

 

ITEM

INSTRUCTIONS

R0010/C0010

Ordinary share capital –Paid in — total

This is the total of paid in ordinary share capital, including own shares.

R0010/C0020

Ordinary share capital — Paid in — tier 1

This is the total of paid in ordinary share capital that meets the criteria for Tier 1, including own shares.

R0020/C0010

Ordinary share capital –Called up but not yet paid in — total

This is the total amount of ordinary shares that have been called up but not yet paid in, including own shares.

R0020/C0040

Ordinary share capital –Called up but not yet paid in — tier 2

This is the amount of ordinary shares that have been called up but not yet paid in that meet the criteria for Tier 2, including own shares.

R0030/C0010

Own shares held — total

This is the total amount of own shares held by the undertaking.

R0030/C0020

Own shares held — tier 1

This is the total amount of own shares held by the undertaking, that meet the criteria for Tier 1.

R0100/C0010

Total ordinary share capital

This is the total of ordinary share capital. Note that own shares held will be included in either paid in or called up but not yet paid in.

R0100/C0020

Total ordinary share capital — tier 1

This is the total of ordinary share capital that meets the criteria for Tier 1. Note that own shares held will be included in either paid in or called up but not yet paid in.

R0100/C0040

Total ordinary share capital — tier 2

This is the total of ordinary share capital that meets the criteria for Tier 2.

R0110/C0010

Initial funds, members' contributions or the equivalent basic own–fund items for mutual and mutual–type undertaking –Paid in — total

This is the total of paid in initial funds, members' contributions or the equivalent basic own–fund item for mutual and mutual–type undertaking.

R0110/C0020

Initial funds, members' contributions or the equivalent basic own–fund items for mutual and mutual–type undertaking –Pain in — tier 1

This is the total of initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertaking that meet the criteria for Tier 1.

R0120/C0010

Initial funds, members' contributions or the equivalent basic own–fund items for mutual and mutual–type undertaking –Called up but not yet paid in — total

This is the total of called up but not yet paid in initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertaking

R0120/C0040

Initial funds, members' contributions or the equivalent basic own–fund items for mutual and mutual–type undertaking –Called up but not yet paid in — tier 2

This is the total of initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertaking that meet the criteria for Tier 2.

R0200/C0010

Total initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertaking

This is the total initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertaking

R0200/C0020

Total initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertaking — tier 1

This is the total of the initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertaking that meet the criteria for Tier 1.

R0200/C0040

Total initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertaking — tier 2

This is the total of the initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertaking that meet the criteria for Tier 2.

R0210/C0010

Subordinated mutual member accounts — Dated subordinated — total

This is the total amount of dated subordinated mutual member accounts

R0210/C0020

Subordinated mutual member accounts — Dated subordinated — tier 1

This is the total amount of dated subordinated mutual member accounts that meet the criteria for Tier 1.

R0210/C0030

Subordinated mutual member accounts — Dated subordinated — tier 1 of which counted under transitionals

This is the total amount of dated subordinated mutual member accounts that meet the criteria for Tier 1 that are counted under the transitional provisions.

R0210/C0040

Subordinated mutual member accounts — Dated subordinated — tier 2

This is the total amount of dated subordinated mutual member accounts that meet the criteria for Tier 2.

R0210/C0050

Subordinated mutual member accounts — Dated subordinated — tier 2 of which counted under transitionals

This is the total amount of dated subordinated mutual member accounts that meet the criteria for Tier 2 that are counted under the transitional provisions.

R0210/C0060

Subordinated mutual member accounts — Dated subordinated — tier 3

This is the total amount of dated subordinated mutual member accounts that meet the criteria for Tier 3.

R0220/C0010

Subordinated mutual member accounts — Undated subordinated with a call option — total

This is the total of undated subordinated mutual member accounts with a call option.

R0220/C0020

Subordinated mutual member accounts — Undated subordinated with a call option — tier 1

This is the total of undated subordinated mutual member accounts with a call option that meet the criteria for Tier 1.

R0220/C0030

Subordinated mutual member accounts — Undated subordinated with a call option — tier 1 of which counted under transitionals

This is the total of undated subordinated mutual member accounts with a call option that meet the criteria for Tier 1 that are counted under the transitional provisions.

R0220/C0040

Subordinated mutual member accounts — Undated subordinated with a call option — tier 2

This is the total of undated subordinated mutual member accounts with a call option that meet the criteria for Tier 2.

R0220/C0050

Subordinated mutual member accounts — Undated subordinated with a call option — tier 2 of which counted under transitionals

This is the total of undated subordinated mutual member accounts with a call option that meet the criteria for Tier 2 that are counted under the transitional provisions.

R0220/C0060

Subordinated mutual member accounts — Undated subordinated with a call option — tier 3

This is the total of undated subordinated mutual member accounts with a call option that meet the criteria for Tier 3.

R0230/C0010

Subordinated mutual member accounts — Undated subordinated with no contractual opportunity to redeem — total

This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem.

R0230/C0020

Subordinated mutual member accounts — Undated subordinated with no contractual opportunity to redeem — tier 1

This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem that meet the criteria for Tier 1.

R0230/C0030

Subordinated mutual member accounts — Undated subordinated with no contractual opportunity to redeem — tier 1 of which counted under transitionals

This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem that meet the criteria for Tier 1 that are counted under the transitional provisions.

R0230/C0040

Subordinated mutual member accounts — Undated subordinated with no contractual opportunity to redeem — tier 2

This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem that meet the criteria for Tier 2.

R0230/C0050

Subordinated mutual member accounts — Undated subordinated with no contractual opportunity to redeem — tier 2 of which counted under transitionals

This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem that meet the criteria for Tier 2 that are counted under the transitional provisions.

R0230/C0060

Subordinated mutual member accounts — Undated subordinated with no contractual opportunity to redeem — tier 3

This is the total of undated subordinated mutual member accounts with no contractual opportunity to redeem that meet the criteria for Tier 3.

R0300/C0010

Total Subordinated mutual member accounts

This is the total subordinated mutual member accounts.

R0300/C0020

Total Subordinated mutual member accounts — tier 1

This is the total of the subordinated mutual member accounts that meet the criteria for Tier 1.

R0300/C0030

Total Subordinated mutual member accounts — tier 1 of which counted under transitionals

This is the total of the subordinated mutual member accounts that meet the criteria for Tier 1 that are counted under the transitional provisions.

R0300/C0040

Total Subordinated mutual member accounts — tier 2

This is the total of the subordinated mutual member accounts that meet the criteria for Tier 2.

R0300/C0050

Total Subordinated mutual member accounts — tier 2 of which counted under transitionals

This is the total of the subordinated mutual member accounts that meet the criteria for Tier 2 that are counted under the transitional provisions.

R0300/C0060

Total Subordinated mutual member accounts — tier 3

This is the total of the subordinated mutual member accounts that meet the criteria for Tier 3.

R0310/C0010

Dated preference shares — total

This is the total dated preference shares.

R0310/C0020

Dated preference shares — tier 1

This is the total of dated preference shares that meet the criteria for Tier 1.

R0310/C0030

Dated preference shares — tier 1 of which counted under transitionals

This is the total of dated preference shares that meet the criteria for Tier 1 that are counted under the transitional provisions.

R0310/C0040

Dated preference shares — tier 2

This is the total of dated preference shares that meet the criteria for Tier 2.

R0310/C0050

Dated preference shares — tier 2 of which counted under transitionals

This is the total of dated preference shares that meet the criteria for Tier 2 that are counted under the transitional provisions.

R0310/C0060

Dated preference shares — tier 3

This is the total of dated preference shares that meet the criteria for Tier 3.

R0320/C0010

Undated preference shares with a call option — total

This is the total undated preference shares with a call option.

R0320/C0020

Undated preference shares with a call option — tier 1

This is the total of undated preference shares with a call option that meet the criteria for Tier 1.

R0320/C0030

Undated preference shares with a call option — tier 1 of which counted under transitionals

This is the total of undated preference shares with a call option that meet the criteria for Tier 1 that are counted under the transitional provisions.

R0320/C0040

Undated preference shares with a call option — tier 2

This is the total of undated preference shares with a call option that meet the criteria for Tier 2.

R0320/C0050

Undated preference shares with a call option — tier 2 of which counted under transitionals

This is the total of undated preference shares with a call option that meet the criteria for Tier 2 that are counted under the transitional provisions.

R0320/C0060

Undated preference shares with a call option — tier 3

This is the total of undated preference shares with a call option that meet the criteria for Tier 3.

R0330/C0010

Undated preference shares with no contractual opportunity to redeem — total

This is the total undated preference shares with no contractual opportunity to redeem.

R0330/C0020

Undated preference shares with no contractual opportunity to redeem — tier 1

This is the total of undated preference shares with no contractual opportunity to redeem that meet the criteria for Tier 1.

R0330/C0030

Undated preference shares with no contractual opportunity to redeem — tier 1 of which counted under transitionals

This is the total of undated preference shares with no contractual opportunity to redeem that meet the criteria for Tier 1 that are counted under the transitional provisions.

R0330/C0040

Undated preference shares with no contractual opportunity to redeem — tier 2

This is the total of undated preference shares with no contractual opportunity to redeem that meet the criteria for Tier 2.

R0330/C0050

Undated preference shares with no contractual opportunity to redeem — tier 2 of which counted under transitionals

This is the total of undated preference shares with no contractual opportunity to redeem that meet the criteria for Tier 2 that are counted under the transitional provisions.

R0330/C0060

Undated preference shares with no contractual opportunity to redeem — tier 3

This is the total of undated preference shares with no contractual opportunity to redeem that meet the criteria for Tier 3.

R0400/C0010

Total preference shares

This is the total preference shares.

R0400/C0020

Total preference shares — tier 1

This is the total of preference shares that meet the criteria for Tier 1.

R0400/C0030

Total preference shares — tier 1 of which counted under transitionals

This is the total of preference shares that meet the criteria for Tier 1 that are counted under the transitional provisions.

R0400/C0040

Total preference shares — tier 2

This is the total of preference shares that meet the criteria for Tier 2.

R0400/C0050

Total preference shares — tier 2 of which counted under transitionals

This is the total of preference shares that meet the criteria for Tier 2 that are counted under the transitional provisions.

R0400/C0060

Total preference shares — tier 3

This is the total of preference shares that meet the criteria for Tier 3.

R0410/C0010

Dated subordinated liabilities — total

This is the total of dated subordinated liabilities.

R0410/C0020

Dated subordinated liabilities– tier 1

This is the amount of dated subordinated liabilities that meet the criteria for Tier 1.

R0410/C0030

Dated subordinated liabilities — tier 1 of which counted under transitionals

This is the amount of dated subordinated liabilities that meet the criteria for Tier 1 that are counted under the transitional provisions.

R0410/C0040

Dated subordinated liabilities– tier 2

This is the amount of dated subordinated liabilities that meet the criteria for Tier 2.

R0410/C0050

Dated subordinated liabilities– tier 2 of which counted under transitionals

This is the amount of dated subordinated liabilities that meet the criteria for Tier 2 that are counted under the transitional provisions.

R0410/C0060

Dated subordinated liabilities– tier 3

This is the amount of dated subordinated liabilities that meet the criteria for Tier 3.

R0420/C0010

Undated subordinated liabilities with a contractual opportunity to redeem — total

This is the total of undated subordinated liabilities that have a contractual opportunity to redeem.

R0420/C0020

Undated subordinated liabilities with a contractual opportunity to redeem — tier 1

This is the amount of undated subordinated liabilities with contractual opportunity to redeem that meet the criteria for Tier 1.

R0420/C0030

Undated subordinated liabilities with a contractual opportunity to redeem — tier 1 of which counted under transitionals

This is the amount of undated subordinated liabilities with a contractual opportunity to redeem that meet the criteria for Tier 1 that are counted under the transitional provisions.

R0420/C0040

Undated subordinated liabilities with a contractual opportunity to redeem — tier 2

This is the amount of undated subordinated liabilities with a contractual opportunity to redeem that meet the criteria for Tier 2.

R0420/C0050

Undated subordinated liabilities with a contractual opportunity to redeem — tier 2 of which counted under transitionals

This is the amount of undated subordinated liabilities with contractual opportunity to redeem that meet the criteria for Tier 2 that are counted under the transitional provisions.

R0420/C0060

Undated subordinated liabilities with a contractual opportunity to redeem — tier 3

This is the amount of undated subordinated liabilities with contractual opportunity to redeem that meet the criteria for Tier 3.

R0430/C0010

Undated subordinated liabilities with no contractual opportunity to redeem — total

This is the total of undated subordinated liabilities with no contractual opportunity to redeem.

R0430/C0020

Undated subordinated liabilities with no contractual opportunity to redeem — tier 1

This is the amount of undated subordinated liabilities with no contractual opportunity to redeem that meet the criteria for Tier 1.

R0430/C0030

Undated subordinated liabilities with no contractual opportunity to redeem — tier 1 of which counted under transitionals

This is the amount of undated subordinated liabilities with no contractual opportunity to redeem that meet the criteria for Tier 1 that are counted under the transitional provisions.

R0430/C0040

Undated subordinated liabilities with no contractual opportunity to redeem — tier 2

This is the amount of undated subordinated liabilities with no contractual opportunity to redeem that meet the criteria for Tier 2.

R0430/C0050

Undated subordinated liabilities with no contractual opportunity to redeem — tier 2 of which counted under transitionals

This is the amount of undated subordinated liabilities with no contractual opportunity to redeem that meet the criteria for Tier 2 that are counted under the transitional provisions.

R0430/C0060

Undated subordinated liabilities with no contractual opportunity to redeem — tier 3

This is the amount of undated subordinated liabilities with no contractual opportunity to redeem that meet the criteria for Tier 3.

R0500/C0010

Total subordinated liabilities — total

This is the total of subordinated liabilities.

R0500/C0020

Total subordinated liabilities — tier 1

This is the total of subordinated liabilities that meet the criteria for Tier 1.

R0500/C0030

Total subordinated liabilities — tier 1 of which counted under transitionals

This is the total of subordinated liabilities that meet the criteria for Tier 1 that are counted under the transitional provisions.

R0500/C0040

Total subordinated liabilities — tier 2

This is the amount of subordinated liabilities that meet the criteria for Tier 2.

R0500/C0050

Total subordinated liabilities — tier 2 of which counted under transitionals

This is the amount of subordinated liabilities that meet the criteria for Tier 2 that are counted under the transitional provisions.

R0500/C0060

Total subordinated liabilities — tier 3

This is the amount of subordinated liabilities that meet the criteria for Tier 3.

R0510/C0070

Ancillary own fund items for which an amount was approved — tier 2 initial amounts approved

This the initial amount approved for ancillary own funds for which an amount was approved under Tier 2.

R0510/C0080

Ancillary own fund items for which an amount was approved — tier 2 current amounts

This is the current amount for ancillary own funds for which an amount was approved under Tier 2.

R0510/C0090

Ancillary own fund items for which an amount was approved — tier 3 initial amounts approved

This the initial amount approved for ancillary own funds for which an amount was approved under Tier 3.

R0510/C0100

Ancillary own fund items for which an amount was approved — tier 3 current amounts

This is the current amount for ancillary own funds for which an amount was approved under Tier 3.

R0520/C0080

Ancillary own fund items for which a method was approved — tier 2 current amounts

This is the current amount for ancillary own funds for which a method was approved under Tier 2.

R0520/C0100

Ancillary own fund items for which a method was approved — tier 3 current amounts

This is the current amount for ancillary own funds for which a method was approved under Tier 3.

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 section relates to annual submission for individual entities.

 

ITEM

INSTRUCTIONS

Ordinary share capital — movements in the reporting period

R0010/C0010

Ordinary share capital –Paid in — balance brought forward

This is the balance of paid in ordinary share capital brought forward from the previous reporting period.

R0010/C0020

Ordinary share capital –Paid in — increase

This is the increase in paid in ordinary share capital over the reporting period.

R0010/C0030

Ordinary share capital –Paid in — reduction

This is the reduction in paid in ordinary share capital over the reporting period

R0010/C0060

Ordinary share capital –Paid in — balance carried forward

This is the balance of paid in ordinary share capital carried forward to the next reporting period.

R0020/C0010

Ordinary share capital –Called up but not yet paid in — balance brought forward

This is the balance of called up but not yet paid in ordinary share capital brought forward from the previous reporting period.

R0020/C0020

Ordinary share capital –Called up but not yet paid in — increase

This is the increase in called up but not yet paid in ordinary share capital over the reporting period.

R0020/C0030

Ordinary share capital –Called up but not yet paid in — reduction

This is the reduction in called up but not yet paid in ordinary share capital over the reporting period.

R0020/C0060

Ordinary share capital –Called up but not yet paid in — balance carried forward

This is the balance of called up but not yet paid in ordinary share capital carried forward to the next reporting period.

R0030/C0010

Own shares held — balance brought forward

This is the balance of own shares held, brought forward from the previous reporting period.

R0030/C0020

Own shares held — increase

This is the increase in own shares held, brought over the reporting period.

R0030/C0030

Own shares held — reduction

This is the reduction in own shares held, brought over the reporting period.

R0030/C0060

Own shares held — balance carried forward

This is the balance of own shares held carried forward to the next reporting period.

R0100/C0010

Total ordinary share capital — balance brought forward

This is the balance of total ordinary share capital brought forward from the previous reporting period. R0100/C0010 includes own shares held.

R0100/C0020

Total ordinary share capital — increase

This is the increase in total ordinary share capital over the reporting period.

R0100/C0030

Total ordinary share capital — reduction

This is the reduction in total ordinary share capital over the reporting period.

R0100/C0060

Total ordinary share capital — balance carried forward

This is the balance of total ordinary share capital carried forward to the next reporting period.

Share premium account related to ordinary share capital — movements in the reporting period

R0110/C0010

Share premium account related to ordinary share capital –Tier 1 — balance brought forward

This is the balance of the share premium account related to ordinary share capital that is tier 1 brought forward from the previous reporting period.

R0110/C0020

Share premium account related to ordinary share capital –Tier 1 — increase

This is the increase in the share premium account related to ordinary share capital that is tier 1 over the reporting period.

R0110/C0030

Share premium account related to ordinary share capital –Tier 1 — reduction

This is the reduction in the share premium account related to ordinary share capital that is tier 1 over the reporting period.

R0110/C0060

Share premium account related to ordinary share capital –Tier 1 — balance carried forward

This is the balance of the share premium account related to ordinary share capital that is tier 1 carried forward to the next reporting period.

R0120/C0010

Share premium account related to ordinary share capital –Tier 2 — balance brought forward

This is the balance of the share premium account related to ordinary share capital that is tier 2 brought forward from the previous reporting period.

R0120/C0020

Share premium account related to ordinary share capital –Tier 2 — increase

This is the increase in the share premium account related to ordinary share capital that is tier 2 over the reporting period.

R0120/C0030

Share premium account related to ordinary share capital –Tier 2 — reduction

This is the reduction in the share premium account related to ordinary share capital that is tier 2 over the reporting period.

R0120/C0060

Share premium account related to ordinary share capital –Tier 2 — balance carried forward

This is the balance of the share premium account related to ordinary share capital that is tier 2 carried forward to the next reporting period.

R0200/C0010

Share premium account related to ordinary share capital –Total — balance brought forward

This is the total balance of the share premium account related to ordinary share capital brought forward from the previous reporting period.

R0200/C0020

Share premium account related to ordinary share capital –Total — increase

This is the increase in the total share premium account related to ordinary share capital over the reporting period.

R0200/C0030

Share premium account related to ordinary share capital –Total — reduction

This is the reduction in the total share premium account related to ordinary share capital over the reporting period.

R0200/C0060

Share premium account related to ordinary share capital –Total — balance carried forward

This is the balance of the share premium account related to ordinary share capital carried forward to the next reporting period.

Initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertakings — movements in the reporting period

R0210/C0010

Initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertakings ––Paid in — balance brought forward

This is the balance of the paid in initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual type undertakings brought forward from the previous reporting period.

R0210/C0020

Initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Paid in — increase

This is the increase in the paid in initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual type undertakings over the reporting period.

R0210/C0030

Initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Paid in — reduction

This is the reduction in the paid in initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual type undertakings over the reporting period.

R0210/C0060

Initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Paid in — balance carried forward

This is the balance of the paid in initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual type undertakings carried forward to the next reporting period.

R0220/C0010

Initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Called up but not yet paid in — balance brought forward

This is the balance of the called up but not yet paid in initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual type undertakings brought forward from the previous reporting period.

R0220/C0020

Initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Called up but not yet paid in — increase

This is the increase in the called up but not yet paid in initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual type undertakings over the reporting period.

R0220/C0030

Initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Called up but not yet paid in — reduction

This is the reduction in the called up but not yet paid in initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual type undertakings over the reporting period.

R0220/C0060

Initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertakings –Called up but not yet paid in — balance carried forward

This is the balance of the called up but not yet paid in initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual type undertakings carried forward to the next reporting period.

R0300/C0010

Total initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertakings — balance brought forward

This is the balance of the total initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual type undertakings brought forward from the previous reporting period.

R0300/C0020

Total initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertakings — increase

This is the increase in the total initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual type undertakings over the reporting period.

R0300/C0030

Total initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertakings — reduction

This is the decrease in the total initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual type undertakings over the reporting period.

R0300/C0060

Total initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type undertakings — balance carried forward

This is the balance of the total initial funds, members' contributions or the equivalent basic own — fund item for mutual and mutual type undertakings carried forward to the next reporting period.

Subordinated mutual member accounts — movements in the reporting period

R0310/C0010

Subordinated mutual member accounts — Tier 1 — balance brought forward

This is the balance of tier 1 subordinated mutual member accounts brought forward from the previous reporting period.

R0310/C0070

Subordinated mutual member accounts –Tier 1 — issued

This is the amount of tier 1 subordinated mutual member accounts issued over the reporting period.

R0310/C0080

Subordinated mutual member accounts –Tier 1 — redeemed

This is the amount of tier 1 subordinated mutual member accounts redeemed over the reporting period.

R0310/C0090

Subordinated mutual member accounts –Tier 1 — movements in valuation

This is the amount reflecting movement in valuation tier 1 subordinated mutual member accounts over the reporting period.

R0310/C0100

Subordinated mutual member accounts –Tier 1 — regulatory action

This is the amount reflecting an increase/decrease in tier 1 subordinated mutual member accounts due to regulatory action over the reporting period.

R0310/C0060

Subordinated mutual member accounts –Tier 1 — balance carried forward

This is the balance of tier 1 subordinated mutual member accounts carried forward to the next reporting period.

R0320/C0010

Subordinated mutual member accounts –Tier 2 — balance brought forward

This is the balance of tier 2 subordinated mutual member accounts brought forward from the previous reporting period.

R0320/C0070

Subordinated mutual member accounts –Tier 2 — issued

This is the amount of tier 2 subordinated mutual member accounts issued over the reporting period.

R0320/C0080

Subordinated mutual member accounts –Tier 2 — redeemed

This is the amount of tier 2 subordinated mutual member accounts redeemed over the reporting period.

R0320/C0090

Subordinated mutual member accounts –Tier 2 — movements in valuation

This is the amount reflecting movement in valuation tier 2 subordinated mutual member accounts over the reporting period.

R0320/C0100

Subordinated mutual member accounts –Tier 2 — regulatory action

This is the amount reflecting an increase/decrease in tier 2 subordinated mutual member accounts due to regulatory action over the reporting period.

R0320/C0060

Subordinated mutual member accounts –Tier 2 — balance carried forward

This is the balance of tier 2 subordinated mutual member accounts carried forward to the next reporting period.

R0330/C0010

Subordinated mutual member accounts –Tier 3 — balance brought forward

This is the balance of tier 3 subordinated mutual member accounts brought forward from the previous reporting period.

R0330/C0070

Subordinated mutual member accounts –Tier 3 — issued

This is the amount of tier 3 subordinated mutual member accounts issued over the reporting period.

R0330/C0080

Subordinated mutual member accounts –Tier 3 — redeemed

This is the amount of tier 3 subordinated mutual member accounts redeemed over the reporting period.

R0330/C0090

Subordinated mutual member accounts –Tier 3 — movements in valuation

This is the amount reflecting movement in valuation tier 3 subordinated mutual member accounts over the reporting period.

R0330/C0100

Subordinated mutual member accounts –Tier 3 — regulatory action

This is the amount reflecting an increase/decrease in tier 3 subordinated mutual member accounts due to regulatory action over the reporting period.

R0330/C0060

Subordinated mutual member accounts –Tier 3 — balance carried forward

This is the balance of tier 3 subordinated mutual member accounts carried forward to the next reporting period.

R0400/C0010

Total subordinated mutual member accounts –– balance brought forward

This is the total balance of subordinated mutual member accounts brought forward from the previous reporting period.

R0400/C0070

Total subordinated mutual member accounts — issued

This is the total amount of subordinated mutual member accounts issued over the reporting period.

R0400/C0080

Total subordinated mutual member accounts — redeemed

This is the total amount of subordinated mutual member accounts redeemed over the reporting period.

R0400/C0090

Total subordinated mutual member accounts– movements in valuation

This is the amount reflecting the total movement in valuation subordinated mutual member accounts over the reporting period.

R0400/C0100

Total subordinated mutual member accounts — regulatory action

This is the amount reflecting the total increase/decrease in subordinated mutual member accounts due to regulatory action over the reporting period.

R0400/C0060

Total subordinated mutual member accounts — balance carried forward

This is the total balance of subordinated mutual member accounts carried forward to the next reporting period.

Surplus funds

R0500/C0010

Surplus funds –Balance brought forward

This is the balance of surplus funds brought forward from the previous reporting period.

R0500/C0060

Surplus funds –Balance carried forward

This is the balance of surplus funds carried forward to the next reporting period.

Preference shares — movements in the reporting period

R0510/C0010

Preference shares –Tier 1 — balance brought forward

This is the balance of Tier 1 preference shares brought forward from the previous reporting period.

R0510/C0020

Preference shares –Tier 1 — increase

This is the increase in Tier 1 preference shares over the reporting period.

R0510/C0030

Preference shares –Tier 1 — reduction

This is the reduction in Tier 1 preference shares over the reporting period.

R0510/C0060

Preference shares –Tier 1 — balance carried forward

This is the balance of Tier 1 preference shares carried forward to the next reporting period.

R0520/C0010

Preference shares –Tier 2 — balance brought forward

This is the balance of Tier 2 preference shares brought forward from the previous reporting period.

R0520/C0020

Preference shares –Tier 2 — increase

This is the increase in Tier 2 preference shares over the reporting period.

R0520/C0030

Preference shares –Tier 2 — reduction

This is the reduction in Tier 2 preference shares over the reporting period.

R0520/C0060

Preference shares –Tier 2 — balance carried forward

This is the balance of Tier 2 preference shares carried forward to the next reporting period.

R0530/C0010

Preference shares –Tier 3 — balance brought forward

This is the balance of Tier 3 preference shares brought forward from the previous reporting period.

R0530/C0020

Preference shares –Tier 3 — increase

This is the increase in Tier 3 preference shares over the reporting period.

R0530/C0030

Preference shares –Tier 3 — reduction

This is the reduction in Tier 3 preference shares over the reporting period.

R0530/C0060

Preference shares –Tier 3 — balance carried forward

This is the balance of Tier 3 preference shares carried forward to the next reporting period.

R0600/C0010

Total preference shares — balance brought forward

This is the balance of total preference shares brought forward from the previous reporting period.

R0600/C0020

Total preference shares — increase

This is the increase in total preference shares over the reporting period.

R0600/C0030

Total preference shares — reduction

This is the reduction in total preference shares over the reporting period.

R0600/C0060

Total preference shares — balance carried forward

This is the balance of total preference shares carried forward to the next reporting period.

Share premium relating to preference shares

R0610/C0010

Share premium relating to preference shares –Tier 1 — balance brought forward

This is the balance of the share premium account relating to preference shares that is tier 1 brought forward from the previous reporting period.

R0610/C0020

Share premium relating to preference shares –Tier 1 — increase

This is the increase in the share premium account relating to preference shares that is tier 1 over the reporting period.

R0610/C0030

Share premium relating to preference shares –Tier 1 — reduction

This is the reduction in the share premium account relating to preference shares that is tier 1 over the reporting period.

R0610/C0060

Share premium relating to preference shares –Tier 1 — balance carried forward

This is the balance of the share premium account relating to preference shares that is tier 1 carried forward to the next reporting period.

R0620/C0010

Share premium relating to preference shares –Tier 2 — balance brought forward

This is the balance of the share premium account relating to preference shares that is tier 2 brought forward from the previous reporting period.

R0620/C0020

Share premium relating to preference shares –Tier 2– increase

This is the increase in the share premium account relating to preference shares that is tier 2 over the reporting period.

R0620/C0030

Share premium relating to preference shares –Tier 2 — reduction

This is the reduction in the share premium account relating to preference shares that is tier 2 over the reporting period.

R0620/C0060

Share premium relating to preference shares –Tier 2 — balance carried forward

This is the balance of the share premium account relating to preference shares that is tier 2 carried forward to the next reporting period.

R0630/C0010

Share premium relating to preference shares –Tier 3 — balance brought forward

This is the balance of the share premium account relating to preference shares that is tier 3 brought forward from the previous reporting period.

R0630/C0020

Share premium relating to preference shares –Tier 3 — increase

This is the increase in the share premium account relating to preference shares that is tier 3 over the reporting period.

R0630/C0030

Share premium relating to preference shares –Tier 3 — reduction

This is the reduction in the share premium account relating to preference shares that is tier 3 over the reporting period.

R0630/C0060

Share premium relating to preference shares –Tier 3 — balance carried forward

This is the balance of the share premium account relating to preference shares that is tier 3 carried forward to the next reporting period.

R0700/C0010

Share premium relating to preference shares –Total — balance brought forward

This is the balance of the total share premium account relating to preference shares that is brought forward from the previous reporting period.

R0700/C0020

Share premium relating to preference shares –Total — increase

This is the increase in the total share premium account relating to preference shares over the reporting period.

R0700/C0030

Share premium relating to preference shares –Total — reduction

This is the reduction in the total share premium account relating to preference shares over the reporting period.

R0700/C0060

Share premium relating to preference shares –Total — balance carried forward

This is the balance of the total share premium account relating to preference shares that is carried forward to the next reporting period.

Subordinated liabilities — movements in the reporting period

R0710/C0010

Subordinated liabilities –Tier 1 — balance brought forward

This is the balance of Tier 1 subordinated liabilities brought forward from the previous reporting period.

R0710/C0070

Subordinated liabilities –Tier 1 — issued

This is the amount of Tier 1 subordinated liabilities issued over the reporting period.

R0710/C0080

Subordinated liabilities –Tier 1 — redeemed

This is the amount of Tier 1 subordinated liabilities redeemed over the reporting period.

R0710/C0090

Subordinated liabilities –Tier 1 — movements in valuation

This is an amount reflecting the movements in valuation of Tier 1 subordinated liabilities over the reporting period.

R0710/C0100

Subordinated liabilities –Tier 1 — regulatory action

This is an amount reflecting change to Tier 1 subordinated liabilities due to regulatory action.

R0710/C0060

Subordinated liabilities –Tier 1 — balance carried forward

This is the balance of Tier 1 subordinated liabilities carried forward to the next reporting period.

R0720/C0010

Subordinated liabilities –Tier 2 — balance brought forward

This is the balance of Tier 2 subordinated liabilities brought forward from the previous reporting period.

R0720/C0070

Subordinated liabilities –Tier 2 — issued

This is the amount of Tier 2 subordinated liabilities issued over the reporting period.

R0720/C0080

Subordinated liabilities –Tier 2 — redeemed

This is the amount of Tier 2 subordinated liabilities redeemed over the reporting period.

R0720/C0090

Subordinated liabilities –Tier 2 — movements in valuation

This is an amount reflecting the movements in valuation of Tier 2 subordinated liabilities over the reporting period.

R0720/C0100

Subordinated liabilities –Tier 2 — regulatory action

This is an amount reflecting change to Tier 2 subordinated liabilities due to regulatory action.

R0720/C0060

Subordinated liabilities –Tier 2 — balance carried forward

This is the balance of Tier 2 subordinated liabilities carried forward to the next reporting period.

R0730/C0010

Subordinated liabilities –Tier 3– balance brought forward

This is the balance of Tier 3 subordinated liabilities brought forward from the previous reporting period.

R0730/C0070

Subordinated liabilities –Tier 3 — issued

This is the amount of Tier 3 subordinated liabilities issued over the reporting period.

R0730/C0080

Subordinated liabilities –Tier 3 — redeemed

This is the amount of Tier 3 subordinated liabilities redeemed over the reporting period.

R0730/C0090

Subordinated liabilities –Tier 3 — movements in valuation

This is an amount reflecting the movements in valuation of Tier 3 subordinated liabilities over the reporting period.

R0730/C0100

Subordinated liabilities –Tier 3 — regulatory action

This is an amount reflecting change to Tier 3 subordinated liabilities due to regulatory action.

R0730/C0060

Subordinated liabilities –Tier 3 — balance carried forward

This is the balance of Tier 3 subordinated liabilities carried forward to the next reporting period.

R0800/C0010

Total subordinated liabilities — balance brought forward

This is the balance of total subordinated liabilities brought forward from the previous reporting period.

R0800/C0070

Total subordinated liabilities — issued

This is the amount of total subordinated liabilities issued over the reporting period.

R0800/C0080

Total subordinated liabilities — redeemed

This is the amount of total subordinated liabilities redeemed over the reporting period.

R0800/C0090

Total subordinated liabilities — movements in valuation

This is an amount reflecting the movements in valuation of total subordinated liabilities over the reporting period.

R0800/C0100

Total subordinated liabilities — regulatory action

This is an amount reflecting change to total subordinated liabilities due to regulatory action.

R0800/C0060

Total subordinated liabilities — balance carried forward

This is the balance of total subordinated liabilities carried forward to the next reporting period.

An amount equal to the value of deferred tax assets

R0900/C0010

An amount equal to the value of net deferred tax assets –Balance brought forward

This is the balance of an amount equal to the value of deferred tax assets brought forward from the previous reporting period.

R0900/C0060

An amount equal to the value of net deferred tax assets –Balance carried forward

This is the balance of an amount equal to the value of deferred tax assets carried forward to the next reporting period.

Other items approved by supervisory authority as basic own funds not specified above — movements in the reporting period

R1000/C0010

Other items approved by supervisory authority as basic own funds not specified above –Tier 1 unrestricted items — balance brought forward

This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as unrestricted items brought forward from the previous reporting period.

R1000/C0070

Other items approved by supervisory authority as basic own funds not specified above –Tier 1 to be treated as unrestricted items — issued

This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as unrestricted items issued over the reporting period.

R1000/C0080

Other items approved by supervisory authority as basic own funds not specified above –Tier 1 to be treated as unrestricted items — redeemed

This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as unrestricted items redeemed over the reporting period

R1000/C0090

Other items approved by supervisory authority as basic own funds not specified above –Tier 1 to be treated as unrestricted items — movements in valuation

This is an amount reflecting movements in valuation of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as unrestricted items.

R1000/C0060

Other items approved by supervisory authority as basic own funds not specified above –Tier 1 to be treated as unrestricted items — balance carried forward

This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as unrestricted items carried forward to the next reporting period.

R1010/C0010

Other items approved by supervisory authority as basic own funds not specified above –Tier 1 to be treated as restricted items –– balance brought forward

This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as restricted items brought forward from the previous reporting period.

R1010/C0070

Other items approved by supervisory authority as basic own funds not specified above –Tier 1 to be treated as restricted items –– issued

This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as restricted items issued over the reporting period.

R1010/C0080

Other items approved by supervisory authority as basic own funds not specified above –Tier 1 to be treated as restricted items –– redeemed

This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as restricted items redeemed over the reporting period

R1010/C0090

Other items approved by supervisory authority as basic own funds not specified above –Tier 1 to be treated as restricted items –– movements in valuation

This is an amount reflecting movements in valuation of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as restricted items.

R1010/C0060

Other items approved by supervisory authority as basic own funds not specified above –Tier 1 to be treated as restricted items –– balance carried forward

This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 1 to be treated as restricted items carried forward to the next reporting period.

R1020/C0010

Other items approved by supervisory authority as basic own funds not specified above –Tier 2 — balance brought forward

This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 2 brought forward from the previous reporting period.

R1020/C0070

Other items approved by supervisory authority as basic own funds not specified above –Tier 2 — issued

This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 2 issued over the reporting period.

R1020/C0080

Other items approved by supervisory authority as basic own funds not specified above –Tier 2 — redeemed

This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 2 redeemed over the reporting period

R1020/C0090

Other items approved by supervisory authority as basic own funds not specified above –Tier 2 — movements in valuation

This is an amount reflecting movements in valuation of other items approved by supervisory authority as basic own funds not specified above that are Tier 2.

R1020/C0060

Other items approved by supervisory authority as basic own funds not specified above –Tier 2– balance carried forward

This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 2 carried forward to the next reporting period.

R1030/C0010

Other items approved by supervisory authority as basic own funds not specified above –Tier 3 — balance brought forward

This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 3 brought forward from the previous reporting period.

R1030/C0070

Other items approved by supervisory authority as basic own funds not specified above –Tier 3 — issued

This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 3 issued over the reporting period.

R1030/C0080

Other items approved by supervisory authority as basic own funds not specified above –Tier 3 — redeemed

This is the amount of other items approved by supervisory authority as basic own funds not specified above that are Tier 3 redeemed over the reporting period.

R1030/C0090

Other items approved by supervisory authority as basic own funds not specified above –Tier 3 — movements in valuation

This is an amount reflecting movements in valuation of other items approved by supervisory authority as basic own funds not specified above that are Tier 3.

R1030/C0060

Other items approved by supervisory authority as basic own funds not specified above –Tier 3 — balance carried forward

This is the balance of other items approved by supervisory authority as basic own funds not specified above that are Tier 3 carried forward to the next reporting period.

R1100/C0010

Total of other items approved by supervisory authority as basic own fund items not specified above — balance brought forward

This is the balance of total other items approved by supervisory authority as basic own funds not specified above brought forward from the previous reporting period.

R1100/C0070

Total of other items approved by supervisory authority as basic own fund items not specified above — issued

This is the amount of total other items approved by supervisory authority as basic own funds not specified above issued over the reporting period.

R1100/C0080

Total of other items approved by supervisory authority as basic own fund items not specified above –redeemed

This is the amount of total other items approved by supervisory authority as basic own funds not specified above that are redeemed over the reporting period.

R1100/C0090

Total of other items approved by supervisory authority as basic own fund items not specified above — movements in valuation

This is an amount reflecting movements in valuation of total other items approved by supervisory authority as basic own funds not specified above.

R1100/C0060

Total of other items approved by supervisory authority as basic own fund items not specified above — balance carried forward

This is the balance of total other items approved by supervisory authority as basic own funds not specified above carried forward to the next reporting period.

Ancillary own funds — movements in the reporting period

R1110/C0010

Ancillary own funds –Tier 2 — balance brought forward

This is the balance of Tier 2 ancillary own funds brought forward from the previous reporting period.

R1110/C0110

Ancillary own funds –Tier 2 — new amount made available

This is the new amount of Tier 2 ancillary own funds to be made available over the reporting period.

R1110/C0120

Ancillary own funds –Tier 2 — reduction to amount available

This is the reduction to the amount available Tier 2 ancillary own funds over the reporting period.

R1110/C0130

Ancillary own funds –Tier 2 — called up to basic own fund

This is the amount of Tier 2 ancillary own funds that are called up to a basic own fund item over the reporting period.

R1110/C0060

Ancillary own funds –Tier 2 — balance carried forward

This is the balance of Tier 2 ancillary own funds carried forward to the next reporting period.

R1120/C0010

Ancillary own funds –Tier 3 — balance brought forward

This is the balance of Tier 3 ancillary own funds brought forward from the previous reporting period.

R1120/C0110

Ancillary own funds –Tier 3– new amount made available

This is the new amount of Tier 3 ancillary own funds to be made available over the reporting period.

R1120/C0120

Ancillary own funds –Tier 3 — reduction to amount available

This is the reduction to the amount available Tier 3 ancillary own funds over the reporting period.

R1120/C0130

Ancillary own funds –Tier 3 — called up to basic own fund

This is the amount of Tier 3 ancillary own funds that are called up to a basic own fund item over the reporting period.

R1120/C0060

Ancillary own funds –Tier 3– balance carried forward

This is the balance of Tier 3 ancillary own funds carried forward to the next reporting period.

R1200/C0010

Total ancillary own funds — balance brought forward

This is the balance of total ancillary own funds brought forward from the previous reporting period.

R1200/C0110

Total ancillary own funds — new amount made available

This is the new amount of 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 annual submission for individual entities.

 

ITEM

INSTRUCTIONS

C0010

Description of subordinated mutual member accounts

This shall list subordinated mutual member accounts for an individual undertaking.

C0020

Subordinated mutual member accounts — Amount (in reporting currency)

This is the amount of individual subordinated mutual member accounts.

C0030

Subordinated mutual member accounts — Tier

This shall indicate the tier of the subordinated mutual member accounts.

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

 

1 — Tier 1

 

2 — Tier 1 — unrestricted

 

3 — Tier 1 — restricted

 

4 — Tier 2

 

5 — Tier 3

C0040

Subordinated mutual member accounts –Currency Code

Identify the ISO 4217 alphabetic code of the currency. This is the original currency.

C0070

Subordinated mutual member accounts — Counted under transitionals?

This shall indicate whether the subordinated mutual member accounts are counted under the transitional provisions.

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

 

1 — Counted under transitionals

 

2 — Not counted under transitionals

C0080

Subordinated mutual member accounts — Counterparty (if specific)

This shall list the counterparty of the subordinated mutual member accounts

C0090

Subordinated mutual member accounts — Issue date

This is the issue date of the subordinated mutual member accounts. This shall be in ISO 8601 format (yyyy–mm–dd).

C0100

Subordinated mutual member accounts — Maturity date

This is the maturity date of the subordinated mutual member accounts. This shall be in ISO 8601 format (yyyy–mm–dd).

C0110

Subordinated mutual member accounts — First call date

This is the first call date of the subordinated mutual member accounts. This shall be in ISO 8601 format (yyyy–mm–dd).

C0120

Subordinated mutual member accounts — Details of further call dates

These are the further call dates of the subordinated mutual member accounts.

C0130

Subordinated mutual member accounts — Details of incentives to redeem

These are the incentives to redeem the subordinated mutual member accounts.

C0140

Subordinated mutual member accounts — Notice period

This is the notice of the subordinated mutual member accounts. The date shall be entered here, using ISO 8601 format (yyyy–mm–dd).

C0160

Subordinated mutual member account — Buy back during the year

Explanation if the item has been bought back during the year.

C0190

Description of preference shares

This shall list individual preference shares

C0200

Preference shares — Amount

This is the amount of the preference shares.

C0210

Preference shares — Counted under transitionals?

This shall indicate whether the preference shares are counted under the transitional provisions.

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

 

1 — Counted under transitionals

 

2 — Not counted under transitionals

C0220

Preference shares — Counterparty (if specific)

This shall list the holder of the preference shares if limited to a single party. If the shares are broadly issued, no data is required.

C0230

Preference shares — Issue date

This is the issue date of the preference share. This shall be in ISO 8601 format (yyyy–mm–dd).

C0240

Preference shares — First call date

This is the first call date of the preference share. This shall be in ISO 8601 format (yyyy–mm–dd).

C0250

Preference shares — Details of further call dates

These are the further call dates of the preference shares.

C0260

Preference shares — Details of incentives to redeem

These are the incentives to redeem the preference share.

C0270

Description of subordinated liabilities

This shall list the individual subordinated liabilities for an individual undertaking.

C0280

Subordinated liabilities –Amount

This is the amount of individual subordinated liabilities.

C0290

Subordinated liabilities –Tier

This shall indicate the tier of the subordinated liabilities.

C0300

Subordinated liabilities Currency Code

Identify the ISO 4217 alphabetic code of the currency.

C0320

Subordinated liabilities — Lender (if specific)

This shall list the lender of the subordinated liabilities if specific. If not specific this item shall not be reported.

C0330

Subordinated liabilities — Counted under transitionals?

This shall indicate whether the subordinated liability is counted under the transitional provisions.

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

 

1 — Counted under transitionals

 

2 — Not counted under transitionals

C0350

Subordinated liabilities — Issue date

This is the issue date of the subordinated liabilities. This shall be in ISO 8601 format (yyyy–mm–dd).

C0360

Subordinated liabilities — Maturity date

This is the maturity date of the subordinated liabilities. This shall be in ISO 8601 format (yyyy–mm–dd).

C0370

Subordinated liabilities — First call date

This is the first call date of the subordinated liabilities. This shall be in ISO 8601 format (yyyy–mm–dd).

C0380

Subordinated liabilities — Further call dates

These are the further call dates of the subordinated liabilities.

C0390

Subordinated liabilities — Details of incentives to redeem

These are the details about the incentives to redeem the subordinated liabilities.

C0400

Subordinated liabilities — Notice period

This is the notice of the subordinated liabilities. The date shall be entered here, using ISO 8601 format (yyyy–mm–dd).

C0450

Other items approved by supervisory authority as basic own funds not specified above

This shall list the other individual items approved by the supervisory authority for an individual undertaking.

C0460

Other items approved by supervisory authority as basic own funds not specified above –Amount

This is the amount of other individual items approved by the supervisory authority.

C0470

Other items approved by supervisory authority as basic own funds not specified above –Currency code

Identify the ISO 4217 alphabetic code of the currency.

C0480

Other items approved by supervisory authority as basic own funds not specified above –Tier 1

This is the amount of other individual items approved by the supervisory authority that meet the criteria for Tier 1.

C0490

Other items approved by supervisory authority as basic own funds not specified above –Tier 2

This is the amount of other individual items approved by the supervisory authority that meet the criteria for Tier 2.

C0500

Other items approved by supervisory authority as basic own funds not specified above –Tier 3

This is the amount of other individual items approved by the supervisory authority that meet the criteria for Tier 3.

C0510

Other items approved by supervisory authority as basic own funds not specified above –Date of authorisation

This is the date of authorisation of other individual items approved by the supervisory authority. It shall be in ISO 8601 format (yyyy–mm–dd).

C0570

Own funds– from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds — Description

This cell shall contain a description of the own fund item from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds.

C0580

Own funds from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds — Total amount

This is the total amount of the own fun item from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds.

C0590

Ancillary own funds –Description

This is details of each ancillary own fund for an individual undertaking.

C0600

Ancillary own funds — Amount

This is the amount for each ancillary own fund.

C0610

Ancillary own funds — Counterpart

This is the counterpart of each ancillary own fund.

C0620

Ancillary own funds — Issue date

This is the issue date of each ancillary own fund. This shall be in ISO 8601 format (yyyy–mm–dd).

C0630

Ancillary own fund — Date of authorisation

This is the date of authorisation of each ancillary own fund. This shall be in 1SO 8601 format (yyyy–mm–dd).

Adjustment for ring fenced funds and matching adjustment portfolios

C0660/R0020

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/R0020

Ring–fenced fund/matching adjustment portfolio — Notional SCR

This is the notional SCR of each ring–fenced fund/each matching adjustment portfolio.

C0680/R0020

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/R0020

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/R0020

Ring–fenced fund/matching adjustment portfolio — Future transfers attributable to shareholders

Value of future transfers attributable to shareholders' of each ring–fenced fund/matching adjustment portfolio according to art 80 (2) of Delegated Regulation (EU) 2015/35.

C0710/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.

C0710/R0020

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.

S.24.01 — Participations held

General Comments:
This section relates to annual submission of information for individual entities.

 

ITEM

INSTRUCTIONS

Table 1 — Participations in related undertakings that are financial and credit institutions which individually exceed 10 % of items included in (a) (i), (ii), (iv) and (vi) of Article 69, not including consolidated strategic participations for the purpose of deductions under Article 68 (1) of the Delegated Regulation (EU) 2015/35

C0010

Name of related undertaking

This is the name of the related undertaking in which the participation is held. These are participations in financial and credit institutions which individually exceed 10 % of items included in (a) (i), (ii), iv) and (vi), of Article 69 of Delegated Regulation (EU) 2015/35. This does not include consolidated strategic participations.

C0020

Asset ID Code

Asset ID code using the following priority:

—

ISO 6166 code of ISIN when available

—

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

—

Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time.

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code+EUR’

C0030

Asset ID Code type

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

 

1 — ISO 6166 for ISIN code

 

2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)

 

3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)

 

4 — WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)

 

5 — Bloomberg Ticker (Bloomberg letters code that identify a company's securities)

 

6 — BBGID (The Bloomberg Global ID)

 

7 — Reuters RIC (Reuters instrument code)

 

8 — FIGI (Financial Instrument Global Identifier)

 

9 — Other code by members of the Association of National Numbering Agencies

 

99 — Code attributed by the undertaking

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0020 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 9 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code+currency: ‘9/1’.

C0040

Total

This is the full total value for all tiers held in each participation in financial and credit institutions which individually exceed 10 % of items included in (a) (i), (ii), iv) and (vi) of Article 69. This does not include consolidated strategic participations.

C0050

Common Equity Tier 1

This is the full value of Common Equity Tier 1 held in each participation in financial and credit institutions which individually exceed 10 % of items included in (a) (i), (ii), iv) and (vi), of Article 69). This does not include consolidated strategic participations. Common Equity Tier 1 has the meaning as defined in the relevant sector rules.

C0060

Additional Tier 1

This is the full value of Additional Tier 1 held in each participation in financial and credit institutions which individually exceed 10 % of items included in (a) (i), (ii), iv) and (vi), of Article 69). This does not include consolidated strategic participations. Additional Tier 1 has the meaning as defined in the relevant sector rules.

C0070

Tier 2

This is the full value of Tier 2 held in each participation in financial and credit institutions which individually exceed 10 % of items included in (a) (i), (ii), iv) and (vi), of Article 69). This does not include consolidated strategic participations. Tier 2 has the meaning as defined in the relevant sector rules.

Table 2 — Participations in related undertakings that are financial and credit institutions which when aggregated exceed 10 % of items included in (a) (i), (ii), (v) and (vi) of Article 69, not including consolidated strategic participations for the purpose of deductions under Article 68 (2) of the Delegated Regulation (EU) 2015/35

C0080

Name of related undertaking

This is the name of the related undertaking in which the participation is held.

These are participations in financial and credit institutions which when aggregated exceed 10 % of items included in (a) (i), (ii), (iv) and (vi) of Article 69 of Delegated Regulation (EU) 2015/35, not including consolidated strategic participations.

C0090

Asset ID Code

Asset ID code using the following priority:

—

ISO 6166 code of ISIN when available

—

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

—

Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time.

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code+EUR’

C0100

Asset ID Code type

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

 

1 — ISO 6166 for ISIN code

 

2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)

 

3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)

 

4 — WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)

 

5 — Bloomberg Ticker (Bloomberg letters code that identify a company's securities)

 

6 — BBGID (The Bloomberg Global ID)

 

7 — Reuters RIC (Reuters instrument code)

 

8 — FIGI (Financial Instrument Global Identifier)

 

9 — Other code by members of the Association of National Numbering Agencies

 

99 — Code attributed by the undertaking

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0090 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 9 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code+currency: ‘9/1’.

C0110

Total

This is the total value held in the participation (not yet the amount to be deducted).

These are participations in financial and credit institutions which when aggregated exceed 10 % of items included in (a) (i),(ii),(iv) and (vi) of Article 69 of Delegated Regulation (EU) 2015/35, not including consolidated strategic participations.

C0120

Common Equity Tier 1

This is the value of Common Equity Tier 1 held in the participation (not only the part to be deducted).

Common Equity Tier 1 has the meaning as defined in the relevant sector rules.

These are participations in financial and credit institutions which when aggregated exceed 10 % of items included in (a) (i), (ii), (iv) and (vi) of Article 69 of Delegated Regulation (EU) 2015/35, not including consolidated strategic participations.

C0130

Additional Tier 1

This is the value of Additional Tier 1 held in the participation (not only the part to be deducted)..

Additional Tier 1 has the meaning as defined in the relevant sector rules.

These are participations in financial and credit institutions which when aggregated exceed 10 % of items included in (a) (i), (ii), (iv) and (vi) of Article 69 of Delegated Regulation (EU) 2015/35, not including consolidated strategic participations.

C0140

Tier 2

This is the value of Tier 2 held in the participation.

Tier 2 has the meaning as defined in relevant sector rules (not only the part to be deducted).

These are participations in financial and credit institutions which when aggregated exceed 10 % of items included in (a) (i), (ii), (iv) and (vi) of Article 69 of Delegated Regulation (EU) 2015/35, not including consolidated strategic participations

Total participations in related undertakings that are financial and credit institutions (for which there is an OF deduction)

C0150

Total participations in financial and credit institutions — Total

This is the total value of participations in financial and credit institutions. (for which there is an OF deduction)

C0160

Total participations in financial and credit institutions — Common Equity Tier 1

This is the total value of Common Equity Tier 1 held in financial and credit institutions. (for which there is an OF deduction)

C0170

Total participations in financial and credit institutions — Additional Tier 1

This is the total value of Additional Tier 1 held in financial and credit institutions. (for which there is an OF deduction)

C0180

Total participations in financial and credit institutions– Tier 2

This is the total value of Tier 2 held in financial and credit institutions. (for which there is an OF deduction)

Own funds deductions

R0010/C0190

Article 68 (1) deduction — total

This is the total value of the Article 68 (1) deduction, specified in Delegated Regulation (EU) 2015/35.

R0010/C0200

Article 68 (1) deduction — tier 1 unrestricted

This is the value of the Article 68(1) deduction which is deducted from tier 1 unrestricted items in accordance with Article 68 (5) of Delegated Regulation (EU) 2015/35.

R0010/C0210

Article 68 (1) deduction — tier 1 restricted

This is the value of the Article 68(1) deduction which is deducted from tier 1 restricted items in accordance with Article 68 (5) of Delegated Regulation (EU) 2015/35.

R0010/C0220

Article 68 (1) deduction — Tier 2

This is the value of the Article 68(1) deduction which is deducted from tier 2 items in accordance with Article 68 (5) of Delegated Regulation (EU) 2015/35.

R0020/C0190

Article 68(2) deduction — total

This is the total value of the Article 68 (2) deduction of Delegated Regulation (EU) 2015/35.

R0020/C0200

Article 68 (2) deduction — tier 1 unrestricted

This is the value of the Article 68(2) deduction which is deducted from tier 1 unrestricted items in accordance with Article 68 (5) of Delegated Regulation (EU) 2015/35.

R0020/C0210

Article 68 (2) deduction — tier 1 restricted

This is the value of the Article 68 (2) deduction which is deducted from tier 1 restricted items in accordance with Article 68 (5) of Delegated Regulation (EU) 2015/35.

R0020/C0220

Article 68 (2) deduction — tier 2

This is the value of the Article 68(2) deduction which is deducted from tier 2 items in accordance with Article 68 (5) of Delegated Regulation (EU) 2015/35.

R0030/C0190

Total deductions

The overall total of all deductions for participations under Article 68 (1) and Article 68 (2) of Delegated Regulation (EU) 2015/35.

R0030/C0200

Total deductions — tier 1 unrestricted

The overall total of all deductions for participations for tier 1 unrestricted under Article 68 (1) and Article 68 (2) of Delegated Regulation (EU) 2015/35.

R0030/C0210

Total deductions — tier 1 restricted

The overall total of all deductions for participations for tier 1 restricted under Article 68 (1) and Article 68 (2) of Delegated Regulation (EU) 2015/35.

R0030/C0220

Total deductions — tier 2

The overall total of all deductions for participations for tier 2 under Article 68 (1) and Article 68 (2) of Delegated Regulation (EU) 2015/35.

Table 3 — Participations in related undertakings that are financial and credit institutions which are considered strategic as defined in Article 171 of the Delegated Regulation (EU) 2015/35 and which are included in the calculation of the group solvency on the basis of method 1 (no OF deduction according to art 68(3)).

C0230

Name of related undertaking

This is the name of the related undertaking in which the participation is held. These are participations in financial and credit institutions which are considered strategic as defined in Article 171 of the Delegated Regulation (EU) 2015/35) and which are included in the calculation of the group solvency on the basis of method 1.

C0240

Asset ID Code

Asset ID code using the following priority:

—

ISO 6166 code of ISIN when available

—

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

—

Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time.

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code+EUR’

C0250

Asset ID Code type

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

 

1 — ISO 6166 for ISIN code

 

2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)

 

3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)

 

4 — WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)

 

5 — Bloomberg Ticker (Bloomberg letters code that identify a company's securities)

 

6 — BBGID (The Bloomberg Global ID)

 

7 — Reuters RIC (Reuters instrument code)

 

8 — FIGI (Financial Instrument Global Identifier)

 

9 — Other code by members of the Association of National Numbering Agencies

 

99 — Code attributed by the undertaking

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0240 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 9 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code+currency: ‘9/1’.

C0260

Total

This is the total value for all tiers held in each participation in financial and credit institutions which are considered strategic as defined in Article 171 of the Delegated Regulation (EU) 2015/35) and which are included in the calculation of the group solvency on the basis of method 1.

C0270

Type 1 Equity

This is the value of type 1 equity held in each participation in financial and credit institutions which are considered strategic as defined in Article 171 of the Delegated Regulation (EU) 2015/35) and which are included in the calculation of the group solvency on the basis of method 1.

Type 1 equity has the meaning as defined in Article 168 (2) of the Delegated Regulation (EU) 2015/35).

C0280

Type 2 Equity

This is the value of type 2 equity held in each participation. in financial and credit institutions which are considered strategic as defined in Article 171 of the Delegated Regulation (EU) 2015/35) and which are included in the calculation of the group solvency on the basis of method 1.

Type 2 equity has the meaning as defined in Article 168(3) of the Delegated Regulation (EU) 2015/35).

C0290

Subordinated liabilities

This is the value of subordinated liabilities held in each participations in financial and credit institutions which are considered strategic as defined in Article 171 of the Delegated Regulation (EU) 2015/35) and which are included in the calculation of the group solvency on the basis of method 1.

Table 4 — Participations in related undertakings that are financial and credit institutions which are strategic (as defined in Article 171 of the Delegated Regulation (EU) 2015/35), not included in the calculation of the group solvency on the basis of method 1 and which are not deducted according to art 68(1) and 68 (2) (It shall include the remaining part (the part of participation which was not deducted) following the partial deduction according to Article 68 (2) of the Delegated Regulation (EU) 2015/35)

C0300

Name of related undertaking

This is the name of the related undertaking that is financial or credit institution in which the participation is held. The participations in this related undertakings is strategic (as defined in Article 171 of the Delegated Regulation (EU) 2015/35)), not included in the calculation of the group solvency on the basis of method 1 and not deducted according to art 68(1) and art 68(2).

C0310

Asset ID Code

Asset ID code using the following priority:

—

ISO 6166 code of ISIN when available

—

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

—

Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time.

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code+EUR’

C0320

Asset ID Code type

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

 

1 — ISO 6166 for ISIN code

 

2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)

 

3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)

 

4 — WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)

 

5 — Bloomberg Ticker (Bloomberg letters code that identify a company's securities)

 

6 — BBGID (The Bloomberg Global ID)

 

7 — Reuters RIC (Reuters instrument code)

 

8 — FIGI (Financial Instrument Global Identifier)

 

9 — Other code by members of the Association of National Numbering Agencies

 

99 — Code attributed by the undertaking

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0310 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 9 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code+currency: ‘9/1’.

C0330

Total

This is the total value for all tiers of each participation in related undertakings that are financial and credit institutions which are strategic, not included in the calculation of the group solvency on the basis of method 1 and which are not deducted according to Article 68(1) and Article 68(2) of Delegated Regulation (EU) 2015/35, meaning the sum of:.

1)

the value of strategic participations in financial and credit institutions which are not deducted according to both Article 68(1) and 68(2) of Delegated Regulation (EU) 2015/35, because the sum of participations in financial and credit institutions is less than 10 %,

2)

the remainder of the strategic participations which are deducted following the Article 68(2) of Delegated Regulation (EU) 2015/35.

C0340

Type 1 Equity

This is the value of each participation in related undertakings that are financial and credit institutions which are strategic, not included in the calculation of the group solvency on the basis of method 1, not deducted according to Article 68(1) and Article 68(2) of Delegated Regulation (EU) 2015/35and held in Type 1 equities, meaning the sum of:.

1)

the value of strategic participations in financial and credit institutions which are not deducted according to both Article 68(1) and 68(2) of Delegated Regulation (EU) 2015/35, because the sum of participations in financial and credit institutions is less than 10 %,

2)

the remainder of the strategic participations which are deducted following the Article 68(2) of Delegated Regulation (EU) 2015/35.

Type 1 equity has the meaning as defined in Article 168 (2) of the Delegated Regulation (EU) 2015/35.

C0350

Type 2 Equity

This is the value of each participation in related undertakings that are financial and credit institutions which are strategic, not included in the calculation of the group solvency on the basis of method 1, not deducted according to Article 68(1) and Article 68(2) of Delegated Regulation (EU) 2015/35 and held in Type 2 equities, meaning the sum of:.

1)

the value of strategic participations in financial and credit institutions which are not deducted according to both Article 68(1) and 68(2) of Delegated Regulation (EU) 2015/35, because the sum of participations in financial and credit institutions is less than 10 %,

2)

the remainder of the strategic participations which are deducted following the Article 68(2) of Delegated Regulation (EU) 2015/35.

Type 2 equity has the meaning as defined in Article 168 (3) of the Delegated Regulation (EU) 2015/35.

C0360

Subordinated liabilities

This is the value of each participation in related undertakings that are financial and credit institutions which are strategic, not included in the calculation of the group solvency on the basis of method 1, not deducted according to Article 68(1) and Article 68(2) of Delegated Regulation (EU) 2015/35 and held in subordinated liabilities, meaning the sum of:.

1)

the value of strategic participations in financial and credit institutions which are not deducted according to both Article 68(1) and 68(2) of Delegated Regulation (EU) 2015/35, because the sum of participations in financial and credit institutions is less than 10 %,

2)

the remainder of the strategic participations which are deducted following the Article 68(2) of Delegated Regulation (EU) 2015/35.

Table 5 — Participations in related undertakings that are financial and credit institutions which are not strategic and which are not deducted according to art 68(1) and 68(2) of Delegated Regulation (EU) 2015/35

(It shall include the remaining part following the partial deduction according to Article 68 (2) of the Delegated Regulation (EU) 2015/35)

C0370

Name of related undertaking

This is the name of the related undertaking that are financial and credit institutions in which the participation is held. These are participations in related undertakings which are not strategic and not deducted according to art 68(1) and 68 (2) of Delegated Regulation (EU) 2015/35.

C0380

Asset ID Code

Asset ID code using the following priority:

—

ISO 6166 code of ISIN when available

—

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

—

Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time.

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code+EUR’

C0390

Asset ID Code type

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

 

1 — ISO 6166 for ISIN code

 

2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)

 

3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)

 

4 — WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)

 

5 — Bloomberg Ticker (Bloomberg letters code that identify a company's securities)

 

6 — BBGID (The Bloomberg Global ID)

 

7 — Reuters RIC (Reuters instrument code)

 

8 — FIGI (Financial Instrument Global Identifier)

 

9 — Other code by members of the Association of National Numbering Agencies

 

99 — Code attributed by the undertaking

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0380 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 9 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code+currency: ‘9/1’.

C0400

Total

This is the total value for all tiers of each participation in related undertakings that are financial and credit institutions, which are not strategic and which are not deducted according to art 68(1) and 68 (2) of Delegated Regulation (EU) 2015/35 meaning the sum of:.

1)

the value of non–strategic participations in financial and credit institutions which are not deducted according to both Articles 68(1) and 68(2) of Delegated Regulation (EU) 2015/35, because the sum of participations in financial and credit institutions is less than 10 %,

2)

the remainder of the non–strategic participations which are deducted following the Article 68(2) of Delegated Regulation (EU) 2015/35.

C0410

Type 1 Equity

This is the value of each participation in related undertakings that are financial and credit institutions which are not strategic, not deducted according to art 68(1) and art 68(2) of Delegated Regulation (EU) 2015/35 and held in Type 1 equities, meaning the sum of:.

1)

the value of non–strategic participations in financial and credit institutions which are not deducted according to both Articles 68(1) and 68(2) of Delegated Regulation (EU) 2015/35, because the sum of participations in financial and credit institutions is less than 10 %,

2)

the remainder of the non–strategic participations which are deducted following the Article 68(2) of Delegated Regulation (EU) 2015/35.

Type 1 equity has the meaning as defined in Article 168 (2) of the Delegated Regulation (EU) 2015/35.

C0420

Type 2 Equity

This is the value of each participation in related undertakings that are financial and credit institutions, which are not strategic, not deducted according to art 68(1) and art 68(2) of Delegated Regulation (EU) 2015/35 and held in Type 2 equities, meaning the sum of:.

1)

the value of non–strategic participations in financial and credit institutions which are not deducted according to both Article 68(1) and 68(2) of Delegated Regulation (EU) 2015/35, because the sum of participations in financial and credit institutions is less than 10 %,

2)

the remainder of the non–strategic participations which are deducted following the Article 68(2) of Delegated Regulation (EU) 2015/35.

Type 2 equity has the meaning as defined in Article 168 (3) of the Delegated Regulation (EU) 2015/35.

C0430

Subordinated liabilities

This is the value of each participation in related undertakings that are financial and credit institutions, which are not strategic, not deducted according to art 68(1) and art 68(2) of Delegated Regulation (EU) 2015/35 and held in subordinated liabilities, meaning the sum of:.

1)

the value of non–strategic participations in financial and credit institutions which are not deducted according to both Article 68(1) and 68(2) of Delegated Regulation (EU) 2015/35, because the sum of participations in financial and credit institutions is less than 10 %,

2)

the remainder of the non–strategic participations which are deducted following the Article 68(2) of Delegated Regulation (EU) 2015/35.

Table 6 — Other strategic participations not in financial and credit institution

C0440

Name of related undertaking

This is the name of the related undertaking in which the participation is held.

These are participations which are not in financial and credit institutions and which are considered strategic.

C0450

Asset ID Code

Asset ID code using the following priority:

—

ISO 6166 code of ISIN when available

—

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

—

Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time.

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code+EUR’

C0460

Asset ID Code type

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

 

1 — ISO 6166 for ISIN code

 

2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)

 

3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)

 

4 — WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)

 

5 — Bloomberg Ticker (Bloomberg letters code that identify a company's securities)

 

6 — BBGID (The Bloomberg Global ID)

 

7 — Reuters RIC (Reuters instrument code)

 

8 — FIGI (Financial Instrument Global Identifier)

 

9 — Other code by members of the Association of National Numbering Agencies

 

99 — Code attributed by the undertaking

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0450 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 9 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code+currency: ‘9/1’.

C0470

Total

This is the total value held for all tiers in each participation that are not financial and credit institutions and that are considered strategic.

C0480

Type 1 Equity

This is the value of type 1 equity held in each participation that are not financial and credit institutions and that are considered strategic.

Type 1 equity has the meaning as defined in Article 168 (2) of the Delegated Regulation (EU) 2015/35).

C0490

Type 2 Equity

This is the value of type 2 equity held in each participation that are not financial and credit institutions and that are considered strategic.

Type 2 equity has the meaning as defined in Article 168 (3) of Delegated Regulation (EU) 2015/35.

C0500

Subordinated liabilities

This is the value of subordinated liabilities held in each participation that are not financial and credit institutions and that are considered strategic.

Table 7 — Other non–strategic participations not in financial and credit institution

C0510

Name of related undertaking

This is the name of the related undertaking in which the participation is held.

These are participations which are not in financial and credit institutions and which are not considered strategic.

C0520

Asset ID Code

Asset ID code using the following priority:

—

ISO 6166 code of ISIN when available

—

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

—

Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time.

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code+EUR’

C0530

Asset ID Code type

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

 

1 — ISO 6166 for ISIN code

 

2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)

 

3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)

 

4 — WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)

 

5 — Bloomberg Ticker (Bloomberg letters code that identify a company's securities)

 

6 — BBGID (The Bloomberg Global ID)

 

7 — Reuters RIC (Reuters instrument code)

 

8 — FIGI (Financial Instrument Global Identifier)

 

9 — Other code by members of the Association of National Numbering Agencies

 

99 — Code attributed by the undertaking

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0520 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 9 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code+currency: ‘9/1’.

C0540

Total

This is the total value held for all tiers in each participation that are not financial and credit institutions and that are not considered strategic.

C0550

Type 1 Equity

This is the value of type 1 equity held in each participation that are not financial and credit institutions and that are not considered strategic.

Type 1 equity has the meaning as defined in Article 168 (2) of the Delegated Regulation (EU) 2015/35.

C0560

Type 2 Equity

This is the value of type 2 equity held in each participation that are not financial and credit institutions and that are not considered strategic.

Type 2 equity has the meaning as defined in Article 168 (3) of Delegated Regulation (EU) 2015/35.

C0570

Subordinated liabilities

This is the value of subordinated liabilities held in each participations that are not financial and credit institutions and that are not considered strategic.

Total for SCR calculation

R0040/C0580

Total participations in related undertakings that are financial and credit institutions –Total

This is the total value of participations in undertakings which are financial and credit institutions.

R0040/C0590

Total participations in related undertakings that are financial and credit institutions — Type 1 Equity

This is the total value of Type 1 Equity of participations in undertakings which are financial and credit institutions.

Type 1 equity has the meaning as defined in Article 168 (2) of the Delegated Regulation (EU) 2015/35.

R0040/C0600

Total participations in related undertakings that are financial and credit institutions — Type 2 Equity

This is the total value of Type 2 Equity of participations in undertakings which are financial and credit institutions.

Type 2 equity has the meaning as defined in Article 168 (3) of Delegated Regulation (EU) 2015/35.

R0040/C0610

Total participations in related undertakings that are financial and credit institutions — Subordinated liabilities

This is the total value of Subordinated liabilities of participations in undertakings which are financial and credit institutions.

R0050/C0580

Total participations in related undertakings that are financial and credit institutions, of which strategic (method 1 or less than 10 % not method –Total

This is the total value of strategic participations in undertakings (method 1 or less than 10 % not method 1) which are financial and credit institutions.

R0050/C0590

Total participations in related undertakings that are financial and credit institutions, of which strategic (method 1 or less than 10 % not method 1) — Type 1 Equity

This is the total value of Type 1 Equity of strategic participations in undertakings (method 1 or less than 10 % not method 1) which are financial and credit institutions.

Type 1 equity has the meaning as defined in Article 168 (2) of the Delegated Regulation (EU) 2015/35.

R0050/C0600

Total participations in related undertakings that are financial and credit institutions, of which strategic (method 1 or less than 10 % not method 1) — Type 2 Equity

This is the total value of Type 2 Equity of strategic participations in undertakings (method 1 or less than 10 % not method 1) which are financial and credit institutions.

Type 2 equity has the meaning as defined in Article 168 (3) of Delegated Regulation (EU) 2015/35.

R0050/C0610

Total participations in related undertakings that are financial and credit institutions, of which strategic (method 1 or less than 10 % not method 1) — Subordinated liabilities

This is the total value of Subordinated liabilities of strategic participations in undertakings (method 1 or less than 10 % not method 1) which are financial and credit institutions.

R0060/C0580

Total participations in related undertakings that are financial and credit institutions of which non–strategic (less than 10 %) –Total

This is the total value of not strategic participations in undertakings (less than 10 %) which are financial and credit institutions.

R0060/C0590

Total participations in related undertakings that are financial and credit institutions of which non–strategic (less than 10 %) — Type 1 Equity

This is the total value of Type 1 Equity of not strategic participations in undertakings (less than 10 % — C0500) which are financial and credit institutions.

Type 1 equity has the meaning as defined in Article 168 (2) of the Delegated Regulation (EU) 2015/35.

R0060/C0600

Total participations in related undertakings that are financial and credit institutions of which non–strategic (less than 10 %) — Type 2 Equity

This is the total value of Type 2 Equity of not strategic participations in undertakings (less than 10 %) which are financial and credit institutions.

Type 2 equity has the meaning as defined in Article 168 (3) of Delegated Regulation (EU) 2015/35.

R0060/C0610

Total participations in related undertakings that are financial and credit institutions of which non–strategic (less than 10 %) — Subordinated liabilities

This is the total value of Subordinated liabilities of not strategic participations in undertakings (less than 10 %) which are financial and credit institutions.

R0070/C0580

Total participations in related undertakings that are not financial and credit institutions –Total

This is the total value of participations in undertakings which are not financial and credit institutions. This is the sum of C0470 and C0540.

R0070/C0590

Total participations in related undertakings that are not financial and credit institutions — Type 1 Equity

This is the total value of Type 1 Equities held in participations in undertakings which are not financial and credit institutions.

Type 1 equity has the meaning as defined in Article 168 (2) of Delegated Regulation (EU) 2015/35. This is the sum of C0480 and C550.

R0070/C0600

Total participations in related undertakings that are not financial and credit institutions — Type 2 Equity

This is the total value of Type 2 Equities held in participations in undertakings which are not financial and credit institutions.

Type 2 equity has the meaning as defined in Article 168 (3) of Delegated Regulation (EU) 2015/35. This is the sum of C0490 and C0560)

R0070/C0610

Total participations in related undertakings that are not financial and credit institutions — Subordinated liabilities

This is the total value of subordinated liabilities held in participations in undertakings which are not financial and credit institutions. This is the sum of C0500 and C0570.

R0080/C0580

Total participations in related undertakings that are not financial and credit institutions — Total– of which strategic

This is the total value of strategic participations in undertakings which are not financial and credit institutions. This is the sum of C0470.

R0080/C0590

Total participations in related undertakings that are not financial and credit institutions — Type 1 Equity — of which strategic

This is the total value of Type 1 Equities held in strategic participations in undertakings which are not financial and credit institutions.

Type 1 equity has the meaning as defined in Article 168 (2) of Delegated Regulation (EU) 2015/35. This is the sum of C0480.

R0080/C0600

Total participations in related undertakings that are not financial and credit institutions — Type 2 Equity — of which strategic

This is the total value of Type 2 Equities held in strategic participations in undertakings which are not financial and credit institutions. This is the sum of C0490).

R0080/C0610

Total participations in related undertakings that are not financial and credit institutions — Subordinated liabilities — of which strategic

This is the total value of subordinated liabilities held in strategic participations in undertakings which are not financial and credit institutions. This is the sum of C0500.

R0090/C0580

Total participations in related undertakings that are not financial and credit institutions — total — of which non–strategic

This is the total value of non–strategic participations in undertakings which are not financial and credit institutions. This is the sum of C0540.

R0090/C0590

Total participations in related undertakings that are not financial and credit institutions — Type 1 Equity — of which non–strategic

This is the total value of Type 1 Equities held in non–strategic participations in undertakings which are not financial and credit institutions. Type 1 equity has the meaning as defined in Article 168 (2) of Delegated Regulation (EU) 2015/35. This is the sum of C0550.

R0090/C0600

Total participations in related undertakings that are not financial and credit institutions — Type 2 Equity — of which non–strategic

This is the total value of Type 2 Equities held in non–strategic participations in undertakings which are not financial and credit institutions. This is the sum of C0560.

R0090/C0610

Total participations in related undertakings that are not financial and credit institutions — Subordinated liabilities — of which non–strategic

This is the total value of subordinated liabilities held in non–strategic participations in undertakings which are not financial and credit institutions. This is the sum of C0570.

Total

C0620

Total of all participations

This is the total value of all participations.

S.25.01 — Solvency Capital Requirement — for undertakings on Standard Formula

General comments:
This section relates to opening and annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.25.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where a RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of template S.01.03.
Where the entity has MAP or RFF (except those under the scope of Article 304 of Directive 2009/138/EC) when reporting at the level of the whole undertaking, the notional Solvency Capital Requirement (‘nSCR’) at risk module level and the loss–absorbing capacity (LAC) of technical provisions and deferred taxes to be reported shall be calculated as follows:
— Where the undertaking applies the full adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level the nSCR is calculated as if no loss of diversification exists and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part;
— Where the undertaking applies the Simplification at risk sub–module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR is calculated considering a direct summation at sub–module level method and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part,
— Where the undertaking applies the simplification at risk module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR is calculated considering a direct summation at module level method and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part.
The adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level shall be allocated (C0050) to the relevant risk modules (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non–life underwriting risk). The amount to be allocated to each relevant risk module shall be calculated as follows:
— [Bild bitte in Originalquelle ansehen], 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 (C0030/R0100)
—   
nSCR
int
= nSCR for intangible assets risk according to the information reported in this template (C0030/R0070)
— Multiplication of this ‘q factor’ by the nSCR of each relevant risk module (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non–life underwriting risk)

 

ITEM

INSTRUCTIONS

Z0010

Article 112

Identifies whether the reported figures have been requested under Article 112(7) of Directive 2009/138/EC, to provide an estimate of the SCR using standard formula.

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

 

1 — Article 112(7) reporting

 

2 — Regular reporting

Z0020

Ring–fenced fund, matching adjustment portfolio or remaining part

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

 

1 — RFF/MAP

 

2 — Remaining part

Z0030

Fund/Portfolio number

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

When item Z0020 = 2, then report ‘0’

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 according to Article 205 of Delegated Regulation (EU) 2015/35.

This amount shall fully consider diversification effects according to 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 according to Article 205 of Delegated Regulation (EU) 2015/35.

This amount shall fully consider diversification effects according to Article 304 of Directive 2009/138/EC where applicable.

These cells do not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level. These figures represent the SCR as if there was no loss of diversification.

R0010–R0050/C0050

Allocation of RFF adjustment due to RFF and Matching adjustments portfolios

Part of the adjustment allocated to each risk module according to the procedure described in the general comments. This amount shall be positive.

R0060/C0030

Net solvency capital requirement Diversification

Amount of the diversification effects between Basic SCR of net risk modules 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 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 according to Article 205 of the Delegated Regulation (EU) 2015/35 for intangible assets risk is zero under standard formula, hence R0070/C0040 equals R0070/C0030.

R0100/C0030

Net solvency capital requirement — Basic Solvency Capital Requirement

Amount of the basic capital requirements, after the consideration of future discretionary benefits according to Article 205 of Delegated Regulation (EU) 2015/35, as calculated using the standard formula.

This amount shall fully consider diversification effects according to 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 according to Article 205 of Delegated Regulation (EU) 2015/35, as calculated using the standard formula.

This amount shall fully consider diversification effects according to Article 304 of Directive 2009/138/EC where applicable.

This cell does not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level. These figures represent the SCR as if there was no loss of diversification.

This amount shall be calculated as a sum of the gross capital charges for each risk module within the standard formula, including adjustment for diversification effect within standard formula

Calculation of Solvency Capital Requirement

R0120/C0100

Adjustment due to RFF/MAP nSCR aggregation

Adjustment to correct the bias on SCR calculation due to aggregation of RFF/MAP nSCR at risk module level. This amount shall be positive.

R0130/C0100

Operational risk

Amount of the capital requirements for operational risk module as calculated using the standard formula.

R0140/C0100

Loss–absorbing capacity of technical provisions

Amount of the adjustment for loss–absorbing capacity of technical provisions calculated according to 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 according to the rules stated in article 17 of Directive 2003/41/EC, for ring–fenced funds relating to pension business operated under article 4 of Directive 2003/41/EC to which transitional measures are applied. This item is to be reported only during the transitional period.

R0200/C0100

Solvency capital requirement excluding capital add–on

Amount of the total diversified SCR before any capital add–on.

R0210/C0100

Capital add–ons already set

Amount of capital add–on that had been set at the reporting reference date. It will 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.

R0220/C0100

Solvency capital requirement

Amount of the Solvency Capital Requirement.

Other information on SCR

R0400/C0100

Capital requirement for duration–based equity risk sub–module

Amount of the capital requirement for duration–based equity risk sub–module.

R0410/C0100

Total amount of notional Solvency Capital Requirements for remaining part

Amount of the notional SCRs of remaining part when undertaking has RFF.

R0420/C0100

Total amount of notional Solvency Capital Requirements for ring–fenced funds

Amount of the sum of notional SCRs of all ring–fenced funds when undertaking has RFF (other than those related to business operated in accordance with article 4 of Directive 2003/41/EC (transitional)).

R0430/C0100

Total amount of Notional Solvency Capital Requirements for matching adjustment portfolios

Amount of the sum of notional SCRs of all matching adjustment portfolios.

R0440/C0100

Diversification effects due to RFF nSCR aggregation for article 304

Amount of the adjustment for a diversification effect between ring–fenced funds under Article 304 of Directive 2009/138/EC and the remaining part where applicable.

R0450/C0100

Method used to calculate the adjustment due to RFF/MAP nSCR aggregation

Method used to calculate the adjustment due to RFF nSCR aggregation. One of the options in the following closed list shall be used:

 

1 — Full recalculation

 

2 — Simplification at risk sub–module level

 

3 — Simplification at risk module level

 

4 — No adjustment

When the undertaking has no RFF (or have only RFF under Article 304 of Directive 2009/138/EC) it shall select option 4.

R0460/C0100

Net future discretionary benefits

Amount of technical provisions without risk margin in relation to future discretionary benefits net of reinsurance.

S.25.02 — Solvency Capital Requirement — for undertakings using the standard formula and partial internal model

General comments:
This section relates to opening and annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
The components to be reported shall be agreed between national supervisory authorities and insurance and reinsurance undertakings.
Template SR.25.02 shall be reported by ring–fenced fund, matching adjustment portfolio and the remaining part for every undertaking 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 shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
For those undertakings under a partial internal model to which the adjustment due to the aggregation of the nSCR of RFF/MAP is applicable, where the entity has MAP or RFF (except those under the scope of Article 304 of Directive 2009/138/EC) when reporting at the level of the whole undertaking, the nSCR at risk module level and the loss–absorbing capacity (LAC) of technical provisions and deferred taxes to be reported shall be calculated as follows:
— Where the undertaking applies the full adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level: the nSCR is calculated as if no RFF and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part;
— Where the undertaking applies the Simplification at risk sub–module level to aggregate the nSCR of the RFF/MAP at entity level the 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:
— [Bild bitte in Originalquelle ansehen], where
—   
adjustment
= Adjustment calculated according to one of the three methods referred above
—   
BSCR′
= Basic solvency capital requirement calculated according the information reported in this template
—   
nSCR
int
= nSCR for intangible assets risk according to the information reported in this template
— Multiplication of this ‘q factor’ by the nSCR of each relevant risk module (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non–life underwriting risk)

 

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

Unique number of component

Unique number of each component agreed with their national supervisory authority to identify uniquely components from their model. This number shall always be used with the appropriate component description reported in each item. Where the partial internal model allow the same split by risk module as the one in the standard formula, the following numbers of components shall be used:

—

1 — Market risk

—

2 — Counterparty default risk

—

3 — Life underwriting risk

—

4 — Health underwriting risk

—

5 — Non–life underwriting risk

—

6 — Intangible asset risk

—

7 — Operational risk

—

8 — LAC Technical Provisions (negative amount)

—

9 — LAC Deferred Taxes (negative amount)

Where standard formula risk modules cannot be reported, undertaking shall attribute a number to each component different from 1 to 7.

This number shall always be used with the appropriate component description reported in each item C0030. The numbers of the components shall be kept consistent over time.

C0020

Components description

Identification, using free text, of each of the components that can be identified by the undertaking. These components shall be aligned with standard formula risk modules if possible according to the partial internal model. Each component shall be identified using a separate entry. Undertakings shall identify and report components consistently across different reporting periods, unless there has been some change to the internal model affecting the categories.

Loss–absorbing capacity of technical provisions and/or deferred taxes not embedded within components shall be reported as separated components.

C0030

Calculation of the Solvency Capital Requirement

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 (‘LAC’) of technical provisions and/or deferred taxes when reported as a separate component it shall be the amount of the loss–absorbing capacity (these amounts shall 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 which are embedded in the calculation, but not those which are modelled as a separate component.

This amount shall fully consider diversification effects according to Article 304 of Directive 2009/138/EC where applicable where applicable.

When 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.

C0050

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

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

Amount modelled

For each component this cell represents the amount calculated according to the partial internal model.

R0110/C0100

Total of 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 shall 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.

R0160/C0100

Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC

Amount of the capital requirement, calculated according to the rules stated in article 17 of Directive 2003/41/EC, for ring–fenced funds relating to pension business operated under article 4 of Directive 2003/41/EC to which transitional measures are applied. This item is to be reported only during the transitional period.

R0200/C0100

Solvency capital requirement, excluding capital add–ons

Amount of the total diversified SCR before any capital add–on.

R0210/C0100

Capital add–ons already set

Amount of capital add–ons that had been set at the reporting reference date. It will 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.

R0220/C0100

Solvency Capital Requirement

Overall capital requirement including capital add–ons

Other information on SCR

R0300/C0100

Amount/Estimate of the overall loss–absorbing capacity of technical provisions

Amount/Estimate of the overall adjustment for loss–absorbing capacity of technical provisions, including the part embedded in the components and the part reported as a single component. This amount shall be reported as a negative amount.

R0310/C0100

Amount/Estimate of the loss absorbing capacity for deferred taxes

Amount/Estimate of the overall adjustment for loss–absorbing capacity 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.

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 option shall be used:

 

1 — Full recalculation

 

2 — Simplification at risk sub–module level

 

3 — Simplification at risk module level

 

4 — No adjustment

When the undertaking has no RFF (or have only RFF under Article 304 of Directive 2009/138/EC) it shall select option 4.

R0460/C0100

Net future discretionary benefits

Amount of technical provisions without risk margin in relation to future discretionary benefits net of reinsurance.

S.25.03 — Solvency Capital Requirement — for undertakings using full internal model

General comments:
This section relates to opening and annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
The components to be reported shall be agreed between national supervisory authorities and insurance and reinsurance undertakings.
Template SR.25.03 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part for every undertaking under a full internal model. However, where a RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall 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

Unique number of component

Unique number of each component of the full internal model, agreed with their national supervisory authority to identify uniquely components from their model. This number shall always be used with the appropriate component description reported in each item C0020.

The numbers of the components shall be kept consistent over time.

C0020

Components description

Identification, using free text, of each of the components that can be identified by the undertaking within the full internal model. These components may not exactly align with the risks defined for the standard formula. Each component shall be identified using a separate entry. Undertakings shall identify and report components consistently across different reporting periods, unless there has been some change to internal model affecting the categories.

Loss–absorbing capacity of technical provisions and/or deferred taxes modelled but not within components shall be reported as separated components.

C0030

Calculation of the Solvency Capital Requirement

Amount of the net capital charge for each component, after the adjustments for the future management actions relating to technical provision and/or deferred taxes when applicable, calculated by the full internal model on an undiversified basis, to the extent that these adjustments are modelled within components.

Loss absorbing capacity of technical provisions and/or deferred taxes modelled but not within components shall be reported as negative values.

C0060

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.

R0110/C0100

Total of undiversified components

Sum of all components.

R0060/C0100

Diversification

The total amount of the diversification among components reported in C0030 calculated using the full internal model.

This amount does not include diversification effects inside each component, which shall be embedded in the values reported in C0030.

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 according to 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 reported only during the transitional period.

R0200/C0100

Solvency capital requirement, excluding capital add–on

Amount of the total diversified SCR before any capital add–on.

R0210/C0100

Capital add–ons already set

Amount of capital add–on that had been set at the reporting reference date. It will 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.

R0220/C0100

Solvency capital requirement

Amount of total SCR calculated using full internal model.

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 each component and the part reported as a single component.

R0310/C0100

Amount/estimate of the overall loss–absorbing capacity of deferred taxes

Amount/Estimate of the overall adjustment for loss–absorbing capacity of deferred taxes, including the part embedded in each component and the part reported as a single component.

R0410/C0100

Total amount of notional Solvency Capital Requirements for remaining part

Amount of the notional SCRs of remaining part when undertaking has RFF.

R0420/C0100

Total amount of Notional Solvency Capital Requirements for ring fenced funds

Amount of the sum of notional SCRs of all ring–fenced funds when undertaking has RFF (other than those related to business operated in accordance with article 4 of Directive 2003/41/EC (transitional)).

R0430/C0100

Total amount of Notional Solvency Capital Requirements for matching adjustment portfolios

Amount of the sum of notional SCRs of all matching adjustment portfolios.

R0440/C0100

Diversification effects due to RFF nSCR aggregation for article 304

Amount of the adjustment for a diversification effect between ring fenced funds under Article 304 of Directive 2009/138/EC and remaining part where applicable.

R0460/C0100

Net future discretionary benefits

Amount of technical provisions without risk margin in relation to future discretionary benefits net of reinsurance.

S.26.01 — Solvency Capital Requirement — Market risk

General comments:
This section relates to annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
The template SR.26.01.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where a RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
Amounts before and after shock shall be filled in with the amount of assets and liabilities sensitive to that shock. For the liabilities the assessment shall be done at the most granular level available between contract and homogeneous risk group. This means that if a contract/HRG is sensitive to a shock the amount of liabilities associated to that contract/HRG shall be reported as amount sensitive to that shock.

 

ITEM

INSTRUCTIONS

Z0010

Article 112

Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:

 

1 — Article 112(7) reporting

 

2 — Regular reporting

Z0020

Ring–fenced fund, matching adjustment portfolio or remaining part

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

 

1 — RFF/MAP

 

2 — Remaining part

Z0030

Fund/Portfolio number

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

When item Z0020 = 2, then report ‘0’.

R0010/C0010

Simplifications spread risk — bonds and loans

Identify whether an undertaking used simplifications for the calculation of spread risk with regard to bonds and loans. 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 and C0080 shall be filled in for R0410.

R0020/C0010

Captives simplifications — interest rate risk

Identify whether a captive undertaking used simplifications for the calculation of interest rate risk. The following options shall be used:

 

1 — Simplifications used

 

2 — Simplifications not used

If R0020/C0010 = 1, only C0060 and C0080 shall be filled in for R0100–R0120

R0030/C0010

Captives simplifications — spread risk on bonds and loans

Identify whether a captive undertaking used simplifications for the calculation of spread risk with regard to bonds and loans. The following options shall be used:

 

1 — Simplifications used

 

2 — Simplifications not used

R0040/C0010

Captives simplifications — market risk concentration

Identify whether a captive undertaking used simplifications for the calculation of market risk concentration. The following options shall be used:

 

1 — Simplifications used

 

2 — Simplifications not used

Interest rate risk

R0100/C0060

Absolute value after shock — Net solvency capital requirement — interest rate risk

This is the net capital charge for interest rate risk, i.e. after adjustment for the loss absorbing capacity of technical provisions.

If R0020/C0010=1, this item represents the net capital charge for interest rate risk calculated using simplified calculations for captive undertakings.

R0100/C0080

Absolute value after shock — Gross solvency capital requirement– interest rate risk

This is the gross capital charge for interest rate risk, i.e. before the loss absorbing capacity of technical provisions.

If R0020/C0010=1, this item represents the gross capital charge for interest rate risk calculated using simplified calculations for captive undertakings.

R0110–R0120/C0020

Initial absolute values before shock — Assets — Interest rate risk — interest rate down/up shock

This is the total value of the assets sensitive to interest rate down/up risk, before shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0110–R0120/C0030

Initial absolute values before shock — Liabilities — Interest rate risk — interest rate down/up shock

This is the total value of the liabilities sensitive to interest rate down/up risk, before shock.

The amount of 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.

R0220–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.

R0220–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.

R0260–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.

R0260–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.

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 R0010/C0010 = 1, 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 R0010/C0010 = 1, this item represents gross solvency capital requirement for spread risk — bonds and loans calculated using simplifications.

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.

R0460/C0020

Initial absolute values before shock — Assets — spread risk — securitisation positions — type 1

This is the absolute value of the assets sensitive to the spread risk on type 1 securitisation positions.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0460/C0030

Initial absolute values before shock — Liabilities — spread risk — securitisation positions — type 1

This is the absolute value of the liabilities sensitive to the spread risk on type 1 securitisation positions.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0460/C0040

Absolute values after shock — Assets — spread risk — securitisation positions — type 1

This is the absolute value of the assets sensitive to the spread risk on type 1 securitisation positions, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0460/C0050

Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — spread risk — securitisation positions — type 1)

This is the absolute value of the liabilities sensitive to the spread risk on type 1 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.

R0460/C0060

Absolute value after shock — Net solvency capital requirement — spread risk — securitisation positions — type 1

This is the net capital charge for spread risk on type 1 securitisation positions, after adjustment for the loss absorbing capacity of technical provisions.

R0460/C0070

Absolute values after shock — Liabilities (before the loss absorbing capacity of technical provisions)– spread risk — securitisation positions — type 1

This is the absolute value of the liabilities sensitive to the spread risk on type 1 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.

R0460/C0080

Absolute value after shock — Gross solvency capital requirement — spread risk — securitisation positions — type 1

This is the gross capital charge for spread risk on type 1 securitisation positions, i.e. before the loss absorbing capacity of technical provisions.

R0470/C0020

Initial absolute values before shock — Assets — spread risk — securitisation positions — type 2

This is the absolute value of the assets sensitive to the spread risk on type 2 securitisation positions.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0470/C0030

Initial absolute values before shock — Liabilities — spread risk — securitisation positions — type 2

This is the absolute value of the liabilities sensitive to the spread risk on type 2 securitisation positions.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0470/C0040

Absolute values after shock — Assets — spread risk — securitisation positions — type 2

This is the absolute value of the assets sensitive to the spread risk on type 2 securitisation positions, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0470/C0050

Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — spread risk — securitisation positions — type 2)

This is the absolute value of the liabilities sensitive to the spread risk on type 2 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.

R0470/C0060

Absolute value after shock — Net solvency capital requirement — spread risk — securitisation positions — type 2

This is the net capital charge for spread risk on type 2 securitisation positions, after adjustment for the loss absorbing capacity of technical provisions.

R0470/C0070

Absolute values after shock — Liabilities (before the loss absorbing capacity of technical provisions)– spread risk — securitisation positions — type 2

This is the absolute value of the liabilities sensitive to the spread risk on type 2 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.

R0470/C0080

Absolute value after shock — Gross solvency capital requirement — spread risk — securitisation positions — type 2

This is the gross capital charge for spread risk on type 2 securitisation positions, i.e. before the loss absorbing capacity of technical provisions.

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.

Concentration risk

R0500/C0020

Initial absolute values before shock — Assets — market risk concentrations

This is the absolute value of the asset sensitive to the market risk concentrations

For captive undertakings, if R0040/C0010=1, this item represents the absolute value of the assets sensitive to the market risk concentration, after taking into account simplifications allowed for captives.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0500/C0060

Absolute value after shock — Net solvency capital requirement — market risk concentrations

This is the net capital charge for market risk concentrations, after adjustment for the loss absorbing capacity of technical provisions, aggregated for each single name exposure.

For captive undertakings, if cell R0040/C0010=1, this item represents net capital charge for market risk concentration, calculated using simplified calculation.

R0500/C0080

Absolute value after shock — Gross solvency capital requirement — market risk concentrations

This is the gross capital charge for market risk concentrations, aggregated for each single name exposure, i.e. before the loss absorbing capacity of technical provisions.

Currency risk

R0600/C0060

Absolute value after shock — Net solvency capital requirement (after the loss absorbing capacity of technical provisions) — currency risk

This is the sum for the different currencies of:

—

the capital requirement (including after the loss absorbing capacity of technical provisions) for an increase in value of the foreign currency against the local currency;

—

the capital requirement (including after the loss absorbing capacity of technical provisions) for a decrease in value of the foreign currency against the local currency.

R0600/C0080

Absolute value after shock — Gross solvency capital requirement — currency risk

This is the sum for the different currencies of:

—

the capital requirement (before the loss absorbing capacity of technical provisions) for an increase in value of the foreign currency against the local currency;

—

the capital requirement (before the loss absorbing capacity of technical provisions) for a decrease in value of the foreign currency against the local currency.

R0610–R0620/C0020

Initial absolute values before shock — Assets — Currency risk — increase/ decrease in the value of the foreign currency

This is the total value of the assets sensitive to currency increase/decrease risk, before shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0610–R0620/C0030

Initial absolute values before shock — Liabilities — Currency risk — increase/ decrease in the value of the foreign currency

This is the total value of the liabilities sensitive to currency increase/decrease risk, before shock.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0610–R0620/C0040

Absolute values after shock — Assets — Currency risk — increase/ decrease in the value of the foreign currency

This is the absolute value of assets sensitive to currency increase/decrease risk after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0610–R0620/C0050

Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — Currency risk — increase/ decrease in the value of the foreign currency

This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to currency increase/decrease risk after the shock.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0610–R0620/C0060

Absolute value after shock — Net solvency capital requirement (after the loss absorbing capacity of technical provisions) — Currency risk — increase/ decrease in the value of the foreign currency

This is the net capital charge for currency increase/decrease risk, after adjustment for the loss absorbing capacity of technical provisions. In R0610 only the currencies where the increase shock is the largest shall be reported and in R0620 only the currencies where the decrease shock is the largest shall be reported.

R0610–R0620/C0070

Absolute values after shock (before the loss–absorbing capacity of technical provisions) — Currency risk — increase/ decrease in the value of the foreign currency

This is the absolute value of liabilities (before the loss absorbing capacity of technical provisions) sensitive to currency increase/decrease risk after the shock.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0610–R0620/C0080

Absolute value after shock — Gross solvency capital requirement (excluding the loss–absorbing capacity of technical provisions) — Currency risk — increase/ decrease in the value of the foreign currency

This is the gross capital charge for the currency increase/decrease risk, i.e. excluding before 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

Total market risk — Gross solvency capital requirement

This is the total gross capital charge for all market risks, excluding loss absorbing capacity of technical provisions, calculated using the standard formula

S.26.02 — Solvency Capital Requirement — Counterparty default risk

General comments
This section relates to annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.02.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where 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.

 

ITEM

INSTRUCTIONS

Z0010

Article 112

Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:

 

1 — Article 112(7) reporting

 

2 — Regular reporting

Z0020

Ring Fenced Fund/Matching adjustment portfolios/Remaining part

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

 

1 — RFF/MAP

 

2 — Remaining part

Z0030

Fund/Portfolio number

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

When item Z0020 = 2, then report ‘0’

R0010/C0010

Simplifications

Identify whether an undertakings used simplifications for the calculation of counter party default risk. One of the options in the following closed list shall be used:

 

1 — Simplifications used

 

2 — Simplifications not used

R0100/C0080

Type 1 exposures — Gross solvency capital requirement

This is the gross capital charge (before the loss–absorbency capacity of technical provisions) for counterparty default risk arising from all Type 1 exposures as defined for Solvency II purposes.

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 annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.03.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where 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.
All values shall be reported net of reinsurance and other risk mitigating techniques.
Amounts before and after shock shall be filled in with the amount of assets and liabilities sensitive to that shock. For the liabilities the assessment shall be done at the most granular level available between contract and homogeneous risk group. This means that if a contract/HRG is sensitive to a shock the amount of liabilities associated to that contract/HRG shall be reported as amount sensitive to that shock.

 

ITEM

INSTRUCTIONS

Z0010

Article 112

Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:

 

1 — Article 112(7) reporting

 

2 — Regular reporting

Z0020

Ring–fenced fund, matching adjustment portfolio or remaining part

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

 

1 — RFF/MAP

 

2 — Remaining part

Z0030

Fund/Portfolio number

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

When item Z0020 = 2, then report ‘0’

R0010/C0010

Simplifications used: mortality risk

Identify whether an undertaking used simplifications for a calculation of mortality risk. The following options shall be used:

 

1 — Simplifications used

 

2 — Simplifications not used

If R0010/C0010 = 1, only C0060 and C0080 shall be filled in for R0100.

R0020/C0010

Simplifications used — longevity

Identify whether an undertaking used simplifications for the calculation of longevity risk. The following options shall be used:

 

1 — Simplifications used

 

2 — Simplifications not used

If R0020/C0010 = 1, only C0060 and C0080 shall be filled in for R0200.

R0030/C0010

Simplifications used: disability– morbidity risk —

Identify whether an undertaking used simplifications for the calculation of disability — morbidity risk. The following options shall be used:

 

1 — Simplifications used

 

2 — Simplifications not used

If R0030/C0010 = 1, only C0060 and C0080 shall be filled in for R0300.

R0040/C0010

Simplifications used: lapse risk

Identify whether an undertaking used simplifications for the calculation of lapse risk. The following options shall be used:

 

1 — Simplifications used

 

2 — Simplifications not used

If R0040/C0010 = 1, only C0060 and C0080 shall be filled in for R0400 to R0420.

R0430 shall be fully completed in any case.

R0050/C0010

Simplifications used: life expense risk —

Identify whether an undertaking used simplifications for the calculation of life expense risk. The following options shall be used:

 

1 — Simplifications used

 

2 — Simplifications not used

If R0050/C0010 = 1, only C0060 and C0080 shall be filled in for R0500.

R0060/C0010

Simplifications used: life catastrophe risk

Identify whether an undertaking used simplifications for the calculation of life catastrophe risk. The following options shall be used:

 

1 — Simplifications used

 

2 — Simplifications not used

If R0060/C0010 = 1, only C0060 and C0080 shall be filled in for R0700.

Life underwriting risk

R0100/C0020

Initial absolute values before shock — Assets — Mortality risk

This is the absolute value of the assets sensitive to mortality risk, before the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0100/C0030

Initial absolute values before shock — Liabilities — Mortality risk

This is the absolute value of liabilities sensitive to mortality risk, before the shock.

The amount of TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP shall be net of reinsurance and SPV recoverables.

R0420/C0080

Absolute value after shock — Gross solvency capital requirement — Lapse risk — risk of decrease in lapse rates

This is the gross capital charge for the risk of a decrease in lapse rates as used to compute the risk (before the loss absorbing capacity of technical provisions).

If R0040/C0010=1, this item represents gross capital charge for a permanent decrease in lapse rates, calculated using simplified calculation for lapse rate

R0430/C0020

Initial absolute values before shock — Assets — Lapse risk– mass lapse risk

This is the absolute value of the assets sensitive to mass lapse risk, before the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0430/C0030

Initial absolute values before shock — Liabilities — Lapse risk –mass lapse risk

This is the absolute value of liabilities sensitive to mass lapse risk, before the shock.

The amount of TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP shall be net of reinsurance and SPV recoverables.

R0700/C0080

Absolute value after shock — Gross solvency capital requirement — life catastrophe risk

This is the gross capital charge for life catastrophe risk (before the loss absorbing capacity of technical provisions).

If R0060/C0010=1, this item represents gross capital charge for life catastrophe risk calculated using simplified calculations.

R0800/C0060

Diversification within life underwriting risk module — Net

This is the diversification effect within the life underwriting risk module as a result of the aggregation of the net capital requirements (after adjustment for the loss absorbing capacity of technical provisions) of the single risk sub–modules.

Diversification shall be reported as a negative value if they reduce the capital requirement.

R0800/C0080

Diversification within life underwriting risk module — Gross

This is the diversification effect within the life underwriting risk module as a result of the aggregation of the gross capital requirements (before the loss absorbing capacity of technical provisions) of the single risk sub–modules.

Diversification shall be reported as a negative value if they reduce the capital requirement.

R0900/C0060

Total net solvency capital requirement for life underwriting risk

This is the total net capital charge for life underwriting risk, after adjustment for the loss absorbing capacity of technical provisions.

R0900/C0080

Total gross solvency capital requirement for life underwriting risk

This is the total gross capital charge for life underwriting risk, before the loss absorbing capacity of technical provisions.

Further details on revision risk

R1000/C0090

USP — Factors applied for the revision risk shock

Revision shock — undertaking specific parameter (‘USP’) as calculated by the undertaking and approved by the supervisory authority.

This item is not reported where no undertaking specific parameter is used.

S.26.04 — Solvency Capital Requirement — Health underwriting risk

General Comments:
This section relates to annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.04.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where 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.
All values shall be reported net of reinsurance and other risk mitigating techniques.
Amounts before and after shock shall be filled in with the amount of assets and liabilities sensitive to that shock. For the liabilities the assessment shall be done at the most granular level available between contract and homogeneous risk group. This means that if a contract/HRG is sensitive to a shock the amount of liabilities associated to that contract/HRG shall be reported as amount sensitive to that shock.

 

ITEM

INSTRUCTIONS

Z0010

Article 112

Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:

 

1 — Article 112(7) reporting

 

2 — Regular reporting

Z0020

Ring–fenced fund, matching adjustment portfolio or remaining part

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

 

1 — RFF/MAP

 

2 — Remaining part

Z0030

Fund/Portfolio number

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

When item Z0020 = 2, then report ‘0’

R0010/C0010

Simplifications used — health mortality risk

Identify whether an undertakings used simplifications for the calculation of health mortality risk. The following options shall be used:

 

1 — Simplifications used

 

2 — Simplifications not used

If R0010/C0010 = 1, only C0060 and C0080 shall be filled in for R0100.

R0020/C0010

Simplifications used — health longevity risk

Identify whether an undertaking used simplifications for the calculation of health longevity risk. The following options shall be used:

 

1 — Simplifications used

 

2 — Simplifications not used

If R0020/C0010 = 1, only C0060 and C0080 shall be filled in for R0200.

R0030/C0010

Simplifications used: health disability– morbidity risk — Medical expense

Identify whether an undertaking used simplifications for the calculation of health disability morbidity risk — Medical expense. The following options shall be used:

 

1 — Simplifications used

 

2 — Simplifications not used

If R0030/C0010 = 1, only C0060/R0310 and C0080/R0310 shall be filled in. R0320 and R0330 shall not be filled in.

R0040/C0010

Simplifications used: health disability– morbidity risk — Income protection

Identify whether an undertaking used simplifications for the calculation of health disability morbidity risk — Income protection. The following options shall be used:

 

1 — Simplifications used

 

2 — Simplifications not used

If R0040/C0010 = 1, only C0060 and C0080 shall be filled in for R0340.

R0050/C0010

Simplifications used: SLT lapse risk

Identify whether an undertaking used simplifications for the calculation of SLT lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35. 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 R0400 to R0420.

R0430 shall be fully completed in any case

R0060/C0010

Simplifications used: health expense risk

Identify whether an undertaking used simplifications for the calculation of health expense risk. The following options shall be used:

 

1 — Simplifications used

 

2 — Simplifications not used

If R0060/C0010 = 1, only C0060 and C0080 shall be filled in for R0500.

SLT health underwriting risk

R0100/C0020

Initial absolute values before shock — Assets — Health mortality risk

This is the absolute value of the assets sensitive to health mortality risk, before the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0100/C0030

Initial absolute values before shock — Liabilities — Health mortality risk

This is the absolute value of liabilities sensitive to health mortality risk, before the shock.

The amount of TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP shall be net of reinsurance and SPV recoverables.

R0420/C0040

Absolute values after shock — Assets — SLT health lapse risk –risk of decrease in lapse

This is the absolute value of the assets sensitive to the risk of a permanent decrease in lapse rates, after the shock (i.e. permanent decrease in the rates of lapse).

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0420/C0050

Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — SLT health lapse risk –risk of decrease in lapse

This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to the risk of a permanent decrease in lapse rates, after the shock (i.e. permanent decrease of the rates of lapse).

The amount of TP shall be net of reinsurance and SPV recoverables.

R0420/C0060

Absolute value after shock — Net solvency capital requirement– SLT health lapse risk –risk of decrease in lapse

This is the net capital charge for the risk of a permanent decrease in lapse rates, after adjustment for the loss absorbing capacity of technical provisions.

If R0050/C0010=1, this item represents net capital charge for a permanent decrease in SLT health rates referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, calculated using simplified calculation for SLT health lapse rate

R0420/C0070

Absolute value after shock — Liabilities (before the loss absorbing capacity of technical provisions) — SLT health lapse risk –risk of decrease in lapse

This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to the risk of a permanent decrease in lapse rates, after the shock (permanent decrease in lapse rates).

The amount of TP 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 TP 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 TP shall be net of reinsurance and SPV recoverables.

R0430/C0060

Absolute value after shock — Net solvency capital requirement — SLT health lapse risk — mass lapse risk

This is the net capital charge for SLT health lapse risk — mass lapse risk, after adjustment for the loss absorbing capacity of technical provisions.

R0430/C0070

Absolute value after shock — Liabilities (before the loss absorbing capacity of technical provisions) — Health lapse risk — mass lapse risk

This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to mass lapse risk, after the shock.

The amount of TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP shall be net of reinsurance and SPV recoverables.

R0600/C0080

Absolute value after shock — Gross solvency capital requirement — Health revision risk

This is the gross capital charge (before the loss absorbing capacity of technical provisions) for health revision risk.

R0700/C0060

Diversification within SLT health underwriting risk module — Net

This is the diversification effect within the SLT health underwriting risk module referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, as a result of the aggregation of the net capital requirements (after adjustment for the loss absorbing capacity of technical provisions) of the single risk sub–modules.

Diversification shall be reported as a negative value if they reduce the capital requirement.

R0700/C0080

Diversification within SLT health underwriting risk module — Gross

This is the diversification effect within the SLT health underwriting risk module referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, as a result of the aggregation of the gross capital requirements (before the loss absorbing capacity of technical provisions) of the single risk sub–modules.

Diversification shall be reported as a negative value if they reduce the capital requirement.

R0800/C0060

Net solvency capital requirement — SLT health underwriting risk

This is the total net capital charge for SLT health underwriting risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, after adjustment of the loss absorbing capacity of technical provisions.

R0800/C0080

Gross solvency capital — SLT health underwriting risk

This is the total gross capital charge for SLT health underwriting risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, before adjustment of the loss absorbing capacity of technical provisions.

Further details on revision risk

R0900/C0090

Revision shock USP

Revision shock — undertaking specific parameter as calculated by the undertaking and approved by the supervisory authority.

This item is not reported where no undertaking specific parameter is used.

NSLT Health premium and reserve risk

R1000–R1030/C0100

Standard deviation for premium risk — USP

This is the undertaking specific standard deviation for premium risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance as calculated by the undertaking and approved or prescribed by the supervisory authority.

This item is not reported where no undertaking specific parameter is used.

R1000–R1030/C0110

USP Standard Deviation gross/net

Identify if the USP standard Deviation was applied gross or net. One of the options in the following closed list shall be used:

 

1 — USP gross

 

2 — USP net

R1000–R1030/C0120

Standard deviation for premium risk — USP — Adjustment factor for non — proportional reinsurance

This is the undertaking specific adjustment factor for non–proportional reinsurance of each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, which allows undertakings to take into account the risk–mitigating effect of particular per risk excess of loss (‘XL’) reinsurance — as calculated by the undertaking and approved or prescribed by the supervisory authority

Where no undertaking specific parameter is used, this cell shall be left blank.

R1000–R1030/C0130

Standard deviation for reserve risk — USP

This is the undertaking specific standard deviation for reserve risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance as calculated by the undertaking and approved or prescribed by the supervisory authority.

This item is not reported where no undertaking specific parameter is used.

R1000–R1030/C0140

Volume measure for premium and reserve risk — volume measure for premium risk: Vprem

The volume measure for premium risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance

R1000–R1030/C0150

Volume measure for premium and reserve risk –Volume measure reserve risk: Vres

The volume measure for reserve risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance

R1000–R1030/C0160

Volume measure for premium and reserve risk — Geographical Diversification

This represents the geographical diversification to be used for the volume measure for premium and reserve risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance.

If the factor for geographical diversification is not calculated, then this item is set to the default value of 1.

R1000–R1030/C0170

Volume measure for premium and reserve risk — V

The volume measure for NSLT health premium and reserve risk referred to in Title I Chapter V Sections 4 and 12 of Delegated Regulation (EU) 2015/35, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, and its proportional reinsurance

R1040/C0170

Total Volume measure for premium and reserve risk

The total volume measure for premium and reserve risk, equal to the sum of the volume measures for premium and reserve risk for all lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

R1050/C0100

Combined standard deviation

This is the combined standard deviation for premium and reserve risk for all segments.

R1100/C0180

Solvency capital requirement — NSLT health premium and reserve risk

This is the total capital charge for the NSLT health premium and reserve risk sub module referred to in Title I Chapter V Sections 4 and 12 of Delegated Regulation (EU) 2015/35.

R1200/C0190

Initial absolute values before shock — Assets — Lapse risk

This is the absolute value of the assets sensitive to the NSLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, before the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R1200/C0200

Initial absolute values before shock — Liabilities — Lapse risk

This is the absolute value of liabilities sensitive to the NSLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, before the shock.

The amount of TP shall be net of reinsurance and SPV recoverables.

R1200/C0210

Absolute values after shock — Assets — Lapse risk

This is the absolute value of the assets sensitive to the NSLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R1200/C0220

Absolute values after shock Liabilities — Lapse risk

This is the absolute value of the liabilities sensitive to lapse risk, after the shock.

The amount of TP shall be net of reinsurance and SPV recoverables.

R1200/C0230

Absolute value after shock– Solvency capital requirement — Lapse risk

This is the capital charge for NSLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35.

R1300/C0240

Diversification within NSLT health underwriting risk — gross

This is the diversification effect within the NSLT health underwriting risk sub–module referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, as a result of the aggregation of the capital requirements for NSLT health premium and reserve risk and NSLT health lapse risk.

Diversification shall be reported as a negative value if they reduce the capital requirement.

R1400/C0240

Total solvency capital requirement for NSLT health underwriting

This is the total capital charge for the NSLT health underwriting risk sub module referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35.

Health catastrophe risk

R1500/C0250

Net solvency capital requirement for health catastrophe risks — Mass accident risk sub module

The net solvency capital requirement for the mass risk sub–module calculated after loss absorbing capacity of technical provisions

R1500/C0260

Gross solvency capital requirement for health catastrophe risks — Mass accident risk sub module

The gross solvency capital requirement for the mass risk sub–module, calculated before loss absorbing capacity of technical provisions.

R1510/C0250

Net solvency capital requirement for health catastrophe risks — Accident concentration risk

The net solvency capital requirement for the accident concentration risk sub–module, calculated after loss absorbing capacity of technical provisions

R1510/C0260

Gross solvency capital requirement for health catastrophe risks– Accident concentration risk

The gross solvency capital requirement for the accident concentration risk sub–module calculated before loss absorbing capacity of technical provisions.

R1520/C0250

Net solvency capital requirement for health catastrophe risks — Pandemic risk

The net solvency capital requirement for the pandemic risk sub–module, calculated after loss absorbing capacity of technical provisions.

R1520/C0260

Gross solvency capital requirement for health catastrophe risks — Pandemic risk

The gross solvency capital requirement for the pandemic risk sub–module is calculated before loss absorbing capacity of technical provisions.

R1530/C0250

Diversification within health catastrophe risk — Net

This is the diversification effect within the health catastrophe risk sub–module as a result of the aggregation of the capital requirements for the risks of a mass accident, accident concentration and pandemic risk, calculated after loss absorbing capacity of technical provisions

R1530/C0260

Diversification within health catastrophe risk — Gross

This is the diversification effect within the health catastrophe risk sub–module as a result of the aggregation of the capital requirements for the risks of a mass accident, accident concentration and pandemic risk, calculated after loss absorbing capacity of technical provisions.

R1540/C0250

Total net solvency capital requirement for health catastrophe risk

This is the total net capital charge (after loss absorbing capacity of technical provisions) for the health catastrophe risk sub–module

R1540/C0260

Total gross solvency capital requirement for health catastrophe risk

This is the total gross capital charge for the health catastrophe risk sub — module (before loss absorbing capacity of technical provisions)

Total health underwriting risk

R1600/C0270

Diversification within health underwriting risk module — Net

This is the diversification effect within the health underwriting risk sub–module as a result of the aggregation of the capital requirements SLT health underwriting risk sub–module, NSLT health underwriting risk sub–module and health catastrophe risk sub–module, referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, calculated after loss absorbing capacity of technical provision.

R1600/C0280

Diversification within health underwriting risk module — Gross

This is the diversification effect within the health underwriting risk sub–module as a result of the aggregation of the capital requirements SLT health underwriting risk sub–module, NSLT health underwriting risk sub–module and health catastrophe risk sub–module, referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, calculated before loss absorbing capacity of technical provisions.

R1700/C0270

Total net solvency capital requirement for health underwriting risk

This is the total net solvency capital requirement for the health underwriting risk module.

R1700/C0280

Total gross solvency capital requirement for health underwriting risk

This is the total gross solvency capital requirement for the health underwriting risk module.

S.26.05 — Solvency Capital Requirement — Non–Life underwriting risk

General comments:
This section relates to annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.05.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where 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.
All values shall be reported net of reinsurance and other risk mitigating techniques.
Amounts before and after shock shall be filled in with the amount of assets and liabilities sensitive to that shock. For the liabilities the assessment shall be done at the most granular level available between contract and homogeneous risk group. This means that if a contract/HRG is sensitive to a shock the amount of liabilities associated to that contract/HRG shall be reported as amount sensitive to that shock.

 

ITEM

INSTRUCTIONS

Z0010

Article 112

Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:

 

1 — Article 112(7) reporting

 

2 — Regular reporting

Z0020

Ring–fenced fund, matching adjustment portfolio or remaining part

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

 

1 — RFF/MAP

 

2 — Remaining part

Z0030

Fund/Portfolio number

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

When item Z0020 = 2, then report ‘0’

R0010/C0010

Captives simplifications — non life premium and reserve risk

Identify whether a captive undertaking used simplifications for the calculation of non–life premium and reserve risk. One of the options in the following closed list shall be used:

 

1 — Simplifications used

 

2 — Simplifications not used

If R0010/C0010 = 1, only C0060, C0070 and C0090 shall be filled in for R0100 — R0230.

Non–life premium and Reserve Risk

R0100–R0210/C0020

Standard deviation for premium risk — USP Standard Deviation

This is the undertaking specific standard deviation for premium risk for each segment as calculated by the undertaking and approved or prescribed by the supervisory authority.

This item is not reported where no undertaking specific parameter is used.

R0100–R0210/C0030

USP Standard Deviation gross/net

Identify if the USP standard Deviation was applied gross or net. One of the options in the following closed list shall be used:

 

1 — USP gross

 

2 — USP net

R0100–R0210/C0040

Standard deviation for premium risk — USP — Adjustment factor for non — proportional reinsurance

This is the undertaking specific adjustment factor for non — proportional reinsurance of each segment allows undertakings to take into account the risk — mitigating effect of particular per risk excess of loss reinsurance — as calculated by the undertaking and approved or prescribed by the supervisory authority.

This item is not reported where no undertaking specific parameter is used.

R0100–R0210/C0050

Standard deviation for reserve risk — USP

This is the undertaking specific standard deviation for reserve risk each segment as calculated by the undertaking and approved or prescribed by the supervisory authority.

This item is not reported where no undertaking specific parameter is used.

R0100–R0210/C0060

Volume measure for premium and reserve risk — volume measure for premium risk: Vprem

The volume measure for premium risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

R0100–R0210/C0070

Volume measure for premium and reserve risk –Volume measure reserve risk: Vres

The volume measure for reserve risk for each segment, equal to the best estimate for the provisions for claims outstanding for the segment, after deduction of the amount recoverable from reinsurance contracts and special purpose vehicles.

R0100–R0210/C0080

Volume measure for premium and reserve risk — Geographical Diversification —

Geographical diversification used for the volume measure for each segment

If the factor for geographical diversification is not calculated, then this item is set to the default value of 1.

R0100–R0210/C0090

Volume measure for premium and reserve risk — V

The volume measure for non — life premium and reserve risk for each segment

If R0010/C0010 = 1, this item shall represent the capital requirement for non — life premium and reserve risk of particular segment calculated using simplifications

R0220/C0090

Total Volume measure for premium and reserve risk

The total volume measure for premium and reserve risk, equal to the sum of the volume measures for premium and reserve risk for all segments:

R0230/C0020

Combined standard deviation

This is the combined standard deviation for premium and reserve risk for all segments.

If R0010/C0010=1, this item represents total capital charge for non–life premium and reserve risk sub module calculated using simplified calculation.

R0300/C0100

Total capital requirement for non — life premium and reserve risk

This is the total 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 TP 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 TP 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

Capital requirement for non–life catastrophe risk

This is the total non–life catastrophe risk capital requirement.

Total non–life underwriting risk

R0600/C0160

Diversification within non–life underwriting risk module

This is the diversification effect within the non–life underwriting risk sub–module as a result of the aggregation of the capital requirements premium and reserve risk, catastrophe risk and lapse risk.

Diversification shall be reported as a negative value if they reduce the capital requirement.

R0700/C0160

Total capital requirement for non–life underwriting risk

This is the solvency capital requirement for non–life underwriting risk sub module.

S.26.06 — Solvency Capital Requirements — Operational risk

General comments:
This section relates to annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.06.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where 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.

 

ITEM

INSTRUCTIONS

Z0010

Article 112

Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:

 

1 — Article 112(7) reporting

 

2 — Regular reporting

Z0020

Ring–fenced fund, matching adjustment portfolio or remaining part

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

 

1 — RFF/MAP

 

2 — Remaining part

Z0030

Fund/Portfolio number

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

When item Z0020 = 2, then report ‘0’

R0100/C0020

Life gross technical provisions (excluding risk margin)

This is technical provisions for 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.

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)

Premium earned during the previous 12 months for life insurance obligations, 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)

Premium earned during the 12 months prior to the previous 12 months for life insurance obligations, without deducting premium ceded to reinsurance

R0240/C0020

Earned life gross premiums unit–linked (12 months prior to the previous 12 months)

Premium earned during the 12 months prior to the previous 12 months for life insurance obligations where the investment risk is borne by the policy holders without deducting premium ceded to reinsurance.

R0250/C0020

Earned non–life gross premiums (12 months prior to the previous 12 months)

Premium earned during the 12 months prior to the previous 12 months for non–life insurance obligations, without deducting premiums ceded to reinsurance

R0260/C0020

Capital requirement for operational risk based on earned premiums

This is the capital requirement for operational risks based on earned premiums.

R0300/C0020

Capital requirement for operational risk before capping

This is the capital requirement for operational risk before capping adjustment

R0310/C0020

Cap based on Basic Solvency Capital Requirement

This is the result of the cap percentage applied to the Basic SCR.

R0320/C0020

Capital requirement for operational risk after capping

This is the capital requirement for operational risk after capping adjustment.

R0330/C0020

Expenses incurred in respect of unit linked business (previous 12 months)

This is the amount of expenses incurred in the previous 12 months in respect of life insurance where the investment risk is borne by the policyholders.

R0340/C0020

Total capital requirement for operational risk

This is the capital charge for operational risk.

S.26.07 — Solvency Capital Requirement — Simplifications

General comments:
This section relates to annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.07.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where 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.

 

ITEM

INSTRUCTIONS

Z0010

Article 112

Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:

 

1 — Article 112(7) reporting

 

2 — Regular reporting

Z0020

Ring–fenced fund, matching adjustment portfolio or remaining part

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

 

1 — RFF/MAP

 

2 — Remaining part

Z0030

Fund/Portfolio number

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

When item Z0020 = 2, then report ‘0’

Z0040

Currency for interest rate risk (captives)

Identify the ISO 4217 alphabetic code of the currency of issue. Each currency shall be reported in a different line

Market risk (including captives)

R0010/C0010 –C0070

Spread risk (bonds and loans) — Market value — by credit quality step

Market value of the assets subject to a capital requirement for spread risk on bonds and loans for each credit quality step where a credit assessment by a nominated ECAI is available

R0010/C0080

Spread risk (bonds and loans) — Market value — No rating available

Market value of the assets subject to a capital requirement for spread risk on bonds and loans where no credit assessment by a nominated ECAI is available

R0020/C0010 –C0070

Spread risk (bonds and loans) — Modified duration — by credit quality step

Modified duration in years of the assets subject to a capital requirement for spread risk on bonds and loans for each credit quality step where a credit assessment by a nominated ECAI is available

R0020/C0080

Spread risk (bonds and loans) — Modified duration — No rating available

Modified duration in years of the assets subject to a capital requirement for spread risk on bonds and loans where no credit assessment by a nominated ECAI is available

R0030/C0090

Spread risk (bonds and loans) — Increase in unit–linked and index–linked technical provisions

Increase in the technical provisions less risk margin for policies where the policyholders bear the investment risk with embedded options and guarantees that would result from an instantaneous decrease in the value of the assets subject to the capital requirement for spread risk on bonds according to the simplified calculation

Interest rate risk (captives)

R0040/C0100

Interest rate risk (captives) — Capital requirement — Interest rate up — by currency

Capital requirement for the risk of an increase in the term structure of interest rates according to the captive simplified calculation for each currency reported.

R0040/C0110

Interest rate risk (Captives) — Capital requirement — Interest rate down — by currency

Capital requirement for the risk of a decrease in the term structure of interest rates according to the captive simplified calculation for each currency reported.

Life underwriting risk

R0100/C0120

Mortality risk — Capital at risk

Sum of positive capitals at risk as defined in Article 91 of Delegated Regulation (EU) 2015/35 for all obligations subject to mortality risk

R0100/C0160

Mortality risk — Average rate t+1

Average mortality rate during the following 12 (t + 1) months weighted by sum insured for policies with a positive capital at risk

R0100/C0180

Mortality risk — Modified duration

Modified duration in years of all payments payable on death included in the best estimate for policies with a positive capital at risk

R0110/C0150

Longevity risk — Best estimate

Best estimate of obligations subject to longevity risk.

R0110/C0160

Longevity risk — Average rate t+1

Average mortality rate during the following 12 (t + 1) months weighted by sum insured for policies where a decrease in the mortality rate leads to an increase in technical provisions

R0110/C0180

Longevity risk — Modified duration

Modified duration in years of all payments to beneficiaries included in the best estimate for policies where a decrease in the mortality rate leads to an increase in technical provisions

R0120/C0120

Disability–morbidity risk — Capital at risk

Sum of positive capitals at risk as defined in Article 93 of Delegated Regulation (EU) 2015/35 for all obligations subject to disability–morbidity risk

R0120/C0130

Disability–morbidity risk — Capital at risk t+1

Capital at risk as defined in R0120/C0120 after 12 (t + 1) months

R0120/C0150

Disability–morbidity risk — Best estimate

Best estimate of obligations subject to disability–morbidity risk.

R0120/C0160

Disability–morbidity risk — Average rate t+1

Average disability–morbidity rate during the following 12 months (t + 1) weighted by sum insured for policies with a positive capital at risk

R0120/C0170

Disability–morbidity risk — Average rate t+2

Average disability–morbidity rate during the 12 months after the following 12 months (t+2) weighted by sum insured for policies with a positive capital at risk

R0120/C0180

Disability–morbidity risk — Modified duration

Modified duration in years of all payments on disability–morbidity included in the best estimate for policies with a positive capital at risk

R0120/C0200

Disability–morbidity risk — Termination rates

Expected termination rates during the following 12 months for policies with a positive capital at risk

R0130/C0140

Lapse risk (up) — Surrender strain

Sum of all positive surrender strains as defined in Article 95 of Delegated Regulation (EU) 2015/35.

R0130/C0160

Lapse risk (up) — Average rate (t+1)

Average lapse rate for policies with positive surrender strains

R0130/C0190

Lapse risk (up) — Average run off period

Average period in years over which the policies with a positive surrender strain run off

R0140/C0140

Lapse risk (down) — Surrender strain

Sum of all negative surrender strains as defined in Article 95 of Delegated Regulation (EU) 2015/35.

R0140/C0160

Lapse risk (down) — Average rate (t+1)

Average lapse rate for policies with negative surrender strains

R0140/C0190

Lapse risk (down) — Average run off period

Average period in years over which the policies with a negative surrender strain run off

R0150/C0180

Life expense risk — Modified duration

Modified duration in years of the cash flows included in the best estimate of life insurance and reinsurance obligations

R0150/C0210

Life expense risk — Payments

Expenses paid related to life insurance and reinsurance during the last 12 months

R0150/C0220

Life expense risk — Average inflation rate

Weighted average inflation rate included in the calculation of the best estimate of those obligations, where the weights are based on the present value of expenses included in the calculation of the best estimate for servicing existing life obligations.

R0160/C0120

Life catastrophe risk — Capital at risk

Sum of positive capitals at risk as defined in Article 96 of Delegated Regulation (EU) 2015/35.

Health underwriting risk

R0200/C0120

Health mortality risk — Capital at risk

Sum of positive capitals at risk as defined in Article 97 of Delegated Regulation (EU) 2015/35 for all obligations subject to health mortality risk

R0200/C0160

Health mortality risk — Average rate t+1

Average mortality rate during the following 12 months (t + 1) weighted by sum insured for policies with a positive capital at risk

R0200/C0180

Health mortality risk — Modified duration

Modified duration in years of all payments payable on death included in the best estimate for policies with a positive capital at risk

R0210/C0150

Health longevity risk — Best estimate

Best estimate of obligations subject to health longevity risk.

R0210/C0160

Health longevity risk — Average rate t+1

Average mortality rate during the following 12 months (t + 1) weighted by sum insured for policies where a decrease in the mortality rate leads to an increase in technical provisions

R0210/C0180

Health longevity risk — Modified duration

Modified duration in years of all payments to beneficiaries included in the best estimate for policies where a decrease in the mortality rate leads to an increase in technical provisions

R0220/C0180

Health disability–morbidity risk (medical expense) — Modified duration

Modified duration in years of the cash flows included in the best estimate of medical expense insurance and reinsurance obligations

R0220/C0210

Health disability–morbidity risk (medical expense) — Payments

Expenses paid related to medical expense insurance and reinsurance during the last 12 months

R0220/C0220

Health disability–morbidity risk (medical expense) — Average inflation rate

Weighted average rate of inflation on medical payments included in the calculation of the best estimate of those obligations, where the weights are based on the present value of medical payments included in the calculation of the best estimate of those obligations.

R0230/C0120

Health disability–morbidity risk (income protection) — Capital at risk

Sum of positive capitals at risk as defined in Article 100 of Delegated Regulation (EU) 2015/35 for all obligations subject to disability–morbidity risk (income protection)

R0230/C0130

Health disability–morbidity risk (income protection) — Capital at risk t+1

Capital at risk as defined in R0230/C0120 after 12 months

R0230/C0150

Health disability–morbidity risk (income protection) — Best estimate

Best estimate of obligations subject to disability–morbidity risk.

R0230/C0160

Health disability–morbidity risk (income protection) — Average rate t+1

Average disability–morbidity rate during the following 12 (t + 1) months weighted by sum insured for policies with a positive capital at risk

R0230/C0170

Health disability–morbidity risk (income protection) — Average rate t+2

Average disability–morbidity rate during the 12 months after the following 12 months (t + 2) weighted by sum insured for policies with a positive capital at risk

R0230/C0180

Health disability–morbidity risk (income protection) — Modified duration

Modified duration in years of all payments on disability–morbidity included in the best estimate for policies with a positive capital at risk

R0230/C0200

Health disability–morbidity risk (income protection) — Termination rates

Expected termination rates during the following 12 months for policies with a positive capital at risk

R0240/C0140

Health SLT lapse risk (up) — Surrender strain

Sum of all positive surrender strains as defined in Article 102 of Delegated Regulation (EU) 2015/35.

R0240/C0160

Health SLT lapse risk (up) — Average rate t+1

Average lapse rate for policies with positive surrender strains

R0240/C0190

Health SLT lapse risk (up) — Average run off period

Average period in years over which the policies with a positive surrender strain run off

R0250/C0140

Health SLT lapse risk (down) — Surrender strain

Sum of all negative surrender strains as defined in Article 102 of Delegated Regulation (EU) 2015/35.

R0250/C0160

Health SLT lapse risk (down) — Average rate t+1

Average lapse rate for policies with negative surrender strains

R0250/C0190

Health SLT lapse risk (down) — Average run off period

Average period in years over which the policies with a negative surrender strain run off

R0260/C0180

Health expense risk — Modified duration

Modified duration in years of the cash flows included in the best estimate of health insurance and reinsurance obligations

R0260/C0210

Health expense risk — Payments

Expenses paid related to health insurance and reinsurance during the last 12 months

R0260/C0220

Health expense risk — Average inflation rate

Weighted average inflation rate included in the calculation of the best estimate of these obligations, weighted by the present value of expenses included in the calculation of the best estimate for servicing existing health obligations.

S.27.01 — Solvency Capital Requirement — Non–life and health catastrophe risk

General comments:
This section relates to annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.27.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where 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.
This template is designed to allow an understanding of how the catastrophe risk module of the SCR has been calculated and what are the main drivers.
For every type of catastrophe risk the risk mitigating effect of the undertaking's specific reinsurance contracts and special purpose vehicles must be determined. This calculation is prospective and must be based on the reinsurance program of the next reporting year as described in the reinsurance templates for Facultative covers (S.30.01 and S.30.02) and Outgoing reinsurance program in the next reporting year (S.30.03 and S.30.04).
Undertakings need to estimate their recoveries from risk mitigation in line with the Directive 2009/138/EC, Delegated Regulation (EU) 2015/35 and any relevant technical standard. Undertakings shall complete the catastrophe reporting template only to the granularity required to perform this calculation.
Under the non–life and health underwriting risk modules, catastrophe risk is defined as the risk of loss, or of adverse change in the value of insurance liabilities, resulting from significant uncertainty of pricing and provisioning assumptions related to extreme or exceptional events as set out in Article 105(2)(b) and (4)(c) of the Directive 2009/138/EC.
The reported capital requirements reflects the capital requirements before and after risk mitigation which is the risk mitigating effect of the undertaking's specific reinsurance contracts and special purpose vehicles. The reported capital requirement after risk mitigation is before the loss absorbing capacity of technical provisions. The default value of the risk mitigation shall be reported as a positive value in order to be deducted.
In case the diversification effect reduces the capital requirement the default value of the diversification shall be reported as a negative value.

 

ITEM

INSTRUCTIONS

Z0010

Article 112

Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:

 

1 — Article 112(7) reporting

 

2 — Regular reporting

Z0020

Ring–fenced fund, matching adjustment portfolio or remaining part

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

 

1 — RFF/MAP

 

2 — Remaining part

Z0030

Fund/Portfolio number

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

When item Z0020 = 2, then report ‘0’

Non–life catastrophe risk — Summary

C0010/R0010

SCR before risk mitigation — Natural catastrophe risk

This is the total catastrophe risk before risk mitigation arising from all natural catastrophe perils and taking into consideration the diversification effect between the perils given in C0010/R0070.

C0010/R0020–R0060

SCR before risk mitigation — Natural catastrophe risk perils

This is the total capital requirement before risk mitigation per natural catastrophe peril, taking into consideration the diversification effect between zones and regions.

Per natural peril this amount is equal to the Catastrophe Risk Charge before risk mitigation.

C0010/R0070

SCR before risk mitigation — Diversification between perils

Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different natural catastrophe perils.

C0020/R0010

Total risk mitigation — Natural catastrophe risk

This is the total risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles arising from all natural catastrophe perils and taking into consideration the diversification effect between the perils given in C0020/R0070.

C0020/R0020–R0060

Total risk mitigation — Natural catastrophe risk perils

This is the total risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles per natural catastrophe peril.

C0020/R0070

Total risk mitigation — Diversification between perils

Diversification effect arising from the aggregation of the risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to different natural catastrophe perils.

C0030/R0010

SCR after risk mitigation — Natural catastrophe risk

This is the total catastrophe risk after risk mitigation arising from all natural catastrophe perils and taking into consideration the diversification effect between the perils given in C0030/R0070.

C0030/R0020–R0060

SCR after risk mitigation — Natural catastrophe risk perils

This is the total capital requirement after risk mitigation per natural catastrophe peril, taking into consideration the diversification effect between zones and regions.

Per natural peril this amount is equal to the Catastrophe Risk Charge after risk mitigation.

C0030/R0070

SCR after risk mitigation — Diversification between perils

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different natural catastrophe perils.

C0010/R0080

SCR before risk mitigation — Catastrophe risk non–proportional property reinsurance

This is the total catastrophe risk before risk mitigation arising from non–proportional property reinsurance.

C0020/R0080

Total risk mitigation — Catastrophe risk non–proportional property reinsurance

This is the total risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles for non–proportional property reinsurance.

C0030/R0080

SCR after risk mitigation — Catastrophe risk non–proportional property reinsurance

This is the total catastrophe risk after risk mitigation arising from non–proportional property reinsurance.

C0010/R0090

SCR before risk mitigation — Man–made catastrophe risk

This is the total catastrophe risk before risk mitigation arising from all man–made perils and taking into consideration the diversification effect between the perils given in C0010/R0160.

C0010/R0100–R0150

SCR before risk mitigation — Man–made catastrophe risk perils

This is the total capital requirement before risk mitigation per man–made peril, taking into consideration the diversification effect between sub–perils.

Per man–made peril this amount is equal to the Catastrophe Risk Charge before risk mitigation.

C0010/R0160

SCR before risk mitigation — Diversification between perils

Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different man–made perils.

C0020/R0090

Total risk mitigation — Man–made catastrophe risk

This is the total risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles arising from all man–made perils and taking into consideration the diversification effect between the perils given in C0020/R0160.

C0020/R0100–R0150

Total risk mitigation — Man–made catastrophe risk perils

This is the total risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles per man–made catastrophe peril.

C0020/R0160

Total risk mitigation — Diversification between perils

Diversification effect arising from the aggregation of the risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to different man–made perils.

C0030/R0090

SCR after risk mitigation — Man–made catastrophe risk

This is the total catastrophe risk after risk mitigation arising from all man–made catastrophe perils and taking into consideration the diversification effect between the perils given in C0030/R0160.

C0030/R0100–R0150

SCR after risk mitigation — Man–made catastrophe risk perils

This is the total capital requirement after risk mitigation per man–made catastrophe peril, taking into consideration the diversification effect between sub–perils.

Per man–made peril this amount is equal to the Catastrophe Risk Charge after risk mitigation.

C0030/R0160

SCR after risk mitigation — Diversification between perils

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different man–made catastrophe perils.

C0010/R0170

SCR before risk mitigation — Other non–life catastrophe risk

This is the total catastrophe risk before risk mitigation arising from all ‘other non–life’ perils and taking into consideration the diversification effect between the perils given in C0010/R0180.

C0010/R0180

SCR before risk mitigation — Diversification between perils

Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different ‘other non–life’ perils.

C0020/R0170

Total risk mitigation — Other non–life catastrophe risk

This is the total risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles arising from all ‘other non–life’ perils and taking into consideration the diversification effect between the perils given in C0020/R0180.

C0020/R0180

Total risk mitigation — Diversification between perils

Diversification effect arising from the aggregation of the risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to different ‘other non–life’ perils.

C0030/R0170

SCR after risk mitigation — Other non–life catastrophe risk

This is the total catastrophe risk after risk mitigation arising from all ‘other non–life’ catastrophe perils and taking into consideration the diversification effect between the perils given in C0030/R0180.

C0030/R0180

SCR after risk mitigation — Diversification between perils

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different ‘other non–life’ catastrophe perils.

C0010/R0190

SCR before risk mitigation — Total Non–life catastrophe risk before diversification

This is the total catastrophe risk before risk mitigation arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks) before the diversification effect between the sub–modules.

C0010/R0200

SCR before risk mitigation — Diversification between sub–modules

Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks).

C0010/R0210

SCR before risk mitigation — Total Non–life catastrophe risk after diversification

This is the total catastrophe risk before risk mitigation arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), taking into consideration the diversification effect between the sub–modules given in C0010/R0200.

C0020/R0190

Total risk mitigation — Total Non–life catastrophe risk before diversification

This is the total risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), before the diversification effect between the sub–modules.

C0020/R0200

Total risk mitigation — Diversification between sub–modules

Diversification effect arising from the aggregation of the risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to different sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks).

C0020/R0210

Total risk mitigation — Total Non–life catastrophe risk after diversification

This is the total risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), taking into consideration the diversification effect between the sub–modules given in C0020/R0200.

C0030/R0190

SCR after risk mitigation — Total Non–life catastrophe risk before diversification

This is the total catastrophe risk after risk mitigation arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), before the diversification effect between the sub–modules.

C0030/R0200

SCR after risk mitigation — Diversification between sub–modules

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks).

C0030/R0210

SCR after risk mitigation — Total Non–life catastrophe risk after diversification

This is the total catastrophe risk after risk mitigation arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), taking into consideration the diversification effect between the sub–modules given in item C0030/R0200.

Health catastrophe risk — Summary

C0010/R0300

SCR before risk mitigation — Health catastrophe risk

This is the total catastrophe risk before risk mitigation arising from all Health catastrophe risk sub–modules and taking into consideration the diversification effect between the sub–modules given in C0010/R0340.

C0010/R0310–R0330

SCR before risk mitigation — Health catastrophe risk sub–modules

This is the total capital requirement before risk mitigation per Health catastrophe risk sub–modules, taking into consideration the diversification effect between the countries.

Per Health catastrophe risk sub–module this amount is equal to the Catastrophe Risk Charge before risk mitigation.

C0010/R0340

SCR before risk mitigation — Diversification between sub–modules

Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different Health catastrophe risk sub–modules.

C0020/R0300

Total risk mitigation — Health catastrophe risk

This is the total risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles arising from all Health catastrophe risk sub–modules and taking into consideration the diversification effect between the sub–modules given in C0020/R0340.

C0020/R0310–R0330

Total risk mitigation — Health catastrophe risk sub–modules

This is the total risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles per Health catastrophe risk sub–module.

C0020/R0340

Total risk mitigation — Diversification between sub–modules

Diversification effect arising from the aggregation of the risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to different Health catastrophe risk sub–modules.

C0030/R0300

SCR after risk mitigation — Health catastrophe risk

This is the total catastrophe risk after risk mitigation arising from all Health catastrophe risk sub–modules and taking into consideration the diversification effect between the sub–modules given in C0030/R0340.

C0030/R0310–R0330

SCR after risk mitigation — Health catastrophe risk sub–modules

This is the total capital requirement after risk mitigation per Health catastrophe risk sub–module, taking into consideration the diversification effect between countries.

Per Health catastrophe risk sub–module this amount is equal to the Catastrophe Risk Charge after risk mitigation.

C0030/R0340

SCR after risk mitigation — Diversification between sub–modules

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different Health catastrophe risk sub–modules.

Non–life catastrophe risk

Natural catastrophe risk — Windstorm

C0040/R0610–R0780

Estimation of the gross premium to be earned — Other Regions

An estimate of the premiums to be earned by the insurance or reinsurance undertaking, during the following year in relation to the 14 regions other than the EEA regions (include regions as specified in Annex III, except the ones specified in Annex V or in Annex XIII of Delegated Regulation (EU) 2015/35), for the contract in relation to the obligations of lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35 Fire and other damage covering windstorm risk, including the proportional reinsurance obligations and marine, aviation and transport insurance covering onshore property damage by windstorm, including the proportional reinsurance obligations.

Premiums shall be gross, without deduction of premiums for reinsurance contracts.

C0040/R0790

Estimation of the gross premium to be earned — Total Windstorm Other Regions before diversifications

Total of the estimate of the premiums to be earned by the insurance or reinsurance undertaking before diversification, during the following year for the other 14 regions other than the EEA regions.

 

 

 

C0050/R0400–R0590

Exposure — EEA Region

The sum of the total insured per each of the 20 EEA regions for lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:

—

Fire and other damage, including the proportional reinsurance obligations, in relation to contracts that cover windstorm risk and where the risk is situated in this particular EEA 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 EEA region.

C0050/R0600

Exposure — Total Windstorm EEA Regions before diversification

Total of the exposure before diversification for the 20 EEA regions.

C0060/R0400–R0590

Specified Gross Loss — EEA Region

Specified gross windstorm loss per each of the 20 EEA regions, taking into consideration the effect of diversification effect between zones.

C0060/R0600

Specified Gross Loss — Total Windstorm EEA Regions before diversification

Total of the specified gross loss before diversification for the 20 EEA regions.

C0070/R0400–R0590

Catastrophe Risk Charge Factor before risk mitigation — EEA Region

The risk charge factor per each of the 20 EEA regions for Windstorm, taking into consideration the effect of diversification efferct between zones.

C0070/R0600

Catastrophe Risk Charge Factor before risk mitigation — Total Windstorm EEA Regions before diversification

Ratio between total specified gross loss and total exposure.

C0080/R0400–R0590

Scenario A or B — EEA Region

The larger of the capital requirement for Windstorm risk for each of the 20 EEA regions according to scenario A or scenario B.

When determining the largest amount of scenario A and B, the risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, shall be taken into account.

C0090/R0400–R0590

Catastrophe Risk Charge before risk mitigation — EEA Region

Capital requirement before risk mitigation arising from Windstorm for each of the 20 EEA Regions corresponding to the larger of scenario A or B.

C0090/R0600

Catastrophe Risk Charge before risk mitigation — Total Windstorm EEA Regions before diversification

Total of the capital requirement before risk mitigation arising from Windstorm for the 20 EEA 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 EEA 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 EEA 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 — EEA Region

Per each of the 20 EEA Regions, the estimated risk mitigation effect, corresponding to the selected scenario, of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums.

C0100/R0600

Estimated Risk Mitigation — Total Windstorm EEA Regions before diversification

Total of the estimated risk mitigation arising from Windstorm for the 20 EEA regions.

C0100/R0790

Estimated Risk Mitigation — Total Windstorm Other Regions before diversifications

For all the regions other the EEA Regions, the estimated risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums.

C0100/R0800

Estimated Risk Mitigation — Total Windstorm all Regions before diversification

Total of the estimated risk mitigation arising from Windstorm for all regions.

C0110/R0400–R0590

Estimated Reinstatement Premiums — EEA Region

For each of the 20 EEA Regions, the estimated reinstatement premiums, corresponding to the selected scenario, as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril.

C0110/R0600

Estimated Reinstatement Premiums — Total Windstorm EEA Regions before diversification

Total of the estimated reinstatement premiums for the 20 EEA regions.

C0110/R0790

Estimated Reinstatement Premiums — Total Windstorm Other Regions before diversifications

For all the regions other than the EEA Regions, the estimated reinstatement premiums, as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril.

C0110/R0800

Estimated Reinstatement Premiums — Total Windstorm all Regions before diversification

Total of the estimated reinstatement premiums for all regions.

C0120/R0400–R0590

Catastrophe Risk Charge after risk mitigation — EEA Region

Capital requirement, after the deduction of the risk mitigating effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Windstorms in each of the EEA regions, corresponding to the selected scenario.

C0120/R0600

Catastrophe Risk Charge after risk mitigation — Total Windstorm EEA Regions before diversification

Total of the capital requirement, after the deduction of the risk mitigating effect of the undertaking's specific reinsurance contracts and special purpose vehicles for the 20 EEA 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 EEA Regions. It is the amount of the instantaneous loss, including the deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles.

C0120/R0800

Catastrophe Risk Charge after risk mitigation — Total Windstorm all Regions before diversification

Total of the capital requirement, after the deduction of the risk mitigating effect of the undertaking's specific reinsurance contracts and special purpose vehicles for all regions.

C0120/R0810

Catastrophe Risk Charge after risk mitigation — Diversification effect between regions

Diversification effect arising from the aggregation of the capital requirement after risk mitigations for Windstorm risks relating to the different regions (both EEA Regions and ‘other regions’).

C0120/R0820

Catastrophe Risk Charge after risk mitigation — Total Windstorm after diversification

This is the total capital requirement after risk mitigation for Windstorm risk, taking into consideration the diversification effect given in item C0120/R0810.

Natural catastrophe risk — Earthquake

C0130/R1040–R1210

Estimation of the gross premium to be earned — Other Regions

An estimate of the premiums to be earned by the insurance or reinsurance undertaking, during the following year in relation to each of the 14 regions other than the EEA Regions (include regions as specified in Annex III, except the ones specified in Annex V or in Annex XIII of Delegated Regulation (EU) 2015/35), for the contract in relation to the obligations of lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:

—

Fire and other damage covering earthquake risk, including the proportional reinsurance obligations; and

—

Marine, aviation and transport insurance covering onshore property damage by earthquake, including the proportional reinsurance obligations.

Premiums shall be gross, without deduction of premiums for reinsurance contracts.

C0130/R1220

Estimation of the gross premium to be earned — Total Earthquake Other Regions before diversification

Total of the estimate of the premiums to be earned, by the insurance or reinsurance undertaking, during the following year for the other regions.

C0140/R0830–R1020

Exposure — EEA Region

The sum of the total insured per each of the 20 EEA regions for the lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:

—

Fire and other damage, including the proportional reinsurance obligations, in relation to contracts that cover Earthquake risk and where the risk is situated in this particular EEA 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 EEA region.

C0140/R1030

Exposure — Total Earthquake EEA Regions before diversification

Total of the exposure for the 20 EEA regions.

C0150/R0830–R1020

Specified Gross Loss — EEA Region

Specified gross Earthquake loss for each of the 20 EEA regions, taking into consideration the effect of diversification effect between zones.

C0150/R1030

Specified Gross Loss — Total Earthquake EEA Regions before diversification

Total of the specified gross Earthquake loss for the 20 EEA regions.

C0160/R0830–R1020

Catastrophe Risk Charge Factor before risk mitigation — EEA Region

The Risk Charge Factor per each of the 20 EEA 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 EEA Regions before diversification

Ratio between total specified gross loss and total exposure.

C0170/R0830–R1020

Catastrophe Risk Charge before risk mitigation — EEA Region

Capital requirement before risk mitigation arising from Earthquakes in each of the 20 EEA Regions.

C0170/R1030

Catastrophe Risk Charge before risk mitigation — Total Earthquake EEA Regions before diversification

Total of the capital requirement before risk mitigation arising from Earthquakes for the 20 EEA 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 EEA 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 EEA 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 — EEA Region

Per each of the 20 EEA Regions the estimated risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums.

C0180/R1030

Estimated Risk Mitigation — Total Earthquake EEA Regions before diversification

Total of the estimated Risk Mitigation for the 20 EEA regions.

C0180/R1220

Estimated Risk Mitigation — Total Earthquake — Other Regions before diversification

For all the regions other than the EEA Regions, the estimated risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums.

C0180/R1230

Estimated Risk Mitigation — Total Earthquake — All Regions before diversification

Total of the estimated Risk Mitigation for all regions.

C0190/R0830–R1020

Estimated Reinstatement Premiums — EEA Region

Per each of the 20 EEA Regions the estimated reinstatement premiums as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril.

C0190/R1030

Estimated Reinstatement Premiums — Total Earthquake EEA Regions before diversification

Total of the estimated reinstatement premiums for the 20 EEA regions.

C0190/R1220

Estimated Reinstatement Premiums — Total Earthquake Other Regions before diversification

For all the regions other than the EEA Regions, the estimated reinstatement premiums, as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril.

C0190/R1230

Estimated Reinstatement Premiums — Total Earthquake All Regions before diversification

Total of the estimated reinstatement premiums for all regions.

C0200/R0830–R1020

Catastrophe Risk Charge after risk mitigation — EEA Region

Capital requirement, after the deduction of the risk mitigating effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Earthquake in each of the 20 EEA regions.

C0200/R1030

Catastrophe Risk Charge after risk mitigation — Total Earthquake EEA Regions before diversification

Total of the capital requirement, after the deduction of the risk mitigating effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Earthquake for the 20 EEA 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 EEA Regions. It is the amount of the instantaneous loss, including the deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles.

C0200/R1230

Catastrophe Risk Charge after risk mitigation — Total Earthquake All Regions before diversification

Total of the capital requirement, after the deduction of the risk mitigating effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Earthquake for all regions.

C0200/R1240

Catastrophe Risk Charge after risk mitigation — Diversification effect between regions

Diversification effect arising from the aggregation of the capital requirement after risk mitigations for Earthquake risks relating to the different regions (both EEA Regions and Other regions).

C0200/R1250

Catastrophe Risk Charge after risk mitigation — Total Earthquake after diversification

This is the total capital requirement after risk mitigation for Earthquake risk, taking into consideration the diversification effect given in C0200/R1240.

Natural catastrophe risk — Flood

C0210/R1410–R1580

Estimation of the gross premiums to be earned — Other Regions

An estimate of the premiums to be earned by the insurance or reinsurance undertaking, during the following year in relation to each of the 14 regions other than the EEA Regions (include regions as specified in Annex III, except the ones specified in Annex V or in Annex XIII of Delegated Regulation (EU) 2015/35), for the contract in relation to the obligations of lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:

—

Fire and other damage covering flood risk, including the proportional reinsurance obligations;

—

Marine, aviation and transport insurance covering onshore property damage by flood, including the proportional reinsurance obligations;

—

Other motor insurance, including the proportional reinsurance obligations.

Premiums shall be gross, without deduction of premiums for reinsurance contracts.

C0210/R1590

Estimation of the gross premium to be earned — Total Flood Other Regions before diversification

Total of the estimate of the premiums to be earned, by the insurance or reinsurance undertaking, during the following year for the other regions.

C0220/R1260–R1390

Exposure — EEA Region

The sum of the total insured per each of the 14 EEA regions of lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:

—

Fire and other damage, including the proportional reinsurance obligations, in relation to contracts that cover Flood risk and where the risk is situated in this particular EEA 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 EEA 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 EEA region.

C0220/R1400

Exposure — Total Flood EEA Regions before diversification

Total of the exposure for the 14 EEA regions.

C0230/R1260–R1390

Specified Gross Loss — EEA Region

Specified gross Flood loss in each of the 14 EEA regions, taking into consideration the effect of diversification effect between zones.

C0230/R1400

Specified Gross Loss — Total Flood EEA Regions before diversification

Total of the specified gross Flood loss for the 14 EEA regions.

C0240/R1260–R1390

Catastrophe Risk Charge Factor before risk mitigation — EEA Region

The Risk Charge Factor per each of the 14 EEA 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 EEA Regions before diversification

Ratio between total specified gross loss and total exposure.

C0250/R1260–R1390

Scenario A or B — EEA Region

The larger of the capital requirement for Flood risk in each of the 14 EEA regions according to scenario A or scenario B.

When determining the largest amount of scenario A and B, the risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, must be taken into account.

C0260/R1260–R1390

Catastrophe Risk Charge before risk mitigation — EEA Region

Capital requirement before risk mitigation arising from Floods in each of the 14 EEA Regions, corresponding to the larger of scenario A or B.

C0260/R1400

Catastrophe Risk Charge before risk mitigation — Total Flood EEA Regions before diversification

Total of the capital requirement before risk mitigation arising from Floods for the 14 EEA 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 EEA 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 EEA 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 — EEA Region

Per each of the 14 EEA Regions the estimated risk mitigation effect, corresponding to the selected scenario, of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums.

C0270/R1400

Estimated Risk Mitigation — Total Flood EEA Regions before diversification

Total of the estimated Risk Mitigation for the 14 EEA regions.

C0270/R1590

Estimated Risk Mitigation — Total Flood Other Regions before diversification

For all the regions other than the EEA Regions, the estimated risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums.

C0270/R1600

Estimated Risk Mitigation — Total Flood All Regions before diversification

Total of the estimated Risk Mitigation for all regions.

C0280/R1260–R1390

Estimated Reinstatement Premiums — EEA Region

Per each of the 14 EEA Regions the estimated reinstatement premiums, corresponding to the selected scenario, as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril.

C0280/R1400

Estimated Reinstatement Premiums — Total Flood –EEA Regions before diversification

Total of the estimated reinstatement premiums for the 14 EEA regions.

C0280/R1590

Estimated Reinstatement Premiums — Total Flood –Other Regions before diversification

For all the regions other than the EEA Regions, the estimated reinstatement premiums, as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril.

C0280/R1600

Estimated Reinstatement Premiums — Total Flood — All Regions before diversification

Total of the estimated reinstatement premiums for all regions.

C0290/R1260–R1390

Catastrophe Risk Charge after risk mitigation — EEA Region

Capital requirement, after the deduction of the risk mitigating effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Flood in each of the 14 EEA regions, corresponding to the selected scenario.

C0290/R1400

Catastrophe Risk Charge after risk mitigation — Total Flood — EEA Regions before diversification

Total of the capital requirement, after the deduction of the risk mitigating effect of the undertaking's specific reinsurance contracts and special purpose vehicles for the 14 EEA 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 EEA Regions. It is the amount of the instantaneous loss, including the deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles.

C0290/R1600

Catastrophe Risk Charge after risk mitigation — Total Flood — All Regions before diversification

Total of the capital requirement, after the deduction of the risk mitigating effect of the undertaking's specific reinsurance contracts and special purpose vehicles all regions.

C0290/R1610

Catastrophe Risk Charge after risk mitigation — Diversification effect between regions

Diversification effect arising from the aggregation of the capital requirement after risk mitigations for Flood risks relating to the different regions (both EEA Regions and Other regions).

C0290/R1620

Catastrophe Risk Charge after risk mitigation — Total Flood after diversification

This is the total capital requirement after risk mitigation for Flood risk, taking into consideration the diversification effect given in C0290/R1610.

Natural catastrophe risk — Hail

C0300/R1730–R1900

Estimation of the gross premiums to be earned — Other Regions

An estimate of the premiums to be earned by the insurance or reinsurance undertaking, during the following year and in relation to each of the 9 regions other than the EEA Regions (include regions as specified in Annex III, except the ones specified in Annex V or in Annex XIII of Delegated Regulation (EU) 2015/35), for the contract in relation to the obligations of lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:

—

Fire and other damage covering hail risk, including the proportional reinsurance obligations;

—

Marine, aviation and transport insurance covering onshore property damage by hail, including the proportional reinsurance obligations; and

—

Other motor insurance, including the proportional reinsurance obligations.

Premiums shall be gross, without deduction of premiums for reinsurance contracts.

C0300/R1910

Estimation of the gross premium to be earned — Total Hail Other Regions before diversification

Total of the estimate of the premiums to be earned, by the insurance or reinsurance undertaking, during the following year for the other regions.

C0310/R1630–R1710

Exposure — EEA Region

The sum of the total insured per each of the 9 EEA regions for lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:

—

Fire and other damage, including the proportional reinsurance obligations, in relation to contracts that cover Hail risk and where the risk is situated in this particular EEA 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 EEA 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 EEA region.

C0310/R1720

Exposure — Total Hail EEA Regions before diversification

Total of the exposure for the 9 EEA regions.

C0320/R1630–R1710

Specified Gross Loss — EEA Region

Specified gross Hail loss in each of the 9 EEA regions, taking into consideration the effect of diversification effect between zones.

C0320/R1720

Specified Gross Loss — Total Hail EEA Regions before diversification

Total of the specified gross Hail loss for the 9 EEA regions.

C0330/R1630–R1710

Catastrophe Risk Charge Factor before risk mitigation — EEA Region

The Risk Charge Factor per each of the 9 EEA 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 EEA Regions before diversification

Ratio between total specified gross loss and total exposure.

C0340/R1630–R1710

Scenario A or B — EEA Region

The larger of the capital requirement for Hail risk in each of the 9 EEA regions according to scenario A or scenario B.

When determining the largest amount of scenario A and B, the risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, must be taken into account.

C0350/R1630–R1710

Catastrophe Risk Charge before risk mitigation — EEA Region

Capital requirement before risk mitigation arising from Hails in each of the 9 EEA Regions corresponding to the larger of scenario A or B.

C0350/R1720

Catastrophe Risk Charge before risk mitigation — Total Hail EEA Regions before diversification

Total of the capital requirement before risk mitigation arising from Hails for the 9 EEA 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 EEA 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 EEA 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 — EEA Region

Per each of the 9 EEA Regions the estimated risk mitigation effect, corresponding to the selected scenario, of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums.

C0360/R1720

Estimated Risk Mitigation — Total Hail EEA Region before diversification

Total of the estimated risk mitigation for the 9 EEA regions.

C0360/R1910

Estimated Risk Mitigation — Total Hail Other Regions before diversification

For all the regions other than the EEA Regions, the estimated risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums.

C0360/R1920

Estimated Risk Mitigation — Total Hail All Regions before diversification

Total of the estimated risk mitigation for all regions.

C0370/R1630–R1710

Estimated Reinstatement Premiums — EEA Region

Per each of the 9 EEA Regions the estimated reinstatement premiums, corresponding to the selected scenario, as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril.

C0370/R1720

Estimated Reinstatement Premiums — Total Hail EEA Regions before diversification

Total of the estimated reinstatement premiums for the 9 EEA regions.

C0370/R1910

Estimated Reinstatement Premiums — Total Hail Other Regions before diversification

For all the regions other than the EEA Regions, the estimated reinstatement premiums, as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril.

C0370/R1920

Estimated Reinstatement Premiums — Total Hail All Regions before diversification

Total of the estimated reinstatement premiums for all regions.

C0380/R1630–R1710

Catastrophe Risk Charge after risk mitigation — EEA Region

Capital requirement, after the deduction of the risk mitigating effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Hail in each of the 9 EEA Regions, corresponding to the selected scenario.

C0380/R1720

Catastrophe Risk Charge after risk mitigation — Total Hail EEA Regions before diversification

Total of the capital requirement, after the deduction of the risk mitigating effect of the undertaking's specific reinsurance contracts and special purpose vehicles for the 9 EEA 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 EEA Regions. It is the amount of the instantaneous loss, including the deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles.

C0380/R1920

Catastrophe Risk Charge after risk mitigation — Total Hail All Regions before diversification

Total of the capital requirement, after the deduction of the risk mitigating effect of the undertaking's specific reinsurance contracts and special purpose vehicles for all regions.

C0380/R1930

Catastrophe Risk Charge after risk mitigation — Diversification effect between regions

Diversification effect arising from the aggregation of the capital requirement after risk mitigations for Hail risks relating to the different regions (both EEA Regions and Other regions).

C0380/R1940

Catastrophe Risk Charge after risk mitigation — Total Hail after diversification

This is the total capital requirement after risk mitigation for Hail risk, taking into consideration the diversification effect given in C0380/R1930.

Natural catastrophe risk — Subsidence

C0390/R1950

Estimation of the gross premium to be earned — Total Subsidence before diversification

An estimate of the premiums to be earned, by the insurance or reinsurance undertaking, during the following year, for the contract in relation to the obligations of fire and other damage, including the proportional reinsurance obligations.

Premiums shall be gross, without deduction of premiums for reinsurance contracts, and in relation to the territory of France.

C0400/R1950

Exposure — Total Subsidence before diversification

The sum of the total insured made up of the geographical divisions of the territory of France for fire and other damage, including the proportional reinsurance obligations, which are sufficiently homogeneous in relation to the subsidence risk that the insurance and reinsurance undertakings are exposed to in relation to the territory. Together the zones shall comprise the whole territory.

C0410/R1950

Specified Gross Loss — Total Subsidence before diversification

Specified gross subsidence loss, 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, taking into consideration the effect of diversification effect between zones.

C0430/R1950

Catastrophe Risk Charge before risk mitigation — Total Subsidence before diversification

The capital requirement before risk mitigation for Subsidence risk in the territory of France. It is the amount of the instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles, which for subsidence is equal to the Specified Gross Loss (item C0410/R1950).

C0430/R1960

Catastrophe Risk Charge before risk mitigation — Diversification effect between zones

Diversification effect arising from the aggregation of the Subsidence risks relating to the different zones of the territory of France.

C0430/R1970

Catastrophe Risk Charge before risk mitigation — Total Subsidence after diversification

This is the total capital requirement before risk mitigation for subsidence risk, taking into consideration the diversification effect given in item C0430/R1960.

C0440/R1950

Estimated Risk Mitigation — Total Subsidence before diversification

The estimated risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums.

C0450/R1950

Estimated Reinstatement Premiums — Total Subsidence before diversification

The estimated reinstatement premiums as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril.

C0460/R1950

Catastrophe Risk Charge after risk mitigation — Total Subsidence before diversification

Capital requirement, after the deduction of the risk mitigating effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, arising from subsidence.

C0460/R1960

Catastrophe Risk Charge after risk mitigation — Diversification effect between zones

Diversification effect arising from the aggregation of the capital requirement after risk mitigations for Subsidence risks relating to the different zones of the territory of France.

C0460/R1970

Catastrophe Risk Charge after risk mitigation — Total Subsidence after diversification

This is the total capital requirement after risk mitigation for subsidence risk, taking into consideration the diversification effect given in item C0460/R1960.

Natural catastrophe risk — Non–proportional property reinsurance

C0470/R2000

Estimation of the gross premium to be earned

An estimate of the premiums to be earned, by the insurance or reinsurance undertaking, during the following year, for the contract in relation to the obligations of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, non–proportional property reinsurance other than non–proportional reinsurance obligations relating to insurance obligations included in lines of business 9 and 21.

Premiums shall be gross, without deduction of premiums for reinsurance contracts.

C0480/R2000

Catastrophe Risk Charge before risk mitigation

The capital requirement before risk mitigation for non–proportional property reinsurance. It is the amount of the instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles.

C0490/R2000

Estimated Risk Mitigation

The estimated risk mitigation effect of the undertaking's specific retrocession contracts and special purpose vehicles relating to risks arising from accepted non–proportional property reinsurance, excluding the estimated reinstatement premiums.

C0500/R2000

Estimated Reinstatement Premiums

The estimated reinstatement premiums as a result of the undertaking's specific retrocession contracts and special purpose vehicles relating to risks arising from accepted non–proportional property reinsurance.

C0510/R2000

Catastrophe Risk Charge after risk mitigation

Capital requirement, after the deduction of the risk mitigating effect of the undertaking's specific retrocession contracts and special purpose vehicles relating to risks arising from accepted non–proportional property reinsurance.

Man–made catastrophe risk — Motor Vehicle Liability

C0520/R2100

Number of vehicles policy limit above 24M EUR

Number of vehicles insured by the insurance or reinsurance undertaking in line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Motor vehicle liability insurance, including proportional reinsurance obligations, with a deemed policy limit above 24000000 Euro.

C0530/R2100

Number of vehicles policy limit below or equal to 24M EUR

Number of vehicles insured by the insurance or reinsurance undertaking in line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Motor vehicle liability insurance, including proportional reinsurance obligations, with a deemed policy limit below or equal to 24000000 Euro.

C0540/R2100

Catastrophe Risk Charge Motor Vehicle Liability before risk mitigation

This is the total capital requirement before risk mitigation for Motor Vehicle Liability risk.

C0550/R2100

Estimated Risk Mitigation

The estimated risk mitigation effect of the undertaking's specific retrocession contracts and special purpose vehicles relating to risks arising from Motor Vehicle Liability, excluding the estimated reinstatement premiums.

C0560/R2100

Estimated Reinstatement Premiums

The estimated reinstatement premiums as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to risks arising from Motor Vehicle Liability.

C0570/R2100

Catastrophe Risk Charge Motor Vehicle Liability after risk mitigation

Capital requirement, after the deduction of the risk mitigating effect of the undertaking's specific retrocession contracts and special purpose vehicles, relating to risks arising from Motor Vehicle Liability.

Man–made catastrophe risk — Marine Tanker Collision

C0580/R2200

Type of cover Catastrophe Risk Charge Share marine hull in tanker t before risk mitigation

This is the capital requirement before risk mitigation, per each marine hull cover, for risks arising from Marine Tanker Collision.

The maximum relates to all oil and gas tankers insured by the insurance or reinsurance undertaking in respect of tanker collision in lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:

—

Marine, aviation and transport, including proportional reinsurance obligations; and

—

Non–proportional marine, aviation and transport reinsurance.

The amount for this cover is equal to the sum insured accepted by the insurance or reinsurance undertaking for marine insurance and reinsurance in relation to each tanker.

C0590/R2200

Catastrophe Risk Charge Share marine liability in tanker t before risk mitigation

This is the capital requirement before risk mitigation, per marine liability cover, for risks arising from Marine Tanker Collision.

The maximum relates to all oil and gas tankers insured by the insurance or reinsurance undertaking in respect of tanker collision in lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:

—

Marine, aviation and transport, including proportional reinsurance obligations; and

—

Non–proportional marine, aviation and transport reinsurance.

The amount for this cover is equal to the sum insured accepted by the insurance or reinsurance undertaking for marine insurance and reinsurance in relation to each tanker.

C0600/R2200

Catastrophe Risk Charge Share marine oil pollution liability in tanker t before risk mitigation

This is the capital requirement before risk mitigation, per marine oil polution liability cover, for risks arising from Marine Tanker Collision.

The maximum relates to all oil and gas tankers insured by the insurance or reinsurance undertaking in respect of tanker collision in lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:

—

Marine, aviation and transport, including proportional reinsurance obligations; and

—

Non–proportional marine, aviation and transport reinsurance.

The amount for this cover is equal to the sum insured accepted by the insurance or reinsurance undertaking for marine insurance and reinsurance in relation to each tanker.

C0610/R2200

Catastrophe Risk Charge Marine Tanker Collision before risk mitigation

This is the total capital requirement before risk mitigation for risks arising from Marine Tanker Collision.

C0620/R2200

Estimated Risk Mitigation

The estimated risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to risks arising from Marine Tanker Collision, excluding the estimated reinstatement premiums.

C0630/R2200

Estimated Reinstatement Premiums

The estimated reinstatement premiums as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to risks arising from Marine Tanker Collision.

C0640/R2200

Catastrophe Risk Charge Marine Tanker Collision after risk mitigation

The total capital requirement after risk mitigation, after the deduction of the risk mitigating effect of the undertaking's specific retrocession contracts and special purpose vehicles, relating to risks arising from Marine Tanker Collision.

C0650/R2200

Name vessel

Name of the corresponding vessel.

Man–made catastrophe risk — Marine Platform Explosion

C0660–C0700/R2300

Catastrophe Risk Charge Marine Platform Explosion — Type of cover — before risk mitigation

This is the capital requirement before risk mitigation, per type of cover (Property damage, Removal of wreckage, Loss of production income, Capping of the well or making the well secure, Liability insurance and reinsurance obligations), for risks arising from Marine Platform Explosion.

The maximum relates to all oil and gas offshore platforms insured by the insurance or reinsurance undertaking in respect of platform explosion in lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:

—

Marine, aviation and transport, including proportional reinsurance obligations; and

—

Non–proportional marine, aviation and transport reinsurance.

The amount per type of cover is equal to the sum insured for the specific type of cover accepted by the insurance or reinsurance undertaking in relation to the selected platform.

C0710/R2300

Catastrophe Risk Charge Marine Platform Explosion before risk mitigation

This is the total capital requirement before risk mitigation for risks arising from Marine Platform Explosion.

C0720/R2300

Estimated Risk Mitigation

The estimated risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to risks arising from Marine Platform Explosion, excluding the estimated reinstatement premiums.

C0730/R2300

Estimated Reinstatement Premiums

The estimated reinstatement premiums as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to risks arising from Marine Platform Explosion.

C0740/R2300

Catastrophe Risk Charge Marine Platform Explosion after risk mitigation

Capital requirement, after the deduction of the risk mitigating effect of the undertaking's specific retrocession contracts and special purpose vehicles, relating to risks arising from Marine Platform Explosion.

C0750/R2300

Name platform

Name of the corresponding platform.

Man–made catastrophe risk — Marine

C0760/R2400

Catastrophe Risk Charge Marine before risk mitigation — Total before diversification

This is the total capital requirement before risk mitigation, before diversification effect between types of events, for marine risks.

C0760/R2410

Catastrophe Risk Charge Marine before risk mitigation — Diversification between type of event

Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different type of events for marine risks.

C0760/R2420

Catastrophe Risk Charge Marine before risk mitigation — Total after diversification

This is the total capital requirement before risk mitigation, after diversification effect between the types of events, for marine risks.

C0770/R2400

Estimated Total Risk Mitigation — Total before diversification

This is the total risk mitigation effect, before diversification effect between types of events, of the undertaking's specific reinsurance contracts and special purpose vehicles arising from the marine risks.

C0780/R2400

Catastrophe Risk Charge Marine after risk mitigation — Total before diversification

This is the total capital requirement after risk mitigation, before diversification effect between types of events, for marine risks.

C0780/R2410

Catastrophe Risk Charge Marine after risk mitigation — Diversification between type of event

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different type of events for marine risks.

C0780/R2420

Catastrophe Risk Charge Marine after risk mitigation — Total after diversification

This is the total capital requirement after risk mitigation, after diversification effect between the types of events, for marine risks.

Man–made catastrophe risk — Aviation

C0790–C0800/R2500

Catastrophe Risk Charge Aviation before risk mitigation — Type of cover– before risk mitigation

This is the capital requirement before risk mitigation, per type of cover (Aviation hull and Aviation liability), for risks arising from Aviation.

The maximum relates to all aircrafts insured by the insurance or reinsurance undertaking in lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35:

—

Marine, aviation and transport, including proportional reinsurance obligations; and

—

Non–proportional marine, aviation and transport reinsurance.

The amount per type of cover is equal to the sum insured for the specific type of cover accepted by the insurance or reinsurance undertaking for aviation insurance and reinsurance and in relation to the selected aircraft.

C0810/R2500

Catastrophe Risk Charge Aviation before risk mitigation

This is the total capital requirement before risk mitigation for risks arising from Aviation.

C0820/R2500

Estimated Risk Mitigation

The estimated risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to risks arising from Aviation, excluding the estimated reinstatement premiums.

C0830/R2500

Estimated Reinstatement Premiums

The estimated reinstatement premiums as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to risks arising from Aviation.

C0840/R2500

Catastrophe Risk Charge Aviation after risk mitigation — Total (row)

The total capital requirement after risk mitigation, after the deduction of the risk mitigating effect of the undertaking's specific retrocession contracts and special purpose vehicles, relating to risks arising from Aviation.

Man–made catastrophe risk — Fire

C0850/R2600

Catastrophe Risk Charge Fire before risk mitigation

This is the total capital requirement before risk mitigation for Fire risks.

This amount is equal to the largest fire risk concentration of an insurance or reinsurance undertaking being the set of buildings with the largest sum insured that meets the following conditions:

—

The insurance or reinsurance undertaking has insurance or reinsurance obligations in lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35 Fire and other damage to property insurance, including proportional reinsurance obligations, in relation to each building which cover damage due to fire or explosion, including as a result of terrorist attacks.

—

All buildings are partly or fully located within a radius of 200 meters.

C0860/R2600

Estimated Risk Mitigation

The estimated risk mitigation effect of the undertaking's specific retrocession contracts and special purpose vehicles relating to risks arising from Fire, excluding the estimated reinstatement premiums.

C0870/R2600

Estimated Reinstatement Premiums

The estimated reinstatement premiums as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to risks arising from Fire.

C0880/R2600

Catastrophe Risk Charge after risk mitigation Fire

The total capital requirement after risk mitigation, after the deduction of the risk mitigating effect of the undertaking's specific retrocession contracts and special purpose vehicles, relating to risks arising from Fire.

Man–made catastrophe risk — Liability

C0890/R2700–R2740

Earned premium following 12 months –Type of cover

Premiums earned, per type of cover, by the insurance or reinsurance undertaking, during the following 12 months, in relation to insurance and reinsurance obligations in liability risks, for the following type of covers:

—

Professional malpractice liability insurance and proportional reinsurance obligations other than professional malpractice liability insurance and reinsurance for self–employed crafts persons or artisans;

—

Employers liability insurance and proportional reinsurance obligations;

—

Directors and officers liability insurance and proportional reinsurance obligations;

—

Liability insurance and reinsurance obligations included in line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, General liability insurance, including proportional reinsurance obligations, other than obligations included in liability risk groups 1 to 3 and other than personal liability insurance and proportional reinsurance and other than professional malpractice liability insurance and reinsurance for self–employed crafts persons or artisans;

—

Non–proportional reinsurance.

For this purpose premiums shall be gross, without deduction of premiums for reinsurance contracts.

C0890/R2750

Earned premium follwoing 12 months — Total

Total for all types of covers of premiums earned by the insurance or reinsurance undertaking, during the following 12 months.

C0900/R2700–R2740

Largest liability limit provided –Type of cover

The largest liability limit, per type of cover, provided by the insurance or reinsurance undertaking in liability risks.

C0910/R2700–R2740

Number of claims –Type of cover

The number of claims, per type of cover, which is equal to the lowest integer that exceeds the amount according to the provided formula.

C0920/R2700–R2740

Catastrophe Risk Charge Liability before risk mitigation –Type of cover

This is the capital requirement before risk mitigation, per type of cover, for liability risks.

C0920/R2750

Catastrophe Risk Charge Liability before risk mitigation — Total

Total for all types of cover of the capital requirement before risk mitigation for liability risks.

C0930/R2700–R2740

Estimated Risk Mitigation — Type of cover

The estimated risk mitigation effect, per type of cover, of the undertaking's specific reinsurance contracts and special purpose vehicles relating to risks arising from Liability, excluding the estimated reinstatement premiums.

C0930/R2750

Estimated Risk Mitigation — Total

Total for all types of cover of the estimated risk mitigation.

C0940/R2700–R2740

Estimated Reinstatement Premiums — Type of cover

The estimated reinstatement premiums, per type of cover, as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to risks arising from Liability.

C0940/R2750

Estimated Reinstatement Premiums — Total

Total for all types of cover of the estimated reinstatement premiums.

C0950/R2700–R2740

Catastrophe Risk Charge Liability after risk mitigation — Type of cover

Capital requirement, per type of cover, after the deduction of the risk mitigating effect of the undertaking's specific retrocession contracts and special purpose vehicles, relating to risks arising from Liability.

C0950/R2750

Catastrophe Risk Charge Liability after risk mitigation — Total

Total for all types of cover of the capital requirement, per type of cover, after the deduction of the risk mitigating effect of the undertaking's specific retrocession contracts and special purpose vehicles, relating to risks arising from Liability.

C0960/R2800

Catastrophe Risk Charge Liability before risk mitigation — Total before diversification

This is the total capital requirement before risk mitigation, before diversification effect between types of cover, for liability risks.

C0960/R2810

Catastrophe Risk Charge Liability before risk mitigation — Diversification between type of cover

Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different type of covers for liability risks.

C0960/R2820

Catastrophe Risk Charge Liability before risk mitigation — Total after diversification

This is the total capital requirement before risk mitigation, after diversification effect between the types of covers, for liability risks.

C0970/R2800

Estimated Total Risk Mitigation — Total before diversification

This is the estimated total risk mitigation, before diversification effect between types of cover, for liability risks.

C0980/R2800

Catastrophe Risk Charge Liability after risk mitigation — Total before diversification

This is the total capital requirement after risk mitigation, before diversification effect between types of cover, for liability risks.

C0980/R2810

Catastrophe Risk Charge Liability after risk mitigation — Diversification between type of cover

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different type of covers for liability risks.

C0980/R2820

Catastrophe Risk Charge Liability after risk mitigation — Total after diversification

This is the total capital requirement after risk mitigation, after diversification effect between the types of covers, for liability risks.

Man–made catastrophe risk — Credit & Suretyship

C0990/R2900–R2910

Exposure (individual or group) — Largest exposure

Two largest gross credit insurance exposures of the insurance or reinsurance undertaking based on a comparison of the net loss–given–default of the credit insurance exposures, being the loss–given–default after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles.

C0990/R2920

Exposure (individual or group) — Total

Total of the two largest gross credit insurance exposures of the insurance or reinsurance undertaking based on a comparison of the net loss–given–default of the credit insurance exposures, being the loss–given–default after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles.

C1000/R2900–R2910

Proportion of damage caused by scenario — Largest exposure

Percentage representing the loss given default of the gross credit exposure without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, for each of the two largest gross credit insurance exposures of the insurance or reinsurance undertaking.

C1000/R2920

Proportion of damage caused by scenario — Total

Average loss given default of the two largest gross credit exposures without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles.

C1010/R2900–R2910

Catastrophe Risk Charge Credit & Suretyship before risk mitigation — Large Credit Default –Largest exposure

This is the capital requirement before risk mitigation, per largest exposure, arising from the Large Credit Default scenario of Credit & Suretyship risks.

C1010/R2920

Catastrophe Risk Charge Credit & Suretyship before risk mitigation — Large Credit Default — Total

This is the total capital requirement before risk mitigation arising from the Large Credit Default scenario of Credit & Suretyship risks.

C1020/R2900–R2910

Estimated Risk Mitigation — Largest exposure

The estimated risk mitigation effect, per largest exposure, of the undertaking's specific reinsurance contracts and special purpose vehicles relating to risks arising from the Large Credit Default scenario of Credit & Suretyship, excluding the estimated reinstatement premiums.

C1020/R2920

Estimated Risk Mitigation — Total

The estimated risk mitigation effect, for the two largest exposures, of the undertaking's specific reinsurance contracts and special purpose vehicles relating to risks arising from the Large Credit Default scenario of Credit & Suretyship, excluding the estimated reinstatement premiums.

C1030/R2900–R2910

Estimated Reinstatement Premiums — Largest exposure

The estimated reinstatement premiums, per largest exposure, as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to risks arising from the Large Credit Default scenario of Credit & Suretyship.

C1030/R2920

Estimated Reinstatement Premiums — Total

The estimated reinstatement premiums, for the two largest exposures, as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to risks arising from the Large Credit Default scenario of Credit & Suretyship.

C1040/R2900–R2910

Catastrophe Risk Charge Credit & Suretyship after risk mitigation — Large Credit Default — Largest exposure

Net capital requirement, per largest exposure, after the deduction of the risk mitigating effect of the undertaking's specific retrocession contracts and special purpose vehicles, relating to risks arising from the Large Credit Default scenario of Credit & Suretyship.

C1040/R2920

Catastrophe Risk Charge Credit & Suretyship after risk mitigation — Large Credit Default — Total

The total capital requirement after risk mitigation, after the deduction of the risk mitigating effect of the undertaking's specific retrocession contracts and special purpose vehicles, relating to risks arising from the Large Credit Default scenario of Credit & Suretyship.

C1050/R3000

Earned premium following 12 months

Gross premiums earned by the insurance or reinsurance undertaking, during the following 12 months, in line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Credit and Suretyship insurance including proportional reinsurance obligations.

C1060/R3000

Catastrophe Risk Charge Credit & Suretyship before risk mitigation — Recession Risk

This is the total capital requirement before risk mitigation for the Recession scenario of Credit & Suretyship risks.

C1070/R3000

Estimated Risk Mitigation

The estimated risk mitigation effect of the undertaking's specific retrocession contracts and special purpose vehicles relating to risks arising from the Recession scenario of Credit & Suretyship, excluding the estimated reinstatement premiums.

C1080/R3000

Estimated Reinstatement Premiums

The estimated reinstatement premiums as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to risks arising from the Recession scenario of Credit & Suretyship.

C1090/R3000

Catastrophe Risk Charge Credit & Suretyship after risk mitigation — Recession Risk

The total capital requirement after risk mitigation, after the deduction of the risk mitigating effect of the undertaking's specific retrocession contracts and special purpose vehicles, relating to risks arising from the Recession scenario of Credit & Suretyship.

C1100/R3100

Catastrophe Risk Charge Credit & Suretyship before risk mitigation — Total before diversification

This is the total capital requirement before risk mitigation, before diversification effect between types of events, for Credit & Suretyship risks.

C1100/R3110

Catastrophe Risk Charge Credit & Suretyship before risk mitigation — Diversification between type of event

Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different type of events for Credit & Suretyship risks.

C1100/R3120

Catastrophe Risk Charge Credit & Suretyship before risk mitigation — Total after diversification

This is the total capital requirement before risk mitigation, after diversification effect between the types of events, for Credit & Suretyship risks.

C1110/R3100

Estimated Total Risk Mitigation — Total before diversification

This is the total risk mitigation effect, before diversification effect between types of events, of the undertaking's specific reinsurance contracts and special purpose vehicles arising from the Credit & Suretyship risks.

C1120/R3100

Catastrophe Risk Charge Credit & Suretyship after risk mitigation — Total before diversification

This is the total capital requirement after risk mitigation, before diversification effect between types of events, for Credit & Suretyship risks.

C1120/R3110

Catastrophe Risk Charge Credit & Suretyship after risk mitigation — Diversification between type of event

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different type of events for Credit & Suretyship risks.

C1120/R3120

Catastrophe Risk Charge Credit & Suretyship after risk mitigation — Total after diversification

This is the total capital requirement after risk mitigation, after diversification effect between the types of events, for Credit & Suretyship risks.

Man–made catastrophe risk — Other non–life catastrophe risk

C1130/R3200–R3240

Estimation of the gross premium to be earned — Group of obligations

An estimate of the premiums to be earned by the insurance or reinsurance undertaking, during the following year, for the contracts in relation to the following group of obligations:

—

Insurance and reinsurance obligations included in line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, Marine, aviation and transport insurance, including proportional reinsurance obligations, other than marine insurance and reinsurance and aviation insurance and reinsurance;

—

Reinsurance obligations included in line of business Non–proportional marine, aviation and transport reinsurance, other than marine reinsurance and aviation reinsurance;

—

Insurance and reinsurance obligations included in line of business Miscellaneous financial loss, including proportional reinsurance obligations other than extended warranty insurance and reinsurance obligations provided that the portfolio of these obligations is highly diversified and these obligation do not cover the costs of product recalls;

—

Reinsurance obligations included in line of business Non–proportional casualty reinsurance, other than general liability reinsurance;

—

Non–proportional reinsurance obligations relating to insurance obligations included in line of business Credit and Suretyship insurance, including proportional reinsurance obligations.

Premiums shall be gross, without deduction of premiums for reinsurance contracts.

C1140/R3200–R3240

Catastrophe Risk Charge Other non–life catastrophe risk before risk mitigation — Group of obligations

This is the capital requirement before risk mitigation, per group of obligations, for Other non–life catastrophe risks.

C1140/R3250

Catastrophe Risk Charge Other non–life catastrophe risk before risk mitigation — Total before diversification

This is the total capital requirement before risk mitigation, before diversification effect between groups of obligations, for Other non–life catastrophe risks.

C1140/R3260

Catastrophe Risk Charge Other non–life catastrophe risk before risk mitigation — Diversification between groups of obligations

Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different groups of obligations for Other non–life catastrophe risks.

C1140/R3270

Catastrophe Risk Charge Other non–life catastrophe risk before risk mitigation — Total after diversification

This is the total capital requirement before risk mitigation, after diversification effect between groups of obligations, for Other non–life catastrophe risks.

C1150/R3250

Estimated Total Risk Mitigation — Total before diversification

This is the estimated total risk mitigation, before diversification effect between groups of obligations, for Other non–life catastrophe risks.

C1160/R3250

Catastrophe Risk Charge Other non–life catastrophe risk after risk mitigation — Total before diversification

This is the total capital requirement after risk mitigation, before diversification effect between groups of obligations, for Other non–life catastrophe risks.

C1160/R3260

Catastrophe Risk Charge Other non–life catastrophe risk after risk mitigation — Diversification between groups of obligations

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different groups of obligations for Other non–life catastrophe risks.

C1160/R3270

Catastrophe Risk Charge Other non–life catastrophe risk after risk mitigation — Total after diversification

This is the total capital requirement after risk mitigation, after diversification effect between groups of obligations, for Other non–life catastrophe risks.

Health catastrophe risk

Health catastrophe risk — Mass accident

C1170/R3300–R3600,

C1190/R3300–R3600,

C1210/R3300–R3600,

C1230/R3300–R3600,

C1250/R3300–R3600

Policyholders — per type of event

All insured persons of the insurance or reinsurance undertaking who are inhabitants of each of the countries and are insured against the following types of event:

—

Death caused by an accident;

—

Permanent disability caused by an accident;

—

Disability that lasts 10 years 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,

C1220/R3300–R3600,

C1240/R3300–R3600,

C1260/R3300–R3600

Value of benefits payable — per type of event

The value of the benefits shall be the sum insured or where the insurance contract provides for recurring benefit payments the best estimate of the benefit payments, using the cash–flow projection, per event type.

Where the benefits of an insurance contract depend on the nature or extent of any injury resulting from event types, the calculation of the value of the benefits shall be based on the maximum benefits obtainable under the contract which are consistent with the event.

For medical expense insurance and reinsurance obligations the value of the benefits shall be based on an estimate of the average amounts paid in case of event types taking into account the specific guarantees the obligations include.

C1270/R3300–R3600

Catastrophe Risk Charge before risk mitigation

Capital requirement before risk mitigation, for each of the countries, arising from the mass accident risk sub–module to health insurance and reinsurance obligations.

C1270/R3610

Catastrophe Risk Charge before risk mitigation — Total Mass accident all countries before diversification

This is the total capital requirement before risk mitigation, before diversification effect between countries, for the mass accident risk sub–module to health insurance and reinsurance obligations.

C1270/R3620

Catastrophe Risk Charge before risk mitigation — Diversification effect between countries

Diversification effect arising from the aggregation of the mass accident risk sub–module to health insurance and reinsurance obligations relating to the different countries.

C1270/R3630

Catastrophe Risk Charge before risk mitigation — Total Mass accident all countries after diversification

This is the total capital requirement before risk mitigation, after diversification effect between countries, for the mass accident risk sub–module to health insurance and reinsurance obligations.

C1280/R3300–R3600

Estimated Risk Mitigation

For each country the estimated risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums.

C1280/R3610

Estimated Risk Mitigation — Total Mass accident all countries before diversification

Total amount of estimated risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles for all countries.

C1290/R3300–R3600

Estimated Reinstatement Premiums

For each country the estimated reinstatement premiums as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril.

C1290/R3610

Estimated Reinstatement Premiums — Total Mass accident all countries before diversification

Total amount of estimated reinstatement premiums as a result of the undertaking's specific reinsurance contracts and special purpose vehicles for all countries.

C1300/R3300–R3600

Catastrophe Risk Charge after risk mitigation

Capital requirement, after the deduction of the risk mitigating effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, arising from the mass accident risk sub–module to health insurance and reinsurance obligations, for each country.

C1300/R3610

Catastrophe Risk Charge after risk mitigation — Total Mass accident all countries before diversification

This is the total capital requirement after risk mitigation, before diversification effect between countries, for the mass accident risk sub–module to health insurance and reinsurance obligations.

C1300/R3620

Catastrophe Risk Charge after risk mitigation — Diversification effect between countries

Diversification effect arising from the aggregation of the capital requirement after risk mitigations for the mass accident risk sub–module to health insurance and reinsurance obligations relating to the different countries.

C1300/R3630

Catastrophe Risk Charge after risk mitigation — Total Mass accident all countries after diversification

This is the total capital requirement after risk mitigation for the mass accident risk sub–module to health insurance and reinsurance obligations, taking into consideration the diversification effect given in C1300/R3620.

Health catastrophe risk — Concentration accident

C1310/R3700–R4010

Largest known accident risk concentration — Countries

The largest accident risk concentration of an insurance or reinsurance undertaking, for each country, shall be equal to the largest number of persons for which the following conditions are met:

—

The insurance or reinsurance undertaking has a workers' compensation insurance or reinsurance obligation or a group income protection insurance or reinsurance obligation in relation to each of the persons;

—

The obligations in relation to each of the persons cover at least one of the events set out in the next item;

—

The persons are working in the same building which is situated in this particular country.

These persons are insured against the following types of event:

—

Death caused by an accident;

—

Permanent disability caused by an accident;

—

Disability that lasts 10 years caused by an accident;

—

Disability that lasts 12 months caused by an accident;

—

Medical treatment caused by an accident.

C1320/R3700–R4010,

C1330/R3700–R4010,

C1340/R3700–R4010,

C1350/R3700–R4010,

C1360/R3700–R4010

Average sum insured 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 in case of event types.

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.

C1370/R3700–R4010

Catastrophe Risk Charge before risk mitigation

Capital requirement before risk mitigation, for each country, arising from the health sub–module concentration accident.

C1410

Other countries to be considered in the Concentration accident

Identify the ISO code of other countries to be considered in the Concentration accident.

C1370/R4020

Catastrophe Risk Charge before risk mitigation — Total Concentration accident all countries before diversification

This is the total capital requirement before risk mitigation, before diversification effect between countries, for the health sub–module concentration accident.

C1370/R4030

Catastrophe Risk Charge before risk mitigation — Diversification effect between countries

Diversification effect arising from the aggregation of the health sub–module concentration accident relating to the different countries.

C1370/R4040

Catastrophe Risk Charge before risk mitigation — Total Concentration accident all countries after diversification

This is the total capital requirement before risk mitigation, after diversification effect between countries, for the health sub–module concentration accident.

C1380/R3700–R4010

Estimated Risk Mitigation — Countries

For each of the countries identified the estimated risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums.

C1380/R4020

Estimated Risk Mitigation — Total Concentration accident all countries before diversification

Total of estimated risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles for all countries.

C1390/R3700–R4010

Estimated Reinstatement Premiums — Countries

For each of the countries identified the estimated reinstatement premiums as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril.

C1390/R4020

Estimated Reinstatement Premiums — Total Concentration accident all countries before diversification

Total of the estimated reinstatement premiums as a result of the undertaking's specific reinsurance contracts and special purpose vehicles for all countries.

C1400/R3700–R4010

Catastrophe Risk Charge after risk mitigation — Countries

Capital requirement, after the deduction of the risk mitigating effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, arising from the health sub–module concentration accident for each of the countries identified.

C1400/R4020

Catastrophe Risk Charge after risk mitigation — Total Concentration accident all countries before diversification

The total capital requirement after risk mitigation, before diversification effect between countries, for the health sub–module concentration accident.

C1400/R4030

Catastrophe Risk Charge after risk mitigation — Diversification effect between countries

Diversification effect arising from the aggregation of the capital requirement after risk mitigations for the health sub–module concentration accident risks relating to the different countries.

C1400/R4040

Catastrophe Risk Charge after risk mitigation — Total Concentration accident all countries after diversification

This is the total capital requirement after risk mitigation for the health sub–module concentration accident risk, taking into consideration the diversification effect given in C1400/R4020.

Health catastrophe risk — Pandemic

C1440/R4100–R4410

Medical expense — Number of insured persons — Countries

The number of insured persons of insurance and reinsurance undertakings, for each of the countries identified, which meet the following conditions:

—

The insured persons are inhabitants of this particular country;

—

The insured persons are covered by medical expense insurance or reinsurance obligations, other than workers' compensation insurance or reinsurance obligations that cover medical expense resulting from an infectious disease.

These insured persons may claim benefits for the following healthcare utilisation:

—

Hospitalisation;

—

Consultation with a medical practitioner;

—

No formal medical care sought.

C1450/R4100–R4410,

C1470/R4100–R4410,

C1490/R4100–R4410

Medical expense — Unit claim cost per type of healthcare — Countries

Best estimate of the amounts payable, using the cash–flow projection, by insurance and reinsurance undertakings for an insured person in relation to medical expense insurance or reinsurance obligations, other than workers' compensation insurance or reinsurance obligations per healthcare utilisation type, in the event of a pandemic, for each of the countries identified.

C1460/R4100–R4410,

C1480/R4100–R4410,

C1500/R4100–R4410

Medical expense — Ratio of insured persons using type of healthcare — Countries

The ratio of insured persons with clinical symptoms utilising healthcare type, for each of the countries identified.

C1510/R4100–R4410

Catastrophe Risk Charge before risk mitigation — Countries

Capital requirement before risk mitigation, for each of the countries identified, arising from the health sub–module pandemic.

C1550

Other countries to be considered in the Pandemic

Identify the ISO code of other countries to be considered in the Concentration accident.

C1420/R4420

Income protection — Number of insured persons — Total Pandemic all countries

Total number of insured persons for all countries identified covered by the income protection insurance or reinsurance obligations other than workers' compensation insurance or reinsurance obligations.

C1430/R4420

Income protection — Total pandemic exposure — Total Pandemic all countries

The total of all income protection pandemic exposure for all countries identified of insurance and reinsurance undertakings.

The value of the benefits payable for the insured person shall be the sum insured or where the insurance contract provides for recurring benefit payments the best estimate of the benefit payments assuming that the insured person is permanently disabled and will not recover.

C1510/R4420

Catastrophe Risk Charge before risk mitigation — Total Pandemic all countries

This is the total capital requirement before risk mitigation for the health sub–module pandemic for all countries identified.

C1520/R4420

Estimated Risk Mitigation — Total Pandemic all countries

The total estimated risk mitigation effect of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril, excluding the estimated reinstatement premiums for all countries identified.

C1530/R4420

Estimated Reinstatement Premiums — Total Pandemic all countries

The total estimated reinstatement premiums as a result of the undertaking's specific reinsurance contracts and special purpose vehicles relating to this peril for all countries identified.

C1540/R4420

Catastrophe Risk Charge after risk mitigation — Total Pandemic all countries

The total capital requirement after risk mitigation for the health sub–module pandemic for all countries identified.

S.28.01 — Minimum Capital Requirement — Only life or only non–life insurance or reinsurance activity

General comments:
This section relates to opening, quarterly and annual submission of information for individual entities.
In particular, S.28.01 is to be submitted by insurance and reinsurance undertakings other than insurance undertakings engaged in both life and non–life insurance activity. These undertakings shall submit S.28.02 instead.
This template shall be completed on the basis of Solvency II valuation, i.e. written premiums are defined as the premiums due to be received by the undertaking in the period (as defined in Article 1(11) of Delegated Regulation (EU) 2015/35).
All references to technical provisions address technical provisions after application of Long Term Guarantee measures and transitionals.
The calculation of MCR combines a linear formula with a floor of 25 % and a cap of 45 % of the SCR. The MCR is subject to an absolute floor depending on the nature of the undertaking (as defined in Article 129 (1) (d) of the Directive 2009/138/EC).

 

ITEM

INSTRUCTIONS

C0010/R0010

Linear formula component for non–life insurance and reinsurance obligations — MCRNL Result

This is the linear formula component for non–life insurance and reinsurance obligations calculated in accordance with Article 250 of Delegated Regulation (EU) 2015/35.

C0020/R0020

Medical expense insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole

These are the technical provisions for medical expense insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.

C0030/R0020

Medical expense insurance and proportional reinsurance — net (of reinsurance) written premiums in the last 12 months

These are the premiums written for medical expense insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero.

C0020/R0030

Income protection insurance and proportional reinsurance — net (of reinsurance/SPV) best estimate and TP calculated as a whole

These are the technical provisions for income protection insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.

C0030/R0030

Income protection insurance and proportional reinsurance — net (of reinsurance) written premiums in the last 12 months

These are the premiums written for income protection insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero.

C0020/R0040

Workers' compensation insurance and proportional reinsurance — net (of reinsurance/SPV) best estimate and TP calculated as a whole

These are the technical provisions for workers' compensation insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.

C0030/R0040

Workers' compensation insurance and proportional reinsurance — net (of reinsurance) written premiums in the last 12 months

These are the premiums written for workers' compensations insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero.

C0020/R0050

Motor vehicle liability insurance and proportional reinsurance — net (of reinsurance/SPV) best estimate and TP calculated as a whole

These are the technical provisions for motor vehicle liability insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.

C0030/R0050

Motor vehicle liability insurance and proportional reinsurance — net (of reinsurance) written premiums in the last 12 months

These are the premiums written for motor vehicle liability insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero.

C0020/R0060

Other motor insurance and proportional reinsurance — net (of reinsurance/SPV) best estimate and TP calculated as a whole

These are the technical provisions for other motor insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.

C0030/R0060

Other motor insurance and proportional reinsurance — net (of reinsurance) written premiums in the last 12 months

These are the premiums written for other motor insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero.

C0020/R0070

Marine, aviation and transport insurance and proportional reinsurance — net (of reinsurance/SPV) best estimate and TP calculated as a whole

These are the technical provisions for marine, aviation and transport insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.

C0030/R0070

Marine, aviation and transport insurance and proportional reinsurance — net (of reinsurance) written premiums in the last 12 months

These are the premiums written for marine, aviation and transport insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero.

C0020/R0080

Fire and other damage to property insurance and proportional reinsurance — net (of reinsurance/SPV) best estimate and TP calculated as a whole

These are the technical provisions for fire and other damage to property insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.

C0030/R0080

Fire and other damage to property insurance and proportional reinsurance — net (of reinsurance) written premiums in the last 12 months

These are the premiums written for fire and other damage to property insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero.

C0020/R0090

General liability insurance and proportional reinsurance — net (of reinsurance/SPV) best estimate and TP calculated as a whole

These are the technical provisions for general liability insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.

C0030/R0090

General liability insurance and proportional reinsurance — net (of reinsurance) written premiums in the last 12 months

These are the premiums written for general liability insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero.

C0020/R0100

Credit and suretyship insurance and proportional reinsurance — net (of reinsurance/SPV) best estimate and TP calculated as a whole

These are the technical provisions for credit and suretyship insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.

C0030/R0100

Credit and suretyship insurance and proportional reinsurance — net (of reinsurance) written premiums in the last 12 months

These are the premiums written for credit and suretyship insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero.

C0020/R0110

Legal expenses insurance and proportional reinsurance — net (of reinsurance/SPV) best estimate and TP calculated as a whole

These are the technical provisions for legal expenses insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.

C0030/R0110

Legal expenses insurance and proportional reinsurance — net (of reinsurance) written premiums in the last 12 months

These are the premiums written for legal expenses insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero.

C0020/R0120

Assistance and proportional reinsurance — net (of reinsurance/SPV) best estimate and TP calculated as a whole

These are the technical provisions for assistance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.

C0030/R0120

Assistance and proportional reinsurance — net (of reinsurance) written premiums in the last 12 months

These are the premiums written for assistance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero.

C0020/R0130

Miscellaneous financial loss insurance and proportional reinsurance — net (of reinsurance/SPV) best estimate and TP calculated as a whole

These are the technical provisions for miscellaneous financial loss insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.

C0030/R0130

Miscellaneous financial loss insurance and proportional reinsurance — net (of reinsurance) written premiums in the last 12 months

These are the premiums written for miscellaneous financial loss insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero.

C0020/R0140

Non–proportional health reinsurance — net (of reinsurance/SPV) and best estimate TP calculated as a whole

These are the technical provisions for non–proportional health reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.

C0030/R0140

Non–proportional health reinsurance — net (of reinsurance) written premiums in the last 12 months

These are the premiums written for non–proportional health reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero.

C0020/R0150

Non–proportional casualty reinsurance — net (of reinsurance/SPV) and best estimate TP calculated as a whole

These are the technical provisions for non–proportional casualty reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.

C0030/R0150

Non–proportional casualty reinsurance — net (of reinsurance) written premiums in the last 12 months

These are the premiums written for non–proportional casualty reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero.

C0020/R0160

Non–proportional marine, aviation and transport reinsurance — net (of reinsurance/SPV) best estimate and TP calculated as a whole

These are the technical provisions for non–proportional marine, aviation and transport reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.

C0030/R0160

Non–proportional marine, aviation and transport reinsurance — net (of reinsurance) written premiums in the last 12 months

These are the premiums written for non–proportional marine, aviation and transport reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero.

C0020/R0170

Non–proportional property reinsurance — net (of reinsurance/SPV) best estimate and TP calculated as a whole

These are the technical provisions for non–proportional property reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.

C0030/R0170

Non–proportional property reinsurance — net (of reinsurance) written premiums in the last 12 months

These are the premiums written for non–proportional property reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero.

C0040/R0200

Linear formula component for life insurance and reinsurance obligations — MCRL Result

This is the result of the linear formula component for life insurance or reinsurance obligations calculated in accordance with Article 251 of Delegated Regulation (EU) 2015/35.

C0050/R0210

Obligations with profit participation — guaranteed benefits — Net (of reinsurance/SPV) best estimate and TP calculated as a whole

These are the technical provisions without a risk margin in relation to guaranteed benefits for life insurance obligations with profit participation, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero and technical provisions without a risk margin for reinsurance obligations where the underlying life insurance obligations include profit participation, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.

C0050/R0220

Obligations with profit participation — future discretionary benefits — Net (of reinsurance/SPV) best estimate and TP calculated as a whole

These are the technical provisions without a risk margin in relation to future discretionary benefits for life insurance obligations with profit participation, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.

C0050/R0230

Index–linked and unit–linked insurance obligations — Net (of reinsurance/SPV) best estimate and TP calculated as a whole

These are the technical provisions without a risk margin for index–linked and unit–linked life insurance obligations and reinsurance obligations relating to such insurance obligations, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.

C0050/R0240

Other life (re)insurance and health (re)insurance obligations — Net (of reinsurance/SPV) best estimate and TP calculated as a whole

These are the technical provisions without a risk margin for all other life insurance obligations and reinsurance obligations relating to such insurance obligations, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero.

Annuities related to non–life contracts shall be reported here.

C0060/R0250

Total capital at risk for all life (re)insurance obligations — Net (of reinsurance/SPV) total capital at risk

These are the total capital at risk, being the sum in relation to all contracts that give rise to life insurance or reinsurance obligations of the capital at risk of the contracts.

C0070/R0300

Overall MCR calculation — Linear MCR

The linear Minimum Capital Requirement shall equal to the sum of the MCR linear formula component for non–life insurance and reinsurance and the MCR linear formula component for life insurance and reinsurance obligations calculated in accordance with Article 249 of Delegated Regulation (EU) 2015/35.

C0070/R0310

Overall MCR calculation — SCR

This is the latest SCR to be calculated and reported in accordance with Articles 103 to 127 of Directive 2009/138/EC, either the annual one or a more recent one in case the SCR has been recalculated (e.g. due to a change in risk profile), including capital add on. Undertakings using internal model or partial internal model to calculate the SCR shall refer to the relevant SCR, except where under Article 129 (3) of Directive 2009/138/EC the national supervisory authority requires a reference to the standard formula.

C0070/R0320

Overall MCR calculation — MCR cap

This is calculated as 45 % of the SCR including any capital add–on in accordance with Art 129 (3) of the Directive 2009/138/EC.

C0070/R0330

Overall MCR calculation — MCR floor

This is calculated as 25 % of the SCR including any capital add–on in accordance with Art 129 (3) of the Directive 2009/138/EC.

C0070/R0340

Overall MCR calculation — Combined MCR

This is the result of the formula component calculated in accordance with Article 248 (2) of Delegated Regulation (EU) 2015/35.

C0070/R0350

Overall MCR calculation — Absolute floor of the MCR

This is calculated as defined in Art 129(1) d of Directive 2009/138/EC.

C0070/R0400

Minimum Capital Requirement

This is the result of the formula component calculated in accordance with Article 248 (1) of Delegated Regulation (EU) 2015/35.

S.28.02 — Minimum Capital Requirement — Both life and non–life insurance activity

General comments:
This section relates to opening, quarterly and annual submission of information for individual entities.
In particular, S.28.02 is to be submitted by insurance undertakings engaged in both life and non–life insurance activity. Insurance and reinsurance undertakings other than insurance undertakings engaged in both life and non–life insurance activity shall submit S.28.01 instead.
This template shall be completed on the basis of Solvency II valuation, i.e. written premiums are defined as the premiums due to be received by the undertaking in the period (as defined in Article 1(11) of Delegated Regulation (EU) 2015/35).
All references to technical provisions address technical provisions after application of Long Term Guarantee measures and transitionals.
The calculation of MCR combines a linear formula with a floor of 25 % and a cap of 45 % of the SCR. The MCR is subject to an absolute floor depending on the nature of the undertaking (as defined in Article 129 (1) (d) of the Directive 2009/138/EC).

 

ITEM

INSTRUCTIONS

C0010/R0010

Linear Formula component for non-life insurance and reinsurance obligations — MCR(NL,NL) result — non-life activities

This is the linear formula component for non-life insurance and reinsurance obligations relating to non-life insurance activities calculated in accordance with Article 252 (4) and (5) of Delegated Regulation (EU) 2015/35.

C0020/R0010

Linear Formula component for non-life insurance and reinsurance obligations — MCR(NL,L) result

This is the linear formula component for non-life insurance and reinsurance obligations relating to life insurance activities calculated in accordance with Article 252 (9) and (10) of Delegated Regulation (EU) 2015/35.

C0030/R0020

Medical expense insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — non-life activities

These are the technical provisions for medical expense insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities.

C0040/R0020

Medical expense insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — non-life activities

These are the premiums written for medical expense insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities.

C0050/R0020

Medical expense insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — life activities

These are the technical provisions for medical expense insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities.

C0060/R0020

Medical expense insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — life activities

These are the premiums written for medical expense insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities.

C0030/R0030

Income protection insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — non-life activities

These are the technical provisions for income protection insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities.

C0040/R0030

Income protection insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — non-life activities

These are the premiums written for income protections insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities.

C0050/R0030

Income protection insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — life activities

These are the technical provisions for income protection insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities.

C0060/R0030

Income protection insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — life activities

These are the premiums written for income protections insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities.

C0030/R0040

Workers' compensation insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — non-life activities

These are the technical provisions for workers' compensation insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities.

C0040/R0040

Workers' compensation insurance and proportional reinsurance- Net (of reinsurance) written premiums in the last 12 months — non-life activities

These are the premiums written for workers' compensations insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities.

C0050/R0040

Workers' compensation insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — life activities

These are the technical provisions for workers' compensation insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities.

C0060/R0040

Workers' compensation insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — life activities

These are the premiums written for workers' compensations insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities.

C0030/R0050

Motor vehicle liability insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — non-life activities

These are the technical provisions for motor vehicle liability insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities.

C0040/R0050

Motor vehicle liability insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — non-life activities

These are the premiums written for motor vehicle liability insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities.

C0050/R0050

Motor vehicle liability insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — life activities

These are the technical provisions for motor vehicle liability insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities.

C0060/R0050

Motor vehicle liability insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — life activities

These are the premiums written for motor vehicle liability insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities.

C0030/R0060

Other motor insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — non-life activities

These are the technical provisions for other motor insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities.

C0040/R0060

Other motor insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — non-life activities

These are the premiums written for other motor insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities.

C0050/R0060

Other motor insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — life activities

These are the technical provisions for other motor insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities.

C0060/R0060

Other motor insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — life activities

These are the premiums written for other motor insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities.

C0030/R0070

Marine, aviation and transport insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — non-life activities

These are the technical provisions for marine, aviation and transport insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities.

C0040/R0070

Marine, aviation and transport insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — non-life activities

These are the premiums written for marine, aviation and transport insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities.

C0050/R0070

Marine, aviation and transport insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — life activities

These are the technical provisions for marine, aviation and transport insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities.

C0060/R0070

Marine, aviation and transport insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — life activities

These are the premiums written for marine, aviation and transport insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities.

C0030/R0080

Fire and other damage to property insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — non-life activities

These are the technical provisions for fire and other damage to property insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities.

C0040/R0080

Fire and other damage to property insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — non-life activities

These are the premiums written for fire and other damage to property insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities.

C0050/R0080

Fire and other damage to property insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — life activities

These are the technical provisions for fire and other damage to property insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities.

C0060/R0080

Fire and other damage to property insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — life activities

These are the premiums written for fire and other damage to property insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities.

C0030/R0090

General liability insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — non-life activities

These are the technical provisions for general liability insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities.

C0040/R0090

General liability insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — non-life activities

These are the premiums written for general liability insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities.

C0050/R0090

General liability insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — life activities

These are the technical provisions for general liability insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities.

C0060/R0090

General liability insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — life activities

These are the premiums written for general liability insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities.

C0030/R0100

Credit and suretyship insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — non-life activities

These are the technical provisions for credit and suretyship insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities.

C0040/R0100

Credit and suretyship insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — non-life activities

These are the premiums written for credit and suretyship insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities.

C0050/R0100

Credit and suretyship insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — life activities

These are the technical provisions for credit and suretyship insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities.

C0060/R0100

Credit and suretyship insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — life activities

These are the premiums written for credit and suretyship insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities.

C0030/R0110

Legal expenses insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — non-life activities

These are the technical provisions for legal expenses insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities.

C0040/R0110

Legal expenses insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — non-life activities

These are the premiums written for legal expenses insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities.

C0050/R0110

Legal expenses insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — life activities

These are the technical provisions for legal expenses insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities.

C0060/R0110

Legal expenses insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — life activities

These are the premiums written for legal expenses insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities.

C0030/R0120

Assistance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — non-life activities

These are the technical provisions for assistance and its proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities.

C0040/R0120

Assistance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — non-life activities

These are the premiums written for assistance and its proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities.

C0050/R0120

Assistance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — life activities

These are the technical provisions for assistance and its proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities.

C0060/R0120

Assistance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — life activities

These are the premiums written for assistance and its proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities.

C0030/R0130

Miscellaneous financial loss insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — non-life activities

These are the technical provisions for miscellaneous financial loss insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities.

C0040/R0130

Miscellaneous financial loss insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — non-life activities

These are the premiums written for miscellaneous financial loss insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities.

C0050/R0130

Miscellaneous financial loss insurance and proportional reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — life activities

These are the technical provisions for miscellaneous financial loss insurance and proportional reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities.

C0060/R0130

Miscellaneous financial loss insurance and proportional reinsurance — Net (of reinsurance) written premiums in the last 12 months — life activities

These are the premiums written for miscellaneous financial loss insurance and proportional reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities.

C0030/R0140

Non-proportional health reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — non-life activities

These are the technical provisions for non-proportional health reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities.

C0040/R0140

Non-proportional health reinsurance — Net (of reinsurance) written premiums in the last 12 months — non-life activities

These are the premiums written for non-proportional health reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities.

C0050/R0140

Non-proportional health reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — life activities

These are the technical provisions for non-proportional health reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities.

C0060/R0140

Non-proportional health reinsurance — Net (of reinsurance) written premiums in the last 12 months — life activities

These are the premiums written for non-proportional health reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities.

C0030/R0150

Non-proportional casualty reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — non-life activities

These are the technical provisions for non-proportional casualty reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities.

C0040/R0150

Non-proportional casualty reinsurance — Net (of reinsurance) written premiums in the last 12 months — non-life activities

These are the premiums written for non-proportional casualty reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities.

C0050/R0150

Non-proportional casualty reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — life activities

These are the technical provisions for non-proportional casualty reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities.

C0060/R0150

Non-proportional casualty reinsurance — Net (of reinsurance) written premiums in the last 12 months — life activities

These are the premiums written for non-proportional casualty reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities.

C0030/R0160

Non-proportional marine, aviation and transport reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — non-life activities

These are the technical provisions for non-proportional marine, aviation and transport reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities.

C0040/R0160

Non-proportional marine, aviation and transport reinsurance — Net (of reinsurance) written premiums in the last 12 months — non-life activities

These are the premiums written for non-proportional marine, aviation and transport reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities.

C0050/R0160

Non-proportional marine, aviation and transport reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — life activities

These are the technical provisions for non-proportional marine, aviation and transport reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities.

C0060/R0160

Non-proportional marine, aviation and transport reinsurance — Net (of reinsurance) written premiums in the last 12 months — life activities

These are the premiums written for non-proportional marine, aviation and transport reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities.

C0030/R0170

Non-proportional property reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — non-life activities

These are the technical provisions for non-proportional property reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities.

C0040/R0170

Non-proportional property reinsurance — Net (of reinsurance) written premiums in the last 12 months — non-life activities

These are the premiums written for non-proportional property reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to non-life activities.

C0050/R0170

Non-proportional property reinsurance — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — life activities

These are the technical provisions for non-proportional property reinsurance, without risk margin after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities.

C0060/R0170

Non-proportional property reinsurance — Net (of reinsurance) written premiums in the last 12 months — life activities

These are the premiums written for non-proportional property reinsurance during the (rolling) last 12 months, after deduction of premiums for reinsurance contracts, with a floor equal to zero, relating to life activities.

C0070/R0200

Linear Formula component for life insurance and reinsurance obligations MCR(L,NL) Result

This is the linear formula component for life insurance and reinsurance obligations relating to non-life insurance activities calculated in accordance with Article 252 (4) and (5) of Delegated Regulation (EU) 2015/35.

C0080/R0200

Linear Formula component for life insurance and reinsurance obligations MCR(L,L) Result

This is the linear formula component for life insurance and reinsurance obligations relating to life insurance activities calculated in accordance with Article 252 (9) and (10) of Delegated Regulation (EU) 2015/35.

C0090/R0210

Obligations with profit participation — guaranteed benefits — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — non-life activities

These are the technical provisions without a risk margin for guaranteed benefits in respect of life insurance obligations with profit participation, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities and technical provisions without a risk margin for reinsurance obligations where the underlying insurance obligations include profit participation, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities.

C0110/R0210

Obligations with profit participation — guaranteed benefits — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — life activities

These are the technical provisions without a risk margin for guaranteed benefits in respect of life insurance obligations with profit participation, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities and technical provisions without a risk margin for reinsurance obligations where the underlying insurance obligations include profit participation, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities.

C0090/R0220

Obligations with profit participation — future discretionary benefits — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — non-life activities

These are the technical provisions without a risk margin for future discretionary benefits in respect of life insurance obligations with profit participation, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities.

C0110/R0220

Obligations with profit participation — future discretionary benefits — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — life activities

These are the technical provisions without a risk margin for future discretionary benefits in respect of life insurance obligations with profit participation, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities.

C0090/R0230

Index-linked and unit-linked insurance obligations — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — non-life activities

These are the technical provisions without a risk margin for index-linked and unit-linked life insurance obligations and reinsurance obligations relating to such insurance obligations, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to non-life activities.

C0110/R0230

Index-linked and unit-linked insurance obligations — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — life activities

These are the technical provisions without a risk margin for index-linked and unit-linked life insurance obligations and reinsurance obligations relating to such insurance obligations, after deduction of the amounts recoverable from reinsurance contracts and SPVs, with a floor equal to zero, relating to life activities.

C0090/R0240

Other life (re)insurance and health (re)insurance obligations — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — non-life activities

These are the technical provisions without a risk margin for other life insurance obligations and reinsurance obligations relating to such insurance obligations, after deduction of the amounts recoverable from reinsurance contracts and SPV, with a floor equal to zero, relating to non-life activities.

C0110/R0240

Other life (re)insurance and health (re)insurance obligations — Net (of reinsurance/SPV) best estimate and TP calculated as a whole — life activities

These are the technical provisions without a risk margin for other life insurance obligations and reinsurance obligations relating to such insurance obligations, after deduction of the amounts recoverable from reinsurance contracts and SPV, with a floor equal to zero, relating to life activities.

C0100/R0250

Total capital at risk for all life (re)insurance obligations — Net (of reinsurance/SPV) total capital at risk — non-life activities

This is the total capital at risk, being the sum over all contracts that give rise to life insurance or reinsurance obligations of the highest amounts that the insurance undertaking would pay in the event of the death or disability of the persons insured under the contract after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles in such event, and the expected present value of annuities payable on death or disability less the net best estimate, with a floor equal to zero, relating to non-life activities.

C0120/R0250

Total capital at risk for all life (re)insurance obligations — Net (of reinsurance/SPV) total capital at risk — life activities

This is the total capital at risk, being the sum over all contracts that give rise to life insurance or reinsurance obligations of the highest amounts that the insurance undertaking would pay in the event of the death or disability of the persons insured under the contract after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles in such event, and the expected present value of annuities payable on death or disability less the net best estimate, with a floor equal to zero, relating to life activities.

C0130/R0300

Overall MCR calculation — Linear MCR

The linear Minimum Capital Requirement shall equal to the sum of the MCR linear formula component for non-life insurance and reinsurance and the MCR linear formula component for life insurance and reinsurance obligations calculated in accordance with Article 249 of Delegated Regulation (EU) 2015/35.

C0130/R0310

Overall MCR calculation — SCR

This is the latest SCR to be calculated and reported in accordance with Articles 103 to 127 of Directive 2009/138/EC, either the annual one or a more recent one in case the SCR has been recalculated (e.g. due to a change in risk profile), including capital add-on. Undertakings using internal model or partial internal model to calculate the SCR shall refer to the relevant SCR, except where under Article 129(3) of Directive 2009/138/EC the national supervisor requires a reference to the standard formula.

C0130/R0320

Overall MCR calculation — MCR cap

This is calculated as 45 % of the SCR including any capital add-on in accordance with Article 129(3) of the Directive 2009/138/EC.

C0130/R0330

Overall MCR calculation — MCR floor

This is calculated as 25 % of the SCR including any capital add-on in accordance with Article 129(3) of Directive 2009/138/EC.

C0130/R0340

Overall MCR calculation — Combined MCR

This is the result of the formula component calculated in accordance with Article 248 (2) of Delegated Regulation (EU) 2015/35.

C0130/R0350

Overall MCR calculation — Absolute floor of the MCR

This is calculated as defined in Article 129(1)d of Directive 2009/138/EC.

C0130/R0400

Minimum Capital Requirement

This is the result of the formula component calculated in accordance with Article 248 (1) of Delegated Regulation (EU) 2015/35.

C0140/R0500

Notional non-life and life MCR calculation — Notional linear MCR — non-life activities

This is calculated in accordance with Article 252 (3) of Delegated Regulation (EU) 2015/35.

C0150/R0500

Notional non-life and life MCR calculation — Notional linear MCR -life activities

This is calculated in accordance with Article 252 (9) of Delegated Regulation (EU) 2015/35.

C0140/R0510

Notional non-life and life MCR calculation — Notional SCR excluding add-on (annual or latest calculation) — non-life activities

This is the latest notional SCR to be calculated and reported in accordance with in accordance with Articles 103 to 127 of Directive 2009/138/EC, either the annual one or a more recent one in case the notional SCR has been recalculated (e.g. due to a change in risk profile), excluding capital add-on. Undertakings using internal model or partial internal model to calculate the SCR shall refer to the relevant SCR, except where under Article 129(3) of Directive 2009/138/EC the national supervisor requires a reference to the standard formula.

C0150/R0510

Notional non-life and life MCR calculation — Notional SCR excluding add-on (annual or latest calculation) -life activities

This is the latest notional SCR to be calculated and reported in accordance with in accordance with Articles 103 to 127 of Directive 2009/138/EC, either the annual one or a more recent one in case the notional SCR has been recalculated (e.g. due to a change in risk profile), excluding capital add-on. Undertakings using internal model or partial internal model to calculate the SCR shall refer to the relevant SCR, except where under Article 129(3) of Directive 2009/138/EC the national supervisor requires a reference to the standard formula.

C0140/R0520

Notional non-life and life MCR calculation — Notional MCR cap — non-life activities

This is calculated as 45 % of the notional non-life SCR including the non-life capital add-on in accordance with Article 129 (3) of Directive 2009/138/EC.

C0150/R0520

Notional non-life and life MCR calculation — Notional MCR cap -life activities

This is calculated as 45 % of the notional life SCR including the life capital add-on in accordance with Article 129 (3) of Directive 2009/138/EC.

C0140/R0530

Notional non-life and life MCR calculation — Notional MCR floor — non-life activities

This is calculated as 25 % of the notional non-life SCR including the non-life capital add-on in accordance with Article 129 (3) of Directive 2009/138/EC.

C0150/R0530

Notional non-life and life MCR calculation — Notional MCR floor -life activities

This is calculated as 25 % of the notional life SCR including the life capital add-on in accordance with Article 129 (3) of Directive 2009/138/EC.

C0140/R0540

Notional non-life and life MCR calculation — Notional Combined MCR — non-life activities

This is calculated in accordance with Article 252 (3) of Delegated Regulation (EU) 2015/35.

C0150/R0540

Notional non-life and life MCR calculation — Notional Combined MCR -life activities

This is calculated in accordance with Article 252 (8) of Delegated Regulation (EU) 2015/35.

C0140/R0550

Notional non-life and life MCR calculation — Absolute floor of the notional MCR — non-life activities

This is the amount defined in Article 129(1)(d)(i) of Directive 2009/138/EC.

C0150/R0550

Notional non-life and life MCR calculation — Absolute floor of the notional MCR — life activities

This is the amount defined in Article 129(1)(d)(ii) Directive 2009/138/EC.

C0140/R0560

Notional non-life and life MCR calculation — Notional MCR — non-life activities

This is the notional non-life MCR calculated in accordance with Article 252 (2) of Delegated Regulation (EU) 2015/35.

C0150/R0560

Notional non-life and life MCR calculation — Notional MCR — life activities

This is the notional life MCR calculated in accordance with Article 252 (7) of Delegated Regulation (EU) 2015/35.

S.29.01 — Excess of Assets over Liabilities

General comments:
This section relates to annual submission of information for individual entities.
This template, together with S.29.02 to S.29.04, explains the variation of Excess of Assets over Liabilities by reconciling the different sources of movements (please see the five main sources in b) below). In these templates, creation of value needs to be reported (such as income from investments).
The content of this template covers:
a)
A presentation of all variations in Basic Own fund items during the reporting period. It isolates the variation of the Excess of Assets over Liabilities as part of this total variation. This first analysis is entirely performed based on information also reported in template S.23.01 (year N and N–1).
b)
A summary of the 5 main sources affecting the variation of the Excess of Assets over Liabilities between the prior and the last reporting periods (cells C0030/R0190 to C0030/R0250):
— The variation related to investments and financial liabilities — detailed in template S.29.02,
— The variation related to technical provisions — detailed in templates S.29.03 and S.29.04,
— The variation of ‘pure’ capital items, which is not directly influenced by the business carried on (e.g., variations in ordinary shares numbers and values); these variations are analysed in detail within template S.23.03;
— Other main variations linked to tax and dividend distribution, namely:
— Variation in Deferred Tax position
— Income Tax of the reporting period
— Dividend distribution
— Other variations not explained elsewhere.

 

ITEM

INSTRUCTIONS

C0010/R0010–R0120

Basic Own fund items — Year N

These items do not cover all Basic Own fund items, but only those before adjustments/deductions for:

—

Own funds from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds;

—

Participations in financial and credit institutions.

C0020/R0010 — R0120

Basic Own fund items — Year N–1

These items do not cover all Basic Own fund items, but only those before adjustments/deductions for:

—

Own funds from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds;

—

Participations in financial and credit institutions

C0030/R0010–R0120

Basic Own fund items — Variation

Variation between reporting period N and N–1 of own fund items.

C0030/R0130

Excess of assets over liabilities (Variations of Basic Own Funds explained by Variation Analysis Templates)

Variation of excess of assets over liabilities. This item is further assessed in rows R0190 to R0250 and then in templates S.29.02 to S.29.04.

Excess of assets over liabilities shall be considered before deductions for Participations in financial and credit institutions.

C0030/R0140

Own shares

Variation of own shares included as assets on the balance sheet.

C0030/R0150

Foreseeable dividends, distributions and charges

Variation of foreseeable dividends, distributions and charges.

C0030/R0160

Other basic own fund items

Variation of other basic own fund items.

C0030/R0170

Restricted own fund items due to ring fencing and matching

Variation of restricted own fund items due to ring fencing and matching.

C0030/R0180

Total variation of Reconciliation Reserve

Total variation of Reconciliation Reserve.

C0030/R0190

Variations due to investments and financial liabilities

Variations in the Excess of assets over liabilities explained by variations in investments and financial liabilities (for instance variations in value in the period, financial revenues, etc.)

C0030/R0200

Variations due to technical provisions

Variations in the Excess of assets over liabilities explained by variations in technical provisions (for instance provision reversals or new earned premiums, etc.).

C0030/R0210

Variations in capital basic own fund items and other items approved

This amount explains the part of the variation of Excess of Assets over Liabilities due to movements in ‘pure’ capital items, such as Ordinary share capital (gross of own shares), Preference shares, Surplus funds.

C0030/R0220

Variations in Deferred Tax position

Variations in the Excess of assets over liabilities explained by variation of deferred tax assets and deferred tax liabilities

C0030/R0230

Income tax of the reporting period

Amount of corporate tax of the reporting period, as stated in the financial statements of the reporting period.

C0030/R0240

Dividend distribution

Amount of dividend distributed during the reporting period, as stated in the financial statements of the reporting period.

C0030/R0250

Other variations in Excess of Assets over Liabilities

The remaining variations in the excess of assets over liabilities.

S.29.02 — Excess of Assets over Liabilities — explained by investments and financial liabilities

General comments:
This section relates to annual submission of information for individual entities.
This template focuses on changes in the Excess of Assets over Liabilities due to investments and financial liabilities.
The scope of this template:
i.
Includes liabilities position of derivatives (as investments);
ii.
Includes Own shares;
iii.
Includes Financial liabilities (comprising subordinated liabilities);
iv.
Excludes assets held for unit–linked and index–linked funds;
v.
Excludes property held for own use.
For all these items, the template covers the investments held at closing date of the prior reporting period (N–1) and the investments acquired/issued during the reporting period (N).
With regards to assets held for unit linked and index linked funds, the adjustment on basic own funds related to valuation is taken into account in template S.29.03.
The difference between template S.29.02 (last table) and information in template S.09.01 is the inclusion of the revenue from own shares and the exclusion of unit linked. The purpose of the template is to provide a detailed understanding of the changes in the Excess of Assets over Liabilities related to investments, considering:
i.
Movements in valuation with an impact on the Excess of Assets over Liabilities (e.g. realised gains and losses from sales, but also valuation differences);
ii.
Revenues triggered by investments;
iii.
Expenses related to investments (including interest charges on financial liabilities.).

 

ITEM

INSTRUCTIONS

C0010/R0010

Valuation movements on investments

Valuation movements on investments, including:

—

For those assets kept in the portfolio, the difference between Solvency II values at the end of the reporting period (N) and at the beginning of the Year (N–1);

—

For those investments divested between the two reporting periods (including where an asset was acquired during the reporting period), the difference between the selling price and the Solvency II value as at the last reporting period (or, in case of investments acquired during the period, the acquisition cost value);

—

For those assets acquired during the reporting period and still held at the end of the reporting period, the difference between the closing Solvency II value and the acquisition cost/value.

It shall include amounts relative to derivatives regardless of derivatives being an asset or a liability.

It shall not include amounts reported in ‘Investment revenues — R0040’ and ‘Investments expenses including Interest charges on subordinated and financial liabilities — R0050’.

C0010/R0020

Valuation movements on own shares

Same as for cell C0010/R0010, but for own shares.

C0010/R0030

Valuation movements on financial liabilities and subordinated liabilities

Valuation movements on financial liabilities and subordinated liabilities, including:

—

For those financial and subordinated liabilities issued prior to the reporting period and not redeemed, the difference between Solvency II values at the end of the reporting period (N) and at the beginning of the reporting period (N–1);

—

For those financial and subordinated liabilities redeemed between the reporting period, the difference between the redemption price and the Solvency II value as at the end of the last reporting period;

—

For those financial and subordinated liabilities issued during the reporting period and not redeemed during the period, the difference between the closing Solvency II value and issuance price.

C0010/R0040

Investment Revenues

Includes dividends, interests, rents and other revenues, due to investments within scope of this template.

C0010/R0050

Investments expenses including interest charges on subordinated and financial liabilities

Investments expenses including interest charges on subordinated and financial liabilities, including:

—

Investment management expenses — related to ‘Investments (other than assets held for index–linked and unit–linked contracts)’ and to ‘Own shares’;

—

Interest charges on financial and subordinated liabilities related to ‘Financial liabilities other than debts owed to credit institutions’ as well as ‘Debts owed to credit institutions’ and ‘Subordinated liabilities’.

Those expenses and charges correspond to the ones recorded and recognised on an accrual basis at the end of the period.

C0010/R0060

Variation in Excess of Assets over Liabilities explained by investments and financial liabilities management

Total of variation in Excess of Assets over Liabilities explained by investments and financial liabilities management.

C0010/R0070

Dividends

Amount of dividends earned over the reporting period, excluding any dividends from assets held for unit–linked and index–linked funds, or property held for own use).

The same definition as in S.09.01 shall apply (except for the scope of investments to consider).

C0010/R0080

Interests

Amount of interest earned over the reporting period excluding any interests from assets held for unit–linked and index–linked funds, or property held for own use).

The same definition as in S.09.01 shall apply (except for the scope of investments to consider).

C0010/R0090

Rents

Amount of rent earned over the reporting period excluding any rent from Assets held for unit–linked and index–linked funds, or property held for own use).

The same definition as in S.09.01 shall apply (except for the scope of investments to consider).

C0010/R0100

Other

Amount of other investments income received and accrued at the end of the reporting year. Applicable to other investment income not considered in cells C0010/R0070, C0010/R0080 and C0010/R0090, such as securities lending fees, commitment fees etc, excluding the ones from assets held for unit–linked & index–linked funds, or property held for own use).

S.29.03 — Excess of Assets over Liabilities — explained by technical provisions

General comments:
This section relates to annual submission of information for individual entities.
This template focuses on changes in the Excess of Assets over Liabilities due to technical provisions (TP). The scope of technical provisions includes risks captured through Best Estimate (BE) and Risk margin, and those captured through TP calculated as a whole.
As regards the order of calculation in the table ‘breakdown of Variation in Best Estimate’, presentation of the order is not deemed prescriptive as to the order in which the calculation is performed, as long as the content of the different cells indeed reflect the purpose and definition of these cells.
Undertakings are required to report data on accident year or underwriting year basis, in accordance with any requirements of the National Supervisory Authority. If the National Supervisory Authority has not stipulated which to use then the undertaking may use accident or underwriting year according to how they manage each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, provided that they use the same year consistently, year on year.
The purpose of the template is to provide a detailed understanding of the changes in the Excess of Assets over Liabilities related to technical provisions, considering:
— Changes in TP captions;
— Changes in technical flows of the period;
— A detailed breakdown of the variation of Best Estimate — gross of reinsurance by sources of changes (such as new business, changes in assumptions, experience, etc.).

 

ITEM

INSTRUCTIONS

Of which the following breakdown of Variation in Best Estimate — analysis per UWY if applicable — Gross of reinsurance

C0010–C0020/R0010

Opening Best Estimate

Amount of Best Estimate — gross of reinsurance — as stated in the Balance Sheet at closing year N–1 related to those lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, for which an underwriting year approach (UWY) is used for Best Estimate calculation.

C0010–C0020/R0020

Exceptional elements triggering restating of opening Best Estimate

Amount of adjustment to opening Best Estimate due to elements, other than changes in perimeter that led to restate the opening BE.

Shall essentially concern changes in models (in case models are used) for correction of the model and other modifications. It shall not concern changes in assumptions.

These cells are expected to be mostly applicable for Life business.

C0010–C0020/R0030

Changes in perimeter

Amount of adjustment to opening Best Estimate related to changes in perimeter of the portfolio like sales of (part of) portfolio and purchases. This could also concern changes of perimeter due to liabilities evolving to annuities stemming from Non–Life obligations (triggering some changes from Non–Life to Life).

C0010–C0020/R0040

Foreign exchange variation

Amount of adjustment to opening Best Estimate related to foreign exchange variation during the period.

In this case the foreign exchange variation is actually meant to be applied to contracts which are taken out in currencies different from the balance sheet currency. For the calculation, the cash–flows of these contracts contained in the opening Best Estimate are simply converted due to the exchange variation.

This item does not address the impact on the cash–flows of the insurance portfolio induced by re–valuation of year N–1 assets due to foreign exchange variation during year N.

C0010–C0020/R0050

Best Estimate on risks accepted during the period

It represents present expected future cash flows (gross of reinsurance) included in Best Estimate and related to risks accepted during the period.

This shall be considered at the closing date (and not at the actual date of inception of the risks), i.e. this shall form part of the Best Estimate at closing date.

The scope of cash flows refers to Article 77 of Directive 2009/138/EC.

C0010–C0020/R0060

Variation of Best Estimate due to unwinding of discount rate — risks accepted prior to period

The variation of Best Estimate captured here shall only relate to the unwinding of discount rates, and does not take into account other parameters such as changes in assumptions or discount rates, experience adjustment, etc.

The concept of unwinding may be illustrated as follows: Calculate the Best Estimate of year N–1 again but using the shifted interest rate term structure

In order to isolate this strict scope of variation, the calculation may be as follows:

—

Consider Opening Best Estimate including the adjustment to opening Best Estimate (cells C0010/R0010 to R0040);

—

Based on this figure, run the calculation of the unwinding of discount rates.

C0010–C0020/R0070

Variation of Best Estimate due to year N projected in and out flows — risks accepted prior to period

Premiums, claims, and surrenders that were forecasted on the Opening Best Estimate as to be paid during the year, will not be in the closing Best Estimate anymore as they would have been paid/received during the year. A neutralisation adjustment shall be performed.

In order to isolate this adjustment, the calculation may be as follows:

—

Consider Opening Best Estimate (cell C0010/R0010) including the adjustment to opening Best Estimate (cells C0010/R0020 to R0040)

—

Isolate the amount of cash flows (cash in minus cash out) that were projected within this opening Best Estimate for the period considered

—

This isolated amount of cash flow shall come in addition to Opening Best Estimate (for neutralisation effect) — and be filled in cell C0010/R0070 and C0020/R0070.

C0010–C0020/R0080

Variation of Best Estimate due to experience — risks accepted prior to period

The variation of Best Estimate captured here shall strictly relate to the strict realisation of cash flows when compared to the cash flows that were projected.

For calculation purposes, and in case of non–availability of information of realised cash flows, the variation due to experience may be calculated as the difference between realised technical flows and projected cash–flow.

Realised technical flows refer to those reported under Solvency II principles i.e. premiums effectively written, claims effectively paid and expenses effectively recorded.

C0010–C0020/R0090

Variation of Best Estimate due to changes in non–economic assumptions — risks accepted prior to period

It mainly refers to changes in RBNS not driven by realised technical flows (e.g. revision on a case by case basis of the amount of IBNR) and changes assumptions directly linked to insurance risks (i.e. lapse rates), which can be referred to as non–economic assumptions.

In order to isolate the strict scope of variation due to changes in assumptions, the calculation may be as follows:

—

Consider the opening Best Estimate (cell C0010/R0010) including the adjustment to opening Best Estimate (cell C0010/R0010 to R0040) and the impact of unwinding, of year N projected cash–flows and (C0010/R0060 to R0080 and C0020/R0060 to R0080 respectively);

—

Based on this figure, run calculations with new assumptions not related to discount rates — that applied at year end N (if any)

This will provide the variation of Best Estimate strictly related to changes in these assumptions. This may not capture the variation due to case–by–case revision of RBNS, which would thus have to be added.

For Non–Life, cases can be expected where these changes cannot be discerned separately from changes due to experience (C0020/R0080). In such cases, report the total figure under C0020/R0080.

C0010–C0020/R0100

Variation of Best Estimate due to changes in economic environment — risks accepted prior to period

It mainly refers to assumptions not directly linked to insurance risks, i.e. mainly the impact of the changes in economic environment on the cash flows (taking management actions into account, e.g. reduction of future discretionary benefits (‘FDB’)) and changes in discount rates.

For non–life (C0020/R0100), in case variation due to inflation cannot be discerned from changes due to experience, the whole amount would be reported under C0020/R0080.

In order to isolate this strict scope of variation, the calculation may be as follows:

—

Consider the opening Best Estimate including the adjustment to opening Best Estimate (cell C0010/R0010 to R0040) and the impact of unwinding, of year N projected cash–flows and experience (C0010/R0060 to R0080 and C0020/R0060 to R0080 respectively, or alternatively, C0010/R0060 to R0090 and C0020/R0060 to R0090 respectively)

—

Based on this figure, run calculations with new discount rates that applied during year N, together with related financial assumptions (if any).

This will provide the variation of Best Estimate strictly related to changes in discount rates and related financial assumptions.

C0010–C0020/R0110

Other changes not elsewhere explained

Corresponds to other variations in Best Estimate, not captured in cells C0010/R0010 to R0100 (for Life) or C0020/R0010 to R0100 (Non–Life).

C0010–C0020/R0120

Closing Best Estimate — gross of reinsurance

Amount of Best Estimate as stated in the Balance Sheet at closing year N related to those lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, for which an underwriting year approach (UWY) is used for Best Estimate calculation.

These cells might be nil (if no UWY approach is used), or might total the closing Best Estimate figure in the Balance Sheet if no accident Year approach (AY) is used.

Of which the following breakdown of Variation in Best Estimate — analysis per UWY if applicable — Reinsurance recoverables

C0030–C0040/R0130

Opening Best Estimate

Amount of Best Estimate of reinsurance recoverable as stated in the Balance Sheet at closing year N–1 related to those lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, for which an underwriting year approach (UWY) is used for Best Estimate calculation.

C0030–C0040/R0140

Closing Best Estimate

Amount of Best Estimate of reinsurance recoverable as stated in the Balance Sheet at closing year N related to those lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, for which an underwriting year approach (UWY) is used for Best Estimate calculation.

Of which the following breakdown of Variation in Best Estimate — analysis per AY if applicable — Gross of reinsurance

C0050–C0060/R0150

Opening Best Estimate

Amount of Best Estimate — gross of reinsurance — as stated in the Balance Sheet at closing year N–1 related to those lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, for which an accident year approach (AY) is used for Best Estimate calculation.

C0050–C0060/R0160

Exceptional elements triggering restating of opening Best Estimate

Same as for C0010 and C0020/R0020

C0050–C0060/R0170

Changes in perimeter

Same as for C0010 and C0020/R0030

C0050–C0060/R0180

Foreign exchange variation

Same as for C0010 and C0020/R0040

C0050–C0060/R0190

Variation of Best Estimate on risk covered after the period

It is expected that these cells mainly concerns Non–Life and refers to changes in (part of) Premiums Provisions (i.e. in relation to all recognised obligations within the boundary of the contract at the valuation date where the claim has not yet occurred) as follows:

—

Identify the part of premiums provisions at Year end (N–1) related to a coverage period starting after the closing Year end N–1;

—

Have the same considerations and identifications for Premiums Provisions at year end N;

—

Derive the variation from the two figures.

C0050–C0060/R0200

Variation of Best Estimate on risks covered during the period

It is expected that these cells mainly concerns Non–Life, and refers to the following cases:

a)

(part of) Premiums Provisions at Year end N–1 which turned to Claims Provisions at year end N because claim has occurred during the period

b)

claims provisions related to claims occurred during the period (for which there was no Premiums provisions at year end N–1)

Calculation may be as follows:

—

Identify the part of premiums provisions at Year end (N–1) for which cover had already incepted;

—

Identify the part of claims provisions at Year end (N) related to risks covered during the period;

—

Derive the variation from the two figures.

C0050–C0060/R0210

Variation of Best Estimate due to unwinding of discount rate — risks covered prior to period

The concept of unwinding may be illustrated as follows: Calculate the Best Estimate of year N–1 again but using the shifted interest rate term structure.

In order to isolate this strict scope of variation, the calculation may be as follows:

—

Consider part of the Opening Best Estimate related to risks covered prior to period, i.e. Opening Best Estimate excluding Premiums provisions but including opening adjustments if any (see cells C0050/R0160 to R0180 and C0060/R0160 to R0180;

—

Based on this figure, run the calculation of the unwinding of discount rates that applied during year N.

C0050–C0060/R0220

Variation of Best Estimate due to year N projected in and out flows — risks covered prior to period

Premiums, claims, and surrenders that were forecasted on the Opening Best Estimate (related to risks covered prior to period) as to be paid during the year, will not be in the closing Best Estimate anymore as they would have been paid/received during the year.

A neutralization adjustment has thus to be performed.

In order to isolate this adjustment, the calculation may be as follows:

—

Consider part of the Opening Best Estimate related to risks covered prior to period, i.e. Opening Best Estimate excluding Premiums provisions;

—

Isolate the amount of cash flows (cash in minus cash out) that were projected within this opening Best Estimate for the period considered;

—

This isolated amount of cash flow shall come in addition to Opening Best Estimate (for neutralisation effect) — and be filled in cell C0050 and C0060/R0220.

C0050–C0060/R0230

Variation of Best Estimate due to experience risks — covered prior to period

The variation of Best Estimate captured here shall strictly relate to the strict realisation of cash flows when compared to the cash flows that were projected.

For calculation purposes, and in case on non–availability of information of realised cash flows, the variation due to experience may be calculated as the difference between realised technical flows and projected cash–flow.

C0050–C0060/R0240

Variation of Best Estimate due to changes in non–economic assumptions — risks covered prior to period

It mainly refers to changes in RBNS not driven by realised technical flows (e.g. revision on a case by case basis of the amount of IBNR) and changes assumptions directly linked to insurance risks (i.e. lapse rates), which can be referred to as non–economic assumptions.

In order to isolate the strict scope of variation due to changes in assumptions, the calculation may be as follows:

—

Consider the opening Best Estimate (cell C0050/R0150) including the adjustment to opening Best Estimate (cells C0050/R0160 to R0180) and the impact of unwinding, of year N projected cash–flows and (C0050/R0210 to R0230 and C0060/R0210 to R0230 respectively);

—

Based on this figure, run calculations with new assumptions not related to discount rates — that applied at year end N (if any);

This will provide the variation of Best Estimate strictly related to changes in these assumptions. This may not capture the variation due to case–by–case revision of RBNS, which would thus have to be added.

For Non–Life, in cases where these changes cannot be discerned separately from changes due to experience, report the total figure under C0060/R0230.

C0050–C0060/R0250

Variation of Best Estimate due to changes in economic environment — risks covered prior to period

It mainly refers to assumptions not directly linked to insurance risks, i.e. mainly the impact of the changes in economic environment on the cash flows (taking management actions into account, e. g. reduction of FDB) and changes in discount rates.

For non–life (C0060/R0250), in case variation due to inflation cannot be discerned from changes due to experience, the whole amount would be reported under C0060/R0230.

In order to isolate this strict scope of variation, the calculation may be as follows:

—

Consider the opening Best Estimate including the adjustment to opening Best Estimate (cells C0050/R0160 to R0180) and the impact of unwinding, of year N projected cash–flows and experience (C0050/R0210 to R0230 and C0060/R0210 toR0230 respectively, or alternatively, C0050/R0210 to R0240 and C0060/R0210 toR0240, respectively);

—

Based on this figure, run calculations with new discount rates that applied during year N, together with related financial assumptions (if any).

This will provide the variation of Best Estimate strictly related to changes in discount rates and related financial assumptions.

C0050–C0060/R0260

Other changes not elsewhere explained

Corresponds to other variations in Best Estimate, not captured in cells C0010/R0010 to R0100 (for Life) or C0020/R0010 to R0100 (Non–Life).

C0050–C0060/R0270

Closing Best Estimate

Amount of Best Estimate as stated in the Balance Sheet at closing year N related to those lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, for which an accident year approach (AY) is used for Best Estimate calculation.

Of which the following breakdown of Variation in Best Estimate — analysis per AY if applicable — reinsurance recoverables

C0070–C0080/R0280

Opening Best Estimate

Amount of Best Estimate of reinsurance recoverable as stated in the Balance Sheet at closing year N–1 related to those lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, for which an accident year approach (AY) is used for Best Estimate calculation.

C0070–C0080/R0290

Closing Best Estimate

Amount of Best Estimate of reinsurance recoverable as stated in the Balance Sheet at closing year N related to those lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35 for which an accident year approach (AY) is used for Best Estimate calculation.

Of which adjustments in Technical Provisions related to valuation of Unit linked contracts, with theoretically a neutralising impact on Assets over Liabilities

C0090/R0300

Variation in Investments in unit–linked

Amount shall represent the variation, in Balance Sheet, of the Assets held for index–linked and unit–linked funds.

It discloses the neutralisation of the assets and liabilities movements due to unit linked products.

Technical flows affecting Technical provisions

C0100–C0110/R0310

Premiums written during the period

Amount of written premiums under Solvency II principles and not included in BE, respectively for Life and Non–life.

C0100–C0110/R0320

Claims and benefits during the period, net of salvages and subrogations

Amount of claims and benefits during the period, net of salvages and subrogations, respectively for Life and Non–life.

If amounts are already captured in the best estimate, they shall not be part of this item.

C0100–C0110/R0330

Expenses (excluding Investment expenses)

Amount of expenses (excluding investment expenses — which are reported under S.29.02), respectively for Life and Non–life.

If amounts are already captured in the best estimate, they shall not be part of this item.

C0100–C0110/R0340

Total technical flows on gross Technical Provisions

Total amount of technical flows affecting gross TP.

C0100–C0110/R0350

Technical flows related to reinsurance during the period (recoverables received net of premiums paid)

Total amount of technical flows related to reinsurance recoverable during the period, i.e. recoverable received net of premiums, respectively for Life and Non–life.

Variation in Excess of Assets over Liabilities explained by Technical provisions

C0120–C0130/R0360

Variation in Excess of Assets over Liabilities explained by Technical provisions management — Gross Technical Provisions

This calculation corresponds to the following principle:

—

consider the variation in BE, RM and TP calculated as a whole;

—

deduct the variation in unit–linked (C0090/R0300);

—

add total amount of net technical flows, i.e.: inflows minus outflows (C0100/R0340 for Life and C0110/R0340 for Non–Life).

If the amount has a negative impact on Excess of Assets over Liabilities, this shall a negative amount.

C0120–C0130/R0370

Variation in Excess of Assets over Liabilities explained by Technical provisions management — Reinsurance recoverables

This calculation corresponds to the following principle:

—

consider the variation in Reinsurance recoverables;

—

add total amount of net technical flows, i.e.: inflows minus outflows, related to reinsurance during the period.

If the amount has a positive impact on Excess of Assets over Liabilities, this shall be a positive amount.

S.29.04 — Detailed analysis per period — Technical flows versus Technical provisions

General comments:
This section relates to annual submission of information for individual entities.
This template shall shall be completed on the basis of Solvency II valuation, i.e. written premiums are defined as the premiums due to be received by the undertaking in the period. Applying this definition means that written premiums in the given year are the premiums actually due to be received in that year, regardless of the coverage period. The definition of written premiums is consistent with the definition of ‘premium receivables’.
As regards the split per Lines of business for the analysis per period, line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, shall refer to both direct business and accepted proportional reinsurance.

 

ITEM

INSTRUCTIONS

Z0010

Lines of Business

Lines of business for which a split of the analysis per period will be required. The following close list shall be used:

 

1 — Medical expense insurance including proportional reinsurance

 

2 — Income protection insurance including proportional reinsurance

 

3 — Workers' compensation insurance including proportional reinsurance

 

4 — Motor vehicle liability insurance including proportional reinsurance

 

5 — Other motor insurance including proportional reinsurance

 

6 — Marine, aviation and transport insurance including proportional reinsurance

 

7 — Fire and other damage to property insurance including proportional reinsurance

 

8 — General liability insurance including proportional reinsurance

 

9 — Credit and suretyship insurance including proportional reinsurance

 

10 — Legal expenses insurance including proportional reinsurance

 

11 — Assistance including proportional reinsurance

 

12 — Miscellaneous financial loss including proportional reinsurance

 

25 — Non–proportional health reinsurance

 

26 — Non–proportional casualty reinsurance

 

27 — Non–proportional marine, aviation and transport reinsurance

 

28 — Non–proportional property reinsurance

 

37 — Life (including lines of business 29 to 34, as defined in Annex I to Delegated Regulation (EU) 2015/35)

 

38 — Health SLT (including lines of business 35 and 36)

Detailed analysis per period — Technical flows versus Technical provisions — UWY

Risks accepted during period

C0010/R0010

Written premiums underwritten during period

Part of the written premiums during the period that corresponds to contracts underwritten during the year.

Allocation keys may be used to identify this part of the total written premiums under Solvency II affected to contracts underwritten during the year.

C0010/R0020

Claims and benefits — net of salvages and subrogations recovered

Part of the claims and benefits, net of salvages and subrogations during the period that corresponds to risks accepted during the period.

Allocation keys may be used to identify this part of the total claims, as long as this reconciles at the end to total claims and benefits net of salvages and subrogations as reported in C0100/R0320 from S.29.03 and C0110/R0320 from S.29.03.

C0010/R0030

Expenses (related to insurance and reinsurance obligations)

Part of the expenses during the period that corresponds to risks accepted during the period.

Allocation keys may be used to identify this part of the total expenses, as long as this reconciles at the end to total expenses as reported in C0100/R0330 from template S.29.03 plus C0110/R0330 from template S.29.03.

C0010/R0040

Variation of Best Estimate

Corresponds to the variation of Best Estimate for risk accepted during the period.

C0010/R0050

Variation of Technical Provisions as a whole

Part of TP calculated as a whole corresponding to risks accepted during period.

Allocation keys may be used to identify this part of the total variation of TP calculated as a whole, as long as this reconciles at the end to total.

C0010/R0060

Adjustment of valuation of Assets held for unit–linked funds

The adjustment refers to assets held for unit–linked funds, whether captured through BE or through TP calculated as a whole.

The split of these assets between those referring to risks accepted during/prior to period is expected to be very complex. Allocation keys may be used to identify this part of the total adjustment due to unit–linked, as long as this reconciles at the end.

This item is added to the premiums and intends to eliminate the impact from unit–linked funds. It shall be reported as positive value if it reflects a positive difference between year N and N–1.

C0010/R0070

Total

Total impact from risks accepted during period — gross of reinsurance).

Risks accepted prior to period

C0020/R0010

Written premiums on contract underwritten during period

Part of the written premiums during the period that corresponds to contracts underwritten prior to period.

See instructions on C0010/R0010.

C0020/R0020

Claims and benefits — net of salvages and subrogations recovered

Part of the claims and benefits, net of salvages and subrogations during the period that corresponds to risks accepted prior to period.

See instructions on C0010/R0020.

C0020/R0030

Expenses (related to insurance and reinsurance obligations)

Part of the expenses during the period that corresponds to risks accepted prior to period.

See instructions on C0010/R0030.

C0020/R0040

Variation of BE due to year N projected in and out flows

Variation of BE due to year N projected in and out flows — risks accepted prior to period (gross of reinsurance)

Total for all reported line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, shall correspond to the sum of cells C0010/R0070 from template S.29.03 and C0020/R0070 from template S.29.03.

C0020/R0050

Variation of Technical Provisions as a whole

Part of TP calculated as a whole corresponding to risks accepted prior to period.

See instructions on C0010/R0050.

C0020/R0060

Adjustment of valuation of Assets held for unit–linked funds

See instructions on C0010/R0060.

C0020/R0070

Total

Total of changes related to risks accepted to prior, gross of reinsurance.

Detailed analysis per period — Technical flows versus Technical provisions — AY

Risks covered after the period

C0030/R0080

Premiums earned/ to be earned

Corresponds to part of premiums related to risks covered after the period, i.e. premiums to be earned after the period.

In addition, allocation keys may be used to identify this part of the premiums affected to risks covered after the period.

C0030/R0090

Claims and benefits — net of salvages and subrogations recovered

Corresponds to part of claims and benefits, net of salvages and subrogations related to risks covered after the period (theoretically at nil).

See instructions on C0010/R0020.

C0030/R0100

Expenses (related to insurance and reinsurance obligations)

Part of the expenses during the period that corresponds to risks covered after the period.

See instructions on C0010/R0030.

C0030/R0110

Variation of Best Estimate

This variation of BE shall correspond to the sum of cells C0050/R0190 from template S.29.03 and C0060/R0190 from template S.29.03. The amount refers to changes in (part of) Premiums Provisions (i.e. in relation to all recognised obligations within the boundary of the contract at the valuation date where the claim has not yet occurred) as follows:

—

identify Premiums Provisions at year end N

—

identify, if any, the part of premiums provisions at Year end (N–1) for which cover had not yet incepted before closing Year end N –1 (i.e in case of premiums provisions in relation to obligations on more than one future reporting period)

In case Premiums Provisions at year end (N–1) includes amount for which claims occurred during year N, this amount shall not be considered in Variation of BE on risks covered after the period, but, instead in Variation of BE on risks covered during the period, as this provision turned to Claims provisions.

C0030/R0120

Variation of Technical Provisions as a whole

Part of TP calculated as a whole corresponding to risks covered after the period.

See instructions on C0010/R0050.

C0030/R0130

Adjustment of valuation of Assets held for unit–linked funds

This cell is deemed not applicable for Non–Life

See instructions on C0010/R0060.

C0030/R0140

Total

Total changes related to risks covered after the period, gross of reinsurance.

Risks covered during the period

C0040/R0080

Premiums earned/to be earned

Corresponds to part of premiums related to risks covered during the period, i.e. earned premiums under Solvency II principles.

In addition, allocation keys may be used to identify this part of the premiums affected to risks covered after the period.

C0040/R0090

Claims and benefits — net of salvages and subrogations recovered

Corresponds to part of claims and benefits, net of salvages and subrogations related to risks covered during the period.

See instructions on C0010/R0020.

C0040/R0100

Expenses (related to insurance and reinsurance obligations)

Part of the expenses during the period that corresponds to risks covered during the period.

See instructions on C0010/R0030.

C0040/R0110

Variation of Best Estimate

Amount of the variation of best estimate for the risks covered during the period.

For risks covered during the period: this variation of BE shall correspond to the sum of cells C0050/R0200 from template S.29.03 and C0060/R0200 from template S.29.03.

The amount refers to the following cases:

a)

Premiums Provisions at Year end N–1 which turned to Claims Provisions at year end N because claim has occurred during the period

b)

Claims provisions related to claims occurred during the period (for which there was no Premiums provisions at year end N–1)

Calculation may be as follows:

—

Identify the part of premiums provisions at Year end (N–1) for which cover had already incepted in year N

—

Identify the part of claims provisions at Year end (N) related to risks covered during the period

C0040/R0120

Variation of Technical Provisions as a whole

Part of TP calculated as a whole corresponding to risks covered during period.

See instructions on C0010/R0050.

C0040/R0130

Adjustment of valuation of Assets held for unit–linked funds

This cell is deemed not applicable for Non–Life

See instructions on C0010/R0060.

C0040/R0140

Total

Total changes related to risks covered during period, gross of reinsurance.

Risks covered prior to period

C0050/R0090

Claims and benefits — net of salvages and subrogations recovered

Corresponds to part of claims and benefits, net of salvages and subrogations related to risks covered prior to the period.

See instructions on C0010/R0020.

C0050/R0100

Expenses (related to insurance and reinsurance obligations)

Part of the expenses during the period that corresponds to risks covered prior to the period.

See instructions on C0010/R0030.

C0050/R0110

Variation of Best Estimate due to year N projected in and out flows

For risks covered prior to period corresponds to year N projected in and out technical flows for risks accepted prior to period.

C0050/R0120

Variation of Technical Provisions as a whole

Part of technical provisions as a whole corresponding to risks covered prior to period.

See comment on C0010/R0050

C0050/R0130

Adjustment of valuation of Assets held for unit–linked funds

This cell is deemed not applicable for Non–Life

See instructions on C0010/R0060.

C0050/R0140

Total

Total changes related to risks covered prior to period, gross of reinsurance.

S.30.01 — Facultative covers for non–life and life business basic data

General comments:
This section relates to annual submission of information for individual entities.
This template is relevant to insurance and reinsurance undertakings which reinsure and/or retrocede business on a facultative basis.
It shall be filled by the non–life and life insurance and reinsurance undertakings with information on facultative covers in the next reporting year, covering information on the 10 most important risks in terms of reinsured exposure for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35 (e.g. in cases where the risks accepted do not fit in the regular policy acceptance and could only be accepted in case part of the risk is reinsured on a facultative basis). Each facultative risk is submitted to the reinsurer and terms and conditions of the facultative reinsurance are negotiated individually for each policy. Treaties that automatically cover risks are out of scope of this template and must be reported in S.30.03.
There shall be one separate template for each line of business. For each line of business, a selection must be made of the 10 most important risks in terms of reinsured exposure (part of sum insured transferred to all reinsurers) on a facultative basis. Furthermore, each underwriting risk shall have a unique code specified by the ‘risk identification code’.
This template is prospective (to be in line with S.30.03) for the selected largest 10 facultative covers that have not yet expired at the start of the next reporting year whose period of validity includes or overlaps the next reporting year and are known when filling the template. If reinsurance strategy changes materially after that date or if the renovation of the reinsurance contracts are performed later than the reporting date and before next 1 January, the information on this template shall be re–submitted when adequate.
Facultative placements covering different lines of business shall also appear in the various relevant line of business if they are ranked within the 10 biggest risks of the same line of business.

 

ITEM

INSTRUCTIONS

Facultative covers non–life

Z0010

Line of business

Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:

 

1 — Medical expense insurance

 

2 — Income protection insurance

 

3 — Workers' compensation insurance

 

4 — Motor vehicle liability insurance

 

5 — Other motor insurance

 

6 — Marine, aviation and transport insurance

 

7 — Fire and other damage to property insurance

 

8 — General liability insurance

 

9 — Credit and suretyship insurance

 

10 — Legal expenses insurance

 

11 — Assistance

 

12 — Miscellaneous financial loss

 

13 — Proportional medical expense reinsurance

 

14 — Proportional income protection reinsurance

 

15 — Proportional workers' compensation reinsurance

 

16 — Proportional motor vehicle liability reinsurance

 

17 — Proportional other motor reinsurance

 

18 — Proportional marine, aviation and transport reinsurance

 

19 — Proportional fire and other damage to property reinsurance

 

20 — Proportional general liability reinsurance

 

21 — Proportional credit and suretyship reinsurance

 

22 — Proportional legal expenses reinsurance

 

23 — Proportional assistance reinsurance

 

24 — Proportional miscellaneous financial loss reinsurance

 

25 — Non–proportional health reinsurance

 

26 — Non–proportional casualty reinsurance

 

27 — Non–proportional marine, aviation and transport reinsurance

 

28 — Non–proportional property reinsurance

C0020

Reinsurance program code

Undertaking specific reinsurance code that links the dominant treaty of reinsurance programme which also protects the risk covered by the facultative reinsurance. The Reinsurance program code shall be in line with the Reinsurance program code of S.30.03 — Outgoing Reinsurance Program in the next reporting year.

C0030

Risk identification code

For each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of non–life insurance a selection shall be made of the 10 most important risks in terms of exposure that are subject to facultative reinsurance in force in the next reporting period (also if they originated in preceding years). The code is a unique identifying number assigned by the insurer that identifies the risk and shall remain unchanged for subsequent annual reports.

C0040

Facultative reinsurance placement identification code

Each facultative reinsurance placement must be assigned a sequence number which is unique for the risk. The facultative reinsurance placement identification code is entity specific.

C0050

Finite reinsurance or similar arrangements

Identification of the reinsurance contract. The following closed list shall be used:

 

1 — Non–traditional or Finite RE

(if any reinsurance contract or financial instrument which is not directly based on the principle of indemnity or is based on a contract wording which has limited or no demonstrable risk transfer mechanism)

 

2 — Other than non–traditional or Finite RE

In case of Finite reinsurance or a similar arrangement only the items which are feasible must be filled.

C0060

Proportional

Indicate whether the reinsurance program is proportional reinsurance, i.e., involves a reinsurer taking a stated percent share of each policy that an insurer underwrites. One of the options in the following closed list shall be used:

 

1 — Proportional reinsurance

 

2 — Non–proportional reinsurance

C0070

Identification of the company/person to which the risk relates

If the risk relates to a company identify the name of the company to whom the risk relates.

If the risk relates to a natural person, pseudonymise the original policy number and report pseudonymised information. Pseudonymous data refer to data that cannot be attributed to a specific individual without the use of additional information, as long as such additional information is kept separately. Consistency over time shall be insured. It implies that if a single underwriting risk appears from one year to another, it shall receive the same pseudonymised format.

C0080

Description risk

The description of the risk. Depending on the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, report the type of company, building or occupation of the specific risk insured.

C0090

Description risk category covered

Description of the main scope of the cover of the facultative risk. It is normally part of the description used to identify the placement.

The description of the risk category covered is entity specific and is not mandatory. Also the term ‘risk category’ is not based on Directive 2008/138/EC or Delegated Regulation (EU) 2015/35/EC terminologies but can be considered as an extra possibility the give additional information about the underwriting risk(s).

C0100

Validity period (start date)

Identify the ISO 8601 (yyyy–mm–dd) code of the date of commencement of the specific cover, i.e., date when the cover took effect.

C0110

Validity period (expiry date)

Identify the ISO 8601 (yyyy–mm–dd) code of the final expiry date of the specific cover.

In case the cover conditions remain unchanged when filling in the template and the undertaking is not making use of the termination clause, the expiry date will be the next possible expiry date.

C0120

Currency

Identify the ISO 4217 alphabetic code of the currency used while placing the facultative cover. All the amounts must be expressed in this currency for the specific facultative cover, unless otherwise required by the national supervisory authority. In case the facultative cover is placed in two different currencies, then the main currency must be filled.

C0130

Sum insured

The highest amount that the insurer can be obliged to pay out under the policy. The insured sum relates to the underwriting risk. Where the facultative cover provides for a number of exposures/risks across the country the aggregate policy limits shall be specified. If the risk has been accepted on a co–insurance basis, the insured sum indicates the maximum liability of the reporting non–life insurer.

C0140

Type of underwriting model

Type of underwriting model which is used to estimate the exposure of the underwriting risk and the need for reinsurance protection. One of the options in the following closed list shall be used:

 

1 — Sum Insured

the highest amount that the insurer can be obliged to pay out according to the original policy. SI must also be filled when type of underwriting model is not applicable

 

2 — Maximum Possible Loss

loss which may occur when the most unfavourable circumstances being more or less exceptionally combined, the fire is only stopped by impassable obstacles or lack of substance.

 

3 — Probable Maximum Loss

defined as the estimate of the largest loss from a single fire or peril to be expected, assuming the worst single impairment of primary private fire protection systems but with secondary protection systems or organizations (such as emergency organizations and private and/or public fire department response) functioning as intended. Catastrophic conditions like explosions resulting from massive release of flammable gases, which might involve large areas of the plant, detonation of massive explosives, seismic disturbances, tidal waves or flood, falling aircraft, and arson committed in more than one area are excluded in this estimate. This definition is a hybrid form between Maximum Possible Loss and Estimated Maximum Loss that is generally accepted and frequently used by insurers, reinsurers and reinsurance brokers

 

4 — Estimated Maximum Loss

loss that could reasonably be sustained from the contingencies under consideration, as a result of a single incident considered to be within the realms of probability taking into account all factors likely to increase or lessen the extent of the loss, but excluding such coincidences and catastrophes which may be possible but remain unlikely.

 

5 — Other

other possible underwriting models used. The type of ‘other’ underwriting model applied must be explained in the Regular Supervisory Report

Although abovementioned definitions are used for the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35 ‘Fire and other damage to property insurance’, similar definitions might be in place for other lines of business.

C0150

Amount underwriting model

Maximum loss amount of the underwriting risk which is the result of the underwriting model used.

C0160

Sum reinsured on a facultative basis, with all reinsurers

The sum reinsured on a facultative basis is part of the sum insured which is reinsured on a facultative basis. The amount shall be consistent with the Sum insured as specified in C0130 and reflects the maximum liability (100 %) for the facultative reinsurers.

C0170

Facultative reinsurance premium ceded to all reinsurers for 100 % of the reinsurance placement

Expected gross annual or written reinsurance premium, gross of ceding commissions, ceded to reinsurers for their share.

C0180

Facultative reinsurance commission

Expected commission with the gross annual or written reinsurance premium. This shall include all ceding, overriding and profit commissions that represent cash–flows into the reporting insurer due from the reinsurer.

Facultative covers life

Z0010

Line of business

Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:

 

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

C0190

Reinsurance program code

Undertaking specific reinsurance code that links the dominant treaty of reinsurance programme which also protects the risk covered by the facultative reinsurance. The Reinsurance program code shall be in line with the Reinsurance program code of S.30.03 — Outgoing Reinsurance Program in the next reporting year.

C0200

Risk identification code

For each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of life insurance a selection shall be made of the 10 most important risks in terms of exposure that are subject to facultative reinsurance in force in the reporting period (also if they originated in preceding years). The code is a unique identifying number assigned by the insurer that identifies the risk within the branch, and this code cannot be reused for other risks in the same branch and shall remain unchanged for subsequent annual reports.

C0210

Facultative reinsurance placement identification code

Each facultative reinsurance placement must be assigned a sequence number which is unique for the risk. The facultative reinsurance placement identification code is entity specific.

C0220

Finite reinsurance or similar arrangements

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

 

1 — Non–traditional or Finite RE

(if any reinsurance contract or financial instrument which is not directly based on the principle of indemnity or is based on a contract wording which has limited or no demonstrable risk transfer mechanism)

 

2 — Other than non–traditional or Finite RE

C0230

Proportional

Indicate whether the reinsurance program is proportional reinsurance, i.e., involves a reinsurer taking a stated percent share of each policy that an insurer underwrites. One of the options in the following closed list shall be used:

 

1 — Proportional reinsurance

 

2 — Non–proportional reinsurance

C0240

Identification of the company/person to which the risk relates

If the risk relates to a company identify the name of the company to whom the risk relates

If the risk relates to a natural person, pseudonymise the original policy number and report pseudonymised information. Pseudonymous data refer to data that cannot be attributed to a specific individual without the use of additional information, as long as such additional information is kept separately. Consistency over time shall be insured. It implies that if a single underwriting risk appears from one year to another, it shall receive the same pseudonymised format.

C0250

Description risk category covered

Description of the main scope of the cover of the facultative risk. It is normally part of the description used to identify the placement.

The description of the risk category covered is entity specific and is not mandatory. Also the term ‘risk category’ isn't based on Solvency II Directive terminologies but can be considered as an extra possibility the give additional information about the underwriting risk(s).

C0260

Validity period (start date)

Identify the ISO 8601 (yyyy–mm–dd) code of the date of commencement of the specific cover, i.e., date when the cover took effect.

C0270

Validity period (expiry date)

Identify the ISO 8601 (yyyy–mm–dd) code of the final expiry date of the specific cover.

C0280

Currency

Identify the ISO 4217 alphabetic code of the currency used while placing the facultative cover. All the amounts of this record must be expressed in this currency.

C0290

Sum Insured

The amount that the life insurer pays out to the beneficiary. If the risk is co–insured with other life insurers, the insured capital payable by the reporting life insurer has to be reported here.

C0300

Capital at risk

The capital at risk, as defined in Delegated Regulation (EU) 2015/35/EC.

If the risk is co–insured with other life insurers, the risk capital relating to the life insurer's amount share in the insured capital has to be reported here.

C0310

Sum reinsured on a facultative basis, with all reinsurers

The sum reinsured on a facultative basis is that part of the sum insured which is reinsured on a facultative basis. The amount shall be consistent with the Sum insured as specified in C0310 and reflects the maximum liability (100 %) for the facultative reinsurers.

C0320

Facultative reinsurance premium ceded to all reinsurers for 100 % of the reinsurance placement

Expected gross annual or written reinsurance premium, gross of ceding commissions, ceded to the reinsurers for their share.

C0330

Facultative reinsurance commission

Expected commission with the gross annual or written reinsurance premium. This shall include all ceding, overriding and profit commissions that represent cash–flows into the reporting insurer due from the reinsurer.

S.30.02 — Facultative covers for non–life and life business shares data

General comments:
This section relates to annual submission of information for individual entities.
This template is relevant to insurance and reinsurance undertakings which reinsure and/or retrocede business on a facultative basis.
It shall be filled by the non–life and life insurance and reinsurance undertakings with information on shares of reinsurers of facultative covers in the next reporting year covering information on the 10 most important risks in terms of reinsured exposure, for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, (e.g. in cases where the risks accepted do not fit in the regular policy acceptance and could only be accepted in case part of the risk is reinsured on a facultative basis). Each facultative risk is submitted to the reinsurer and terms and conditions of the facultative reinsurance are negotiated individually for each policy. Treaties that automatically cover risks are out of scope of this template and must be reported in S.30.03.
There shall be one separate template for each line of business. For each line of business, a selection must be made of the 10 most important risks in terms of reinsured exposure (part of sum insured transferred to all reinsurers) on a facultative basis. Furthermore, each underwriting risk shall have a unique code specified by the ‘risk identification code’. Each chosen risk shall be separated to get unique conditions for a contract in a single line.
This template is prospective (to be in line with S.30.03) for the selected largest 10 facultative covers whose period of validity includes or overlaps the next reporting year and are known when filling the template. If reinsurance strategy changes materially after that date or if the renovation of the reinsurance contracts are performed later than the reporting date and before next 1 January, the information on this template shall be re–submitted when adequate.
Facultative placements covering different lines of business shall also appear in the various relevant lines of business if they are ranked within the 10 biggest risks of the same line of business.
This template shall be filled in for each reinsurer that accepted the facultative cover.

 

ITEM

INSTRUCTIONS

Facultative covers non–life

Z0010

Line of business

Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:

 

1 — Medical expense insurance

 

2 — Income protection insurance

 

3 — Workers' compensation insurance

 

4 — Motor vehicle liability insurance

 

5 — Other motor insurance

 

6 — Marine, aviation and transport insurance

 

7 — Fire and other damage to property insurance

 

8 — General liability insurance

 

9 — Credit and suretyship insurance

 

10 — Legal expenses insurance

 

11 — Assistance

 

12 — Miscellaneous financial loss

 

13 — Proportional medical expense reinsurance

 

14 — Proportional income protection reinsurance

 

15 — Proportional workers' compensation reinsurance

 

16 — Proportional motor vehicle liability reinsurance

 

17 — Proportional other motor reinsurance

 

18 — Proportional marine, aviation and transport reinsurance

 

19 — Proportional fire and other damage to property reinsurance

 

20 — Proportional general liability reinsurance

 

21 — Proportional credit and suretyship reinsurance

 

22 — Proportional legal expenses reinsurance

 

23 — Proportional assistance reinsurance

 

24 — Proportional miscellaneous financial loss reinsurance

 

25 — Non–proportional health reinsurance

 

26 — Non–proportional casualty reinsurance

 

27 — Non–proportional marine, aviation and transport reinsurance

 

28 — Non–proportional property reinsurance

C0020

Reinsurance program code

Undertaking specific reinsurance code that links the dominant treaty of reinsurance programme which also protects the risk covered by the facultative reinsurance. The Reinsurance program code shall be in line with the Reinsurance program code of S.30.03 — Outgoing Reinsurance Program in the next reporting year.

C0030

Risk identification Code

For each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of non–life insurance a selection shall be made of the 10 most important risks in terms of exposure that are subject to facultative reinsurance in force in the reporting period (also if they originated in preceding years). The code is a unique identifying number assigned by the insurer that identifies the risk and shall remain unchanged for subsequent annual reports.

C0040

Facultative reinsurance

Placement identification code

Each facultative reinsurance placement must be assigned a sequence number which is unique for the risk. The facultative reinsurance placement identification code is entity specific.

C0050

Code reinsurer

Identification code of the reinsurer by this order of priority:

—

Legal Entity Identifier (LEI);

—

Specific code attributed by the undertaking

C0060

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

C0070

Code broker

Identification code of the broker by this order of priority:

—

Legal Entity Identifier (LEI);

—

Specific code attributed by the undertaking

If more than one broker was involved in the reinsurance placement only the dominant main broker is required.

C0080

Type of code broker

Identification of the code used in item ‘Code broker’:

 

1 — LEI

 

2 — Specific code

C0090

Activity code broker

Representing the activities of the broker involved, as considered by the undertaking. In case the activities are combined all activities must be mentioned separated be a ‘,’:

—

Intermediary for placement

—

Underwriting on behalf of

—

Financial services

C0100

Share reinsurer (%)

Percentage of the facultative placement accepted by the reinsurer, expressed as an absolute percentage of the Amount reinsured on a facultative basis, with all reinsurers, as reported in column C0160 of S.30.01 — Facultative covers (in terms of reinsured exposure) — Basic.

The percentage shall be reported as a decimal.

C0110

Currency

Identify the ISO 4217 alphabetic code of the currency used while placing the facultative cover. All the amounts must be expressed in this currency for the specific facultative cover, unless otherwise required by the national supervisory authority. In case the facultative cover is placed in two different currencies, then the main currency must be filled.

C0120

Sum reinsured to facultative reinsurer

The sum reinsured on a facultative basis with the reinsurer.

C0130

Facultative ceded reinsurance premium

Expected gross annual or written reinsurance premium, ceded to reinsurer for their share.

C0140

Annotations

Description of cases where either the reinsurer's participation is at conditions different from those of the standard facultative or treaty placement, or to provide any other information that the undertaking has to bring to the attention of the Supervisor.

Facultative covers life

Z0010

Line of business

Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:

 

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

C0150

Reinsurance program code

Undertaking specific reinsurance code that links the dominant treaty of reinsurance programme which also protects the risk covered by the facultative reinsurance. The Reinsurance program code shall be in line with the Reinsurance program code of S.30.03 — Outgoing Reinsurance Program in the next reporting year.

C0160

Risk identification code

For each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, of life insurance a selection shall be made of the 10 most important risks in terms of exposure that are subject to facultative reinsurance in force in the reporting period (also if they originated in preceding years). The code is a unique identifying number assigned by the insurer that identifies the risk within the branch, and this code cannot be reused for other risks in the same branch and shall remain unchanged for subsequent annual reports.

C0170

Facultative reinsurance placement identification code

A sequential number which is unique for the risk, assigned to each facultative reinsurance placement by the undertaking.

C0180

Code reinsurer

Identification code of the reinsurer by this order of priority:

—

Legal Entity Identifier (LEI);

—

Specific code attributed by the undertaking

In case a specific code is attributed by the undertaking, the code shall be unique for the specific reinsurer and shall not overlap with any other code, attributed by the undertaking or LEI code.

C0190

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

C0200

Code broker

Identification code of the broker by this order of priority:

—

Legal Entity Identifier (LEI);

—

Specific code attributed by the undertaking

In case a specific code is attributed by the undertaking, the code shall be unique for the specific broker and shall not overlap with any other code, attributed by the undertaking or LEI code.

If more than one broker was involved in the reinsurance placement only the dominant broker is required.

C0210

Type of code broker

Identification of the code used in item ‘Code broker’:

 

1 — LEI

 

2 — Specific code

C0220

Activity code broker

Representing the activities of the broker involved, as considered by the undertaking. In case the activities are combined all activities must be mentioned separated be a ‘,’:

—

Intermediary for placement

—

Underwriting on behalf of

—

Financial services

C0230

Share reinsurer (%)

Percentage of the facultative placement accepted by the reinsurer, expressed as an absolute percentage of the Amount reinsured on a facultative basis, with all reinsurers, as reported in column C0310 of S.30.01 — Facultative covers (in terms of reinsured exposure) — Basic.

The percentage shall be reported as a decimal.

C0240

Currency

Identify ISO 4217 alphabetic code of the currency used while placing the facultative cover. All the amounts must be expressed in this currency for the specific facultative cover, unless otherwise required by the national supervisory authority. In case the facultative cover is placed in two different currencies, then the main currency must be filled.

C0250

Sum reinsured to facultative reinsurer

The sum reinsured on a facultative basis with the reinsurer.

C0260

Facultative ceded reinsurance premium

Expected gross annual or written reinsurance premium, ceded to reinsurer for their share.

C0270

Annotations

Description of cases where either the reinsurer's participation is at conditions different from those of the standard facultative or treaty placement, or to provide any other information that the undertaking has to bring to the attention of the Supervisor.

Information on reinsurers and brokers

C0280

Code reinsurer

Identification code of the reinsurer by this order of priority:

—

Legal Entity Identifier (LEI);

—

Specific code attributed by the undertaking

In case a specific code is attributed by the undertaking, the code shall be unique for the specific reinsurer and shall not overlap with any other code, attributed by the undertaking or LEI code.

C0290

Type of code reinsurer

Identification of the code used in item ‘Code reinsurer’ The following closed list shall be used:

 

1 — LEI

 

2 — Specific code

C0300

Legal name reinsurer

Legal name of the reinsurer to whom the underwriting risk has been transferred. The official name of the risk–carrier reinsurer is stated in the reinsurance contract. It is not permitted to fill in the name of a reinsurance broker. Nor is it permitted to state a general or incomplete name as international reinsurers have several operating companies that may be based in different countries.

In case of pooling arrangements, the name of the Pool (or pool manager) can be filled only if the Pool is a legal entity.

C0310

Type of reinsurer

Type of reinsurer to whom the underwriting risk has been transferred. The following closed list shall be used:

 

1 — Direct Life insurer

 

2 — Direct Non–life insurer

 

3 — Direct Composite insurer

 

4 — Captive insurance undertaking

 

5 — Internal reinsurer (reinsurance undertaking which primary focus is to take risk from other insurance undertakings within the group)

 

6 — External reinsurer (reinsurance undertaking that takes risks from undertakings other than from insurance undertakings within the group)

 

7 — Captive reinsurance undertaking

 

8 — Special purpose vehicle

 

9 — Pool entity (where more than one insurance or reinsurance undertakings are involved)

 

10 — State pool

C0320

Country of residency

Identify the ISO 3166–1 alpha–2 code for the country where the reinsurer is legally authorised/licensed.

C0330

External rating assessment by nominated ECAI

Rating of the reinsurer at the reporting reference date issued by the nominated credit assessment institution (ECAI).

C0340

Nominated ECAI

Identify the credit assessment institution (ECAI) giving the external rating.

C0350

Credit quality step

Identify the credit quality step attributed to the reinsurer. The credit quality step shall reflect any readjustments to the credit quality made internally by the undertakings that use the standard formula.

C0360

Internal rating

Internal rating of the reinsurer for undertakings using internal model to the extent that the internal ratings are used in their internal modelling. If an internal model undertaking is using solely external ratings this item shall not be reported.

C0370

Code broker

Identification code of the broker by this order of priority:

—

Legal Entity Identifier (LEI);

—

Specific code attributed by the undertaking

In case a specific code is attributed by the undertaking, the code shall be unique for the specific broker and shall not overlap with any other code, attributed by the undertaking or LEI code.

C0380

Type of code broker

Identification of the code used in item ‘Code broker’:

 

1 — LEI

 

2 — Specific code

C0390

Legal name broker

Statutory name of the broker.

S.30.03 — Outgoing Reinsurance Program basic data

General comments:
This section relates to annual submission of information for individual entities.
This template is relevant to insurance and reinsurance undertakings with an outgoing reinsurance and/or retrocession program including any coverage provided by State backed reinsurance pool arrangements, excluding facultative covers.
This template shall be filled by the insurance and reinsurance undertaking which is transferring underwriting risk to the reinsurers through a reinsurance treaty whose period of validity includes or overlaps the next reporting year and are known when filling the template. If reinsurance strategy changes materially after that date or if the renovation of the reinsurance contracts are performed later than the reporting date and before next 1 January, the information on this template shall be re–submitted when adequate.

 

ITEM

INSTRUCTIONS

C0010

Reinsurance program code

Unique code (undertaking specific) covering all the individual reinsurance placements and/or treaties which belong to the same reinsurance program.

C0020

Treaty identification code

Treaty identification code that identifies the treaty exclusively and must be maintained in subsequent reports, usually the original treaty number registered in the company's books.

C0030

Progressive section number in treaty

The progressive section number assigned by the undertaking to the various sections of the treaty, in those cases where the treaty, for example, covers more than one line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, or covers different lines of activity with different limits. Treaties with different conditions are considered different treaties for the submission of information and shall be reported in different sections. For different lines of business covered under the same treaty, the conditions referring to each line of business will be detailed separately under each section number. Treaties covering different type of reinsurance (e.g. one section on a Quota Share basis and another one on XL) in the same treaty shall be reported in different sections. Treaties covering different layers of the same program shall be reported in different sections.

C0040

Progressive number of surplus/layer in program

The progressive surplus/layer number, when the treaty is part of a wider program.

C0050

Quantity of surplus/layers in program

The total number of surpluses or layers in the same program which includes the treaty which is being reported.

C0060

Finite reinsurance or similar arrangements

Identification of the reinsurance contract. The following closed list shall be used:

 

1 — Non–traditional or Finite RE

(if any reinsurance contract or financial instrument which is not directly based on the principle of indemnity or is based on a contract wording which has limited or no demonstrable risk transfer mechanism)

 

2 — Other than non–traditional or Finite RE

In case of Finite reinsurance or a similar arrangement only the items which are feasible must be filled.

C0070

Line of business

Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:

 

1 — Medical expense insurance

 

2 — Income protection insurance

 

3 — Workers' compensation insurance

 

4 — Motor vehicle liability insurance

 

5 — Other motor insurance

 

6 — Marine, aviation and transport insurance

 

7 — Fire and other damage to property insurance

 

8 — General liability insurance

 

9 — Credit and suretyship insurance

 

10 — Legal expenses insurance

 

11 — Assistance

 

12 — Miscellaneous financial loss

 

13 — Proportional medical expense reinsurance

 

14 — Proportional income protection reinsurance

 

15 — Proportional workers' compensation reinsurance

 

16 — Proportional motor vehicle liability reinsurance

 

17 — Proportional other motor reinsurance

 

18 — Proportional marine, aviation and transport reinsurance

 

19 — Proportional fire and other damage to property reinsurance

 

20 — Proportional general liability reinsurance

 

21 — Proportional credit and suretyship reinsurance

 

22 — Proportional legal expenses reinsurance

 

23 — Proportional assistance reinsurance

 

24 — Proportional miscellaneous financial loss reinsurance

 

25 — Non–proportional health reinsurance

 

26 — Non–proportional casualty reinsurance

 

27 — Non–proportional marine, aviation and transport reinsurance

 

28 — Non–proportional property reinsurance

 

29 — Health insurance

 

30 — Insurance with profit participation

 

31 — Index–linked and unit–linked insurance

 

32 — Other life insurance

 

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

 

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

 

35 — Health reinsurance

 

36 — Life reinsurance

 

37 — Multiline (as defined hereunder)

1)

Where the reinsurance treaty provides cover for more than one line of business and the terms of cover differ between lines of business then the treaty needs to be specified over multiple rows. The first row entry for the treaty needs to be entered as ‘Multiline’ that provides details of the overall terms of the treaty (such as deductibles and reinstatements), with the subsequent rows providing details of the individual terms of the reinsurance treaty to each relevant line of business.

2)

Where the term of the cover do not differ by line of business only the dominant (based on the Gross Estimated Treaty Premium Income) Solvency II line of business is required.

3)

Multiyear treaties with fixed conditions can be expressed by the columns used for the validity period.

C0080

Description risk category covered

Description of the main scope of the treaty cover. This is referred to the main portfolio which is the scope of the treaty and normally is part of the treaty description (e.g. ‘Industrial property’ or ‘Director and officers liability’. Undertakings can also include a description referring which business unit the risk was accepted in case this has led to different treaty conditions (e.g. ‘Distribution label A’).

The description of the risk category covered is entity specific and is not mandatory. Also the term ‘risk category’ isn't based on Level 1 and 2 terminologies but can be considered as an extra possibility the give additional information about the underwriting risk(s).

C0090

Type of reinsurance treaty

Code of the type of reinsurance treaty. One of the options in the following list shall be used:

 

1 — quota share

 

2 — variable quota share

 

3 — surplus

 

4 — excess of loss (per event and per risk)

 

5 — excess of loss (per risk)

 

6 — excess of loss (per event)

 

7 — excess of loss ‘back–up’ (protection against follow–on events which certain catastrophes can cause such as flooding or fire)

 

8 — excess of loss with basis risk

 

9 — reinstatement cover

 

10 — aggregate excess of loss

 

11 — unlimited excess of loss

 

12 — stop loss

 

13 — other proportional treaties

 

14 — other non–proportional treaties

Other proportional treaties (code 13) and Other non–proportional treaties (code 14) can be used for hybrid types of reinsurance treaties.

C0100

Inclusion of catastrophic reinsurance cover

Identification of the including of catastrophic guarantees. Depending on whether the listed catastrophe risks are protected under reinsurance covers, one or a combination (separated by ‘,’) of the following codes has to be used:

 

1 — cover excludes all catastrophic guarantees

 

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

 

3 — flood is covered

 

4 — hurricane, windstorm, etc. are covered

 

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

 

6 — terrorism is covered

 

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

 

8 — all the above mentioned risks are covered

 

9 — risks not otherwise included in the listed items are covered

C0110

Validity period (start date)

Identify the ISO 8601 (yyyy–mm–dd) code of the date of commencement of the specific reinsurance treaty.

C0120

Validity period (expiry date)

Identify the ISO 8601 (yyyy–mm–dd) code of the final expiry date of the specific reinsurance treaty.

In case the treaty conditions remains unchanged when filling in the template and the undertaking is not making use of the termination clause, the expiry date will be the next possible expiry date.

C0130

Currency

Identify the ISO 4217 alphabetic code of the currency used while placing the reinsurance treaty. All the amounts must be expressed in this currency for the specific cover, unless otherwise required by the national supervisory authority. In case the treaty is placed in two different currencies, then the main currency must be filled..

C0140

Type of underwriting model

Type of underwriting model which is used to estimate the exposure of the underwriting risk and the need for reinsurance protection. One of the options in the following closed list shall be used:

 

1 — Sum Insured

the highest amount that the insurer can be obliged to pay out according to the original policy. SI must also be filled when type of underwriting model is not applicable

 

2 — Maximum Possible Loss

loss which may occur when the most unfavourable circumstances being more or less exceptionally combined, the fire is only stopped by impassable obstacles or lack of substance.

 

3 — Probable Maximum Loss

defined as the estimate of the largest loss from a single fire or peril to be expected, assuming the worst single impairment of primary private fire protection systems but with secondary protection systems or organizations (such as emergency organizations and private and/or public fire department response) functioning as intended. Catastrophic conditions like explosions resulting from massive release of flammable gases, which might involve large areas of the plant, detonation of massive explosives, seismic disturbances, tidal waves or flood, falling aircraft, and arson committed in more than one area are excluded in this estimate. This definition is a hybrid form between Maximum Possible Loss and Estimated Maximum Loss that is generally accepted and frequently used by insurers, reinsurers and reinsurance brokers

 

4 — Estimated Maximum Loss

loss that could reasonably be sustained from the contingencies under consideration, as a result of a single incident considered to be within the realms of probability taking into account all factors likely to increase or lessen the extent of the loss, but excluding such coincidences and catastrophes which may be possible but remain unlikely.

 

5 — Other

other possible underwriting models used. The type of ‘other’ underwriting model applied must be explained in the Regular Supervisory Report.

Although abovementioned definitions are used for the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, ‘Fire and other damage to property insurance and reinsurance’, similar definitions might be in place for other lines of business.

C0150

Estimated Subject Premium Income (XL — ESPI)

The amount of the estimated subject premiums income (‘ESPI’) relating to the contract period. It is normally the amount of premium referring to the portfolio protected under Excess of Loss treaties; in any case it is the amount on which the reinsurance premium is calculated by applying the rate. This item is only reported for XL treaties.

C0160

Gross Estimated Treaty Premium Income (proportional and non–proportional)

The amount of premium for 100 % of the treaty relating to the contract period. This amount is the equivalent of the 100 % reinsurance premium to be paid to all reinsurers for the treaty period, including the premium corresponding to unplaced shares.

C0170

Aggregate deductibles

The amount of franchise, meaning an additional retention when losses are covered by the reinsurer only when a certain amount of cumulative losses have taken place. This item is reported only if item C0180 is not reported.

C0180

Aggregate deductibles (%)

The percentage of franchise, meaning an additional retention percentage when losses are covered by the reinsurer only when a certain amount of cumulative losses have taken place. This item is reported only if item C0170 is not reported.

The percentage shall be reported as a decimal.

C0190

Retention or priority

The amount, for Surplus, Working XL and Catastrophe XL treaties, that is stated as retention or priority in the reinsurance treaty. Separate indication shall be given for the various lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

C0200

Retention or priority (%)

The percentage, for Quota Share and Stop Loss treaties, that is stated as retention or priority in the reinsurance treaty. Separate indication shall be given for the various lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

The percentage shall be reported as a decimal.

C0210

Limit

The amount that is stated as Limit in the reinsurance treaty. Separate indication shall be given for the various lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

In the case of unlimited cover ‘– 1’ is to be reported.

C0220

Limit (%)

The percentage, for Stop Loss treaties, that is stated as Limit in the reinsurance treaty. Separate indication shall be given for the various lines of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.

In the case of unlimited cover ‘– 1’ is to be reported.

The percentage shall be reported as a decimal.

C0230

Maximum cover per risk or event

The amount of maximum cover per risk or event. If for a Quota Share or a Surplus a maximum amount has been agreed for an event (for example — windstorm), the 100 % amount is to be reported. In all other cases, the amount is equal to the Limit minus Priority.

In the case of unlimited cover ‘– 1’ is to be reported.

C0240

Maximum cover per treaty

The amount of maximum cover per treaty. If for a Quota Share or a Surplus a maximum amount has been set for the entire contract, the 100 % amount is to be reported. In the case of unlimited cover ‘– 1’ is to be reported. For XL or SL treaties the initial capacity has to be indicated (e.g. annual aggregate limits); total cover might also be the result of the information provided under C0250.

C0250

Number of reinstatements

Number of possibilities to recover the reinsurance coverage.

C0260

Description of reinstatements

Description of the reinstatements to recover the reinsurance coverage. Examples of possible content of this item are ‘2 at 100 % plus 1 at 150 %’ or ‘all free’

C0270

Maximum reinsurance commission

Report the maximum percentage of commission. If fixed, item C0270, C0280 and C0290 are equal.

The percentage shall be reported as a decimal.

This item is only applicable for proportional treaties.

C0280

Minimum reinsurance commission

Report the minimum percentage of commission. If fixed, item C0270, C0280 and C0290 are equal.

The percentage shall be reported as a decimal.

This item is only applicable for proportional treaties.

C0290

Expected reinsurance commission

Report the expected percentage of commission. If fixed, item C0270, C0280 and C0290 are equal.

The percentage shall be reported as a decimal.

This item is only applicable for proportional treaties.

C0300

Maximum overriding commission

Report the maximum percentage of Overriding commission. If fixed, item C0300, C0310 and C0320 are equal.

The percentage shall be reported as a decimal.

This item is only applicable for proportional treaties.

C0310

Minimum overriding commission

Report the minimum percentage of Overriding commission. If fixed, item C0300, C0310 and C0320 are equal.

The percentage shall be reported as a decimal.

This item is only applicable for proportional treaties.

C0320

Expected overriding commission

Report the expected percentage of Overriding commission. If fixed, item C0300, C0310 and C0320 are equal.

The percentage shall be reported as a decimal.

This item is only applicable for proportional treaties.

C0330

Maximum profit commission

Report the maximum percentage of Profit commission. If fixed, item C0330, C0340 and C0350 are equal.

The percentage shall be reported as a decimal.

This item is only applicable for proportional treaties.

C0340

Minimum profit commission

Report the minimum percentage of Profit commission. If fixed, item C0330, C0340 and C0350 are equal.

The percentage shall be reported as a decimal.

This item is only applicable for proportional treaties.

C0350

Expected profit commission

Report the expected percentage of Profit commission. If fixed, item C0330, C0340 and C0350 are equal.

The percentage shall be reported as a decimal.

This item is only applicable for proportional treaties.

C0360

XL rate 1

Report the fixed rate or starting rate of a sliding rate system.

The percentage shall be reported as a decimal.

This item is only reported for XL treaties.

C0370

XL rate 2

Report the top end rate of a sliding rate system or NA for not applicable.

The percentage shall be reported as a decimal.

This item is only reported for XL treaties.

C0380

XL premium flat

Indication on whether XL premium is based or not on a flat premium. One of the options in the following list shall be used:

 

1 — XL premium based on a flat premium

 

2 — XL premium not based on a flat premium

This item is only reported for XL treaties.

S.30.04 — Outgoing Reinsurance Program shares data

General comments:
This section relates to annual submission of information for individual entities.
This template is relevant to insurance and reinsurance undertakings with an outgoing; reinsurance and/or retrocession program including any coverage provided by State backed reinsurance pool arrangements, excluding facultative covers.
This template shall be filled by the insurance and reinsurance undertaking which is transferring underwriting risk to the reinsurers through a reinsurance treaty whose period of validity includes or overlaps the next reporting year and are known when filling the template. If reinsurance strategy changes materially after that date or if the renovation of the reinsurance contracts are performed later than the reporting date and before next 1 January, the information on this template shall be re–submitted when adequate.

 

ITEM

INSTRUCTIONS

C0010

Reinsurance program code

Unique code (undertaking specific) covering all the individual reinsurance placements and/or treaties which belong to the same reinsurance program.

C0020

Treaty identification code

Treaty identification code that identifies it exclusively and must be maintained in subsequent reports, usually the original treaty number registered in the company's books.

C0030

Progressive section number in treaty

The progressive section number assigned by the undertaking to the various sections of the treaty, in those cases where the treaty, for example, covers more than one line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, or covers different lines of activity with different limits. Treaties with different conditions are considered different treaties for the submission of information and shall be reported in different sections. For different lines of business covered under the same treaty, the conditions referring to each line of business will be detailed separately under each section number. Treaties covering different type of reinsurance (e.g. one section on a Quota Share basis and another one on XL) in the same treaty shall be reported in different sections. Treaties covering different layers of the same program shall be reported in different sections.

C0040

Progressive number of surplus/layer in program

The progressive surplus/layer number, when the treaty is part of a wider program.

C0050

Code reinsurer

Identification code of the reinsurer by this order of priority:

—

Legal Entity Identifier (LEI);

—

Specific code attributed by the undertaking

In case a specific code is attributed by the undertaking, the code shall be unique for the specific reinsurer and shall not overlap with any other code, attributed by the undertaking or LEI code.

C0060

Type of code reinsurer

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

 

1 — LEI

 

2 — Specific code

C0070

Code broker

Identification code of the broker by this order of priority:

—

Legal Entity Identifier (LEI);

—

Specific code attributed by the undertaking

In case a specific code is attributed by the undertaking, the code shall be unique for the specific broker and shall not overlap with any other code, attributed by the undertaking or LEI code.

Where more than one broker was involved in the reinsurance placement only the main dominant broker is required.

C0080

Type of code broker

Identification of the code used in item ‘Code broker’:

 

1 — LEI

 

2 — Specific code

C0090

Activity code broker

Representing the activities of the broker involved, as considered by the undertaking. In case the activities are combined all activities must be mentioned separated by ‘,’:

—

Intermediary for placement

—

Underwriting on behalf of

—

Financial services

C0100

Share reinsurer (%)

Percentage of the reinsurance treaty accepted by reinsurer identified in item C0050, expressed as absolute percentage of the treaty placement.

Percentages shall be reported as a decimal.

C0110

Exposure ceded for reinsurer's share

Amount of the exposure reinsured with the reinsurer. This amount is based on the maximum cover per risk/event and is calculated with the formula: Item Maximum cover per risk or event (reported in item C0230 of S.30.03) x Item Share reinsurer (%) (reported in item C0100 of S.30.04).

If C0230 from S.30.03 is Unlimited fill this cell with ‘– 1’.

C0120

Type of collateral (if applicable)

Type of collateral held. The following closed list shall be used:

 

1 — Cash or equivalent in Trust

 

2 — Cash or Funds Withheld

 

3 — Letter of Credit

 

4 — Other

 

5 — None

C0130

Description of the reinsurers limit collateralised

Description of the reinsurer limit collateralised referring to the specific item specified in the treaty (e.g. 90 % of the technical provisions or 90 % of the premiums), if applicable.

C0140

Code collateral provider (if applicable)

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

If none is available this item shall not be reported.

C0150

Type of code of collateral provider

Identification of the code used in item ‘Code collateral provider (if applicable)’:

 

1 — LEI

 

9 — None

C0160

Estimated outgoing reinsurance premium for reinsurer's share

The estimated gross reinsurance premium of the treaty, to be paid by the undertaking, according to the next reporting year (N+1) for the share of each reinsurer. This amount is calculated according to the following examples:

 

Case 1: For Quota Share and Surplus; the share reported in item Share reinsurer (C0100) multiplied by item Gross Estimated Treaty Premium Income (C0160) reported in S.30.03;

 

Case 2: For XL–treaties if the treaty is subject to a fixed rate; the rate reported in item XL rate 1 (C0360) as reported in S.30.03 multiplied by the item Estimated Subject premium income (C0150) reported in S.30.03 multiplied by the share reported in item Share reinsurer (C0100).

 

Case 3: For XL–treaties if the treaty is subject to a sliding rate; the rate reported in item XL rate 2 (C0370) as reported in S.30.03 multiplied by the item Estimated Subject premium income (C0150) reported in S.30.03 multiplied by the share reported in item Share reinsurer (C0100).

C0170

Annotations

Description of cases where either the reinsurer's participation is at conditions different from those of the standard facultative or treaty placement, or to provide any other information that the undertaking has to bring to the attention of the Supervisory Authority.

Information on reinsurers and brokers

C0180

Code reinsurer

Identification code of the reinsurer by this order of priority:

—

Legal Entity Identifier (LEI);

—

Specific code attributed by the undertaking

In case a specific code is attributed by the undertaking, the code shall be unique for the specific reinsurer and shall not overlap with any other code, attributed by the undertaking or LEI code.

C0190

Type of code reinsurer

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

 

1 — LEI

 

2 — Specific code

C0200

Legal name reinsurer

Legal name of the reinsurer to whom the underwriting risk has been transferred. The official name of the risk–carrier reinsurer is stated in the reinsurance contract. It is not permitted to fill in the name of a reinsurance broker. Nor is it permitted to state a general or incomplete name as international reinsurers have several operating companies that may be based in different countries.

In case of pooling arrangements, the name of the Pool (or Pool manager) can be filled only if the Pool is a legal entity.

C0210

Type of reinsurer

Type of reinsurer to whom the underwriting risk has been transferred.

The following closed list shall be used:

 

1 — Direct Life insurer

 

2 — Direct Non–life insurer

 

3 — Direct Composite insurer

 

4 — Captive insurance undertaking

 

5 — Internal reinsurer (reinsurance undertaking which primary focus is to take risk from other insurance undertakings within the group)

 

6 — External reinsurer (reinsurance undertaking that takes risks from undertakings other than from insurance undertakings within the group)

 

7 — Captive reinsurance undertaking

 

8 — Special purpose vehicle

 

9 — Pool entity (where more than one insurance or reinsurance undertakings are involved)

 

10 — State pool

C0220

Country of residency

Identify the ISO 3166–1 alpha–2 code for the country where the reinsurer is legally authorised/licensed.

C0230

External rating assessment by nominated ECAI

Rating of the reinsurer at the reporting reference date issued by the nominated credit assessment institution (ECAI).

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

C0240

Nominated ECAI

Identify the credit assessment institution (ECAI) giving the external rating, by using the name of the ECAI as published at ESMA website.

C0250

Credit quality step

Identify the credit quality step attributed to the reinsurer. The credit quality step shall reflect any readjustments to the credit quality made internally by the undertakings that use the standard formula

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

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

 

0 — Credit quality step 0

 

1 — Credit quality step 1

 

2 — Credit quality step 2

 

3 — Credit quality step 3

 

4 — Credit quality step 4

 

5 — Credit quality step 5

 

6 — Credit quality step 6

 

9 — No rating available

C0260

Internal rating

Internal rating of reinsurers for undertakings using internal model to the extent that the internal ratings are used in their internal modelling. If an internal model undertaking is using solely external ratings this item shall not be reported.

C0270

Code broker

Identification code of the broker by this order of priority:

—

Legal Entity Identifier (LEI);

—

Specific code attributed by the undertaking

In case a specific code is attributed by the undertaking, the code shall be unique for the specific broker and shall not overlap with any other code, attributed by the undertaking or LEI code.

Where a reinsurance treaty is covered by more than one broker only the dominant broker shall be reported.

C0280

Type of code broker

Identification of the code used in item ‘Code broker’:

 

1 — LEI

 

2 — Specific code

C0290

Legal name broker

Statutory name of the broker.

C0300

Code collateral provider (if applicable)

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

If none is available this item shall not be reported.

C0310

Type of code collateral provider (if applicable)

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

C0320

Collateral provider name

Name of the collateral provider will depend on the type of collateral specified in C0120.

—

Where collateral is held in trust the collateral provider will be the Trust provider.

—

Where the collateral is on a Cash or Funds withheld basis this cell can remain blank.

—

Where the collateral is a Letters of Credit it will be the underlying Financial Institution providing this facility.

—

Where other report only if applicable.

S.31.01 — Share of reinsurers (including Finite Reinsurance and SPV's)

General comments:
This section relates to annual submission of information for individual entities.
This template shall be filled by the insurance and reinsurance undertakings where a recoverable is recognised in relation to the reinsurer (even if all contracts with that reinsurer have terminated) and whose reinsurer is reducing the gross technical provisions as per end of the reporting year.
The template collects information on reinsurers and not on separate treaties. All ceded technical provisions, including those ceded under Finite reinsurance (as defined in S.30.03 Column C0060), must be completed. This also means that if an SPV or a syndicate of Lloyd's acts as a reinsurer the SPV or the syndicate must be listed.

 

ITEM

INSTRUCTIONS

C0040

Code reinsurer

Identification code of the reinsurer by this order of priority:

—

Legal Entity Identifier (LEI);

—

Specific code attributed by the undertaking

C0050

Type of code Reinsurer

Identification of the code used in item ‘Code reinsurer’. The following closed list shall be used:

 

1 — LEI

 

2 — Specific code

C0060

Reinsurance recoverables — Premium provision Non–life including Non–SLT Health

The amount of share of the reinsurer in the recoverables from reinsurance (including Finite Re and SPV) before the adjustment for expected losses due to the counterparty default, in the best estimate of the premium provisions calculated as the expected present value of future incoming and outgoing cash flows.

C0070

Reinsurance recoverables — Claims provisions Non–life including Non–SLT Health

The amount of share of the reinsurer in the recoverables from reinsurance (including Finite Re and SPV) before the adjustment for expected losses due to the counterparty default, in the best estimate of the claims provisions.

C0080

Reinsurance recoverables — Technical provisions Life including SLT Health

The amount of share of the reinsurer in the recoverables from reinsurance (including Finite Re and SPV) before the adjustment for expected losses due to the counterparty default, in the best estimate of the technical provisions.

C0090

Adjustment for expected losses due to counterparty default

Per reinsurer the adjustment for expected losses due to counterparty default. The adjustment shall be calculated separately and must be in line with Delegated Regulation (EU) 2015/35.

This value shall be reported as negative value.

C0100

Reinsurance recoverables: Total reinsurance recoverables

The result of ceded technical provisions (resulting from claims provision + premiums provision + Non–Life TP calculated as a whole and Life including health SLT, including the adjustment for expected losses due to counterparty default.

C0110

Net receivables

The amounts past due resulting from: claims paid by the insurer but not yet reimbursed by the reinsurer plus commissions to be paid by the reinsurer and other receivables minus debts to the reinsurer. Cash deposits are excluded and are to be considered as guarantees received.

C0120

Assets pledged by reinsurer

Amount of assets pledged by the reinsurer to mitigate the counterparty default risk of the reinsurer.

C0130

Financial guarantees

Amount of guarantees received by the undertaking from the reinsurer to guarantee the payment of the liabilities due by the undertaking (includes letter of credit, undrawn committed borrowing facilities).

C0140

Cash deposits

Amount of cash deposits received by the reinsurer.

C0150

Total guarantees received

Total amount of types of guarantees.

Information on reinsurers

C0160

Code reinsurer

Identification code of the reinsurer by this order of priority:

—

Legal Entity Identifier (LEI);

—

Specific code attributed by the undertaking

C0170

Type of code Reinsurer

Identification of the code used in item ‘Code reinsurer’. The following closed list shall be used:

 

1 — LEI

 

2 — Specific code

C0180

Legal name reinsurer

Legal name of the reinsurer to whom the underwriting risk has been transferred. The official name of the risk–carrier reinsurer is stated in the reinsurance contract. It is not permitted to fill in the name of a reinsurance broker. Nor is it permitted to state a general or incomplete name as international reinsurers have several operating companies that may be based in different countries.

In case of pooling arrangements, the name of the Pool (or Pool manager) can be filled only if the Pool is a legal entity.

C0190

Type of reinsurer

Type of reinsurer to whom the underwriting risk has been transferred.

The following closed list shall be used:

 

1 — Direct Life insurer

 

2 — Direct Non–life insurer

 

3 — Direct Composite insurer

 

4 — Captive insurance undertaking

 

5 — Internal reinsurer (reinsurance undertaking which primary focus is to take risk from other insurance undertakings within the group)

 

6 — External reinsurer (reinsurance undertaking that takes risks from undertakings other than from insurance undertakings within the group)

 

7 — Captive reinsurance undertaking

 

8 — Special purpose vehicle

 

9 — Pool entity (where more than one insurance or reinsurance undertakings are involved)

 

10 — State pool

C0200

Country of residency

Identify the ISO 3166–1 alpha–2 code for the country where the reinsurer is legally authorised/licensed.

C0210

External rating assessment by nominated ECAI

The actual/current rating that is considered by the undertaking.

C0220

Nominated ECAI

The agency that rates the reinsurer that is considered by the undertaking.

C0230

Credit quality step

Identify the credit quality step attributed to the reinsurer. The credit quality step shall reflect any readjustments to the credit quality made internally by the undertakings that use the standard formula.

C0240

Internal rating

Internal rating of the reinsurer for undertakings using internal model to the extent that the internal ratings are used in their internal modelling. If an internal model undertaking is using solely external ratings this item shall not be reported.

S.31.02 — Special Purpose Vehicles

General comments:
This section relates to annual submission of information for individual entities.
This template is relevant for each insurance or reinsurance undertaking transferring risk(s) to a Special Purpose Vehicle (SPV), to ensure sufficient disclosure has been made where SPVs are used as alternative risk transfer methods to traditional reinsurance treaties.
The template applies to the use of:
a)
SPVs defined under Article 13(26) and authorised under Article 211(1) of Directive 2009/138/EC;
b)
SPVs meeting conditions of Article 211(3) of Directive 2009/138/EC;
c)
SPVs regulated by third country supervisors where these meet equivalent measures to the conditions set out in Article 211(2) of Directive 2009/138/EC;
d)
Other SPVs, not meeting the definitions above, where risks are transferred under arrangements with the economic substance of a reinsurance contract.
The template covers risk mitigation techniques (recognised or not) carried out by the (re)insurance undertaking whereby a SPV assumes risks from the reporting undertaking through a reinsurance contract; or assume insurance risks from the reporting undertaking transferred through a similar arrangement that is ‘reinsurance like’.

 

ITEM

INSTRUCTIONS

C0030

Internal code of SPV

Internal code attributed to the SPV by the undertaking by this order of priority:

—

Legal Entity Identifier (LEI);

—

Specific code

Specific code:

—

For EEA insurance and reinsurance undertakings and other EEA regulated undertakings within the group: identification code used in the local market, attributed by the undertaking's competent supervisory authority;

—

For non–EEA undertakings and non–regulated undertakings within the group, identification code 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.

This code shall be unique to each SPV and remain constant over subsequent reports.

C0040

ID Code of SPV notes or other financing mechanism issued

For the notes or other financing mechanism issued by the SPV and hold by the insurance and reinsurance undertaking identify the ID code by this order of priority if existent:

—

ISO 6166 ISIN when available;

—

Other ‘recognised’ codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC);

—

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

C0050

ID Code Type of SPV notes or other financing mechanism issued

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

 

1 — ISO 6166 for ISIN code

 

2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)

 

3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)

 

4 — WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)

 

5 — Bloomberg Ticker (Bloomberg letters code that identify a company's securities)

 

6 — BBGID (The Bloomberg Global ID)

 

7 — Reuters RIC (Reuters instrument code)

 

8 — FIGI (Financial Instrument Global Identifier)

 

9 — Other code by members of the Association of National Numbering Agencies

 

99 — Code attributed by the undertaking

C0060

Lines of Business SPV securitisation relates

Identification of the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used:

 

1 — Medical expense insurance

 

2 — Income protection insurance

 

3 — Workers' compensation insurance

 

4 — Motor vehicle liability insurance

 

5 — Other motor insurance

 

6 — Marine, aviation and transport insurance

 

7 — Fire and other damage to property insurance

 

8 — General liability insurance

 

9 — Credit and suretyship insurance

 

10 — Legal expenses insurance

 

11 — Assistance

 

12 — Miscellaneous financial loss

 

13 — Proportional medical expense reinsurance

 

14 — Proportional income protection reinsurance

 

15 — Proportional workers' compensation reinsurance

 

16 — Proportional motor vehicle liability reinsurance

 

17 — Proportional other motor reinsurance

 

18 — Proportional marine, aviation and transport reinsurance

 

19 — Proportional fire and other damage to property reinsurance

 

20 — Proportional general liability reinsurance

 

21 — Proportional credit and suretyship reinsurance

 

22 — Proportional legal expenses reinsurance

 

23 — Proportional assistance reinsurance

 

24 — Proportional miscellaneous financial loss reinsurance

 

25 — Non–proportional health reinsurance

 

26 — Non–proportional casualty reinsurance

 

27 — Non–proportional marine, aviation and transport reinsurance

 

28 — Non–proportional property reinsurance

 

29 — Health insurance

 

30 — Insurance with profit participation

 

31 — Index–linked and unit–linked insurance

 

32 — Other life insurance

 

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

 

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

 

35 — Health reinsurance

 

36 — Life reinsurance

 

37 — Multiline

Where the reinsurance treaty or a similar arrangement provides cover for more than one line of business and the terms of cover differ between lines of business then the treaty needs to be specified over multiple rows. The first row entry for the treaty needs to be entered as ‘Multiline’ that provides details of the overall terms of the treaty, with the subsequent rows providing details of the individual terms of the reinsurance treaty to each relevant line of business. Where the term of the cover do not differ by line of business only the dominant Solvency II line of business is required.

C0070

Type of Trigger(s) in the SPV

Identify the trigger mechanisms used by the SPV as trigger events that would oblige the SPV to make payment to the ceding (re)insurance undertaking. The following closed list shall be used:

 

1 — Indemnity

 

2 — Model Loss

 

3 — Index or Parametric

 

4 — Hybrids (including components from the above–mentioned techniques)

 

5 — Other

C0080

Contractual Trigger Event

Description of the specific trigger that would oblige the SPV to make payment to the ceding (re)insurance undertaking. This information should be complementary to the information on ‘Type of Trigger(s) in the SPV’ and should be descriptive enough to allow supervisors to identify the concrete trigger, e.g. specific weather/storm indices for cat risks or general mortality tables for longevity risks.

C0090

Same trigger as in underlying cedant's portfolio

Identify if the trigger defined in the underlying (re)insurance policy with the pay–out trigger defined in the treaty is the same as the one defined in the SPV. The following closed list shall be used:

 

1 — Same trigger

 

2 — Different trigger

C0100

Basis risk arising from risk–transfer structure

Identify the causes of basis risk (i.e. that the exposure covered by the risk–mitigation technique does not correspond to the risk exposure of the insurance or reinsurance undertaking). The following close list shall be used:

 

1 — No basis risk

 

2 — Insufficient subordination for note holders,

 

3 — Investors' additional recourse against cedant,

 

4 — Additional risks were securitised subsequent to authorisation,

 

5 — Cedants hold exposure to notes issued,

 

9 — Other

C0110

Basis risk arising from contractual terms

Identify the basis risk arising from contractual terms.

 

1 — No basis risk

 

2 — Substantial part of risks insured not transferred

 

3 — Insufficient trigger to match risk exposure of cedant

C0120

SPV assets ring–fenced to settle cedant–specific obligations

The amount of SPV assets ring–fenced for the reporting cedant, which are available to settle the contractual liabilities reinsured by the SPV for that specific cedant only (collateral assets specifically recognised on balance sheet of the SPV in relation to the obligation assumed).

C0130

Other non cedant–specific SPV Assets for which recourse may exist

The amount of SPV assets (recognised on balance sheet of the SPV), not directly related to the reporting cedant but for which recourse exists. This would include any ‘free assets’ of the SPV, which may be available to settle the reporting cedant's liabilities.

C0140

Other recourse arising from securitisation

The amount of contingent assets of the SPV (held off balance sheet), not directly related to the reporting cedant but for which recourse exists. This includes recourse against other counterparties of the SPV, including guarantees, reinsurance contracts and derivative commitments to SPV made by the SPV sponsor, note holders, or other third parties.

C0150

Total maximum possible obligations from SPV under reinsurance policy

Amount of total maximum possible obligations from reinsurance contract (cedant–specific).

C0160

SPV fully funded in relation to cedant obligations throughout the reporting period

Identify if the protection offered by the risk–mitigation technique may only be partially recognised where counterparty to a reinsurance contract ceases to be able to provide effective and continuing risk–transfer. The following closed list shall be used:

 

1 — SPV fully funded in relation to cedant obligations

 

2 — SPV not fully funded in relation to cedant obligations

C0170

Current recoverables from SPV

Amount of SPV Recoverables recognised on the Solvency II balance sheet of the reporting undertaking (prior to adjustments made for expected losses due to counterparty default). This shall be calculated in accordance with the requirements of Article 41of Delegated Regulation (EU) 2015/35.

C0180

Identification of material investments held by cedant in SPV

Identify whether material investments held by the cedant in the SPV exist, according to Article 210 of Delegated Regulation (EU) 2015/35.

 

1 — Not applicable

 

2 — Investments of SPV controlled by cedant and/or sponsor (where it differs from cedant);

 

3 — Investments of SPV held by cedant (equity, notes or other subordinated debt of the SPV);

 

4 — Cedant sells reinsurance or other risk mitigation protection to the SPV;

 

5 — Cedant has provided guarantee or other credit enhancement to SPV or note holders;

 

6 — Sufficient basis risk retained by cedant;

 

9 — Other.

If this is reported then cells C0030 and C0040 needs to identify the instrument.

C0190

Securitisation assets related to cedant held in trust with other third party than cedant/sponsor?

Identify if there are securitisation assets related to cedant held in trust with other third party than cedant/sponsor, considering the provisions of Articles 214(2) and 326 of Delegated Regulation (EU) 2015/35. One of the options in the following closed list shall be used:

 

1 — Held in trust with other third party than cedant/sponsor

 

2 — Not held in trust with other third party than cedant/sponsor

Information on SPV

C0200

Internal code of SPV

Internal code attributed to the SPV by the undertaking by this order of priority:

—

Legal Entity Identifier (LEI);

—

Specific code

Specific code:

—

For EEA insurance and reinsurance undertakings and other EEA regulated undertakings within the group: identification code used in the local market, attributed by the undertaking's competent supervisory authority;

—

For non–EEA undertakings and non–regulated undertakings within the group, identification code 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

This code shall be unique to each SPV and remain constant over subsequent reports.

C0210

Type of code SPV

Identification of the code used in item ‘internal code of SPV’. One of the options in the following closed list shall be used:

 

1 — LEI

 

2 — Specific code

C0220

Legal nature of SPV

Identify the legal nature of the SPV securitisation, according to Article 13(26) of Directive 2009/138/EC.

Closed list

 

1 — Trusts

 

2 — Partnerships

 

3 — Limited liability companies

 

4 — Other legal entity form not referred above

 

5 — Not incorporated

C0230

Name of SPV

Identify the name of the SPV

C0240

Incorporation no. of SPV

Registration number received at incorporation of the SPV. For un–incorporated SPVs, the undertaking should report the regulatory number or equivalent number obtained from the supervisory authority at the time of authorisation.

If the SPV is not incorporated this cell doesn't apply.

C0250

SPV country of authorisation

Identify the ISO 3166–1 alpha–2 code for the country where the SPV is established and has received authorisation, where applicable.

C0260

SPV authorisation conditions

Identify authorisation conditions of the SPV according to Article 211 of the Directive 2009/138/EC or equivalent legal instrument. One of the options in the following closed list shall be used:

 

1 — SPV authorised under Article 211(1) of Directive 2009/138/EC

 

2 — SPV authorised under Article 211(3) of Directive 2009/138/EC (grandfathered)

 

3 — SPV regulated by a third country supervisory authority where requirements equivalent to those set out in Article 211(2) of Directive 2009/138/EC are met by the special purpose vehicle

 

4 — SPV not covered above

C0270

External rating assessment by nominated ECAI

Rating of the SPV (if any) that is considered by the undertaking and given by an external rating agency.

C0280

Nominated ECAI

Rating agency giving the external rating of the SPV, as reported in item C0260.

C0290

Credit quality step

Identify the credit quality step attributed to the SPV. The credit quality step shall reflect any readjustments to the credit quality made internally by the undertaking.

C0300

Internal rating

Internal rating of the SPV for undertakings using internal model to the extent that the internal ratings are used in their internal modelling. If an internal model undertaking is using solely external ratings this item shall not be reported.

S.36.01 — IGT — Equity–type transactions, debt and asset transfer

General comments:
This section relates to annual submission of information for individual entities.
The purpose of this template is to collect information according to Article 265 of Directive 2009/138/EC on all (significant, very significant and transactions required to be reported in all circumstances) IGTs related to equity, debt, reciprocal financing and asset transfers related transactions within a group according to Article 213 (2)(d) of Directive 2009/138/EC. 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.
The insurance undertaking is expected to complete this template for all significant, very significant and transactions required to be reported in all circumstances for IGTs between the individual undertaking and the mixed–activity insurance holding company and its related undertakings.
This template shall include IGTs 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 similar transactions with a related entity may be excluded from IGT reporting when considered individually against the thresholds for significant and very significant, these transactions must nevertheless be individually reported where collectively they are at or above the corresponding threshold values for significant or very significant IGTs.
Each transaction shall be reported separately.
Any additions/top–ups to significant IGTs shall be reported as a separate IGT, even if the top–up 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 should be recorded as a separate item with its issue date as the date of the top–up.
Where the transaction value is different for two transacting parties (e.g. a EUR 10 m transaction between A and B where A records EUR 10 m but B only receive EUR 9,5 m because of transactions costs, of say EUR 0,5 m has been expensed) the template shall record the maximum amount as the transaction amount, in this case EUR 10 m.
Where there is a chain of related IGTs (say A invests in B and B invests in C), each link of the chain needs to be reported as a separate IGT.

 

ITEM

INSTRUCTIONS

C0010

ID of intragroup transaction

Unique internal identification code for each intragroup transaction. Should 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 their 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);

—

Specific code

Specific code:

—

For EEA insurance and reinsurance undertakings and other EEA regulated undertakings within the group: identification code used in the local market, attributed by the undertaking's competent supervisory authority;

—

For non–EEA undertakings and non–regulated undertakings within the group, identification code 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

C0040

ID code type of code of the investor/lender

Identification of the code used in item ‘Identification code for the investor/lender’:

 

1 — LEI

 

2 — Specific code

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 their 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);

—

Specific code

Specific code:

—

For EEA insurance and reinsurance undertakings and other EEA regulated undertakings within the group: identification code used in the local market, attributed by the undertaking's competent supervisory authority;

—

For non–EEA undertakings and non–regulated undertakings within the group, identification code 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

C0070

ID code type of code of the issuer/borrower

Identification of the code used in item ‘Identification code for the issuer/borrower’:

 

1 — LEI

 

2 — Specific code

C0080

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 must be consistent over time.

This may be different from the intragroup transaction code provided in cell C0010.

C0090

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

C0100

Transaction type

Identify the transaction type. The following close 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

C0110

Transaction Issue date

This is the earlier of the transaction/debt issue date or the date the IGT is effective from if different from the issue date.

The date should follow the ISO 8601 (yyyy–mm–dd) format.

C0120

Maturity date of transaction

Identify the ISO 8601 (yyyy–mm–dd) code of the date when the transaction expires/reaches maturity if applicable.

—

For IGTs with no maturity date use ‘9999–12–31’.

—

For perpetual securities use ‘9999–12–31’

C0130

Currency of transaction

Identify the ISO 4217 alphabetic code of the currency in which the transaction took place.

C0140

Contractual amount of transaction/Transaction price

Amount of the transaction or price as per agreement/contract.

C0150

Value of collateral/asset

The value of collateral for collaterised debt or asset value for IGT involving asset transfer.

C0160

Amount of redemption/prepayments/paybacks during reporting period

Amount of total redemptions/prepayments/paybacks during the reporting period if applicable.

C0170

Amount of dividends/interest/coupon and other payments made during reporting period

This cell shall capture any payments made in relation to the IGTs recorded in this template for the reporting period (12 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 IGTs 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 a additional payments on partly paid shares or increasing loan amount during the period,

C0180

Balance of contractual amount of transaction at reporting date

Outstanding amount of the transaction at the reporting date if applicable e.g. for debt issue. If there has been a full early settlement/prepayment, the balance of contractual amount will be zero.

C0190

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.

S.36.02 — IGT — Derivatives

General comments:
This section relates to annual submission of information for individual entities.
This template shall report all IGTs between entities in scope of group supervision according to Article 213 (2)(d) of Directive 2009/138/EC.
The insurance undertaking is expected to complete this template for all significant, very significant and transactions required to be reported in all circumstances for IGTs between the individual undertaking and the mixed–activity insurance holding company and its related undertakings:
This template shall include IGTs 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 similar transactions with a related entity may be excluded from IGT reporting when considered individually against the thresholds for significant and very significant, these transactions must nevertheless be reported individually where collectively, they are at or above the corresponding threshold values for significant or very significant IGTs.
Each transaction shall be reported separately.
Any additions/top–ups to significant IGTs shall be reported as a separate IGT, even if the top–up 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 should be recorded as a separate item with its issue date as the date of the top–up.
Where the transaction value is different for two transacting parties (e.g. a EUR 10 m transaction between A and B where A records EUR 10 m but B only receive EUR 9,5 m because of transactions costs, of say EUR 0,5 m has been expensed) the template should record the maximum amount as the transaction amount, in this case EUR 10 m.
Where there is a chain of related IGTs (say A invests in B and B invests in C), each link of the chain needs to be reported as a separate IGT.

 

ITEM

INSTRUCTIONS

C0010

ID of intragroup transaction

Unique internal identification code for each intragroup transaction. Must 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);

—

Specific code

Specific code:

—

For EEA insurance and reinsurance undertakings and other EEA regulated undertakings within the group: identification code used in the local market, attributed by the undertaking's competent supervisory authority;

—

For non–EEA undertakings and non–regulated undertakings within the group, identification code 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

C0040

ID code type of code of the investor/buyer

Identification of the code used in item ‘Identification code for the investor/buyer’:

 

1 — LEI

 

2 — Specific code

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);

—

Specific code

Specific code:

—

For EEA insurance and reinsurance undertakings and other EEA regulated undertakings within the group: identification code used in the local market, attributed by the undertaking's competent supervisory authority;

—

For non–EEA undertakings and non–regulated undertakings within the group, identification code 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

C0070

ID code type of code of the issuer/seller

Identification of the code used in item ‘Identification code for the issuer/seller’:

 

1 — LEI

 

2 — Specific code

C0080

ID Code of the instrument

This is the identification code of the instrument (derivative) 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 must be consistent over time.

This may be different from the intragroup transaction code provided in cell C0010.

C0090

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

C0100

Transaction type

Identify the transaction type. The following close 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 — credit default

 

8 — Swaps — interest rate

 

9 — Swaps — currency

 

10 — Swaps — others

A repurchase agreement should be considered as cash transaction plus forward contract.

C0110

Transaction Trade 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.

C0120

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.

C0130

Currency

Where applicable, identify the ISO 4217 alphabetic code of the currency of the derivative, i.e. currency of the notional amount of the derivative (e.g.: option having as underlying an amount in USD). This item is not applicable for currency swap.

C0140

Notional amount at transaction date

The amount covered or exposed to the derivative at the transaction date.

For futures and options, corresponds to contract size multiplied by the number of contracts. For swaps and forwards, corresponds to the contract amount.

C0150

Notional amount at reporting date

The amount covered or exposed to the derivative at the reporting date, i.e. the closing balance.

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 will be zero.

C0160

Value of collateral

Value of the collateral pledged on reporting date (zero if derivative has been closed) if applicable.

C0170

Options, futures, forwards and other derivatives — Use of derivatives (by buyer)

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’.

C0180

Options, futures, forwards and other derivatives — 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 must 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.

C0190

ID Code Type of the Asset/liability underlying the derivative

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

C0200

Credit protection –CDS and Guarantees — Counterparty name for which credit protection is purchased

Name of the counterparty for which protection has been purchased for its default

C0210

Swaps — Swap delivered interest rate (for buyer)

Interest rate delivered under the swap contract (only for Interest rate swaps).

C0220

Swaps — Swap received interest rate (for buyer)

Interest rate received under the swap contract (only for Interest rate swaps).

C0230

Swaps — Swap delivered currency (for buyer)

Identify the ISO 4217 alphabetic code of the currency of the swap price (only for currency swaps).

C0240

Swaps — Swap received currency (for buyer)

Identify the ISO 4217 alphabetic code of the currency of the swap notional amount (only for currency swaps).

S.36.03 — IGT — Internal reinsurance

General comments:
This section relates to annual submission of information for individual entities.
The purpose of this template is to collect information on all (significant, very significant and transactions required to be reported in all circumstances) IGTs related to equity, debt, reciprocal financing and asset transfers related transactions within a group according to Article 213 (2)(d) of Directive 2009/138/EC. These include, but are not limited to:
— reinsurance treaties between related undertakings;
— facultative reinsurance between related undertakings; and
— any other transaction that results in transferring underwriting risk (insurance risk) between related undertakings.
The insurance undertaking is expected to complete this template for all significant, very significant and transactions required to be reported in all circumstances for IGTs between the individual undertaking and the mixed–activity insurance holding company and its related undertakings.
This template shall include IGTs 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 similar transactions with a related entity may be excluded from IGT reporting when considered individually against the thresholds for significant and very significant, these transactions must nevertheless be individually reported where collectively they are at or above the corresponding threshold values for significant or very significant IGTs.
Each transaction shall be reported separately. Undertakings shall report as many rows as needed to properly identify the transaction, including if different types of reinsurance contracts/treaties are used.
Any additions/top–ups to significant IGTs shall be reported as a separate IGT, even if the top–up 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 top–up.
Where the transaction value is different for two transacting parties (e.g. a EUR 10 m transaction between A and B where A records EUR 10 m but B only receive EUR 9,5 m because of transactions costs, of say EUR 0,5 m has been expensed) the template shall record the maximum amount as the transaction amount, in this case EUR 10 m.
Where there is a chain of related IGTs (say A invests in B and B invests in C), each link of the chain needs to be reported as a separate IGT.

 

ITEM

INSTRUCTIONS

C0010

ID of intragroup transaction

Unique internal identification code for each intragroup transaction. Must be consistent over time.

C0020

Name of cedent

Legal name of the entity that has transferred the underwriting risk to another insurer or reinsurer within the group.

C0030

Identification code of cedent

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 insurance and reinsurance undertakings and other EEA regulated undertakings within the group: identification code used in the local market, attributed by the undertaking's competent supervisory authority;

—

For non–EEA undertakings and non–regulated undertakings within the group, identification code 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

C0040

ID code type of code of the cedant

Identification of the code used in item ‘Identification code for the cedant’:

 

1 — LEI

 

2 — Specific code

C0050

Name of reinsurer

Legal name of the reinsurer to whom the underwriting risk has been transferred.

This shall be the same as reported in S.30.02.

C0060

Identification code of reinsurer

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 insurance and reinsurance undertakings and other EEA regulated undertakings within the group: identification code used in the local market, attributed by the undertaking's competent supervisory authority;

—

For non–EEA undertakings and non–regulated undertakings within the group, identification code 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

C0070

ID code type of code of the reinsurer

Identification of the code used in item ‘Identification code for the reinsurer’:

 

1 — LEI

 

2 — Specific code

C0080

Validity period (start date)

Identify the ISO 8601 (yyyy–mm–dd) code of the date of commencement of the specific reinsurance contract/treaty.

C0090

Validity period (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).

C0100

Currency of contract/treaty

Identify the ISO 4217 alphabetic code of the currency of payments for the specific reinsurance contract/treaty.

C0110

Type of reinsurance contract/ treaty

Identify the type of reinsurance contract/treaty. The following close 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

Maximum cover by reinsurer under contract/treaty

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. £ 10 million). In case of unlimited cover ‘– 1’ must be filled in here. For XL or SL treaties enter the initial capacity.

This item has to be reported in the currency of the transaction.

C0130

Net Receivables

The amount resulting from: claims paid by the insurer but not yet reimbursed by the reinsurer + commissions to be paid by the reinsurer + other receivables minus debts to the reinsurer. Cash deposits are excluded and are to be considered as guarantees received. Total amount must be equal to the sum of the balance sheet items: Reinsurance receivables and Reinsurance payables.

C0140

Total reinsurance recoverable

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.

C0150

Reinsurance result (for reinsured entity)

The reinsurance result for the reinsured entity should be calculated as follows:

 

Total reinsurance commissions received by reinsured entity

less

 

Gross reinsurance premiums paid by reinsured entity

plus

 

Claims paid by reinsurer during the reporting period

plus

 

Total reinsurance recoverables at the end of the reporting period

less

 

Total reinsurance recoverables at the start of the reporting period.

C0160

Line of business

Identify the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, being reinsured. The following close 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.

S.36.04 — IGT — Cost Sharing, contingent liabilities, off balance sheet and other items

General comments:
This section relates to annual submission of information for individual entities.
The purpose of this template is to collect information on all other IGTs (significant, very significant and transactions required to be reported in all circumstances) which have not been captured in 36.01 to 36.03 templates within the group according to Article 213 (2) (d) of Directive 2009/138/EC. These include, but not limited to:
— Internal cost sharing;
— Contingent liabilities (other than derivatives);
— Off balance sheet guarantees;
— Any other transactions between related undertakings or natural persons in scope of the group supervision.
The insurance undertaking is expected to complete this template for all significant, very significant and transactions required to be reported in all circumstances for IGTs between the individual undertaking and the mixed–activity insurance holding company and its related undertakings.
This template shall include IGTs 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 similar transactions with a related entity may be excluded from IGT reporting when considered individually against the thresholds for significant and very significant, these transactions must nevertheless be individually reported where collectively they are at or above the corresponding threshold values for significant or very significant IGTs.
Each transaction shall be reported separately.
Any additions/top–ups to significant IGTs shall be reported as a separate IGT, even if the top–up 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 should be recorded as a separate item with its issue date as the date of the top–up.
Where the transaction value is different for two transacting parties (e.g. a EUR 10 m transaction between A and B where A records EUR 10 m but B only receive EUR 9,5 m because of transactions costs, of say EUR 0,5 m has been expensed) the template should record the maximum amount as the transaction amount, in this case EUR 10 m.
Where there is a chain of related IGTs (say A invests in B and B invests in C), each link of the chain needs to be reported as a separate IGT.

 

ITEM

INSTRUCTIONS

C0010

ID of intragroup transaction

Unique internal identification code for each intragroup transaction. Must be consistent over time.

C0020

Investor/Buyer/Beneficiary name

Legal name of the entity that is purchasing/investing in the asset/investment or receiving the service/guarantee.

C0030

Identification code of the Investor/Buyer/Beneficiary

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 insurance and reinsurance undertakings and other EEA regulated undertakings within the group: identification code used in the local market, attributed by the undertaking's competent supervisory authority;

—

For non–EEA undertakings and non–regulated undertakings within the group, identification code 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

C0040

ID code type of code of the Investor/Buyer/Beneficiary

Identification of the code used in item ‘Identification code for the Investor/Buyer/Beneficiary’:

 

1 — LEI

 

2 — Specific code

C0050

Issuer/Seller/Provider name

Legal name of the entity that is selling/transferring the asset/investment or providing the service/guarantee.

C0060

Identification code of the Issuer/Seller/Provider

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 insurance and reinsurance undertakings and other EEA regulated undertakings within the group: identification code used in the local market, attributed by the undertaking's competent supervisory authority;

—

For non–EEA undertakings and non–regulated undertakings within the group, identification code 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

C0070

ID code type of code of the Issuer/Seller/Provider

Identification of the code used in item ‘Identification code for the Issuer/Seller/Provider’:

 

1 — LEI

 

2 — Specific code

C0080

Transaction type

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

 

1 — Contingent liabilities

 

2 — Off balance sheet items

 

3 — Internal cost sharing

 

4 — Others

C0090

Transaction Issue date

Identify the ISO 8601 (yyyy–mm–dd) code of the date when the transaction/issue takes effect.

C0100

Effective date of agreement/contract underlying transaction

Where applicable, Identify the ISO 8601 (yyyy–mm–dd) code of the date when the transaction or contract underlying the transactions takes effect if different from the transaction date. If same as the transaction date, the transaction date is to be reported.

C0110

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’.

C0120

Currency of transaction

Identify the ISO 4217 alphabetic code of the currency in which the transaction took place.

C0130

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.

C0140

Value of transaction/collateral/Guarantee

Value of the transaction, collateral pledged or contingent liability recognised on the Solvency II balance sheet.

All items shall be reported on Solvency II value. However where Solvency II value is not available (e.g. non–EEA operations under method 2 in equivalent regimes or banks and credit institutions) then the local or sectoral valuation rules should be used.

C0150

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 Solvency II Balance Sheet.

C0160

Maximum possible value of contingent liabilities not included in Solvency II Balance Sheet

Enter the maximum amount of the contingent liability, for those not included in the Solvency II Balance Sheet, that could be due from the Provider.

C0170

Maximum value of letters of credit/guarantees

Sum of all possible cash flows if events triggering guarantees were all to happen in relation to guarantees provided by the ‘provider’ (cell C0050) to the ‘beneficiary’ (Cell C0020) 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.

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

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.

S.01.01 — Content of the submission

General comments:
This section relates to opening, 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.

 

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.

When item Z0010 = 2, then report ‘0’

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 — Assets and 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

 

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

C0010/R0070

S.03.02 — Off–balance sheet items — List of unlimited guarantees received by the group

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

 

1 — Reported

 

2 — Not reported as no unlimited guarantees received

 

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

C0010/R0080

S.03.03 — Off–balance sheet items — List of unlimited guarantees provided by the group

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

 

1 — Reported

 

2 — Not reported as no unlimited guarantees provided

 

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/R0130

S.06.01 — Summary of Assets

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

 

1 — Reported

 

4 — Not due as S.06.02 reported quarterly

 

5 — Not due as S.06.02 reported annually

 

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 as no material changes since quarterly submission

 

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

 

6 — Exempted under Article 254(2)

 

7 — Not due as no material changes since quarterly submission

 

0 — Not reported other reason (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

 

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 as no material changes since quarterly submission

 

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

C0010/R0180

S.08.02 — Derivatives Transactions

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 as no material changes since quarterly submission

 

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

 

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/R0260

S.15.01 — Description of the guarantees of variable annuities

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

 

1 — Reported

 

2 — Not reported as no variable annuities

 

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

C0010/R0270

S.15.02 — Hedging of guarantees of variable annuities

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

 

1 — Reported

 

2 — Not reported as no variable annuities

 

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

 

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

 

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

 

2 — Reported due to Article 112 request

 

8 — Not reported as use of partial internal model (‘PIM’)

 

9 — Not reported as use of full internal model (‘IM’)

 

13 — Not reported as method 2 is used exclusively

 

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

C0010/R0470

S.25.02 — Solvency Capital Requirement — for groups using the standard formula and partial internal model

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

 

1 — Reported

 

9 — Not reported as use of full internal model

 

10 — Not reported as 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/R0480

S.25.03 — Solvency Capital Requirement — for groups on Full Internal Models

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

 

1 — Reported

 

8 — Not reported as use of partial internal model

 

10 — Not reported as 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 as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

13 — Not reported as method 2 is used exclusively

 

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 as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

13 — Not reported as method 2 is used exclusively

 

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 as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

13 — Not reported as method 2 is used exclusively

 

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 as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

13 — Not reported as method 2 is used exclusively

 

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 as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

13 — Not reported as method 2 is used exclusively

 

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 as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

13 — Not reported as method 2 is used exclusively

 

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 as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

13 — Not reported as method 2 is used exclusively

 

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 — Risk not existent

 

8 — Not reported as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

13 — Not reported as method 2 is used exclusively

 

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 Intragroup transaction (‘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 — Internal reinsurance

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

 

1 — Reported

 

2 — Not reported as no IGT on Internal reinsurance

 

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

C0010/R0770

S.36.04 — IGT — Cost Sharing, contingent liabilities, off BS and other items

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

 

1 — Reported

 

2 — Not reported as no IGT on Cost Sharing, contingent liabilities, off BS and other items

 

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/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

 

2 — Reported due to Article 112 request

 

8 — Not reported as use of partial internal model

 

9 — Not reported as use of full internal model

 

13 — Not reported as method 2 is used exclusively

 

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

C0010/R0850

SR.25.02 — Solvency Capital Requirement — SF and PIM

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

 

1 — Reported

 

9 — Not reported as use of full internal model

 

10 — Not reported as 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/R0860

SR.25.03 — Solvency Capital Requirement — IM

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

 

1 — Reported

 

8 — Not reported as use of partial internal model

 

10 — Not reported as 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 — Risk not existent

 

8 — Not reported as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

13 — Not reported as method 2 is used exclusively

 

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 — Risk not existent

 

8 — Not reported as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

13 — Not reported as method 2 is used exclusively

 

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 — Risk not existent

 

8 — Not reported as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

13 — Not reported as method 2 is used exclusively

 

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 — Risk not existent

 

8 — Not reported as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

13 — Not reported as method 2 is used exclusively

 

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 — Risk not existent

 

8 — Not reported as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

13 — Not reported as method 2 is used exclusively

 

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 as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

13 — Not reported as method 2 is used exclusively

 

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 as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

13 — Not reported as method 2 is used exclusively

 

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 — Risk not existent

 

8 — Not reported as use of partial internal model

 

9 — Not reported as use of full internal model

 

11 — Not reported as reported at RFF/MAP level

 

13 — Not reported as method 2 is used exclusively

 

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

S.01.02 — Basic information

General comments:
This section relates to opening, 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 following priority:

—

Legal Entity Identifier (‘LEI’)

—

Identification code used in the local market, attributed by supervisory authority

C0010/R0030

Type of code of group

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

 

1 — LEI

 

2 — Specific code

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 sub–group 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/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

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

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

General comments:
This section relates to opening and annual submission of information for groups.
All ring–fenced funds and matching portfolios sholud be identified regardless if they are material for the purposes of submission of information.
In the first table all ring–fenced funds and matching adjustments portfolios shall be reported. In case a ring–fenced fund has a matching portfolio not covering the full RFF three funds have to be identified, one for the RFF, other for the MAP inside the RFF and other for the remaining part of the fund (vice–versa for the situations where a MAP has a 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 Solvency II Directive is used, either exclusively or in combination with method 2 as defined in Article 233 of Solvency II Directive;
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 Solvency II Directive, and;
c)
This information does not apply to groups when method 2 as defined in Article 233 of Solvency II Directive 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)

—

Specific code

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

—

For European Economic Area (re) insurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking's supervisory authority

—

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 option 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 opening, 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 Directive2009/138/EC, Delegated Regulation (EU) 2015/35, Solvency 2 Technical Standards and 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 a 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 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 reported in other templates

When item Z0020 = 2, then report ‘0’

C0020/R0010

Goodwill

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

C0020/R0020

Deferred acquisition costs

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

C0010– C0020/R0030

Intangible assets

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

C0010– C0020/R0040

Deferred tax assets

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

(a)

deductible temporary differences;

(b)

the carry forward of unused tax losses; and/or

(c)

the carry forward of unused tax credits.

C0010– C0020/R0050

Pension benefit surplus

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

C0010– C0020/R0060

Property, plant & equipment held for own use

Tangible assets which are intended for permanent use and property held by the group for own use. It includes also 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 includes also 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 denominated and funded in the domestic currency of that central government and the central bank, 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, 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 collateralized 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’). Assets under this category are not subject to unbundling.

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 on mortgages to individuals and other loans and mortgages is not available, this item shall not be reported.

C0010– C0020/R0250

Loans and mortgages to individuals

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

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

C0010– C0020/R0260

Other loans and mortgages

Financial assets created when creditors lend funds to debtors — others, not classifiable in item R0240 or R0250, with collateral or not, including cash pools.

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

C0010– C0020/R0270

Reinsurance recoverables from:

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

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 past–due for payment by policyholders, insurers, and other linked to insurance business, that are not included in cash–in flows of technical provisions.

It shall include receivables from reinsurance accepted.

C0010– C0020/R0370

Reinsurance receivables

Amounts past–due by reinsurers and linked to reinsurance business that are not included in reinsurance recoverables.

It might include: the amounts past due from receivables from reinsurers that relate to settled claims of policyholders or beneficiaries; receivables from reinsurers in relation to other than insurance events or settled insurance claims, for example commissions.

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 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

b)

a present obligation that arises from past events even if:

(i)

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

(ii)

the amount of the obligation cannot be measured with sufficient reliability.

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

C0010– C0020/R0750

Provisions other than technical provisions

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

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

C0010– C0020/R0760

Pension benefit obligations

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

C0010– C0020/R0770

Deposits from reinsurers

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

C0010– C0020/R0780

Deferred tax liabilities

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

C0010– C0020/R0790

Derivatives

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

(a)

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

(b)

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

(c)

It is settled at a future date.

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

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 past–due to policyholders, insurers and other business linked to insurance, but that are not technical provisions.

Includes amounts past–due to (re)insurance intermediaries (e.g. commissions due to intermediaries but not yet paid by the group).

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, past–due to reinsurers (in particular current accounts) other than deposits linked to reinsurance business, that are not included in reinsurance recoverables.

Includes payables to reinsurers that relate to ceded premiums.

C0010– C0020/R0840

Payables (trade, not insurance)

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

C0010– C0020/R0850

Subordinated liabilities

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

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

C0010– C0020/R0860

Subordinated liabilities not in Basic Own Funds

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

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

C0010– C0020/R0870

Subordinated liabilities in Basic Own Funds

Subordinated liabilities classified in Basic Own Funds.

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

C0010– C0020/R0880

Any other liabilities, not elsewhere shown

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

C0010– C0020/R0900

Total liabilities

This is the overall total amount of all liabilities

C0010/R1000

Excess of assets over liabilities

This is the total of 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 — Assets and liabilities by currency

General comment:
This section relates to annual submission of information for groups.
This template is to be filled in accordance to 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 90 % of assets and also of liabilities.
If submitted, information on the reporting currency shall always be reported regardless of the amount of assets and liabilities. Information reported by currency shall at least represent 90 % of the total assets and of the total liabilities. The remaining 10 % shall be aggregated. If a specific currency has to be reported for either assets or liabilities to comply with the 90 % rule then that currency shall be reported for both assets and liabilities.

 

ITEM

INSTRUCTIONS

C0010/R0010

Currencies

Identify the ISO 4217 alphabetic code of each currency to be reported.

C0020/R0020

Total value of all currencies — Investments (other than assets held for index–linked and unit–linked contracts)

Report the total value of the investments (other than assets held for index–linked and unit–linked contracts) for all currencies.

Investment in non–controlled participations (NCPs) at the group level will be included in the ‘Investments’ row in this template (R0020). The net asset value of NCPs shall be apportioned to the relevant currency column in accordance with the individual's local currency.

C0030/R0020

Value of the reporting currency — Investments (other than assets held for index–linked and unit–linked contracts)

Report the value of the investments (other than assets held for index–linked and unit–linked contracts) for the reporting currency.

C0040/R0020

Value of remaining other currencies — Investments (other than assets held for index–linked and unit–linked contracts)

Report the total value of investments (other than assets held for 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/R0020) and in the currencies reported by currency (C0050/R0020).

C0050/R0020

Value of material currencies — Investments (other than assets held for index–linked and unit–linked contracts)

Report the value of the investments (other than assets held for index–linked and unit–linked contracts) for each of the currencies required to be reported separately.

C0020/R0030

Total value of all currencies — Other assets: Property, plant & equipment held for own use, Cash and cash equivalents, Loans on policies, Loans & mortgages to individuals and Other loans & mortgages (other than index–linked and unit–linked contracts)

Report the total value of other assets: Property, plant & equipment held for own use, Cash and cash equivalents, Loans on policies, Loans & mortgages to individuals and Other loans & mortgages (other than index–linked and unit–linked contracts) for all currencies.

C0030/R0030

Value of the reporting currency — Other assets: Property, plant & equipment held for own use, Cash and cash equivalents, Loans on policies, Loans & mortgages to individuals and Other loans & mortgages (other than index–linked and unit–linked contracts)

Report the value of the other assets: Property, plant & equipment held for own use, Cash and cash equivalents, Loans on policies, Loans & mortgages to individuals and Other loans & mortgages (other than index–linked and unit–linked contracts) for the reporting currency.

C0040/R0030

Value of remaining other currencies — Other assets: Property, plant & equipment held for own use, Cash and cash equivalents, Loans on policies, Loans & mortgages to individuals and Other loans & mortgages (other than index–linked and unit–linked contracts)

Report the total value the other assets: Property, plant & equipment held for own use, Cash and cash equivalents, Loans on policies, Loans & mortgages to individuals and Other loans & mortgages (other than 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/R0030) and in the currencies reported by currency (C0050/R0030).

C0050/R0030

Value of material currencies — Other assets: Property, plant & equipment held for own use, Cash and cash equivalents, Loans on policies, Loans & mortgages to individuals and Other loans & mortgages (other than index–linked and unit–linked contracts)

Report the value of the other assets: Property, plant & equipment held for own use, Cash and cash equivalents, Loans on policies, Loans & mortgages to individuals and Other loans & mortgages (other than index–linked and unit–linked contracts) for each of the currencies required to be reported separately.

C0020/R0040

Total value of all currencies — Assets held for index–linked and unit–linked contracts

Report the total value of the assets held for index–linked and unit–linked contracts for all currencies.

C0030/R0040

Value of the reporting currency — Assets held for index–linked and unit–linked contracts

Report the value of the assets held for index–linked and unit–linked contracts for the reporting currency.

C0040/R0040

Value of remaining other currencies — Assets held for index–linked and unit–linked contracts

Report the total value of the assets held for 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/R0040) and in the currencies reported by currency (C0050/R0040).

C0050/R0040

Value of material currencies — Assets held for index–linked and unit–linked contracts

Report the value of the assets held for index–linked and unit–linked contracts for all currencies required to be reported separately.

C0020/R0050

Total value of all currencies — Reinsurance recoverables

Report the total value of the reinsurance recoverables for all currencies.

C0030/R0050

Value of the reporting currency — Reinsurance recoverables

Report the value of the reinsurance recoverables for the reporting currency.

C0040/R0050

Value of remaining other currencies — Reinsurance recoverables

Report the total value of the reinsurance recoverables for remaining currencies that are not reported by currency.

This means that this cell excludes the amount reported in the reporting currency (C0030/R0050) and in the currencies reported by currency (C0050/R0050).

C0050/R0050

Value of material currencies — Reinsurance recoverables

Report the value of the Reinsurance recoverables for each of the currencies required to be reported separately.

C0020/R0060

Total value of all currencies — Deposits to cedants, insurance and intermediaries receivables and reinsurance receivables

Report the total value of the deposits to cedants, insurance and intermediaries receivables and reinsurance receivables for all currencies.

C0030/R0060

Value of the reporting currency — Deposits to cedants, insurance and intermediaries receivables and reinsurance receivables

Report the value of the deposits to cedants, insurance and intermediaries receivables and reinsurance receivables for the reporting currency.

C0040/R0060

Value of remaining other currencies — Deposits to cedants, insurance and intermediaries receivables and reinsurance receivables

Report the value of the deposits to cedants, insurance and intermediaries receivables and reinsurance receivables for the remaining currencies that are not reported by currency.

This means that this cell excludes the amount reported in the reporting currency (C0030/R0060) and in the currencies reported by currency (C0050/R0060).

C0050/R0060

Value of material currencies — Deposits to cedants, insurance and intermediaries receivables and reinsurance receivables

Report the value of the deposits to cedants, insurance and intermediaries receivables and reinsurance receivables for each of the currencies required to be reported separately.

C0020/R0070

Total value of all currencies — Any other assets

Report the total value of any other assets for all currencies.

C0030/R0070

Value of the solvency II reporting currency — Any other assets

Report the value of any other assets for the reporting currency.

C0040/R0070

Value of remaining other currencies — Any other assets

Report the total value of any other assets for the remaining currencies that are not reported by currency.

This means that this cell excludes the amount reported in the reporting currency (C0030/R0070) and in the currencies reported by currency (C0050/R0070).

C0050/R0070

Value of material currencies — Any other assets

Report the value of any other assets for each of the currencies required to be reported separately.

C0020/R0100

Total value of all currencies — Total assets

Report the total value of the total assets for all currencies.

C0030/R0100

Value of the reporting currency — Total assets

Report the value of total assets for the reporting currency.

C0040/R0100

Value of remaining other currencies — Total assets

Report the value of total assets for the remaining currencies that are not reported by currency.

This means that this cell excludes the amount reported in the reporting currency (C0030/R0100) and in the currencies reported by currency (C0050/R0100).

C0050/R0100

Value of material currencies — Total assets

Report the value of total assets for each of the currencies required to be reported separately.

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 and insurance, intermediaries 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 and insurance, intermediaries 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 and insurance, intermediaries 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 and insurance, intermediaries and reinsurance payables for each of the currencies required to be reported separately.

C0020/R0140

Total value of all currencies — Derivatives

Report the total value of the derivatives for all currencies.

C0030/R0140

Value of the reporting currency — Derivatives

Report the value of the derivatives for the reporting currency.

C0040/R0140

Value of remaining other currencies — Derivatives

Report the total value of the derivatives for the remaining currencies that are not reported by currency.

This means that this cell excludes the amount reported in the reporting currency (C0030/R0140) and in the currencies reported by currency (C0050/R0140).

C0050/R0140

Value of material currencies — Derivatives

Report the value of the derivatives for each of the currency required to be reported separately.

C0020/R0150

Total value of all currencies — Financial liabilities

Report the total value of the financial liabilities for all currencies.

C0030/R0150

Value of the reporting currency — Financial liabilities

Report the value of the financial liabilities for the reporting currency.

C0040/R0150

Value of remaining other currencies — Financial liabilities

Report the total value of the financial liabilities for the remaining currencies that are not reported by currency.

This means that this cell excludes the amount reported in the reporting currency (C0030/R0150) and in the currencies reported by currency (C0050/R0150).

C0050/R0150

Value of material currencies — Financial liabilities

Report the value of the financial liabilities for each of the currencies required to be reported separately.

C0020/R0160

Total value of all currencies — Contingent liabilities

Report the total value of the Contingent liabilities for all currencies.

C0030/R0160

Value of the reporting currency — Contingent liabilities

Report the value of the contingent liabilities for the reporting currency.

C0040/R0160

Value of remaining other currencies — Contingent liabilities

Report the total value of the contingent liabilities for the remaining currencies that are not reported by currency.

This means that this cell excludes the amount reported in the reporting currency (C0030/R0160) and in the currencies reported by currency (C0050/R0160).

C0050/R0160

Value of material currencies — Contingent liabilities

Report the value of the contingent liabilities for each of the currencies required to be reported separately

C0020/R0170

Total value of all currencies — Any other liabilities

Report the total value of any other liabilities for all currencies.

C0030/R0170

Value of the reporting currency — Any other liabilities

Report the value of any other liabilities for the reporting currency.

C0040/R0170

Value of remaining other currencies — Any other liabilities

Report the total value of any other liabilities for remaining currencies that are not reported by currency.

This means that this cell excludes the amount reported in the reporting currency (C0030/R0170) and in the currencies reported by currency (C0050/R0170).

C0050/R0170

Value of material currencies — Any other liabilities

Report the value of any other liabilities for each of the currencies required to be reported separately.

C0020/R0200

Total value of all currencies — Total liabilities

Report the total value of the total liabilities for all currencies.

C0030/R0200

Value of the reporting currency — Total liabilities

Report the value of total liabilities for the reporting currency.

C0040/R0200

Value of remaining other currencies — Total liabilities

Report the total value of total liabilities for the remaining currencies that are not reported by currency.

This means that this cell excludes the amount reported in the reporting currency (C0030/R0200) and in the currencies reported by currency (C0050/R0200).

C0050/R0200

Value of material currencies — Total liabilities

Report the value of total liabilities for each of the currency required to be reported separately.

S.03.01 — Off–balance sheet items — General

General comments:
This section relates to annual submission of information for 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.
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
c)
a present obligation that arises from past events even if:
iii.
it is not probable that an outflow of resources embodying economic benefits will be required to settle the obligation; or
iv.
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 guarantees listed in this template are not reported in S.03.02 and S.03.03. This means that only limited guarantees are to be reported in this template.
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.

 

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.

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

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).

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

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.

S.03.02 — Off–balance–sheet items — list of unlimited guarantees received by the group

General comments:
This section relates to annual submission of information for groups.
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.
Unlimited guarantees refer to guarantees with unlimited amount, regardless of the date being limited or unlimited.
The guarantees listed in this template are not reported in S.03.01.

 

ITEM

INSTRUCTIONS

C0010

Code of guarantee

Code of guarantee received. This number is attributed by the group, must be unique and be consistent over time. It shall not be reused for other guarantees.

C0020

Name of provider of guarantee

Identification of the name of the provider of the guarantee.

C0030

Code of provider of guarantee

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

If not available this item shall not be reported.

C0040

Type of code of provider of guarantee

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

 

1 — LEI

 

9 — None

C0060

Triggering event(s) of guarantee

Identify the triggering event. One of the options in the following closed list shall be used:

 

1 — Bankruptcy filing International Swaps and Derivatives Association (‘ISDA’) credit event

 

2 — Downgrading by a rating agency

 

3 — Fall of SCR below a threshold but higher than 100 %

 

4 — Fall of MCR below a threshold but higher than 100 %

 

5 — Breach of SCR

 

6 — Breach of MCR

 

7 — Non–payment of a contractual obligation

 

8 — Fraud

 

9 — Breach of contractual obligation linked with the disposal of assets

 

10 — Breach of contractual obligation linked with the acquisition of assets

 

0 — Other

C0070

Specific triggering event (s) of guarantee

Description of the triggering event in case ‘0 — Other’ was selected for item C0060 ‘Triggering event(s) of guarantee’.

C0080

Effective date of guarantee

Identify the ISO 8601 (yyyy–mm–dd) code of the starting date of the coverage of the contract.

C0090

Ancillary Own Funds

Indication if the guarantee is classified as Ancillary Own Fund and is presented in the following items of S.23.01:

—

Letters of credit and guarantees under Article 96(2) of the Directive 2009/138/EC (C0010/R0340)

—

Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC (C0010/R0350)

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

 

1 — Ancillary own fund

 

2 — Not an ancillary own fund

S.03.03 — Off–balance–sheet items — List of unlimited guarantees provided by the group

General comments:
This section relates to annual submission of information for groups.
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.
Unlimited guarantees refer to guarantees with unlimited amount, regardless of the date being limited or unlimited.
The guarantees listed in this template are not reported in S.03.01. 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.
Internal guarantees within the scope of group supervision are not reported in this template but reported in the relevant Intra–group transactions (S.36) template.

 

ITEM

INSTRUCTIONS

C0010

Code of guarantee

Code of guarantee provided. This number is attributed by the group, must be unique and be consistent over time. It shall not be reused for other guarantees.

C0020

Name of receiver of guarantee

Identification of the name of the receiver of the guarantee.

C0030

Code of receiver of guarantee

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

If not available this item shall not be reported.

C0040

Type of code of receiver of guarantee

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

 

1 — LEI

 

9 — None

C0060

Triggering event(s) of guarantee

List of triggering events. One of the options in the following closed list shall be used:

 

1 — Bankruptcy filing ISDA credit event

 

2 — Downgrading by a rating agency

 

3 — Fall of SCR below a threshold but higher than 100 %

 

4 — Fall of MCR below a threshold but higher than 100 %

 

5 — Breach of SCR

 

6 — Breach of MCR

 

7 — Non–payment of a contractual obligation

 

8 — Fraud

 

9 — Breach of contractual obligation linked with the disposal of assets

 

10 — Breach of contractual obligation linked with the acquisition of assets

 

0 — Other

C0070

Estimation of the maximum value of guarantee

Sum of all possible cash flows if events triggering guarantees were all to happen in relation to guarantees provided by the group to another party.

C0080

Specific triggering event(s) of guarantee

Description of the triggering event in case ‘0 — Other’ was selected for item C0060 ‘Triggering event(s) of guarantee’.

C0090

Effective date of guarantee

Identify the ISO 8601 (yyyy–mm–dd) code of the date indicating the start of the guarantee being valid.

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

General comments:
This section relates to 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.
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.
For quarterly reporting administrative expenses, investment management expenses, acquisition expenses, overhead expenses shall be presented aggregated.

 

ITEM

INSTRUCTIONS

Non–life insurance and reinsurance obligations

C0010 to C0120/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 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.

C0010 to C0120/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 financial year 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 financial year.

C0130 to C0160/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 financial year 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 financial year.

C0010 to C0160/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 financial year in respect of insurance contracts regardless of the fact that such amounts may relate in whole or in part to a later financial year.

C0010 to C0160/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.

C0010 to C0120/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 direct insurance business.

C0010 to C0120/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.

C0130 to C0160/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.

C0010 to C0160/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.

C0010 to C0160/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.

C0010 to C0120/R0310

Claims incurred Gross — Direct business

Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the financial year related to insurance contracts arising from direct business.

This shall exclude claims management expenses and the movement in provisions in claims management expenses.

C0010 to C0120/R0320

Claims incurred Gross — Proportional reinsurance accepted

Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the financial year related to insurance contracts arising from the gross proportional reinsurance accepted.

This shall exclude claims management expenses and the movement in provisions in claims management expenses.

C0130 to C0160/R0330

Claims incurred — Gross — Non proportional reinsurance accepted

Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the financial year related to insurance contracts arising from the gross non proportional reinsurance accepted.

This shall exclude claims management expenses and the movement in provisions in claims management expenses.

C0010 to C0160/R0340

Claims incurred — Reinsurers' share

Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: it is the reinsurer's share in the sum of the claims paid and the change in the provision for claims during the financial year.

This shall exclude claims management expenses and the movement in provisions in claims management expenses.

C0010 to C0160/R0400

Claims incurred — Net

Claims incurred in the reporting period as defined in directive 91/674/EEC where applicable: the claims incurred means the sum of the claims paid and the change in the provision for claims during the financial year 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 C0120/R0410

Changes in other technical provisions — Gross — Direct business

Changes in other technical provisions as defined in directive 91/674/EEC where applicable: it is the changes in other technical provisions for the gross direct business.

C0010 to C0120/R0420

Changes in other technical provisions — Gross — Proportional reinsurance accepted

Changes in other technical provisions as defined in directive 91/674/EEC where applicable: it is the changes in other technical provisions for the gross proportional reinsurance accepted.

C0130 to C0160/R0430

Changes in other technical provisions — Gross — Non– proportional reinsurance accepted

Changes in other technical provisions as defined in directive 91/674/EEC where applicable: it is the changes in other technical provisions for the gross non– proportional reinsurance accepted.

C0010 to C0160/R0440

Changes in other technical provisions — Reinsurers' share

Changes in other technical provisions as defined in directive 91/674/EEC where applicable: it is the changes in other technical provisions related to the amounts ceded to reinsurers.

C0010 to C0160/R0500

Changes in other technical provisions — Net

Changes in other technical provisions as defined in directive 91/674/EEC where applicable: the net amount of changes in other technical provisions represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.

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 financial year, 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 undertaking definition shall be applied mutatis mutandis.

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.

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/R1200

Other expenses

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.

C0200/R1300

Total expenses

Amount of all technical expenses

Life insurance and reinsurance obligations

C0210 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 financial year 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 financial year.

It includes both direct and reinsurance business.

C0210 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 financial year in respect of insurance contracts regardless of the fact that such amounts may relate in whole or in part to a later financial year.

C0210 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.

C0210 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 insurance and reinsurance accepted business.

C0210 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.

C0210 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.

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 financial year, 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 financial year.

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 financial year, 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/R1710

Changes in other technical provisions — Gross

Definition of changes in other technical provisions provided in directive 91/674/EEC where applicable: it is the changes in other technical provisions relating to insurance contracts arising from the gross direct and reinsurance business.

C0210 to C0280/R1720

Change in other technical provisions — Reinsurers' share

Definition of changes in other technical provisions provided in directive 91/674/EEC where applicable: it is the reinsurers' share in changes in other technical provisions.

C0210 to C0280/R1800

Change in other technical provisions — Net

Definition of changes in other technical provisions provided in directive 91/674/EEC where applicable: the net changes in other technical provisions related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.

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 financial year, 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/R2500

Other expenses

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.

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 annual submission of information for groups.
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.
The template is based on a year–to–date basis.
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:
s)
The country where the insurance undertaking is established (home country) when the contract was not sold through a branch or freedom to provide services;
t)
The country where the branch is located (host country) when the contract was sold through a branch;
u)
The country where the freedom to provide services was notified (host country) when the contract was sold through freedom to provide services.
v)
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 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.

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 financial year 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 financial year.

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 financial year 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 financial year.

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 financial year in respect of insurance contracts regardless of the fact that such amounts may relate in whole or in part to a later financial year.

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 financial year 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 financial year 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 financial year 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 financial year.

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 financial year 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/R0410

Changes in other technical provisions — Gross — Direct business

Changes in other technical provisions as defined in directive 91/674/EEC where applicable: it is the changes in other technical provisions for the gross direct business.

C0080 to C0140/R0420

Changes in other technical provisions — Gross — Proportional reinsurance accepted

Changes in other technical provisions as defined in directive 91/674/EEC where applicable: it is the changes in other technical provisions for the gross proportional reinsurance accepted.

C0080 to C0140/R0430

Changes in other technical provisions — Gross — Non– proportional reinsurance accepted

Changes in other technical provisions as defined in directive 91/674/EEC where applicable: it is the changes in other technical provisions for the gross non– proportional reinsurance accepted.

C0080 to C0140/R0440

Changes in other technical provisions — Reinsurers' share

Changes in other technical provisions as defined in directive 91/674/EEC where applicable: it is the changes in other technical provisions related to the amounts ceded to reinsurers.

C0080 to C0140/R0500

Changes in other technical provisions — Net

Changes in other technical provisions as defined in directive 91/674/EEC where applicable: the net amount of changes in other technical provisions represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.

C0080 to C0140/R0550

Expenses incurred

All technical expenses incurred by the group during the reporting period, on accrual basis.

C0140/R1200

Other expenses

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 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 financial year 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 financial year.

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 financial year in respect of insurance contracts regardless of the fact that such amounts may relate in whole or in part to a later financial year.

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 financial year 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 financial year.

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 financial year 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/R1710

Changes in other technical provisions — Gross

Definition of changes in other technical provisions provided in directive 91/674/EEC where applicable: it is the changes in other technical provisions relating to insurance contracts arising from the gross direct and reinsurance business.

C0220 to C0280/R1720

Change in other technical provisions — Reinsurers' share

Definition of changes in other technical provisions provided in directive 91/674/EEC where applicable: it is the reinsurers' share in changes in other technical provisions.

C0220 to C0280/R1800

Change in other technical provisions — Net

Definition of changes in other technical provisions provided in directive 91/674/EEC where applicable: it is the changes in other technical provisions related to the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings.

C0220 to C0280/R1900

Expenses incurred

All technical expenses incurred by the group during the reporting period, on accrual basis.

C0280/R2500

Other expenses

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.

C0280/R2600

Total expenses

Amount of all technical expenses corresponding to countries covered by this template.

S.06.01 — Summary of assets

General comments:
This section relates to annual submission of information for groups. This template is relevant at the level of the group where all insurance or reinsurance undertakings within the scope of group supervision benefit from the exemption in accordance with Article 35 (7) of Directive 2009/138/EC.
The asset categories referred to in this template are the ones defined in Annex IV — Assets Categories of this Regulation.
This template contains a summary of information on assets and derivatives regarding the participating insurance or reinsurance undertaking, the insurance holding company or the mixed financial holding company (at a group level), including assets and derivatives held in unit linked and index linked contracts.
Items shall be reported with positive values unless its Solvency II value is negative (e.g. the case of derivatives that are a liability of the undertaking).
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 and derivatives net of intra–group transactions held within the scope of group supervision.
Where method 2 is used exclusively, the reporting shall include the assets and derivatives held by the participating insurance and reinsurance undertakings, the insurance holding companies, mixed–financial holding companies, subsidiaries and non–controlled participations regardless of the proportional share used. The assets held by undertakings from the other financial sectors shall not be included.
Where a combination of methods 1 and 2 is used, the reporting shall reflect the consolidated position of the assets and derivatives, net of intra–group transactions, held within the scope of group supervision and the assets and derivatives held by the participating insurance or reinsurance undertakings, the insurance holding companies, the mixed financial holding companies, subsidiaries and non–controlled participations regardless of the proportional share used.

 

ITEM

INSTRUCTIONS

C0010 to C0060/R0010

Assets listed

Value of listed assets by portfolio.

For the purpose of this template an asset is considered as being listed if it is negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2004/39/EC.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0020

Assets that are not listed in a stock exchange

Value of assets not listed in a stock exchange, by portfolio.

For the purpose of this template, not listed assets are the ones that are not negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2004/39/EC.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0030

Assets that are not exchange tradable

Value of assets that are not exchange tradable, by portfolio.

For the purpose of this template, not exchange tradable assets are the ones that by their nature are not subject to negotiation on a regulated market or on a multilateral trading facility, as defined by Directive 2004/39/CE.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0040

Government bonds

Value of assets classifiable under asset category 1 of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0050

Corporate bonds

Value of assets classifiable under asset category 2 of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0060

Equity

Value of assets classifiable under asset category 3 of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0070

Collective Investment Undertakings

Value of assets classifiable under asset category 4 of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0080

Structured notes

Value of assets classifiable under asset category 5 of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0090

Collateralised securities

Value of assets classifiable under asset category 6 of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0100

Cash and deposits

Value of assets classifiable under asset category 7 of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0110

Mortgages and loans

Value of assets classifiable under asset category 8 of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0120

Properties

Value of assets classifiable under asset category 9 of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0130

Other investments

Value of assets classifiable under asset category 0 of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0140

Futures

Value of assets classifiable under asset category A of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0150

Call options

Value of assets classifiable under asset category B of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0160

Put options

Value of assets classifiable under asset category C of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0170

Swaps

Value of assets classifiable under asset category D of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0180

Forwards

Value of assets classifiable under asset category E of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

C0010 to C0060/R0190

Credit derivatives

Value of assets classifiable under asset category F of Annex IV — Assets Categories, by portfolio.

Portfolio corresponds to the distinction between life, non–life, ring–fenced funds, other internal funds, shareholder's funds and general (no split).

The split by portfolio is not mandatory, except for identifying ring fenced funds, but shall be made if the undertaking uses it internally. When an undertaking does not apply a split by portfolio ‘general’ shall be used.

S.06.02 — List of assets

General comments:
This section relates to 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 product 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 this products shall not be reported), with the following exceptions:
f)
Cash shall be reported in one row per currency, for each combination of items C0060, C0070, C0080, and C0090;
g)
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;
h)
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;
i)
Deposits to cedants shall be reported in one single line,, for each combination of items C0060, C0070, C0080 and C0090;
j)
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.
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 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.
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;
— 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 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:
e)
through a decision of the national supervisory authority (‘NSA’) under Article 254(2) of the Directive 2009/138/EC; or
f)
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 if existent:

—

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;

—

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 9 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code+currency: ‘9/1’.

C0060

Portfolio

Distinction between life, non–life, shareholder's funds, other internal funds, general (no split) and ring fenced funds. 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, 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 according to national markets).

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

C0080

Matching portfolio number

Number which is attributed by the undertaking, corresponding to the unique number assigned to each matching adjustment portfolio as prescribed in Article 77b(1)(a) of Directive 2009/138/EC. This number 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 pledged part of 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 corresponding to the legal establishment 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 (for mortgages and loans to natural persons, as those assets are not required to be individualised), CIC 71, 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 issuer country 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. 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 (for mortgages and loans to natural persons, as those assets are not required to be individualised), CIC 71, CIC 75 and for CIC 9 — Property.

C0130

Quantity

Number of assets, for relevant assets.

This item shall not be reported if item Par amount (C0140) is reported.

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 and 79 if applicable.

This item shall not be reported if item Quantity (C0130) is reported.

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 2015/35

C0160

Acquisition value

Total acquisition value for assets held, clean value without accrued interest. .Not applicable to CIC categories 7 and 8.

C0170

Total Solvency II amount

Value calculated as defined by Article 75 of the Directive 2009/138/EC.

The following shall be considered:

—

Corresponds to the multiplication of ‘Par amount’ by ‘Unit percentage of par amount Solvency II price’ plus ‘Accrued interest’ , for assets where the first two items are relevant;

—

Corresponds to the multiplication of ‘Quantity’ by ‘Unit Solvency II price’, for assets where these two items are relevant;

—

For assets classifiable under asset categories 7, 8 and 9, this shall indicate the Solvency II value of the asset.

C0180

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 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.

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 9 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code+currency: ‘9/1’.

C0190

Item Title

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

The following shall be considered:

—

Regarding CIC category 8 — Mortgages and Loans, when relating to mortgage and loans to natural persons, 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.

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;

—

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.

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;

—

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 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.

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 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 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). The letter reference of the NACE code identifying the Section shall be used as a minimum for identifying sectors (e.g. ‘A’ or ‘A0111’ would be acceptable) except for the NACE relating to Financial and Insurance activities, for which the letter identifying the Section followed by the 4 digits code for the class shall be used (e.g. ‘K6411’).

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 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.

C0240

Issuer Group

Name of issuer's ultimate parent entity. For collective investment undertakings the group relation relates to the fund manager.

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 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.

C0250

Issuer Group Code

Issuer group's identification 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 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.

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

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.

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 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 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.

One of the options shall be used:

—

ISO 3166–1 alpha–2 code

—

XA: Supranational issuers

—

EU: European Union Institutions

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 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.

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.

C0300

Infrastructure investment

Identify if the asset is an infrastructure investment.

Infrastructure investment is defined as investments in or loans to utilities such as toll roads, bridges, tunnels, ports and airports, oil and gas distribution, electricity distribution and social infrastructure such as healthcare and educational facilities.

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

 

1 — Not an infrastructure investment

 

2 — Government Guarantee: where there is an explicit government guarantee

 

3 — Government Supported including Public Finance initiative: where there is a government policy or public finance initiatives to promote or support the sector

 

4 — Supranational Guarantee/Supported: where there is an explicit supranational guarantee or support

 

9 — Other: Other infrastructure loans or investments, not classified under the above categories

C0310

Holdings in related undertakings, including participations

Only applicable to asset categories 3 and 4.

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

Only applicable to CIC categories 1, 2, 5 and 6.

Rating of the asset at the reporting reference date issued by the nominated credit assessment institution (ECAI).

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.

C0330

Nominated ECAI

Only applicable to CIC categories 1, 2, 5 and 6.

Identify the credit assessment institution (ECAI) giving the external rating, by using the name of the ECAI as published at ESMA website.

This item shall be reported when External rating (C0320) is reported.

C0340

Credit quality step

Only applicable to CIC categories 1, 2, 5 and 6.

Identify the credit quality step attributed to the asset, as defined by Article 109a(1) of Directive 2009/138/EC.

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

 

3 — Credit quality step 3

 

4 — Credit quality step 4

 

5 — Credit quality step 5

 

6 — Credit quality step 6

 

9 — No rating available

C0350

Internal rating

Only applicable to CIC categories 1, 2, 5 and 6.

Internal rating of assets for undertakings using an 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.

C0360

Duration

Only applies to CIC categories 1, 2, 4 (when applicable, e.g. for collective investment undertaking mainly invested in bonds), 5 and 6.

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. 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’).

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

C0390

Maturity date

Only applicable for CIC categories 1, 2, 5, 6, and 8, 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 category 8, regarding loans and mortgages to individuals, the weighted (based on the loan amount) remaining maturity is to be reported.

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

General comments:
This section relates to quarterly and annual submission of information for 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. 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.
For the identification of countries the look–through should be implemented in order to identify all countries that represent more than 5 % of the fund and until the countries corresponding to 90 % of the fund are identified, i.e. regardless of the 90 % criteria all countries that represent more than 5 % of the fund have to be reported.
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

When the look–through regards a fund of funds, category ‘4 — Collective Investment Units’ shall be used only for non–material residual values.

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 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

C0060

Total amount

Total amount invested by asset category, country and currency through collective investment undertakings.

For liabilities a positive amount shall be reported.

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 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 CIC codes refer to Annex VI — CIC table of this Regulation.
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 undrtaking;
— 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 if existent:

—

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;

—

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

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

—

ISO 6166 ISIN when available

—

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

—

Code attributed by the undertaking, when the options above are not available. The code used shall be kept consistent over time and shall not be reused for other product.

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code+EUR’

C0050

Asset ID Code type

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

 

1 — ISO/6166 for ISIN

 

2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)

 

3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)

 

4 — WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)

 

5 — Bloomberg Ticker (Bloomberg letters code that identify a company's securities)

 

6 — BBGID (The Bloomberg Global ID)

 

7 — Reuters RIC (Reuters instrument code)

 

8 — FIGI (Financial Instrument Global Identifier)

 

9 — Other code by members of the Association of National Numbering Agencies

 

99 — Code attributed by the undertaking

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 9 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code+currency: ‘9/1’.

C0060

Collateral type

Identify the type of collateral, using the assets categories defined in Annex IV — Assets Categories. One of the options in the following closed list shall be used:

 

1 — Government bonds

 

2 — Corporate bonds

 

3 — Equity

 

4 — Collective Investment Undertakings

 

5 — Structured notes

 

6 — Collateralised securities

 

7 — Cash and deposits

 

8 — Mortgages and loans

 

9 — Properties

 

0 — Other investments

 

10 — No collateral

When more than one category of collateral exists for one single structured product, the most representative one shall be reported.

C0070

Type of structured product

Identify the type of structure of the product. One of the options in the following closed list shall be used:

 

1 — Credit linked notes

Security or deposit with an embedded credit derivative (e.g. credit default swaps or credit default options)

 

2 — Constant maturity swaps

(security with an embedded interest rate swap (‘IRS’), where the floating interest portion is reset periodically according to a fixed maturity market rate.)

 

3 — Asset backed securities

(security that has an asset as collateral.)

 

4 — Mortgage backed securities

(security that has real estate as collateral.)

 

5 — Commercial mortgage backed securities

(security that has real estate as collateral such as retail properties, office properties, industrial properties, multifamily housing and hotels.)

 

6 — Collateralised debt obligations

(structured debt security backed by a portfolio consisting of secured or unsecured bonds issued by corporate or sovereign obligators, or secured or unsecured loans made to corporate commercial and industrial loan costumers of lending banks.)

 

7 — Collateralised loan obligations

(security that has as underlying a trust of a portfolio of loans where the cash–flows from the security are derived from the portfolio.)

 

8 — Collateralised mortgage obligations

(investment–grade security backed by a pool of bonds, loans and other assets.)

 

9 — Interest rate–linked notes and deposits

 

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

 

11 — FX and commodity–linked notes and deposits

 

12 — Hybrid linked notes and deposits

(it includes real estate and equity securities)

 

13 — Market–linked notes and deposits

 

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

 

99 — Others not covered by the previous options

C0080

Capital protection

Identify whether the product has capital protection. One of the options in the following closed list shall be used:

 

1 — Full capital protection

 

2 — Partial capital protection

 

3 — No capital protection

C0090

Underlying security / index / portfolio

Describe the type of underlying. One of the options in the following closed list shall be used:

 

1 — Equity and Funds (a selected group or basket of equities)

 

2 — Currency (a selected group or basket of currencies)

 

3 — Interest rate and yields (bond indices, yield curves, differences in prevailing interest rates on shorter and longer–term maturities, credit spreads, inflation rates and other 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

C0110

(A15)

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.

C0170

Loss given default

The percentage (reported as a decimal, e.g. 5 % shall be reported as 0,05) of the invested amount that will not be recovered following default, if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities).

If information is not defined in the contract this item shall not be reported. This item is not applicable for non–credit structured product.

C0180

Attachment point

The contractually defined loss percentage (reported as a decimal) above which the losses affect the structured product, if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). This item is not applicable for non–credit structured product.

C0190

Detachment point

The contractually defined loss percentage (reported as a decimal) above which the losses seize to affect the structured product, if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). This item is not applicable for non–credit structured product.

S.08.01 — Open derivatives

General comments:
This section relates to quarterly and annual submission of information for 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.
Derivatives are considered assets if their Solvency II value is positive or zero. They are considered liabilities if their Solvency II value is negative or if they are issued by the undertaking. 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:
g)
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’).
h)
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.
i)
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 items 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:
g)
through a decision of the national supervisory authority under Article 254(2) of the Directive 2009/138/EC; or
h)
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 if existent:

—

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;

—

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

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

C0060

Portfolio

Distinction between life, non–life, shareholder's funds, general (no split) and ring fenced funds. One of the options in the following closed list shall be used:

 

1 — Life

 

2 — Non–life

 

3 — Ring fenced funds

 

4 — Other internal fund

 

5 — Shareholders' funds

 

6 — General

The split is not mandatory, except for identifying ring fenced funds, but shall be reported if the undertaking uses it internally. When an undertaking does not apply a split ‘general’ shall be used.

C0070

Fund number

Applicable to derivatives held in ring fenced funds or other internal funds (defined according to national markets).

Number which is attributed by the undertaking, corresponding to the unique number assigned to each fund. This number has to be consistent over time and shall be used to identify the funds in other templates. 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, when the options above are not available, and must 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.

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

This item is not reported for derivatives which have as underlying more than one asset or liability.

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

C0120

Delta

Only applicable to CIC categories B and C (Call and put options), with reference to the reporting date.

Measures the rate of change of option value with respect to changes in the underlying asset's price.

This shall be reported as a decimal.

C0130

Notional amount of the derivative

The amount covered or exposed to the derivative.

For futures and options corresponds to contract size multiplied by the trigger value and by the number of contracts reported in that line. For swaps and forwards it corresponds to the contract amount of the contracts reported in that line. When the trigger value corresponds to a range, the average value of the range shall be used.

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

C0140

Buyer/Seller

Only for futures and options, swaps and credit derivatives contracts (currency, credit and securities swaps).

Identify whether the derivative contract was bought or sold.

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

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

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

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

 

1 — Buyer

 

2 — Seller

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

 

3 — FX–FL: Deliver fixed–for–floating

 

4 — FX–FX: Deliver fixed–for–fixed

 

5 — FL–FX: Deliver floating–for–fixed

 

6 — FL–FL: Deliver floating–for–floating

C0150

Premium paid to date

The payment made (if bought), for options and also up–front and periodical premium amounts paid for swaps, since inception.

C0160

Premium received to date

The payment received (if sold), for options and also up–front and periodical premium amounts received for swaps, since inception.

C0170

Number of contracts

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

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

C0180

Contract size

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

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

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

Only applicable for futures and options.

C0190

Maximum loss under unwinding event

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

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

C0200

Swap outflow amount

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

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

C0210

Swap inflow amount

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

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

C0220

Initial date

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

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

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

C0230

Duration

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

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

C0240

Solvency II value

Value of the derivative as of the reporting date calculated as defined by Article 75 of the 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 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 corresponds to the entity name in the LEI database. When not available, corresponds to the legal name.

The following shall be considered:

—

Name of the exchange market for exchanged traded derivatives; or

—

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

—

Name of the contractual counterparty for the other Over–The–Counter derivatives.

C0270

Counterparty Code

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 Legal Entity Identifier (LEI) if available.

If none is available this item shall not be reported

C0280

Type of counterparty code

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

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

C0290

External rating

Only applicable to Over–The–Counter derivatives.

The rating of the counterparty of the derivative at the reporting reference date issued 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.

C0300

Nominated ECAI

Identify the credit assessment institution (ECAI) giving the external rating, by using the name of the ECAI as published at ESMA website.

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

C0310

Credit quality step

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

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

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

 

0 — Credit quality step 0

 

1 — Credit quality step 1

 

2 — Credit quality step 2

 

3 — Credit quality step 3

 

4 — Credit quality step 4

 

5 — Credit quality step 5

 

6 — Credit quality step 6

 

9 — No rating available

C0320

Internal rating

Internal rating of assets for undertakings using internal model to the extent that the internal ratings are used in their internal modelling. If an internal model undertaking is using solely external ratings this item shall not be reported.

C0330

Counterparty group

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

Name of the ultimate parent entity of counterparty. When available, this item corresponds to the entity name in the LEI database. When not available, corresponds to the legal name.

C0340

Counterparty group code

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

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

If none is available 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

 

9 — None

C0360

Contract name

Name of the derivative contract.

C0370

Currency

Identify the ISO 4217 alphabetic code of the currency of the derivative, i.e., currency of the notional amount of the derivative (e.g.: option having as underlying an amount in USD, currency for which the notional amount is expressed contractually for FX swap, etc.).

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

Identify the event that causes the unwinding of the contract, out of the regular expiration or term conditions. 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

C0410

Swap delivered currency

Identify the ISO 4217 alphabetic code of the currency of the swap price (only for currency swaps and currency and interest rate swaps).

C0420

Swap received currency

Identify the ISO 4217 alphabetic code of the currency of the swap notional amount (only for currency swaps and currency and interest rate swaps).

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.

S.08.02 — Derivatives Transactions

General comments:
This section relates to 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 closed derivatives held directly by the group (i.e. not on a look–through basis), classifiable as asset categories A to F. When a contract is still open but has been reduced in size the closed portion shall be reported.
Derivatives are considered assets if their Solvency II value is positive or zero. They are considered liabilities if their Solvency II value is negative or if they are issued by the group. Both derivatives considered as assets or considered as liabilities shall be included.
Closed derivatives are the ones that were open at some point of the reference period (i.e. last quarter if template is submitted quarterly or last year if template is only submitted annually) but were closed before the end of the reporting period.
If there are frequent trades on the same derivative, the derivative can be reported on an aggregated or net basis (indicating only the first and the last trade dates), 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:
j)
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’).
k)
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.
l)
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 items requested in that table. If for the same derivative two values can be attributed to one variable, then this derivative needs to be reported in more than one line.
In particular, for derivatives that have more than a pair of currencies, it shall be split into the pair components and reported in different rows.
On the table Information on derivative, each derivative shall be reported separately, with one row for each derivative, filling in all variables requested in that table.
The 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 closed 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 closed derivatives held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
— The closed 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 closed 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 closed 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 closed derivatives held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
— The closed 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 closed 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 closed 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 closed 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 closed derivatives held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
— The closed 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 closed 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 closed 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 of the closed derivatives held;
— The closed 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 of the closed derivatives held by undertaking;
— The closed derivatives held 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 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 if existent:

—

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;

—

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

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

C0060

Portfolio

Distinction between life, non–life, shareholder's funds, general (no split) and ring fenced funds. One of the options in the following closed list shall be used:

 

1 — Life

 

2 — Non–life:

 

3 — Ring fenced funds

 

4 — Other internal fund

 

5 — Shareholders' funds

 

6 — General

The split is not mandatory, except for identifying ring fenced funds, but shall be reported if the undertaking uses it internally. When an undertaking does not apply a split ‘general’ shall be used.

C0070

Fund number

Applicable to derivatives held in ring fenced funds or other internal funds (defined according to national markets).

Number which is attributed by the undertaking, corresponding to the unique number assigned to each fund. This number has to be consistent over time and shall be used to identify the funds in other templates. 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, when the options above are not available, and must 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.

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

This item is not reported for derivatives which have as underlying more than one asset or liability.

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’

C0120

Notional amount of the derivative

The amount covered or exposed to the derivative.

For futures and options corresponds to contract size multiplied by the trigger value and by the number of contracts reported in that line. For swaps and forwards it corresponds to the contract amount of the contracts reported in that line.

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.

C0130

Buyer/Seller

Only for futures and options, swaps and credit derivatives contracts (currency, credit and securities swaps).

Identify whether the derivative contract was bought or sold.

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

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

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

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

 

1 — Buyer

 

2 — Seller

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

 

3 — FX–FL: Deliver fixed–for–floating

 

4 — FX–FX: Deliver fixed–for–fixed

 

5 — FL–FX: Deliver floating–for–fixed

 

6 — FL–FL: Deliver floating–for–floating

C0140

Premium paid to date

The payment made (if bought), for options and also up–front and periodical premium amounts paid for swaps, since inception.

C0150

Premium received to date

The payment received (if sold), for options and also up–front and periodical premium amounts received for swaps, since inception.

C0160

Profit and loss to date

Amount of profit and loss arising from the derivative since inception, realised at the closing/maturing date. Corresponds to the difference between the value (price) at sale date and the value (price) at acquisition date.

This amount could be positive (profit) or negative (loss).

C0170

Number of contracts

Number of similar derivative contracts reported in the line. For Over–The–Counter derivatives, e.g., one swap contract, 1 shall be reported, if ten swaps with the same characteristics, 10 shall be reported.

The number of contracts shall be the ones entered into and that were closed 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.

C0200

Swap outflow amount

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

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

C0210

Swap inflow amount

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

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

C0220

Initial date

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

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

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

C0230

Solvency II value

Value of the derivative calculated as defined by Article 75 of the Directive 2009/138/EC as of the trade (closing or sale) or maturity date. It can be positive, negative or zero.

 

ITEM

INSTRUCTIONS

Information on derivatives

C0040

Derivative ID Code

Derivative ID code using the following priority:

—

ISO 6166 code of ISIN when available

—

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

—

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

C0050

Derivative ID Code type

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

 

1 — ISO/6166 for ISIN

 

2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)

 

3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)

 

4 — WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)

 

5 — Bloomberg Ticker (Bloomberg letters code that identify a company's securities)

 

6 — BBGID (The Bloomberg Global ID)

 

7 — Reuters RIC (Reuters instrument code)

 

8 — FIGI (Financial Instrument Global Identifier)

 

9 — Other code by members of the Association of National Numbering Agencies

 

99 — Code attributed by the undertaking

C0240

Counterparty Name

Name of the counterparty of the derivative. When available, corresponds to the entity name in the LEI database. When not available, corresponds to the legal name.

The following shall be considered:

—

Name of the exchange market for exchanged traded derivatives; or

—

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

Name of the contractual counterparty for the other Over–The–Counter derivatives.

C0250

Counterparty Code

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

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

If none is available this item shall not be reported.

C0260

Type of counterparty code

Only applicable to Over–The–Counter derivatives.

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

C0270

Counterparty group

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

Name of the ultimate parent entity of counterparty. When available, this item corresponds to the entity name in the LEI database. When not available, corresponds to the legal name.

C0280

Counterparty group code

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

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

If none is available this item shall not be reported.

C0290

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

 

9 — None

C0300

Contract name

Name of the derivative contract.

C0310

Currency

Identify the ISO 4217 alphabetic code of the currency of the derivative, i.e., currency of the notional amount of the derivative (e.g.: option having as underlying an amount in USD, currency for which the notional amount is expressed contractually for FX swap, etc.).

C0320

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.

C0330

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.

C0340

Unwind trigger of contract

Identify the event that causes the unwinding of the contract, out of the regular expiration or term conditions. 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

C0350

Swap delivered currency

Identify the ISO 4217 alphabetic code of the currency of the swap price (only for currency swaps and currency and interest rate swaps).

C0360

Swap received currency

Identify the ISO 4217 alphabetic code of the currency of the swap notional amount (only for currency swaps and currency and interest rate swaps).

C0370

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.

S.09.01 — Information on gains / income and losses in the period

General comments:
This section relates to 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 if existent:

—

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;

—

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 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. 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, 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’ must be used.

C0060

Asset held in unit linked and index linked contracts

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

 

1– Unit–linked or index–linked

 

2 — Neither unit–linked nor index–linked

C0070

Dividends

Amount of dividends earned over the reporting period,, i.e. dividends received less the right to receive a dividend already recognised at the beginning of the reporting period, plus the right to receive a dividend recognised at the end of the reporting period. Applicable to dividend paying assets such as equity, preferred securities and collective investment undertakings.

Includes also dividends received from assets that have been sold or matured.

C0080

Interest

Amount of interest earned, i.e. interest received less accrued interest at the start of the period plus accrued interest, at the end of the reporting period.

Includes interest received when the asset is sold/ matured or when the coupon is received.

Applicable to coupon and interest paying assets such as bonds, loans and deposits.

C0090

Rent

Amount of rent earned, i.e. rent received less accrued rent at the start of the period plus accrued rent, at the end of the reporting period.

Includes also rents received when the asset is sold or matured.

Only applicable to properties, regardless of the function.

C0100

Net gains and losses

Net gains and losses resulting from assets sold or matured during the reporting period.

The gains and losses are calculated as the difference between selling or maturity value and the value according to Article 75 of Directive 2009/138/EC at the end of the prior reporting year (or, in case of assets acquired during the reporting period, the acquisition value).

The net value can be positive, negative or zero.

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.

S.10.01 — Securities lending and repos

General comments:
This section relates to 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 include also the liquidity swaps referred to in Article 309 (2)(f) of the 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.
The asset categories referred to in this template are the ones defined in Annex IV — Assets Categories of this Regulation and references to CIC codes refer to Annex VI — CIC table of this Regulation.
Each repo and securities lending contract shall be reported in as many rows as needed to provide the information requested. If for one item one option fits one part of the instrument being reported and a different option fits the other part then the contract needs to be unbundled unless is stated otherwise in the instructions.
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 if existent:

—

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;

—

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

Portfolio

Distinction between life, non–life, shareholder's funds, general (no split) and ring fenced funds. One of the options in the following closed list shall be used:

 

1 — Life

 

2 — Non–life:

 

3 — Ring fenced funds

 

4 — Other internal fund

 

5 — Shareholders' funds

 

6 — General

The split is not mandatory, 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’ must be used.

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

C0050

Fund number

Applicable to assets held in ring fenced funds or other internal funds (defined according to national markets).

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

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 annual submission of information for groups.
This template contains an item–by–item list of off–balance sheet assets held as collateral for covering balance sheet.
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.
On the table Information on assets, each asset held as collateral shall be reported separately, with one row for each asset, filling in all variables requested in that table.
All items except items ‘Type of asset for which the collateral is held’ (C0140), ‘Name of the counterparty pledging the collateral’ (C0060) and ‘Name of the group of the counterparty pledging the collateral’ (C0070) relate to information on the assets held as collateral. Item C0140 relates to the asset on the balance sheet for which the collateral is held while items C0060 and C0070 relate to the counterparty pledging the collateral.
The asset categories referred to in this template are the ones defined in Annex IV — Assets Categories of this Regulation and references to CIC codes refer to Annex VI — CIC table of this Regulation.
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 by the undertaking (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 by the undertaking (i.e. not on a look–through basis) as collateral by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) in 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 by the undertaking (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 by the undertaking (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 by the undertaking (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 by the undertaking (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 by undertaking;
— 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 by the undertaking (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 by the undertaking (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 if existent:

—

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;

—

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, and must be consistent over time

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code + EUR’

C0050

Asset ID Code Type

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

 

1 — ISO/6166 for ISIN

 

2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)

 

3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)

 

4 — WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)

 

5 — Bloomberg Ticker (Bloomberg letters code that identify a company's securities)

 

6 — BBGID (The Bloomberg Global ID)

 

7 — Reuters RIC (Reuters instrument code)

 

8 — FIGI (Financial Instrument Global Identifier)

 

9 — Other code by members of the Association of National Numbering Agencies

 

99 — Code attributed by the undertaking

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 9 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘9/1’.

C0060

Name of the counterparty pledging the collateral

The name of the counterpart that is pledging the collateral. When available, this item corresponds to the entity name in the LEI database. When this is not available corresponds to the legal name.

When the assets on the balance sheet for which the collateral is held are loans on policies, ‘Policyholder’ shall be reported.

C0070

Name of the group of the counterparty pledging the collateral

Identify the economic group of the counterpart pledging the collateral. When available, this item corresponds to the entity name in the LEI database. When this is not available corresponds to the legal name.

This item is not applicable when the assets on the balance sheet for which the collateral is held are loans on policies.

C0080

Country of custody

ISO 3166–1 alpha–2 code of the country where undertaking assets are held in custody. For identifying international custodians, such as Euroclear, the country of custody will be the one corresponding to the legal establishment 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 (for mortgages and loans to natural persons, as those assets are not required to be individualised), CIC 71, 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 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 and 79 if applicable.

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 the Directive 2009/138/EC.

The following shall be considered:

—

Corresponds to the multiplication of ‘Par amount’ by ‘Unit percentage of par amount Solvency II price’ plus ‘Accrued interest’, for assets where the first two items are relevant;

—

Corresponds to the multiplication of ‘Quantity’ by ‘Unit Solvency II price’, for assets where these two items are relevant;

—

For assets classifiable under asset categories 7, 8 and 9, this shall indicate the Solvency II value of the asset.

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

 

ITEM

INSTRUCTIONS

Information on assets

C0040

Asset ID Code

Asset ID code using the following priority:

—

ISO 6166 code of ISIN when available

—

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

—

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

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code+EUR’

C0050

Asset ID Code Type

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

 

1 — ISO/6166 for ISIN

 

2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies)

 

3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange)

 

4 — WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number)

 

5 — Bloomberg Ticker (Bloomberg letters code that identify a company's securities)

 

6 — BBGID (The Bloomberg Global ID)

 

7 — Reuters RIC (Reuters instrument code)

 

8 — FIGI (Financial Instrument Global Identifier)

 

9 — Other code by members of the Association of National Numbering Agencies

 

99 — Code attributed by the undertaking

When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 9 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘9/1’.

C0150

Item Title

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

The following shall be considered:

—

Regarding CIC category 8 — Mortgages and Loans, when relating to mortgage and loans to natural persons, this item shall contain ‘Loans to AMSB members’ or ‘Loans to other natural persons’, according to its nature, as those assets are not required to be individualised. Loans to other than natural persons shall be reported line–by–line.

—

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

—

When the collateral comprises insurance policies (regarding loans collateralised by insurance policies) those policies don't 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 Legal Entity Identifier (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 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). The letter reference of the NACE code identifying the Section shall be used as a minimum for identifying sectors (e.g. ‘A’ or ‘A111’ would be acceptable) except for the NACE relating to Financial and Insurance activities, for which the letter identifying the Section followed by the 4 digits code for the class shall be used (e.g. ‘K6411’).

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 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.

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 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 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 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 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.

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 not be reported if item Unit 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.15.01 — Description of the guarantees of variable annuities

General comments:
This section relates to annual submission of information for groups.
This template shall only be reported by groups in relation to the direct business and only for those entities outside the EEA that have variable annuities portfolios.
Variable annuities are unit–linked life insurance contracts with investment guarantees which, in exchange for single or regular premiums, allow the policyholder to benefit from the upside of the unit but be partially or totally protected when the unit loses value.
If Variable Annuities policies are split between two insurance undertakings, for instance a life company and a non–life company for the variable annuities guarantee, the company with the guarantee shall report this template. Only one row per product shall be reported.

 

ITEM

INSTRUCTIONS

C0010

Legal name of the undertaking

Identify the legal name of non–EEA undertaking selling the product.

C0020

Identification code of the undertaking

Identification code by this order of priority:

—

Legal Entity Identifier (LEI);

—

Specific code

Specific code:

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

Product ID code

Internal product ID code used by the undertaking for the product. If a code is already in use or is attributed by the competent authority for supervisory purposes that code shall be used.

The ID code shall be consistent over time).

C0050

Product denomination

Commercial name of product (undertaking–specific)

C0060

Description of the product

General qualitative description of the product. If a product code is attributed by the competent authority for supervisory purposes, the description of product type for that code shall be used.

C0070

Initial date of guarantee

The ISO 8601 (yyyy–mm–dd) code of the initial date of the cover.

C0080

Final date of guarantee

The ISO 8601 (yyyy–mm–dd) code of the final date of the cover.

C0090

Type of guarantee

The following closed list shall be used:

 

1 — Guaranteed minimum death benefit

 

2 — Guaranteed minimum accumulation benefit

 

3 — Guaranteed minimum income benefit

 

4 — Guaranteed minimum withdrawal benefits

 

9 — Other

C0100

Guaranteed level

Indicate the level of the guaranteed benefit in percentage (as a decimal).

C0110

Description of the guarantee

General description of the guarantees.

This shall include at least the capital accumulation mechanisms (e.g. roll–up, ratchet, step–up, reset), its frequency (infra–annual, annual, x–yearly), the base for computation of guaranteed levels (e.g. premium paid, premium paid net of expenses and/or withdrawals and/or paid–ups, premium increased by the capital accumulation mechanism), the guaranteed conversion factor, other general information about how the guarantee works.

S.15.02 — Hedging of guarantees of variable annuities

General comments:
This section relates to annual submission of information for groups.
This template shall only be reported by groups in relation to the direct business and only for those entities outside the EEA that have variable annuities portfolios.
Variable annuities are unit–linked life insurance contracts with investment guarantees which, in exchange for single or regular premiums, allow the policyholder to benefit from the upside of the unit but be partially or totally protected when the unit loses value.
If Variable Annuities policies are split between two insurance undertakings, for instance a life company and a non–life company for the Variable Annuities guarantee, the company with the guarantee shall report this template. Only one row per product shall be reported.

 

ITEM

INSTRUCTIONS

C0010

Legal name of the undertaking

Identify the legal name of non–EEA undertaking selling the product.

C0020

Identification code of the undertaking

Identification code by this order of priority:

—

Legal Entity Identifier (LEI);

—

Specific code

Specific code:

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

Product ID code

Internal product ID code used by the undertaking for the product. If a code is already in use or is attributed by the competent authority for supervisory purposes that code shall be used.

The ID code shall be consistent over time.

C0050

Product denomination

Commercial name of product (undertaking–specific)

C0060

Type of hedging

The following closed list shall be used:

 

1 — No hedging

 

2 — Dynamic hedging

 

3 — Static hedging

 

4 — Ad hoc hedging

Dynamic hedging is frequently rebalanced; static hedging is made of ‘standard’ derivatives but not frequently rebalanced; ad hoc hedging is made of financial products structured for the specific purpose of hedging those liabilities.

C0070

Delta hedged

The following closed list shall be used:

 

1 — Delta hedged

 

2 — Delta not hedged

 

3 — Delta partially hedged

 

4 — Guarantee not sensitive to delta.

Partial means that the strategy is not intended to cover the whole risk. Not sensitive is to be selected if the guarantee sold is deemed independent from the risk factor.

C0080

Rho hedged

The following closed list shall be used:

 

1 — Rho hedged

 

2 — Rho not hedged

 

3 — Rho partially hedged

 

4 — Guarantee not sensitive to rho.

Partial means that the strategy is not intended to cover the whole risk. Not sensitive is to be selected if the guarantee sold is deemed independent from the risk factor.

C0090

Gamma hedged

The following closed list shall be used:

 

1 — Gamma hedged

 

2 — Gamma not hedged

 

3 — Gamma partially hedged

 

4 — Guarantee not sensitive to gamma

Partial means that the strategy is not intended to cover the whole risk. Not sensitive is to be selected if the guarantee sold is deemed independent from the risk factor.

C0100

Vega hedged

The following closed list shall be used:

 

1 — Vega hedged

 

2 — Vega not hedged

 

3 — Vega partially hedged

 

4 — Guarantee not sensitive to vega

Partial means that the strategy is not intended to cover the whole risk. Not sensitive is to be selected if the guarantee sold is deemed independent from the risk factor.

C0110

FX hedged

The following closed list shall be used:

 

1 — FX hedged

 

2 — FX not hedged

 

3 — FX partially hedged

 

4 — Guarantee not sensitive to FX

Partial means that the strategy is not intended to cover the whole risk. Not sensitive is to be selected if the guarantee sold is deemed independent from the risk factor.

C0120

Other hedged risks

If other risks are hedged specify their names

C0130

Economic result without hedging

The ‘economic result’ that the guarantee of the policies has generated during the reporting year if there is no hedging strategy in place, or would have generated without it if there is one in place.

It shall be equal to:

 

+ written premium/fees for the guarantee, minus

 

– expenses incurred to the guarantee, minus

 

– claims due to the guarantee, minus

 

– variation of guarantee technical provisions.

C0140

Economic result with hedging

The ‘economic result’ that the guarantee of the policies has generated during the reporting year considering the result of the hedging strategy. Where hedging is performed for a portfolio of products, for instance in cases where hedge instruments may not be allocated to specific products, the undertaking shall allocate the effect of hedging to the different products using the weight of each product in the ‘Economic result without hedging’ (C0110).

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

General comments:
This section relates to 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.
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 technical provisions including long term guarantee measures and transitional measures

C0020/R0010

Without transitional on technical provisions — Technical Provisions

Total amount of 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.

C0030/R0010

Impact of transitional on technical provisions — Technical provisions

Amount of the adjustment to the 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 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.

C0050/R0010

Impact of transitional on interest rate — Technical provisions

Amount of the adjustment to the 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 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.

C0070/R0010

Impact of volatility adjustment set to zero — Technical provisions

Amount of the adjustment to the 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 technical provisions without any LTG measure.

C0090/R0010

Impact of matching adjustment set to zero — Technical Provisions

Amount of the adjustment to the 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 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.

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 technical provisions without transitional deduction to technical provisions and considering 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.

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 technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and considering technical provisions with LTG and transitional measures.

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.

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 considering technical provisions without volatility adjustment and without other transitional measures and the maximum between the basic own funds considering technical provisions reported under C0010, C0020 and 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.

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 considering technical provisions without matching adjustment and without all the other transitional measures and the maximum between the basic own funds considering technical provisions reported under C0010, C0020, C0040 and 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.

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 technical provisions without transitional deduction to technical provisions and considering 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.

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 technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and considering technical provisions with LTG and transitional measures.

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.

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 considering technical provisions without volatility adjustment and without other transitional measures and the maximum between the excess of assets over liabilities considering technical provisions reported under C0010, C0020 and 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.

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 considering technical provisions without matching adjustment and without all the other transitional measures and the maximum between the excess of assets over liabilities considering technical provisions reported under C0010, C0020, C0040 and 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.

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 technical provisions without transitional deduction to technical provisions and considering 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.

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 technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and considering technical provisions with LTG and transitional measures.

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.

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 considering technical provisions without volatility adjustment and without other transitional measures and the maximum between the restricted own funds due to ring–fencing considering technical provisions reported under C0010, C0020 and 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.

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 considering technical provisions without matching adjustment and without all the other transitional measures and the maximum between the restricted own funds due to ring–fencing considering technical provisions reported under C0010, C0020, C0040 and 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.

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 technical provisions without transitional deduction to technical provisions and considering 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.

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 technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and considering technical provisions with LTG and transitional measures.

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.

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 considering technical provisions without volatility adjustment and without other transitional measures and the maximum between the eligible own funds to meet SCR considering technical provisions reported under C0010, C0020 and 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.

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 technical provisions without matching adjustment and without all the other transitional measures and the maximum between the eligible own funds to meet SCR considering technical provisions reported under C0010, C0020, C0040 and 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.

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 technical provisions without transitional deduction to technical provisions and considering 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.

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 technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and considering technical provisions with LTG and transitional measures.

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.

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 considering technical provisions without volatility adjustment and without other transitional measures and the maximum between the eligible own funds to meet SCR–Tier 1 considering technical provisions reported under C0010, C0020 and 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.

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 technical provisions without matching adjustment and without all the other transitional measures and the maximum between the eligible own funds to meet SCR–Tier 1 considering technical provisions reported under C0010, C0020, C0040 and 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.

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 technical provisions without transitional deduction to technical provisions and considering 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.

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 technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and considering technical provisions with LTG and transitional measures.

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.

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 considering technical provisions without volatility adjustment and without other transitional measures and the maximum between the eligible own funds to meet SCR–Tier 2 considering technical provisions reported under C0010, C0020 and 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.

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 technical provisions without matching adjustment and without all the other transitional measures and the maximum between the eligible own funds to meet SCR–Tier 2 considering technical provisions reported under C0010, C0020, C0040 and 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.

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 technical provisions without transitional deduction to technical provisions and considering 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.

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 technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and considering technical provisions with LTG and transitional measures.

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.

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 considering technical provisions without volatility adjustment and without other transitional measures and the maximum between the eligible own funds to meet SCR–Tier 3 considering technical provisions reported under C0010, C0020 and 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.

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 technical provisions without matching adjustment and without all the other transitional measures and the maximum between the eligible own funds to meet SCR–Tier 3 considering technical provisions reported under C0010, C0020, C0040 and 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.

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 technical provisions without transitional deduction to technical provisions and considering 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.

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 technical provisions without transitional adjustment to the relevant risk-free interest rate term structure and considering technical provisions with LTG and transitional measures.

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.

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 considering technical provisions without volatility adjustment and without other transitional measures and the maximum between the SCR considering technical provisions reported under C0010, C0020 and C0040.

C0080/R0090

Without matching adjustment and without all the others — SCR

Total amount of SCR calculated considering Technical provisions without any LTG measure.

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 technical provisions without matching adjustment and without all the other transitional measures and the maximum between the SCR considering technical provisions reported under C0010, C0020, C0040 and 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.

S.23.01 — Own Funds

General comments:
This section relates to opening, 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, the items applicable when Deduction and Aggregation 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 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 the Directive 2009/138/EC.

R0020/C0020

Non–available called but not paid in ordinary share capital 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 the Directive 2009/138/EC that meets tier 1 unrestricted criteria.

R0020/C0040

Non–available called but not paid in ordinary share capital 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 the Directive 2009/138/EC which meets the criteria for Tier 2.

R0030/C0010

Share premium account related to ordinary share capital — total

The total share premium account related to ordinary share capital 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 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 the Directive 2009/138/EC.

R0060/C0030

Non–available subordinated mutual member accounts 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.

R0060/C0040

Non–available subordinated mutual member accounts 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 the Directive 2009/138/EC that meet the criteria for Tier 2.

R0060/C0050

Non–available subordinated mutual member accounts 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 the Directive 2009/138/EC that meet the criteria for Tier 3.

R0070/C0010

Surplus funds — total

This is the total amount of surplus funds that fall under Article 91 (2) of the 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 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 the Directive 2009/138/EC.

R0080/C0020

Non–available surplus funds 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 the Directive 2009/138/EC that meet the criteria for Tier 1 unrestricted items.

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 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 the Directive 2009/138/EC.

R0100/C0030

Non–available preference shares at group level — tier 1 Restricted

This is the amount of preference shares which are deemed non — available as defined in Article 222(2)–(5) of the Directive 2009/138/EC and which meet the criteria for Tier 1 restricted items.

R0100/C0040

Non–available preference shares 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 the Directive 2009/138/EC and which meet the criteria for Tier 2.

R0100/C0050

Non–available preference shares 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 the Directive 2009/138/EC and which meet the criteria for Tier 3.

R0110/C0010

Share premium account related to preference shares — total

The total share premium account related to preference shares capital 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 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 the Directive 2009/138/EC.

R0120/C0030

Non–available share premium account related to preference shares 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 the Directive 2009/138/EC and which meets the criteria for Tier 1 restricted items.

R0120/C0040

Non–available share premium account related to preference shares 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 the Directive 2009/138/EC and which meets the criteria for Tier 2.

R0120/C0050

Non–available share premium account related to preference shares 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 the Directive 2009/138/EC and which meets the criteria for Tier 3.

R0130/C0010

Reconciliation reserve — total

The total reconciliation reserve represents reserves (e.g. retained earnings), net of adjustments (e.g. ring–fenced funds). It results mainly from differences between accounting valuation and valuation according to Article 75 of Directive 2009/138/EC.

R0130/C0020

Reconciliation — 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 according to 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 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 the Directive 2009/138/EC.

R0150/C0030

Non–available subordinated liabilities at group level — tier 1 restricted

This is the amount of subordinate 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 1 restricted items.

R0150/C0040

Non–available subordinated liabilities 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 the Directive 2009/138/EC that meet the criteria for Tier 2.

R0150/C0050

Non–available subordinated liabilities 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.

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

An amount equal to the value of net deferred tax assets non available 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 the Directive 2009/138/EC.

R0170/C0050

An amount equal to the value of net deferred tax assets non available 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 the Directive 2009/138/EC that meet the criteria for Tier 3.

R0180/C0010

Other own fund items approved by the supervisory authority as basic own funds not specified above

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 — 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 the Directive 2009/138/EC.

R0190/C0020

Non–available own funds related to other own funds items approved by supervisory authority — 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 the Directive 2009/138/EC that meet the criteria for Tier 1 unrestricted items.

R0190/C0030

Non–available own funds related to other own funds items approved by supervisory authority — 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 the Directive 2009/138/EC that meet the criteria for Tier 1 restricted items.

R0190/C0040

Non–available own funds related to other own funds items approved by supervisory authority — 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 the Directive 2009/138/EC that meet the criteria for Tier 2.

R0190/C0050

Non–available own funds related to other own funds items approved by supervisory authority — 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 the Directive 2009/138/EC that meet the criteria for Tier 3.

R0200/C0010

Minority interests at group level (if not reported as part of another own fund item)– total

This is the total of minority interests in the group being reported upon. This row shall be reported if minority interests have not been already included in other items of basic own fund (‘BOF’) (i.e. minority interests shall not be counted twice).

R0200/C0020

Minority interests at group level (if not reported as part of another own fund item)– 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 (if not reported as part of another own fund item)– 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 (if not reported as part of another own fund item)– 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 (if not reported as part of another own fund item)– 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 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 the Directive 2009/138/EC.

R0210/C0020

Non available minority interests 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 the Directive 2009/138/EC that meet the criteria for Tier 1 unrestricted.

R0210/C0030

Non available minority interests 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 the Directive 2009/138/EC that meet the criteria for Tier 1 restricted.

R0210/C0040

Non available minority interests 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 the Directive 2009/138/EC that meet the criteria for Tier 2.

R0210/C0050

Non available minority interests 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 the Directive 2009/138/EC that meet the criteria for Tier 3.

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 for 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 according to Article 228, paragraph 2 of the Directive 2009/138/EC.

Those participations are deducted from basic own funds and added back as own funds according to the relevant sectoral rules in the rows from R0410 to R0440, thereby facilitating the calculation of SCR ratios both excluding and including other financial sector entities.

R0230/C0020

Deductions for 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 according to Article 228, paragraph 2 of the 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 according to the relevant sectoral rules in the rows from R0410 to R0440, thereby facilitating the calculation of SCR ratios both excluding and including other financial sector entities — tier 1 unrestricted items.

R0230/C0030

Deductions for in other financial undertakings, including non–regulated undertakings carrying out financial activities — tier 1 restricted

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 according to Article 228, paragraph 2 of the Directive 2009/138/EC.

Those participations are deducted from basic own funds and added back as own funds according to the relevant sectoral rules in the rows from R0410 to R0440, thereby facilitating the calculation of SCR ratios both excluding and including other financial sector entities — tier 1 restricted items.

R0230/C0040

Deductions for participations in other financial undertakings, including non–regulated undertakings carrying out financial activities — tier 2

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 according to Article 228, paragraph 2 of the Directive 2009/138/EC.

Those participations are deducted from basic own funds and added back as own funds according to the relevant sectoral rules in the rows from R0410 to R0440, thereby facilitating the calculation of SCR ratios both excluding and including other financial sector entities — tier 2.

R0240/C0010

whereof deducted according to art 228 of the Directive 2009/138/EC– total

This is the total value of participations deducted according to Article 228, paragraph 2 of the 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 according to Article 228, paragraph 2 of the 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 according to Article 228, paragraph 2 of the 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 according to Article 228, paragraph 2 of the Directive 2009/138/EC, as part of the value reported in row R0230 — tier 2

R0250/C0010

Deductions for 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, according to article 229 of the Directive 2009/138/EC.

R0250/C0020

Deductions for 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, according to article 229 of the Directive 2009/138/EC — tier 1 unrestricted.

R0250/C0030

Deductions for participations where there is non–availability of information (Article 229) — tier 1 restricted

This is the deduction of the participations in related undertakings when the information necessary for calculating the group solvency is not available, according to article 229 of the Directive 2009/138/EC — tier 1 restricted.

R0250/C0040

Deductions for participations where there is non–availability of information (Article 229) — tier 2

This is the deduction of the participations in related undertakings when the information necessary for calculating the group solvency is not available, according to article 229 of the Directive 2009/138/EC, Tier 2.

R0250/C0050

Deductions for participations where there is non–availability of information (Article 229) — tier 3

This is the deduction of the participations in related undertakings when the information necessary for calculating the group solvency is not available, according to article 229 of the Directive 2009/138/EC, Tier 3.

R0260/C0010

Deduction for participations included via deduction and aggregation (‘D&A’) 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 when the combination of methods is used.

R0260/C0020

Deduction for participations included with D&A 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 D&A 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 when a combination of methods is used — tier 1 restricted.

R0260/C0040

Deduction for participations included with D&A 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 D&A 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 — total

This is the total of non– available own fund items.

R0270/C0020

Total of non–available own fund items — tier 1 unrestricted

This is the non– available own fund items in Tier 1 unrestricted items.

R0270/C0030

Total of non–available own fund items — tier 1 restricted

This is the non–available own fund items — tier 1 restricted items.

R0270/C0040

Total of non–available own fund items — tier 2

This is the non–available own fund items — tier 2.

R0270/C0050

Total of non–available own fund items — tier 3

This is the non–available own fund items — tier 3.

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 adjustments 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 adjustments 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 adjustments 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 the Directive 2009/138/EC — total

This is the total amount of letters of credit and guarantees that are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC.

R0340/C0040

Letters of credit and guarantees under Article 96(2) of the Directive 2009/138/EC — tier 2

This is the amount of letters of credit and guarantees that are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC that meet the criteria for Tier 2.

R0350/C0010

Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC — total

This is the total amount of letters of credit and guarantees that satisfy criteria for Tier 2 or Tier 3, other than those that are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC.

R0350/C0040

Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC — tier 2

This is the amount of letters of credit and guarantees that meet the criteria for Tier 2, other than those which are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC.

R0350/C0050

Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC– tier 3

This is the amount of letters of credit and guarantees that meet the criteria for Tier 3, other than those which are held in trust for the benefit of insurance creditors by an independent trustee and provided by credit institutions authorised in accordance with Directive 2006/48/EC.

R0360/C0010

Supplementary members calls under first subparagraph of Article 96(3) of the Directive 2009/138/EC — total

This is the total amount of any future claims which mutual or mutual–type associations of ship owners with variable contributions solely insuring risks listed in classes 6, 12 and 17 in Part A of Annex I may have against their members by way of a call for supplementary contributions, within the following 12 months.

R0360/C0040

Supplementary members calls under first subparagraph of Article 96(3) of the Directive 2009/138/EC — tier 2

This is the amount of any future claims which mutual or mutual–type associations of ship owners with variable contributions solely insuring risks listed in classes 6, 12 and 17 in Part A of Annex I may have against their members by way of a call for supplementary contributions, within the following 12 months.

R0370/C0010

Supplementary members calls — other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC

This is the total amount of any future claims which mutual or mutual–type associations with variable contributions may have against their members by way of a call for supplementary contributions, within the following 12 months, other than those described in the first subparagraph of article 96(3) of the Directive 2009/138/EC.

R0370/C0040

Supplementary members calls — other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC — tier 2

This is the amount of any future claims which mutual or mutual–type associations of with variable contributions may have against their members by way of a call for supplementary contributions within the following 12 months, other than those described in the first subparagraph of article 96(3) of the Directive 2009/138/EC that meet the criteria for Tier 2.

R0370/C0050

Supplementary members calls — other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC — tier 3

This is the amount of any future claims which mutual or mutual–type associations with variable contributions may have against their members by way of a call for supplementary contributions within the following 12 months, other than those described in the first subparagraph of article 96(3) of the Framework Directive 2009/138/EC that meet the criteria for Tier 3.

R0380/C0010

Non available ancillary own funds at group level — total

This is the total amount of ancillary own funds which are deemed non–available as defined in Article 222(2)–(5) of the Directive 2009/138/EC.

R0380/C0040

Non available ancillary own funds at group level — tier 2

This is the amount of ancillary own funds which are deemed non–available as defined in Article 222(2)–(5) of the Directive 2009/138/EC that meet the criteria for Tier 2.

R0380/C0050

Non available ancillary own funds at group level — tier 3

This is the amount of ancillary own funds which are deemed non–available as defined in Article 222(2)–(5) of the 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 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. Those items should be also deducted of any non–available own funds according to the relevant sectoral rules and deducted of own funds according to article 228, paragraph 2 of the 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 according to article 228, paragraph 2 of the Directive 2009/138/EC.

R0410/C0030

Credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies — Tier 1 restricted

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 restricted.

Those items should be also deducted of any non–available own funds according to the relevant sectoral rules and deducted of own funds according to article 228, paragraph 2 of the Directive 2009/138/EC.

R0410/C0040

Credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies — Tier 2

Own funds in credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies 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 and deducted of own funds according to article 228, paragraph 2 of the Directive 2009/138/EC.

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 and deducted of own funds according to article 228, paragraph 2 of the Directive 2009/138/EC.

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 and deducted of own funds according to article 228, paragraph 2 of the Directive 2009/138/EC

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 and deducted of own funds according to Article 228, paragraph 2 of the Directive 2009/138/EC

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 and deducted of own funds according to article 228, paragraph 2 of the Directive 2009/138/EC

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 and deducted of own funds according to Article 228, paragraph 2 of the Directive 2009/138/EC

R0430/C0010

Non–regulated entities 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 according to article 228, paragraph 2 of the Directive 2009/138/EC.

R0430/C0020

Non–regulated entities 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.

Those items should be also deducted of any non–available own funds according to the relevant sectoral rules and deducted of own funds according to Article 228, paragraph 2 of the Directive 2009/138/EC.

R0430/C0030

Non–regulated entities 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.

Those items should be also deducted of any non–available own funds according to the relevant sectoral rules and deducted of own funds according to article 228, paragraph 2 of the Directive 2009/138/EC.

R0430/C0040

Non–regulated entities 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.

Those items should be also deducted of any non–available own funds according to the relevant sectoral rules and deducted of own funds according to article 228, paragraph 2 of the Directive 2009/138/EC.

R0440/C0010

Total own funds of other financial sectors — total

Total of own funds in other financial sectors.

The total own funds deducted in cell R0230/C0010 are brought back here after the adjustment for non– available own funds according to the relevant sectoral rules and after the deduction according to Article 228, paragraph 2 of the Directive 2009/138/EC.

R0440/C0020

Total own funds of other financial sectors — tier 1 unrestricted

Total of own funds in other financial sectors –tier 1 unrestricted.

The total own funds deducted in cell R0230/C0010 are brought back here after the adjustment for non– available own funds according to the relevant sectoral rules and after the deduction according to Article 228, paragraph 2 of the Directive 2009/138/EC.

R0440/C0030

Total own funds of other financial sectors — tier 1 restricted

Total of own funds in other financial sectors –tier 1 restricted.

The total own funds deducted in cell R0230/C0010 are brought back here after the adjustment for non– available own funds according to the relevant sectoral rules and after the deduction according to Article 228, paragraph 2 of the Directive 2009/138/EC.

R0440/C0040

Total own funds of other financial sectors — tier 2

Total of own funds in other financial sectors –tier 2.

The total own funds deducted in cell R0230/C0010 are brought back here after the adjustment for non– available own funds according to the relevant sectoral rules and after the deduction according to Article 228, paragraph 2 of the Directive 2009/138/EC.

Own funds when using the D&A, exclusively or in combination of method 1

R0450/C0010

Own funds aggregated when using the D&A and combination of method — 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 D&A or a combination of methods; after the deduction of non–available own funds at group level.

R0450/C0020

Own funds aggregated when using the D&A and combination of method — 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 D&A 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 D&A 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 D&A 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 D&A 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 D&A 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 D&A 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 D&A 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 D&A 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 D&A 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 D&A 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 D&A 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 D&A 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 group SCR (excluding the other financial sector and the undertakings included via D&A) –total

This is the total own funds of the undertaking, comprising basic own funds after adjustments plus ancillary own funds, that are available to meet the consolidated group SCR but excluding the own funds from other financial sector and from the undertakings included via D&A.

R0520/C0020

Total available own funds to meet the consolidated group SCR (excluding the other financial sector and the undertakings included via D&A) — tier 1 unrestricted

This is the own funds of the undertaking, comprising basic own funds after adjustments, that are available to meet the consolidated group SCR but excluding the own funds from other financial sector and from the undertakings included via D&A and that meet the criteria to be included in Tier 1 unrestricted items.

R0520/C0030

Total available own funds to meet the consolidated group SCR (excluding the other financial sector and the undertakings included via D&A) — tier 1 restricted

This is the own funds of the undertaking, comprising basic own funds after adjustments, that are available to meet the consolidated group SCR but excluding the own funds from other financial sector and from the undertakings included via D&A and that meet the criteria to be included in Tier 1 restricted items.

R0520/C0040

Total available own funds to meet the consolidated group SCR (excluding the other financial sector and the undertakings included via D&A) — tier 2

This is the own funds of the undertaking, comprising basic own funds after adjustments plus ancillary own funds, that are available to meet the consolidated group SCR but excluding the own funds from other financial sector and from the undertakings included via D&A and that meet the criteria to be included in Tier 2.

R0520/C0050

Total available own funds to meet the consolidated group SCR (excluding the other financial sector and the undertakings included via D&A)– tier 3

This is the own funds of the undertaking, comprising basic own funds after adjustments plus ancillary own funds, that are available to meet the consolidated group SCR but excluding the own funds from other financial sector and from the undertakings included via D&A and that meet the criteria to be included in Tier 3.

R0530/C0010

Total available own funds to meet the minimum consolidated group SCR –total

This is the total own funds of the undertaking, comprising basic own funds after adjustments, that are available to meet the minimum consolidated group SCR, excluding the own funds from other financial sector and from the undertakings included via D&A.

R0530/C0020

Total available own funds to meet the minimum consolidated group SCR– tier 1 unrestricted

This is the own funds of the undertaking, comprising basic own funds after adjustments, that are available to meet the minimum SCR for a group 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

This is the own funds of the group, comprising basic own funds after adjustments, that are available to meet the minimum SCR for a group and that meet the criteria to be included in Tier 1 restricted items.

R0530/C0040

Total available own funds to meet the minimum consolidated group SCR — tier 2

This is the own funds of the undertaking, comprising basic own funds after adjustments, that are available to meet the minimum SCR for a group and that meet the criteria to be included in Tier 2.

R0560/C0010

Total eligible own funds to meet the consolidated group SCR (excluding own funds from other financial sector and from the undertakings included via D&A) — total

This is the total group own funds which are eligible to cover the consolidated group SCR (excluding own funds from other financial sector and from the undertakings included via D&A ) 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 the Delegated Regulation (EU) 2015/35) consistently.

R0560/C0020

Total eligible own funds to meet the consolidated group SCR (excluding own funds from other financial sector and from the undertakings included via D&A) — tier 1 unrestricted

This is the group own funds which are eligible under the limits set out to meet the consolidated group SCR (excluding own funds from other financial sector and from the undertakings included via D&A), that meet the criteria for Tier 1 unrestricted items.

R0560/C0030

Total eligible own funds to meet the consolidated group SCR (excluding own funds from other financial sector and from the undertakings included via D&A) — tier 1 Restricted

This is the own funds which are eligible under the limits set out to meet the consolidated group SCR (excluding own funds from other financial sector and from the undertakings included via D&A), that meet the criteria for Tier 1 restricted items.

R0560/C0040

Total eligible own funds to meet the consolidated group SCR (excluding own funds from other financial sector and from the undertakings included via D&A) — tier 2

This is the own funds which are eligible under the limits set out to meet the consolidated group SCR (excluding own funds from other financial sector and from the undertakings included via D&A), that meet the criteria for Tier 2.

R0560/C0050

Total eligible own funds to meet the consolidated group SCR (excluding own funds from other financial sector and from the undertakings included via D&A) — tier 3

This is the own funds which are eligible under the limits set out to meet the consolidated group SCR (excluding own funds from other financial sector and from the undertakings included via D&A), that meet the criteria for Tier 3.

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.

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 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

This is the eligible own funds of the group, that are available to meet the minimum consolidated group SCR that meet the criteria to be included in Tier 1 restricted items.

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 that meet the criteria to be included in Tier 2.

R0590/C0010

Consolidated Group SCR

Consolidated group SCR calculated for the consolidated data in accordance with Article 336, (a), (b), (c) and (d) of Delegated Regulation (EU) 2015/35.

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 or 231 of the Solvency II Directive 2009/138/EC.

R0630/C0010

Ratio of Eligible own funds to the consolidated group SCR (excluding other financial sectors and the undertakings included via D&A)

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, excluding capital requirements and own funds from other financial sectors and the undertakings included via D&A.

For the purpose of this ratio the consolidated group SCR shall not include the capital requirements from other financial sectors (Article 336 (c) of the Delegated Regulation (EU) 2015/35)).

R0650/C0010

Ratio of Eligible own funds to Minimum Consolidated Group SCR

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 D&A).

R0660/C0010

Total eligible own funds to meet the group SCR (including own funds from other financial sector and from undertakings included via D&A)

This is the total eligible own funds, including the own funds from the other financial sectors and from the undertakings included via D&A, to meet the total group SCR.

R0660/C0020

Total eligible own funds to meet the group SCR (including own funds from other financial sector and from undertakings included via D&A) — tier 1 unrestricted

This is the eligible own funds, including the own funds from the other financial sectors and from the undertakings included via D&A, 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 group SCR (including own funds from other financial sector and from undertakings included via D&A) — tier 1 restricted

This is the eligible own funds, including the own funds from the other financial sectors and from the undertakings included via D&A 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 group SCR (including own funds from other financial sector and from undertakings included via D&A) — tier 2

This is the eligible own funds, including the own funds from the other financial sectors and from the undertakings included via D&A to meet the total group SCR that meet the criteria to be included in Tier 2

R0660/C0050

Total eligible own funds to meet the group SCR (including own funds from other financial sector and from undertakings included via D&A) — tier 3

This is the eligible available own funds, including the own funds from the other financial sectors and from the undertakings included via D&A to meet the total group SCR that meet the criteria to be included in Tier 3

R0670/C0010

SCR for entities included with D&A method

This is the total of solvency capital requirements for undertakings included with Deduction and Aggregation method. This cell shall include sum of the proportional share of the SCR for undertakings included in the group solvency calculation through D&A. It's only relevant in case of D&A and combination of methods.

R0680/C0010

Group SCR

The group SCR is the sum of the consolidated group SCR calculated in accordance with Article 336, (a), (b), (c) and (d) of Delegated Regulation (EU) 2015/35 (R0590/C0010) and the SCR for entities included with D&A (R0660/C0010).

R0690/C0010

Ratio of Eligible own funds to the group SCR including other financial sectors and D&A undertakings

This is solvency ratio calculated as the total of eligible own funds to meet the group SCR divided by the group SCR, including other financial sectors and D&A undertakings

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 by the undertaking.

R0730/C0060

Other basic own fund items

These are the basic own fund items included in points (a)(i) to (v) of Article 69, Article 72(a) and Article 76(a), as well as those basic own fund items approved by the supervisory authority in accordance with Article 79 of the Delegated Regulation (EU) 2015/35.

R0740/C0060

Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring fenced funds

This is the total amount of the adjustment to the reconciliation reserve due to the existence of restricted own fund items in respect of ring–fenced funds and matching portfolios at group level.

R0750/C0060

Other non available own funds

These are other non available own funds 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 undertaking, before deductions for participations.

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 undertaking.

R0780/C0060

Expected profits included in future premiums (EPIFP) — Non– life business

The reconciliation reserve includes an amount of the excess of assets over liabilities that corresponds to the expected profit in future premiums (EPIFP). This cell represents that amount for the non–life business of the undertaking.

R0790/C0060

Total Expected profits included in future premiums (EPIFP)

This is the total amount calculated as expected profits included in future premiums.

S.23.02 — Detailed information by tiers on own funds

General comments:
This section relates to annual submission for 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 –Pain 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 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 annual submission for groups regardless of the method used for the calculation of the group solvency.

 

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 close 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 an individual undertaking.

C0280

Subordinated liabilities –Amount

This is the amount of individual subordinated liabilities.

C0290

Subordinated liabilities –Tier

This shall indicate the tier of the subordinated liabilities.

C0300

Subordinated liabilities — Currency Code

Identify the ISO 4217 alphabetic code of the currency.

C0310

Subordinated liabilities — Issuing entity

This shall indicate whether the issuing entity of the subordinated liabilities is within the group in the meaning of Article 212(1)(c) of Directive 2009/138/EC.

The following close list shall be used:

 

1 — Belonging to the same group

 

2 — Not belonging to the same group

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.

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 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).

C0410

Subordinated liabilities — Name of supervisory authority having given authorisation for subordinated liabilities

This is the name of the supervisory authority which has issued the authorisation, with country in parenthesis.

C0420

Subordinated liabilities — Buy back during the year of subordinated liabilities

Explanation if the item has been bought back.

C0430

Subordinated liabilities — % 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.

C0440

Subordinated liabilities — Contribution to group subordinated liabilities

This is the contribution of the subordinated liabilities to total group subordinated liabilities.

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

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

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/R0020

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/R0020

Ring–fenced fund/ matching adjustment portfolio — Notional SCR

This is the notional SCR of each ring–fenced fund/each matching adjustment portfolio.

C0680/R0020

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/R0020

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/R0020

Ring–fenced fund/ matching adjustment portfolio — Future transfers attributable to shareholders

Value of future transfers attributable to shareholders according to Article 80 (2) of Delegated Regulation (EU) 2015/35.

C0710/R0010

Ring fenced funds/matching adjustment portfolios — 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.

C0710/R0020

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.

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 entities and SVP 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 the formula:

[Bild bitte in Originalquelle ansehen]

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 (in the case where the SCR diversified (numerator) calculated in accordance to Article 336(a) of the Delegated Regulation (EU) 2015/35 is greater than the sum of the individual SCR of the participating undertaking and each related insurance and reinsurance undertaking included in the calculation of the SCR diversified (denominator) 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.

C0750

Non available minority interests

Non available minority interests, when the method 1 is applied, that is any minority interests in the eligible own funds (after deducting other non available own funds) of (re) insurance subsidiary exceeding the contribution of the solo SCR to the group SCR.

C0760

Non available own funds related to other own fund items approved by supervisory authority

Total amount for 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 entities (Article 222 (2) to (5) of Directive 2009/138/EC and Article 330 (4) 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 (4) 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 (4) 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 (4) 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 (4) 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 (4) of Delegated Regulation (EU) 2015/35)

C0830

An amount equal to the value of non available net deferred tax assets at the group level

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 (4) of Delegated Regulation (EU) 2015/35)

C0840

Non available share premium account related to preference shares at group level

Non available share premium account related to preference shares at group level.

C0850

Total non available excess own funds

Non available excess own funds at group level.

C0860

Non available minority interests

This is the overall total amount of non — available minority interests at group level.

C0870

Non available own funds related to other own fund items approved by supervisory authority

Total amount for non available own funds related to other own fund items approved by supervisory authority.

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

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 at the group level

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 at group level

This is the total overall amount of non available share premium account related to preference shares at group level

C0960

Total non available excess own funds

This is the total overall amount of non available excess own funds.

According to Article 222(4) of the 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 the directive (i.e. surplus funds and any subscribed but not paid–up capital) and in Article330 of Delegated Regulation (EU) 2015/35 (i.e. 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 does not exceed the contribution of the related undertaking to the group SCR, such limitation doesn't apply.

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

General comments:
This section relates to opening and annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.25.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where a RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of template S.01.03.
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:
— [Bild bitte in Originalquelle ansehen], 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 (C0030/R0100)
—   
nSCR
int
= nSCR for intangible assets risk according to the information reported in this template (C0030/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.

When item Z0020 = 2, then report ‘0’

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 according to Article 205 of Delegated Regulation (EU) 2015/35.

This amount shall fully consider diversification effects according to 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 according to Article 205 of Delegated Regulation (EU) 2015/35.

This amount shall fully consider diversification effects according to Article 304 of Directive 2009/138/EC where applicable.

These cells do not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level. These figures represent the SCR as if there was no loss of diversification.

R0010–R0050/C0050

Allocation of RFF adjustment due to RFF and Matching adjustments portfolios

Part of the adjustment allocated to each risk module according to the procedure described in the general comments.

This amount shall be positive.

R0060/C0030

Net solvency capital requirement Diversification

Amount of the diversification effects between Basic SCR of net risk modules 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 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 according to Article 205 of Delegated Regulation (EU) 2015/35for 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 according to Article 205 of Delegated Regulation (EU) 2015/35, as calculated using the standard formula.

This amount shall fully consider diversification effects according to 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 according to Article 205 of Delegated Regulation (EU) 2015/35, as calculated using the standard formula.

This amount shall fully consider diversification effects according to Article 304 of Directive 2009/138/EC where applicable.

This cell does not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level. These figures represent the SCR as if there was no loss of diversification.

This amount shall be calculated as a sum of the gross capital charges for each risk module within the standard formula, including adjustment for diversification effect within standard formula

Calculation of Solvency Capital Requirement

R0120/C0100

Adjustment due to RFF/MAP nSCR aggregation

Adjustment to correct the bias on SCR calculation due to aggregation of RFF/MAP nSCR at risk module level.

This amount shall be positive.

R0130/C0100

Operational risk

Amount of the capital requirements for operational risk module as calculated using the standard formula.

R0140/C0100

Loss–absorbing capacity of technical provisions

Amount of the adjustment for loss–absorbing capacity of technical provisions calculated according to 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 according to the rules stated in article 17 of Directive 2003/41/EC, for ring–fenced funds relating to pension business operated under article 4 of Directive 2003/41/EC to which transitional measures are applied. This item is to be reported only during the transitional period.

R0200/C0100

Solvency capital requirement excluding capital add–on

Amount of the total diversified SCR before any capital add–on.

R0210/C0100

Capital add–ons already set

Amount of capital add–on that had been set at the reporting reference date. It will 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.

R0220/C0100

Solvency capital requirement for undertakings under consolidated method

Amount of the Solvency Capital Requirement for undertakings under method 1 as defined in Article 230 of Directive 2009/138/EC.

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. 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.

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 entities carrying out financial activities

Amount of capital requirement for non–regulated entities 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 entities carrying out financial activities.

R0540/C0100

Capital requirement for non–controlled participation requirements

Amount of the proportional share of the Solvency Capital Requirements of the related insurance and reinsurance undertakings and insurance holding companies which are not subsidiaries.

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.

R0560/C0100

SCR for undertakings included via D and A

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

Solvency capital requirement

Overall SCR for all undertakings regardless of the method used.

S.25.02 — Solvency Capital Requirement — for groups using the standard formula and partial internal model

General comments:
This section relates to opening and annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.
The components to be reported shall be agreed between national supervisory authorities and groups.
Template SR.25.02 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 shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03
Template SR.25.02 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).
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 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:
— [Bild bitte in Originalquelle ansehen], where
—   
adjustment
= Adjustment calculated according to one of the three methods referred above
—   
BSCR′
= Basic solvency capital requirement calculated according the information reported in this template
—   
nSCR
int
= nSCR for intangible assets risk according to the information reported in this template
— Multiplication of this ‘q factor’ by the nSCR of each relevant risk module (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non–life underwriting risk)
For group reporting the following specific requirements shall be met:
c)
The information until R0470 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;
d)
When combination method is being used, the information until R0470 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

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.

When item Z0020 = 2, then report ‘0’

C0010

Unique number of component

Unique number of each component agreed with their national supervisory authority to identify uniquely components from their model. This number shall always be used with the appropriate component description reported in each item. Where the partial internal model allow the same split by risk module as the one in the standard formula, the following numbers of components shall be used:

—

1 — Market risk

—

2 — Counterparty default risk

—

3 — Life underwriting risk

—

4 — Health underwriting risk

—

5 — Non–life underwriting risk

—

6 — Intangible asset risk

—

7 — Operational risk

—

8 — LAC Technical Provisions (negative amount)

—

9 — LAC Deferred Taxes (negative amount)

Where standard formula risk modules cannot be reported, groups shall attribute a number to each component different from 1 to 7.

This number shall always be used with the appropriate component description reported in each item C0020. The numbers of the components shall be kept consistent over time.

C0020

Components description

Identification, using free text, of each of the components that can be identified by the group. These components shall be aligned with standard formula risk modules if possible according to the partial internal model. Each component shall be identified using a separate entry. Groups shall identify and report components consistently across different reporting periods, unless there has been some change to the internal model affecting the categories.

Loss–absorbing capacity of technical provisions and/or deferred taxes not embedded within components shall be reported as separated components.

C0030

Calculation of the Solvency Capital Requirement

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 shall be the amount of the loss–absorbing capacity (these amounts shall 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 which are embedded in the calculation, but not those which are modelled as a separate component.

This amount shall fully consider diversification effects according to Article 304 of Directive 2009/138/EC where applicable where applicable.

When 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.

C0050

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

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

Amount modelled

For each component this cell represents the amount calculated according to the partial internal model. Therefore, the amount calculated with the Standard Formula shall be the difference between the amounts reported in C0040 and C0060.

R0110/C0100

Total of 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 shall 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.

R0160/C0100

Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC

Amount of the capital requirement, calculated according to the rules stated in 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/C00100

Solvency capital requirement, excluding capital add–ons

Amount of the total diversified SCR before any capital add–on.

R0210/C0100

Capital add–ons already set

Amount of capital add–ons that had been set at the reporting reference date. It will 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.

R0220/C0100

Solvency capital requirement for undertakings under consolidated method

Amount of the Solvency Capital Requirement for undertakings under method 1 as defined in Article 230 of Directive 2009/138/EC.

R0220/C0100

Solvency Capital Requirement

Overall capital requirement including capital add–ons.

Other information on SCR

R0300/C0100

Amount/Estimate of the overall loss–absorbing capacity of technical provisions

Amount/Estimate of the overall adjustment for loss–absorbing capacity of technical provisions, including the part embedded in the components and the part reported as a single component.

This amount shall be positive.

R0310/C0100

Amount/Estimate of the loss absorbing capacity for deferred taxes

Amount/Estimate of the overall adjustment for loss–absorbing capacity for deferred taxes, including the part embedded in the components and the part reported as a single component.

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

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 option 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. 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.

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 entities carrying out financial activities

Amount of capital requirement for non–regulated entities 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 entities carrying out financial activities.

R0540/C0100

Capital requirement for non–controlled participation requirements

Amount of the proportional share of the Solvency Capital Requirements of the related insurance and reinsurance undertakings and insurance holding companies which are not subsidiaries.

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.

R0560/C0100

SCR for undertakings included via D and A

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

Solvency capital requirement

Overall SCR for all undertakings regardless of the method used.

S.25.03 — Solvency Capital Requirement — for groups using full internal model

General comments:
This section relates to opening and annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.
The components to be reported shall be agreed between national supervisory authorities and groups.
Template SR.25.03 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 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.25.03 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).
For group reporting the following specific requirements shall be met:
e)
The information until R0470 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;
f)
When combination method is being used, the information until R0470 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

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 group and must be consistent over time and with the fund/portfolio number reported in other templates.

When item Z0020 = 2, then report ‘0’

C0010

Unique number of component

Unique number of each component of the full internal model, agreed with their national supervisory authority to identify uniquely components from their model. This number shall always be used with the appropriate component description reported in each item C0020.

The numbers of the components shall be kept consistent over time.

C0020

Components description

Identification, using free text, of each of the components that can be identified by the undertaking within the full internal model. These components may not exactly align with the risks defined for the standard formula. Each component shall be identified using a separate entry. Groups shall identify and report components consistently across different reporting periods, unless there has been some change to internal model affecting the categories.

Loss–absorbing capacity of technical provisions and/or deferred taxes modelled but not within components shall be reported as separated components.

C0030

Calculation of the Solvency Capital Requirement

Amount of the net capital charge for each component, after the adjustments for the future management actions relating to technical provision and/or deferred taxes when applicable, calculated by the full internal model on an undiversified basis, to the extent that these adjustments are modelled within components.

Loss absorbing capacity of technical provisions and/or deferred taxes modelled but not within components shall be reported as negative values.

C0060

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.

R0110/C0100

Total of undiversified components

Sum of all components.

R0060/C0100

Diversification

The total amount of the diversification among components reported in C0030 calculated using the full internal model.

This amount does not include diversification effects inside each component, which shall be embedded in the values reported in C0030.

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 according to the rules stated in article 17 of Directive 2003/41/EC, for ring–fenced funds relating to pension business operated under article 4 of Directive 2003/41/EC to which transitional measures are applied. This item is to be reported only during the transitional period.

R0200/C0100

Solvency capital requirement, excluding capital add–on

Amount of the total diversified SCR before any capital add–on.

R0210/C0100

Capital add–ons already set

Amount of capital add–on that had been set at the reporting reference date. It will 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.

R0220/C0100

Solvency capital requirement

Amount of total SCR calculated using full internal model.

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 each component and the part reported as a single component.

R0310/C0100

Amount/estimate of the overall loss–absorbing capacity of deferred taxes

Amount/Estimate of the overall adjustment for loss–absorbing capacity for deferred taxes, including the part embedded in each component and the part reported as a single component.

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 remaining part where applicable.

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. 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.

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 entities carrying out financial activities

Amount of capital requirement for non–regulated entities 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 entities carrying out financial activities.

R0540/C0100

Capital requirement for non–controlled participation requirements

Amount of the proportional share of the Solvency Capital Requirements of the related insurance and reinsurance undertakings and insurance holding companies which are not subsidiaries.

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.

S.26.01 — Solvency Capital Requirement — Market risk

General comments:
This section relates to annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.
The template SR.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 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.26.01 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

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.

When item Z0020 = 2, then report ‘0’

R0010/C0010

Simplifications spread risk — bonds and loans

Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of spread risk with regard to bonds and loans. 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 and C0080 shall be filled in for R0410.

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

If R0020/C0010 = 1, only C0060 and C0080 shall be filled in for R0100–R0120

R0030/C0010

Captives simplifications — spread risk on bonds and loans

Identify whether a captive undertaking 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 — 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.

R0220–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.

R0220–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

R0260–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.

R0260–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.

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 R0010/C0010 = 1, 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 R0010/C0010 = 1, this item represents gross solvency capital requirement for spread risk — bonds and loans calculated using simplifications.

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.

R0460/C0020

Initial absolute values before shock — Assets — spread risk — securitisation positions — type 1

This is the absolute value of the assets sensitive to the spread risk on type 1 securitisation positions.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0460/C0030

Initial absolute values before shock — Liabilities — spread risk — securitisation positions — type 1

This is the absolute value of the liabilities sensitive to the spread risk on type 1 securitisation positions.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0460/C0040

Absolute values after shock — Assets — spread risk — securitisation positions — type 1

This is the absolute value of the assets sensitive to the spread risk on type 1 securitisation positions, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0460/C0050

Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — spread risk — securitisation positions — type 1)

This is the absolute value of the liabilities sensitive to the spread risk on type 1 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.

R0460/C0060

Absolute value after shock — Net solvency capital requirement — spread risk — securitisation positions — type 1

This is the net capital charge for spread risk on type 1 securitisation positions, after adjustment for the loss absorbing capacity of technical provisions.

R0460/C0070

Absolute values after shock — Liabilities (before the loss absorbing capacity of technical provisions) — spread risk — securitisation positions — type 1

This is the absolute value of the liabilities sensitive to the spread risk on type 1 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.

R0460/C0080

Absolute value after shock — Gross solvency capital requirement — spread risk — securitisation positions — type 1

This is the gross capital charge for spread risk on type 1 securitisation positions, i.e. before the loss absorbing capacity of technical provisions.

R0470/C0020

Initial absolute values before shock — Assets — spread risk — securitisation positions — type 2

This is the absolute value of the assets sensitive to the spread risk on type 2 securitisation positions.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0470/C0030

Initial absolute values before shock — Liabilities — spread risk — securitisation positions — type 2

This is the absolute value of the liabilities sensitive to the spread risk on type 2 securitisation positions.

The amount of TP shall be net of reinsurance and SPV recoverables.

R0470/C0040

Absolute values after shock — Assets — spread risk — securitisation positions — type 2

This is the absolute value of the assets sensitive to the spread risk on type 2 securitisation positions, after the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0470/C0050

Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — spread risk — securitisation positions — type 2)

This is the absolute value of the liabilities sensitive to the spread risk on type 2 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.

R0470/C0060

Absolute value after shock — Net solvency capital requirement — spread risk — securitisation positions — type 2

This is the net capital charge for spread risk on type 2 securitisation positions, after adjustment for the loss absorbing capacity of technical provisions.

R0470/C0070

Absolute values after shock — Liabilities (before the loss absorbing capacity of technical provisions) — spread risk — securitisation positions — type 2

This is the absolute value of the liabilities sensitive to the spread risk on type 2 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.

R0470/C0080

Absolute value after shock — Gross solvency capital requirement — spread risk — securitisation positions — type 2

This is the gross capital charge for spread risk on type 2 securitisation positions, i.e. before the loss absorbing capacity of technical provisions.

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.

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 before 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 net solvency capital requirements for market risk

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.

S.26.02 — Solvency Capital Requirement — Counterparty default risk

General comments
This section relates to 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 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.26.02 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

Identifies whether the reported figures have been requested under Article 112 (7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:

 

1 — Article 112 (7) reporting

 

2 — Regular reporting

Z0020

Ring Fenced Fund/Matching adjustment portfolios/Remaining part

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

 

1 — RFF/MAP

 

2 — Remaining part

Z0030

Fund/Portfolio number

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

When item Z0020 = 2, then report ‘0’

R0010/C0010

Simplifications

Identify whether an undertakings within the scope of group supervision used simplifications for the calculation of counter party default risk. One of the options in the following closed list shall be used:

 

1 — Simplifications used

 

2 — Simplifications not used

R0100/C0080

Type 1 exposures — Gross solvency capital requirement

This is the gross capital charge (before the loss–absorbency capacity of technical provisions) for counterparty default risk arising from all Type 1 exposures as defined for Solvency II purposes.

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 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 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.26.03 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.
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

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.

When item Z0020 = 2, then report ‘0’

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: 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 — Simplifications used

 

2 — Simplifications not used

If R0040/C0010 = 1, only C0060 and C0080 shall be filled in for R0400 to R0420.

R0430 shall be fully completed in any case.

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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP shall be net of reinsurance and SPV recoverables.

R0420/C0080

Absolute value after shock — Gross solvency capital requirement — Lapse risk — risk of decrease in lapse rates

This is the gross capital charge for the risk of a decrease in lapse rates as used to compute the risk (before the loss absorbing capacity of technical provisions).

If R0040/C0010=1, this item represents gross capital charge for a permanent decrease in lapse rates, calculated using simplified calculation for lapse rate

R0430/C0020

Initial absolute values before shock — Assets — Lapse risk– mass lapse risk

This is the absolute value of the assets sensitive to mass lapse risk, before the shock.

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0430/C0030

Initial absolute values before shock — Liabilities — Lapse risk –mass lapse risk

This is the absolute value of liabilities sensitive to mass lapse risk, before the shock.

The amount of TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 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.
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

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.

When item Z0020 = 2, then report ‘0’

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 not 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 NSLT lapse risk, referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35. 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 R0400 to R0420.

R0430 shall be fully completed in any case

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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP shall be net of reinsurance and SPV recoverables.

R0420/C0040

Absolute values after shock — Assets — SLT health lapse risk –risk of decrease in lapse

This is the absolute value of the assets sensitive to the risk of a permanent decrease in lapse rates, after the shock (i.e. permanent decrease in the rates of lapse).

Recoverables from reinsurance and SPVs shall not be included in this cell.

R0420/C0050

Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — SLT health lapse risk –risk of decrease in lapse

This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to the risk of a permanent decrease in lapse rates, after the shock (i.e. permanent decrease of the rates of lapse).

The amount of TP shall be net of reinsurance and SPV recoverables.

R0420/C0060

Absolute value after shock — Net solvency capital requirement — SLT health lapse risk –risk of decrease in lapse

This is the net capital charge for the risk of a permanent decrease in lapse rates, after adjustment for the loss absorbing capacity of technical provisions.

If R0050/C0010=1, this item represents net capital charge for a permanent decrease in SLT health rates referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, calculated using simplified calculation for SLT health lapse rate

R0420/C0070

Absolute value after shock — Liabilities (before the loss absorbing capacity of technical provisions) — SLT health lapse risk –risk of decrease in lapse

This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to the risk of a permanent decrease in lapse rates, after the shock (permanent decrease in lapse rates).

The amount of TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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 TP 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

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 TP shall be net of reinsurance and SPV recoverables.

R1200/C0230

Absolute value after shock– Solvency capital requirement — Lapse risk

This is the capital charge for NSLT health lapse risk referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35.

R1300/C0240

Diversification within NSLT health underwriting risk — gross

This is the diversification effect within the NSLT health underwriting risk sub–module referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, as a result of the aggregation of the capital requirements for NSLT health premium and reserve risk and NSLT health lapse risk.

Diversification shall be reported as a negative value if they reduce the capital requirement.

R1400/C0240

Total solvency capital requirement for NSLT health underwriting

This is the total capital charge for the NSLT health underwriting risk sub module referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35.

Health catastrophe risk

R1500/C0250

Net solvency capital requirement for health catastrophe risks — Mass accident risk sub module

The net solvency capital requirement for the mass risk sub–module calculated after loss absorbing capacity of technical provisions

R1500/C0260

Gross solvency capital requirement for health catastrophe risks — Mass accident risk sub module

The gross solvency capital requirement for the mass risk sub–module, calculated before loss absorbing capacity of technical provisions.

R1510/C0250

Net solvency capital requirement for health catastrophe risks — Accident concentration risk

The net solvency capital requirement for the accident concentration risk sub–module, calculated after loss absorbing capacity of technical provisions

R1510/C0260

Gross solvency capital requirement for health catastrophe risks– Accident concentration risk

The gross solvency capital requirement for the accident concentration risk sub–module calculated before loss absorbing capacity of technical provisions.

R1520/C0250

Net solvency capital requirement for health catastrophe risks — Pandemic risk

The net solvency capital requirement for the pandemic risk sub–module, calculated after loss absorbing capacity of technical provisions.

R1520/C0260

Gross solvency capital requirement for health catastrophe risks — Pandemic risk

The gross solvency capital requirement for the pandemic risk sub–module is calculated before loss absorbing capacity of technical provisions.

R1530/C0250

Diversification within health catastrophe risk — Net

This is the diversification effect within the health catastrophe risk sub–module as a result of the aggregation of the capital requirements for the risks of a mass accident, accident concentration and pandemic risk, calculated after loss absorbing capacity of technical provisions

R1530/C0260

Diversification within health catastrophe risk — Gross

This is the diversification effect within the health catastrophe risk sub–module as a result of the aggregation of the capital requirements for the risks of a mass accident, accident concentration and pandemic risk, calculated after loss absorbing capacity of technical provisions.

R1540/C0250

Total net solvency capital requirement for health catastrophe risk

This is the total net capital charge (after loss absorbing capacity of technical provisions) for the health catastrophe risk sub–module

R1540/C0260

Total gross solvency capital requirement for health catastrophe risk

This is the total gross capital charge for the health catastrophe risk sub — module (before loss absorbing capacity of technical provisions)

Total health underwriting risk

R1600/C0270

Diversification within health underwriting risk module — Net

This is the diversification effect within the health underwriting risk sub–module as a result of the aggregation of the capital requirements SLT health underwriting risk sub–module, NSLT health underwriting risk sub–module and health catastrophe risk sub–module, referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, calculated after loss absorbing capacity of technical provision.

R1600/C0280

Diversification within health underwriting risk module — Gross

This is the diversification effect within the health underwriting risk sub–module as a result of the aggregation of the capital requirements SLT health underwriting risk sub–module, NSLT health underwriting risk sub–module and health catastrophe risk sub–module, referred to in Title I Chapter V Section 4 of Delegated Regulation (EU) 2015/35, calculated before loss absorbing capacity of technical provisions.

R1700/C0270

Total net solvency capital requirement for health underwriting risk

This is the total net solvency capital requirement for the health underwriting risk module.

R1700/C0280

Total gross solvency capital requirement for health underwriting risk

This is the total gross solvency capital requirement for the health underwriting risk module.

S.26.05 — Solvency Capital Requirement — Non–Life underwriting risk

General comments:
This section relates to annual submission of information for 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 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.26.05 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.
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

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.

When item Z0020 = 2, then report ‘0’

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.

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.

If R0010/C0010=1, this item represents total capital charge for non–life premium and reserve risk sub module calculated using simplified calculation.

R0300/C0100

Total capital requirement for non — life premium and reserve risk

This is the total 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 TP 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 TP 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

Capital requirement for non–life catastrophe risk

This is the total non–life catastrophe risk capital requirement.

Total non–life underwriting risk

R0600/C0160

Diversification within non–life underwriting risk module

This is the diversification effect within the non–life underwriting risk sub–module as a result of the aggregation of the capital requirements premium and reserve risk, catastrophe risk and lapse risk.

Diversification shall be reported as a negative value if they reduce the capital requirement.

R0700/C0160

Total capital requirement for non–life underwriting risk

This is the solvency capital requirement for non–life underwriting risk sub module.

S.26.06 — Solvency Capital Requirements — Operational risk

General comments:
This section relates to annual submission of information for 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 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.26.06 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

Identifies whether the reported figures have been requested under Article 112 (7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:

 

1 — Article 112 (7) reporting

 

2 — Regular reporting

Z0020

Ring–fenced fund, matching adjustment portfolio or remaining part

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

 

1 — RFF/MAP

 

2 — Remaining part

Z0030

Fund/Portfolio number

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

When item Z0020 = 2, then report ‘0’

R0100/C0020

Life gross technical provisions (excluding risk margin)

This is technical provisions for 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.

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)

Premium earned during the previous 12 months for life insurance obligations, 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)

Premium earned during the 12 months prior to the previous 12 months for life insurance obligations, without deducting premium ceded to reinsurance

R0240/C0020

Earned life gross premiums unit–linked (12 months prior to the previous 12 months)

Premium earned during the 12 months prior to the previous 12 months for life insurance obligations where the investment risk is borne by the policy holders without deducting premium ceded to reinsurance.

R0250/C0020

Earned non–life gross premiums (12 months prior to the previous 12 months)

Premium earned during the 12 months prior to the previous 12 months for non–life insurance obligations, without deducting premiums ceded to reinsurance

R0260/C0020

Capital requirement for operational risk based on earned premiums

This is the capital requirement for operational risks based on earned premiums.

R0300/C0020

Capital requirement for operational risk before capping

This is the capital requirement for operational risk before capping adjustment

R0310/C0020

Cap based on Basic Solvency Capital Requirement

This is the result of the cap percentage applied to the Basic SCR.

R0320/C0020

Capital requirement for operational risk after capping

This is the capital requirement for operational risk after capping adjustment.

R0330/C0020

Expenses incurred in respect of unit linked business (previous 12 months)

This is the amount of expenses incurred in the previous 12 months in respect of life insurance where the investment risk is borne by the policyholders.

R0340/C0020

Total capital requirement for operational risk

This is the capital charge for operational risk.

S.26.07 — Solvency Capital Requirement — Simplifications

General comments:
This section relates to annual submission of information for 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 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.26.07 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

Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:

 

1 — Article 112(7) reporting

 

2 — Regular reporting

Z0020

Ring–fenced fund, matching adjustment portfolio or remaining part

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

 

1 — RFF/MAP

 

2 — Remaining part

Z0030

Fund/Portfolio number

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

When item Z0020 = 2, then report ‘0’

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/C0230

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.

S.27.01 — Solvency Capital Requirement — Non–life and health catastrophe risk

General comments:
This section relates to 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 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.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 the Directive 2009/138/EC.
The reported capital requirements reflects the capital requirements before and after risk mitigation which is the risk mitigating effect of the undertaking's specific reinsurance contracts and special purpose vehicles. The reported capital requirement after risk mitigation is before the loss absorbing capacity of technical provisions. The default value of the risk mitigation shall be reported as a positive value in order to be deducted.
In case the diversification effect reduces the capital requirement the default value of the diversification shall be reported as a negative value.
For group reporting the following specific requirements shall be met:
d)
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;
e)
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;
f)
This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.

Z0010

Article 112

Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used:

 

1 — Article 112(7) reporting

 

2 — Regular reporting

Z0020

Ring–fenced fund, matching adjustment portfolio or remaining part

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

 

1 — RFF/MAP

 

2 — Remaining part

Z0030

Fund/Portfolio number

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

When item Z0020 = 2, then report ‘0’

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

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 natural catastrophe perils.

C0030/R0010

SCR after risk mitigation — Natural catastrophe risk

This is the total catastrophe risk after risk mitigation arising from all natural catastrophe perils and taking into consideration the diversification effect between the perils given in C0030/R0070.

C0030/R0020–R0060

SCR after risk mitigation — Natural catastrophe risk perils

This is the total capital requirement after risk mitigation per natural catastrophe peril, taking into consideration the diversification effect between zones and regions.

Per natural peril this amount is equal to the Catastrophe Risk Charge after risk mitigation.

C0030/R0070

SCR after risk mitigation — Diversification between perils

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different natural catastrophe perils.

C0010/R0080

SCR before risk mitigation — Catastrophe risk non–proportional property reinsurance

This is the total catastrophe risk before risk mitigation arising from non–proportional property reinsurance.

C0020/R0080

Total risk mitigation — Catastrophe risk non–proportional property reinsurance

This is the total risk mitigation effect of the 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

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 ‘other non–life’ perils.

C0030/R0170

SCR after risk mitigation — Other non–life catastrophe risk

This is the total catastrophe risk after risk mitigation arising from all ‘other non–life’ catastrophe perils and taking into consideration the diversification effect between the perils given in C0030/R0180.

C0030/R0180

SCR after risk mitigation — Diversification between perils

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different ‘other non–life’ catastrophe perils.

C0010/R0190

SCR before risk mitigation — Total Non–life catastrophe risk before diversification

This is the total catastrophe risk before risk mitigation arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks) before the diversification effect between the sub–modules.

C0010/R0200

SCR before risk mitigation — Diversification between sub–modules

Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks).

C0010/R0210

SCR before risk mitigation — Total Non–life catastrophe risk after diversification

This is the total catastrophe risk before risk mitigation arising from all the sub–modules (Natural catastrophe, Non–proportional property reinsurance, Man–made and ‘Other non–life’ catastrophe risks), taking into consideration the diversification effect between the sub–modules given in C0010/R0200.

C0020/R0190

Total risk mitigation — Total Non–life catastrophe risk before diversification

This is the total risk mitigation effect of the 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

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 Health catastrophe risk sub–modules.

C0030/R0300

SCR after risk mitigation — Health catastrophe risk

This is the total catastrophe risk after risk mitigation arising from all Health catastrophe risk sub–modules and taking into consideration the diversification effect between the sub–modules given in C0030/R0340.

C0030/R0310–R0330

SCR after risk mitigation — Health catastrophe risk sub–modules

This is the total capital requirement after risk mitigation per Health catastrophe risk sub–module, taking into consideration the diversification effect between countries.

Per Health catastrophe risk sub–module this amount is equal to the Catastrophe Risk Charge after risk mitigation.

C0030/R0340

SCR after risk mitigation — Diversification between sub–modules

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different Health catastrophe risk sub–modules.

Non–life catastrophe risk

Natural catastrophe risk — Windstorm

C0040/R0610–R0780

Estimation of the gross premium to be earned — Other Regions

An estimate of the premiums to be earned by the insurance or reinsurance group, during the following year in relation to the 14 regions other than the EEA 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 EEA regions.

C0050/R0400–R0590

Exposure — EEA Region

The sum of the total insured per each of the 20 EEA 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 EEA 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 EEA region.

C0050/R0600

Exposure — Total Windstorm EEA Regions before diversification

Total of the exposure before diversification for the 20 EEA regions.

C0060/R0400–R0590

Specified Gross Loss — EEA Region

Specified gross windstorm loss per each of the 20 EEA regions, taking into consideration the effect of diversification effect between zones.

C0060/R0600

Specified Gross Loss — Total Windstorm EEA Regions before diversification

Total of the specified gross loss before diversification for the 20 EEA regions.

C0070/R0400–R0590

Catastrophe Risk Charge Factor before risk mitigation — EEA Region

The risk charge factor per each of the 20 EEA regions for Windstorm, taking into consideration the effect of diversification effect between zones.

C0070/R0600

Catastrophe Risk Charge Factor before risk mitigation — Total Windstorm EEA Regions before diversification

Ratio between total specified gross loss and total exposure.

C0080/R0400–R0590

Scenario A or B — EEA Region

The larger of the capital requirement for Windstorm risk for each of the 20 EEA 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 — EEA Region

Capital requirement before risk mitigation arising from Windstorm for each of the 20 EEA Regions corresponding to the larger of scenario A or B.

C0090/R0600

Catastrophe Risk Charge before risk mitigation — Total Windstorm EEA Regions before diversification

Total of the capital requirement before risk mitigation arising from Windstorm for the 20 EEA 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 EEA 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 EEA 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 — EEA Region

Per each of the 20 EEA 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 EEA Regions before diversification

Total of the estimated risk mitigation arising from Windstorm for the 20 EEA regions.

C0100/R0790

Estimated Risk Mitigation — Total Windstorm Other Regions before diversifications

For all the regions other the EEA 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 — EEA Region

For each of the 20 EEA 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 EEA Regions before diversification

Total of the estimated reinstatement premiums for the 20 EEA regions.

C0110/R0790

Estimated Reinstatement Premiums — Total Windstorm Other Regions before diversifications

For all the regions other than the EEA 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 — EEA 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 EEA regions, corresponding to the selected scenario.

C0120/R0600

Catastrophe Risk Charge after risk mitigation — Total Windstorm EEA 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 20 EEA 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 EEA 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 EEA 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 EEA 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 — EEA Region

The sum of the total insured per each of the 20 EEA 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 EEA 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 EEA region.

C0140/R1030

Exposure — Total Earthquake EEA Regions before diversification

Total of the exposure for the 20 EEA regions.

C0150/R0830–R1020

Specified Gross Loss — EEA Region

Specified gross Earthquake loss for each of the 20 EEA regions, taking into consideration the effect of diversification effect between zones.

C0150/R1030

Specified Gross Loss — Total Earthquake EEA Regions before diversification

Total of the specified gross Earthquake loss for the 20 EEA regions.

C0160/R0830–R1020

Catastrophe Risk Charge Factor before risk mitigation — EEA Region

The Risk Charge Factor per each of the 20 EEA 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 EEA Regions before diversification

Ratio between total specified gross loss and total exposure.

C0170/R0830–R1020

Catastrophe Risk Charge before risk mitigation — EEA Region

Capital requirement before risk mitigation arising from Earthquakes in each of the 20 EEA Regions.

C0170/R1030

Catastrophe Risk Charge before risk mitigation — Total Earthquake EEA Regions before diversification

Total of the capital requirement before risk mitigation arising from Earthquakes for the 20 EEA 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 EEA 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 EEA 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 — EEA Region

Per each of the 20 EEA 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 EEA Regions before diversification

Total of the estimated Risk Mitigation for the 20 EEA regions.

C0180/R1220

Estimated Risk Mitigation — Total Earthquake — Other Regions before diversification

For all the regions other than the EEA 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 — EEA Region

Per each of the 20 EEA 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 EEA Regions before diversification

Total of the estimated reinstatement premiums for the 20 EEA regions.

C0190/R1220

Estimated Reinstatement Premiums — Total Earthquake — Other Regions before diversification

For all the regions other than the EEA Regions, the estimated reinstatement premiums, as a result of the group's specific reinsurance contracts and special purpose vehicles relating to this peril.

C0190/R1230

Estimated Reinstatement Premiums — Total Earthquake — All Regions before diversification

Total of the estimated reinstatement premiums for all regions.

C0200/R0830–R1020

Catastrophe Risk Charge after risk mitigation — EEA 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 Earthquake in each of the 20 EEA regions.

C0200/R1030

Catastrophe Risk Charge after risk mitigation — Total Earthquake EEA 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 EEA 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 EEA Regions. It is the amount of the instantaneous loss, including the deduction of the amounts recoverable from reinsurance contracts and Special Purpose Vehicles.

C0200/R1230

Catastrophe Risk Charge after risk mitigation — Total Earthquake — All Regions before diversification

Total of the capital requirement, after the deduction of the risk mitigating effect of the group's specific reinsurance contracts and special purpose vehicles relating to this peril, arising from Earthquake for all regions.

C0200/R1240

Catastrophe Risk Charge after risk mitigation — Diversification effect between regions

Diversification effect arising from the aggregation of the capital requirement after risk mitigations for Earthquake risks relating to the different regions (both EEA Regions and Other regions).

C0200/R1250

Catastrophe Risk Charge after risk mitigation — Total Earthquake after diversification

This is the total capital requirement after risk mitigation for Earthquake risk, taking into consideration the diversification effect given in C0200/R1240

Natural catastrophe risk — Flood

C0210/R1410–R1580

Estimation of the gross premiums to be earned — Other Regions

An estimate of the premiums to be earned by the insurance or reinsurance group, during the following year in relation to each of the 14 regions other than the EEA 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 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 — EEA Region

The sum of the total insured per each of the 14 EEA 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 EEA 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 EEA 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 EEA region.

C0220/R1400

Exposure — Total Flood EEA Regions before diversification

Total of the exposure for the 14 EEA regions.

C0230/R1260–R1390

Specified Gross Loss — EEA Region

Specified gross Flood loss in each of the 14 EEA regions, taking into consideration the effect of diversification effect between zones.

C0230/R1400

Specified Gross Loss — Total Flood EEA Regions before diversification

Total of the specified gross Flood loss for the 14 EEA regions.

C0240/R1260–R1390

Catastrophe Risk Charge Factor before risk mitigation — EEA Region

The Risk Charge Factor per each of the 14 EEA 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 EEA Regions before diversification

Ratio between total specified gross loss and total exposure.

C0250/R1260–R1390

Scenario A or B — EEA Region

The larger of the capital requirement for Flood risk in each of the 14 EEA 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, must be taken into account.

C0260/R1260–R1390

Catastrophe Risk Charge before risk mitigation — EEA Region

Capital requirement before risk mitigation arising from Floods in each of the 14 EEA Regions, corresponding to the larger of scenario A or B.

C0260/1400

Catastrophe Risk Charge before risk mitigation — Total Flood EEA Regions before diversification

Total of the capital requirement before risk mitigation arising from Floods for the 14 EEA 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 EEA 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 EEA 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 — EEA Region

Per each of the 14 EEA 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 EEA Regions before diversification

Total of the estimated Risk Mitigation for the 14 EEA regions.

C0270/R1590

Estimated Risk Mitigation — Total Flood Other Regions before diversification

For all the regions other than the EEA 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.

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 — EEA Region

Per each of the 14 EEA 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 — EEA Regions before diversification

Total of the estimated reinstatement premiums for the 14 EEA regions.

C0280/R1590

Estimated Reinstatement Premiums — Total Flood — Other Regions before diversification

For all the regions other than the EEA Regions, the estimated reinstatement premiums, as a result of the group's specific reinsurance contracts and special purpose vehicles relating to this peril.

C0280/R1600

Estimated Reinstatement Premiums — Total Flood — All Regions before diversification

Total of the estimated reinstatement premiums for all regions.

C0290/R1260–R1390

Catastrophe Risk Charge after risk mitigation — EEA 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 EEA regions, corresponding to the selected scenario.

C0290/R1400

Catastrophe Risk Charge after risk mitigation — Total Flood — EEA 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 EEA 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 EEA 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 EEA 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 EEA 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 — EEA Region

The sum of the total insured per each of the 9 EEA 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 EEA 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 EEA 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 EEA region.

C0310/R1720

Exposure — Total Hail EEA Regions before diversification

Total of the exposure for the 9 EEA regions.

C0320/R1630–R1710

Specified Gross Loss — EEA Region

Specified gross Hail loss in each of the 9 EEA regions, taking into consideration the effect of diversification effect between zones.

C0320/R1720

Specified Gross Loss — Total Hail EEA Regions before diversification

Total of the specified gross Hail loss for the 9 EEA regions.

C0330/R1630–R1710

Catastrophe Risk Charge Factor before risk mitigation — EEA Region

The Risk Charge Factor per each of the 9 EEA 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 EEA Regions before diversification

Ratio between total specified gross loss and total exposure.

C0340/R1630–R1710

Scenario A or B — EEA Region

The larger of the capital requirement for Hail risk in each of the 9 EEA 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, must be taken into account.

C0350/R1630–R1710

Catastrophe Risk Charge before risk mitigation — EEA Region

Capital requirement before risk mitigation arising from Hails in each of the 9 EEA Regions corresponding to the larger of scenario A or B.

C0350/R1720

Catastrophe Risk Charge before risk mitigation — Total Hail EEA Regions before diversification

Total of the capital requirement before risk mitigation arising from Hails for the 9 EEA 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 EEA 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 EEA 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 — EEA Region

Per each of the 9 EEA 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 EEA Region before diversification

Total of the estimated risk mitigation for the 9 EEA regions.

C0360/R1910

Estimated Risk Mitigation — Total Hail Other Regions before diversification

For all the regions other than the EEA 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.

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 — EEA Region

Per each of the 9 EEA 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 EEA Regions before diversification

Total of the estimated reinstatement premiums for the 9 EEA regions.

C0370/R1910

Estimated Reinstatement Premiums — Total Hail Other Regions before diversification

For all the regions other than the EEA Regions, the estimated reinstatement premiums, as a result of the group's specific reinsurance contracts and special purpose vehicles relating to this peril.

C0370/R1920

Estimated Reinstatement Premiums — Total Hail All Regions before diversification

Total of the estimated reinstatement premiums for all regions.

C0380/R1630–R1710

Catastrophe Risk Charge after risk mitigation — EEA 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 9 EEA Regions, corresponding to the selected scenario.

C0380/R1720

Catastrophe Risk Charge after risk mitigation — Total Hail EEA 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 9 EEA 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 EEA 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 EEA 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, 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, 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 polution 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

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 Marine Platform Explosion.

C0750/R2300

Name platform

Name of the corresponding platform.

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)

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 Aviation.

Man–made catastrophe risk — Fire

C0850/R2600

Catastrophe Risk Charge Fire before risk mitigation

This is the total capital requirement before risk mitigation for Fire risks.

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

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 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, 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.

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

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 the Large Credit Default scenario of Credit & Suretyship.

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

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 the Recession scenario of Credit & Suretyship.

C1100/R3100

Catastrophe Risk Charge Credit & Suretyship before risk mitigation — Total before diversification

This is the total capital requirement before risk mitigation, before diversification effect between types of events, for Credit & Suretyship risks.

C1100/R3110

Catastrophe Risk Charge Credit & Suretyship before risk mitigation — Diversification between type of event

Diversification effect arising from the aggregation of the total capital charges before risk mitigation relating to different type of events for Credit & Suretyship risks.

C1100/R3120

Catastrophe Risk Charge Credit & Suretyship before risk mitigation — Total after diversification

This is the total capital requirement before risk mitigation, after diversification effect between the types of events, for Credit & Suretyship risks.

C1110/R3100

Estimated Total Risk Mitigation — Total before diversification

This is the total risk mitigation effect, before diversification effect between types of events, of the group's specific reinsurance contracts and special purpose vehicles arising from the Credit & Suretyship risks.

C1120/R3100

Catastrophe Risk Charge Credit & Suretyship after risk mitigation — Total before diversification

This is the total capital requirement after risk mitigation, before diversification effect between types of events, for Credit & Suretyship risks.

C1120/R3110

Catastrophe Risk Charge Credit & Suretyship after risk mitigation — Diversification between type of event

Diversification effect arising from the aggregation of the total capital charges after risk mitigation relating to different type of events for Credit & Suretyship risks.

C1120/R3120

Catastrophe Risk Charge Credit & Suretyship after risk mitigation — Total after diversification

This is the total capital requirement after risk mitigation, after diversification effect between the types of events, for Credit & Suretyship risks.

Man–made catastrophe risk — Other non–life catastrophe risk

C1130/R3200–R3240

Estimation of the gross premium to be earned — Group of obligations

An estimate of the premiums to be earned by the insurance or reinsurance 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,

C1210/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 10 years 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,

C1220/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,

C1340/R3700–R4010,

C1350/R3700–R4010,

C1360/R3700–R4010

Average sum insured 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 in case of event types.

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.

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 Concentration accident.

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 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) and whose reinsurer is reducing the gross technical provisions as per end of the reporting year.
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)

—

Specific code

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

—

For EEA (re) insurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking's supervisory authority

—

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

Code reinsurer

Identification code of the reinsurer by this order of priority:

—

Legal Entity Identifier (LEI);

—

Specific code attributed by the undertaking

C0050

Type of code Reinsurer

Identification of the code used in item ‘Code reinsurer’. The following closed list shall be used:

 

1 — LEI

 

2 — Specific code

C0060

Reinsurance recoverables — Premium provision Non–life including Non–SLT Health

The amount of share of the reinsurer in the recoverables from reinsurance (including Finite Re and SPV) before the adjustment for expected losses due to the counterparty default, in the best estimate of the premium provisions calculated as the expected present value of future incoming and outgoing cash flows.

C0070

Reinsurance recoverables — Claims provisions Non–life including Non–SLT Health

The amount of share of the reinsurer in the recoverables from reinsurance (including Finite Re and SPV) before the adjustment for expected losses due to the counterparty default, in the best estimate of the claims provisions.

C0080

Reinsurance recoverables — Technical provisions Life including SLT Health

The amount of share of the reinsurer in the recoverables from reinsurance (including Finite Re and SPV) before the adjustment for expected losses due to the counterparty default, in the best estimate of the technical provisions.

C0090

Adjustment for expected losses due to counterparty default

Per reinsurer the adjustment for expected losses due to counterparty default. The adjustment shall be calculated separately and must be in line with Delegated Regulation (EU) 2015/35.

This value shall be reported as negative value.

C0100

Reinsurance recoverables: Total reinsurance recoverables

The result of ceded technical provisions (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 reinsurer.

C0150

Total guarantees received

Total amount of types of guarantees.

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.

C0220

Nominated ECAI

The agency that rates the reinsurer that is considered by the undertaking.

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.

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 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:
e)
SPVs defined under Article 13 (26) and authorised under Article 211 (1) of Directive 2009/138/EC;
f)
SPVs meeting conditions of Article 211 (3) of Directive 2009/138/EC;
g)
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;
h)
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);

—

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;

—

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

Internal code of SPV

Internal code attributed to the SPV by the undertaking 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;

—

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.

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 close 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;

—

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

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.

If the SPV is not incorporated this cell doesn't apply.

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 the Directive 2009/138/EC

 

2 — SPV authorised under Article 211(3) of the 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 group and given by an external rating agency.

C0280

Nominated ECAI

Rating agency giving the external rating of the SPV, as reported in item C0260.

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.

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 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. 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, including the participating insurance and reinsurance undertakings, insurance holding companies, mixed financial holding companies or mixed activity insurance holding company.
— 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);

—

Specific code

Specific code:

—

For EEA insurance and reinsurance undertakings and other EEA regulated 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

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 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 — UCITS management companies as defined in Article 1 (54) of Delegated Regulation (EU) 2015/35

 

15 — Alternative investment funds managers 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 which category falls under categories 1 to 4, 8, 9 and 12 in the cell ‘Type of 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 or insurance 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. An absolute 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. An absolute 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. An absolute 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 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 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 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 former criteria mentioned; 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: Other 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

S.33.01 — Insurance and reinsurance individual requirements

General comments:
This section relates to opening and 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, in the following way:
— 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 when the method 2 as defined in Article 233 of Directive 2009/138/EC or a combination of methods is used;
— The second part of it (Cells C0240 to C0260) collects information on the local capital requirements, local Minimum Capital Requirements and eligible own funds of all non–EEA insurance and reinsurance undertakings of the group shall be reported in accordance with local rules, regardless of the method used for the calculation of the group solvency.

 

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);

—

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;

—

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 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) included only via D&A

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 close 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 (article115), 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.

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 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);

—

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;

—

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

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.

S.35.01 — Contribution to group Technical Provisions

General comments:
This section relates to 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 the 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);

—

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;

—

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

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

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 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 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 section relates to annual submission of information for groups.
The purpose of this template is to collect information on all (significant, very significant and transactions required to be reported in all circumstances) IGTs related to equity, debt, reciprocal financing and asset transfers related transactions within a group identified according to Article 213(2)(a) to (c) of Directive 2009/138/EC. 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.
Groups are expected to complete this template for all significant, very significant and transactions required to be reported in all circumstances for IGTs between the individual undertaking and the mixed–activity insurance holding company and its related undertakings.
This template shall include IGTs 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 similar transactions with a related entity may be excluded from IGT reporting when considered individually against the thresholds for significant and very significant, these transactions must nevertheless be individually reported where collectively they are at or above the corresponding threshold values for significant or very significant IGTs.
Each transaction shall be reported separately.
Any additions / top–ups to significant IGTs shall be reported as a separate IGT, even if the top–up 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 should be recorded as a separate item with its issue date as the date of the top–up.
Where the transaction value is different for two transacting parties (e.g. a EUR 10 m transaction between A and B where A records EUR 10 m but B only receive EUR 9,5 m because of transactions costs, of say EUR 0,5 m has been expensed) the template shall record the maximum amount as the transaction amount, in this case EUR 10 m.
Where there is a chain of related IGTs (say A invests in B and B invests in C), each link of the chain needs to be reported as a separate IGT.

 

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 scope of the group, in the meaning of Article 212(1)(c) of Directive 2009/138/EC, i.e. the entity that recognises the transaction as an asset on their 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);

—

Specific code

Specific code:

—

For EEA insurance and reinsurance undertakings and other EEA regulated 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

C0040

ID code type of code of the investor/lender

Identification of the code used in item ‘Identification code for the investor/lender’:

 

1 — LEI

 

2 — Specific code

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 their 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);

—

Specific code

Specific code:

—

For EEA insurance and reinsurance undertakings and other EEA regulated 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

C0070

ID code type of code of the issuer / borrower

Identification of the code used in item ‘Identification code for the issuer/borrower’:

 

1 — LEI

 

2 — Specific code

C0080

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 must be consistent over time.

This may be different from the intragroup transaction code provided in cell C0010.

C0090

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

C0100

Transaction type

Identify the transaction type. The following close 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

C0110

Transaction Issue date

This is the earlier of the transaction/debt issue date or the date the IGT is effective from if different from the issue date.

The date should follow the ISO 8601 (yyyy–mm–dd) format.

C0120

Maturity date of transaction

Identify the ISO 8601 (yyyy–mm–dd) code of the date when the transaction expires/reaches maturity if applicable.

—

For IGTs with no maturity date use ‘9999–12–31’.

—

For perpetual securities use ‘9999–12–31’

C0130

Currency of transaction

Identify the ISO 4217 alphabetic code of the currency in which the transaction took place.

C0140

Contractual amount of transaction/ Transaction price

Amount of the transaction or price as per agreement/contract, reported in the reporting currency of the group.

C0150

Value of collateral/ asset

The value of collateral for collaterised debt or asset value for IGT involving asset transfer, reported in the reporting currency of the group.

If either one of the counterparties involved in the IGTs is valued in accordance with the Solvency II valuations rules as part of the group solvency calculation then the Solvency II value shall be used to value the collateral. At minimum (not an exhaustive list), collateral between the following entities is expected to be valued in accordance with the Solvency II valuation principles:

—

EEA insurance and reinsurance undertakings

—

EEA Insurance holding companies and mixed financial holding companies

—

Third country insurance, reinsurance, insurance holding companies and mixed financial holding companies included in the group solvency calculation through method 1

—

Third country insurance, reinsurance, insurance holding companies and mixed financial holding companies included in the group solvency calculation through method 2 based in non–equivalent regimes

Collateral arrangement between other types of undertakings, e.g. IGTs between two credit institutions within a group, may be valued in accordance with the sectoral rules.

C0160

Amount of redemption/ prepayments/ paybacks during reporting period

Amount of total redemptions/prepayments/paybacks during the reporting period if applicable, reported in the reporting currency of the group.

C0170

Amount of dividends/ interest/ coupon and other payments made during reporting period

This cell shall capture any payments made in relation to the IGTs recorded in this template for the reporting period (12 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 IGTs 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 a 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.

C0180

Balance of contractual amount of transaction 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 will be zero.

C0190

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.

S.36.02 — IGT — Derivatives

General comments:
This section relates to annual submission of information for groups.
This template shall report all IGTs between entities in scope of group supervision according to Article 213 (2) (a) to (c) of Directive 2009/138/EC, irrespective of the choice of calculation method or whether sectoral solvency rules have been used for the purposes of the group solvency calculation.
Groups are expected to complete this template for all significant, very significant and transactions required to be reported in all circumstances for IGTs between the individual undertaking and the mixed–activity insurance holding company and its related undertakings.
This template shall include IGTs 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 similar transactions with a related entity may be excluded from IGT reporting when considered individually against the thresholds for significant and very significant, these transactions must nevertheless be reported individually where collectively, they are at or above the corresponding threshold values for significant or very significant IGTs.
Each transaction shall be reported separately.
Any additions / top–ups to significant IGTs shall be reported as a separate IGT, even if the top–up 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 should be recorded as a separate item with its issue date as the date of the top–up.
Where the transaction value is different for two transacting parties (e.g. a EUR 10 m transaction between A and B where A records EUR 10 m but B only receive EUR 9,5 m because of transactions costs, of say EUR 0,5m has been expensed) the template should record the maximum amount as the transaction amount, in this case EUR 10 m.
Where there is a chain of related IGTs (say A invests in B and B invests in C), each link of the chain needs to be reported as a separate IGT.

 

ITEM

INSTRUCTIONS

C0010

ID of intragroup transaction

Unique internal identification code for each intragroup transaction. Must 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);

—

Specific code

Specific code:

—

For EEA insurance and reinsurance undertakings and other EEA regulated 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

C0040

ID code type of code of the investor/buyer

Identification of the code used in item ‘Identification code for the investor/buyer’:

 

1 — LEI

 

2 — Specific code

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);

—

Specific code

Specific code:

—

For EEA insurance and reinsurance undertakings and other EEA regulated 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

C0070

ID code type of code of the issuer / seller

Identification of the code used in item ‘Identification code for the issuer / seller’:

 

1 — LEI

 

2 — Specific code

C0080

ID Code of the instrument

This is the identification code of the instrument (derivative) 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 must be consistent over time.

This may be different from the intragroup transaction code provided in cell C0010.

C0090

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

C0100

Transaction type

Identify the transaction type. The following close 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 — credit default

 

8 — Swaps — interest rate

 

9 — Swaps — currency

 

10 — Swaps — others

A repurchase agreement should be considered as cash transaction plus forward contract.

C0110

Transaction Trade 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.

C0120

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.

C0130

Currency

Where applicable, identify the ISO 4217 alphabetic code of the currency of the derivative, i.e. currency of the notional amount of the derivative (e.g.: option having as underlying an amount in USD). This item is not applicable for currency swap.

C0140

Notional amount at transaction date

The amount covered or exposed to the derivative at the transaction date, 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.

C0150

Notional amount at reporting date

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 will be zero.

C0160

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 group.

If either one of the counter–parties involved in the IGTs is valued in accordance with the Solvency II valuations rules as part of the group solvency calculation then the Solvency II value should be used to value the collateral. At minimum (not an exhaustive list), collateral between the following entities is expected to be valued in accordance with the Solvency II valuation principles:

—

EEA insurance and reinsurance undertakings

—

EEA Insurance holding companies and mixed financial holding companies.

—

Third country insurance, reinsurance, insurance holding companies and mixed financial holding companies included in the group solvency calculation through method 1.

—

Third country insurance, reinsurance, insurance holding companies and mixed financial holding companies included in the group solvency calculation through method 2 based in non–equivalent regimes.

Collateral arrangement between other types of undertakings, e.g. IGTs between two credit institutions within a group, may be valued in accordance with the sectoral rules.

C0170

Options, futures, forwards and other derivatives — Use of derivatives (by buyer)

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’.

C0180

Options, futures, forwards and other derivatives — 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 must 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.

C0190

ID Code Type of the Asset / liability underlying the derivative

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

C0200

Credit protection –CDS and Guarantees — Counterparty name for which credit protection is purchased

Name of the counterparty for which protection has been purchased for its default

C0210

Swaps — Swap delivered interest rate (for buyer)

Interest rate delivered under the swap contract (only for Interest rate swaps).

C0220

Swaps — Swap received interest rate (for buyer)

Interest rate received under the swap contract (only for Interest rate swaps).

C0230

Swaps — Swap delivered currency (for buyer)

Identify the ISO 4217 alphabetic code of the currency of the swap price (only for currency swaps).

C0240

Swaps — Swap received currency (for buyer)

Identify the ISO 4217 alphabetic code of the currency of the swap notional amount (only for currency swaps).

S.36.03 — IGT — Internal reinsurance

General comments:
This section relates to annual submission of information for groups.
The purpose of this template is to collect information on all IGTs (significant, very significant and transactions required to be reported in all circumstances) related to internal reinsurance within a group identified according to Article 213(2)(a) to (c) of Directive 2009/138/EC. These include, but not limited to:
— 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..
Groups are expected to complete this template for all significant, very significant and transactions required to be reported in all circumstances for IGTs between the individual undertaking and the mixed–activity insurance holding company and its related undertakings.
This template shall include IGTs 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 similar transactions with a related entity may be excluded from IGT reporting when considered individually against the thresholds for significant and very significant, these transactions must nevertheless be individually reported where collectively they are at or above the corresponding threshold values for significant or very significant IGTs.
Each transaction shall be reported separately. Undertakings shall report as many rows as needed to properly identify the transaction, including if different types of reinsurance contracts/ treaties are used.
Any additions / top–ups to significant IGTs shall be reported as a separate IGT, even if the top–up 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 should be recorded as a separate item with its issue date as the date of the top–up.
Where the transaction value is different for two transacting parties (e.g. a EUR 10 m transaction between A and B where A records EUR 10 m but B only receive EUR 9,5 m because of transactions costs, of say EUR 0,5 m has been expensed) the template should record the maximum amount as the transaction amount, in this case EUR 10 m.
Where there is a chain of related IGTs (say A invests in B and B invests in C), each link of the chain needs to be reported as a separate IGT.

 

ITEM

INSTRUCTIONS

C0010

ID of intragroup transaction

Unique internal identification code for each intragroup transaction. Must be consistent over time.

C0020

Name of cedent

Legal name of the entity that has transferred the underwriting risk to another insurer or reinsurer within the scope of the group, in the meaning of Article 212(1)(c) of Directive 2009/138/EC

C0030

Identification code of cedent

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 insurance and reinsurance undertakings and other EEA regulated 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

C0040

ID code type of code of the cedant

Identification of the code used in item ‘Identification code for the cedant’:

 

1 — LEI

 

2 — Specific code

C0050

Name of reinsurer

Legal name of the reinsurer to whom the underwriting risk has been transferred.

This shall be the same as reported in S.30.02.

C0060

Identification code of reinsurer

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 insurance and reinsurance undertakings and other EEA regulated 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

C0070

ID code type of code of the reinsurer

Identification of the code used in item ‘Identification code for the reinsurer’:

 

1 — LEI

 

2 — Specific code

C0080

Validity period (start date)

Identify the ISO 8601 (yyyy–mm–dd) code of the date of commencement of the specific reinsurance contract/treaty.

C0090

Validity period (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).

C0100

Currency of contract/treaty

Identify the ISO 4217 alphabetic code of the currency of payments for the specific reinsurance contract/treaty.

C0110

Type of reinsurance contract/ treaty

Identify the type of reinsurance contract/treaty. The following close 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

Maximum cover by reinsurer under contract/treaty

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. £10million). In case of unlimited cover ‘–1’ must be filled in here. For excess of loss or stop loss treaties enter the initial capacity.

This item has to be reported in the currency of the transaction.

C0130

Net Receivables

The amount resulting from: claims paid by the insurer but not yet reimbursed by the reinsurer + commissions to be paid by the reinsurer + other receivables minus debts to the reinsurer. Cash deposits are excluded and are to be considered as guarantees received. Total amount must be equal to the sum of the balance sheet items: Reinsurance receivables and Reinsurance payables.

This item has to be reported in the currency of the group.

C0140

Total reinsurance recoverable

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.

C0150

Reinsurance result (for reinsured entity)

The reinsurance result for the reinsured entity should be calculated as follows:

 

Total reinsurance commissions received by reinsured entity

less

 

Gross reinsurance premiums paid by reinsured entity

plus

 

Claims paid by reinsurer during the reporting period

plus

 

Total reinsurance recoverables at the end of the reporting period

less

 

Total reinsurance recoverables at the start of the reporting period.

This item has to be reported in the reporting currency of the group.

C0160

Line of business

Identify the line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, being reinsured. The following close 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.

S.36.04 — IGT — Cost Sharing, contingent liabilities, off BS and other items

General comments:
This section relates to annual submission of information for groups.
The purpose of this template is to collect information on all other IGTs (significant, very significant and transactions required to be reported in all circumstances) which have not been captured in 36.01 to 36.03 templates within a group identified according to Article 213(2)(a) to (c) of Directive 2009/138/EC. These include, but not limited to:
— Internal cost sharing;
— Contingent liabilities (other than derivatives);
— Off balance sheet guarantees;
— Any other transactions between related undertakings or natural persons in scope of the group supervision.
Groups are expected to complete this template for all significant, very significant and transactions required to be reported in all circumstances for IGTs between the individual undertaking and the mixed–activity insurance holding company and its related undertakings.
This template shall include IGTs 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 similar transactions with a related entity may be excluded from IGT reporting when considered individually against the thresholds for significant and very significant, these transactions must nevertheless be individually reported where collectively they are at or above the corresponding threshold values for significant or very significant IGTs.
Each transaction shall be reported separately.
Any additions / top–ups to significant IGTs shall be reported as a separate IGT, even if the top–up 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 should be recorded as a separate item with its issue date as the date of the top–up.
Where the transaction value is different for two transacting parties (e.g. a EUR 10 m transaction between A and B where A records EUR 10 m but B only receive EUR 9,5 m because of transactions costs, of say EUR 0,5 m has been expensed) the template should record the maximum amount as the transaction amount, in this case EUR 10 m.
Where there is a chain of related IGTs (say A invests in B and B invests in C), each link of the chain needs to be reported as a separate IGT.

 

ITEM

INSTRUCTIONS

C0010

ID of intragroup transaction

Unique internal identification code for each intragroup transaction. Must be consistent over time.

C0020

Investor/ Buyer/ Beneficiary name

Legal name of the entity that is purchasing/investing in the asset/investment or receiving the service/guarantee.

C0030

Identification code of the Investor/ Buyer/ Beneficiary

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 insurance and reinsurance undertakings and other EEA regulated 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

C0040

ID code type of code of the Investor/ Buyer/ Beneficiary

Identification of the code used in item ‘Identification code for the Investor/ Buyer/ Beneficiary’:

 

1 — LEI

 

2 — Specific code

C0050

Issuer/ Seller/ Provider name

Legal name of the entity that is selling/transferring the asset/investment or providing the service/guarantee.

C0060

Identification code of the Issuer/ Seller/ Provider

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 insurance and reinsurance undertakings and other EEA regulated 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

C0070

ID code type of code of the Issuer/ Seller/ Provider

Identification of the code used in item ‘Identification code for the Issuer/ Seller/ Provider’:

 

1 — LEI

 

2 — Specific code

C0080

Transaction type

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

 

1 — Contingent liabilities

 

2 — Off balance sheet items

 

3 — Internal cost sharing

 

4 — Others

C0090

Transaction Issue date

Identify the ISO 8601 (yyyy–mm–dd) code of the date when the transaction/issue takes effect.

C0100

Effective date of agreement/ contract underlying transaction

Where applicable, Identify the ISO 8601 (yyyy–mm–dd) code of the date when the transaction or contract underlying the transactions takes effect if different from the transaction date. If same as the transaction date, the transaction date is to be reported.

C0110

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’.

C0120

Currency of transaction

Identify the ISO 4217 alphabetic code of the currency in which the transaction took place.

C0130

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.

C0140

Value of transaction/ collateral /Guarantee

Value of the transaction, collateral pledged or contingent liability recognised on the Solvency II balance sheet.

This item is to be reported in the reporting currency of the group.

All items shall be reported on Solvency II value. However where Solvency II value is not available (e.g. non–EEA operations under method 2 in equivalent regimes or banks and credit institutions) then the local or sectoral valuation rules should be used.

C0150

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 Solvency II Balance Sheet.

C0160

Maximum possible value of contingent liabilities not included in Solvency II Balance Sheet

Enter the maximum amount of the contingent liability, for those not included in the Solvency II Balance Sheet, that could be due from the Provider.

This item is to be reported in the reporting currency of the group.

C0170

Maximum value of letters of credit/guarantees

Sum of all possible cash flows if events triggering guarantees were all to happen in relation to guarantees provided by the ‘provider’ (cell C0050) to the ‘beneficiary’ (Cell C0020) 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.

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

S.37.01 — Risk concentration

General comments:
This section relates to annual submission of information for groups.
This template shall include all significant risk concentrations between entities in scope of group supervision and third parties, 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 most important exposure (value of the exposure) by counterparty and by type of exposure (group or/and entity) outside the scope of the re/insurance group (maximum exposure per contract and if a reinsurer fails; off balance sheet risk concentration). It can be understood as the maximum possible exposure on a contractual basis and not necessarily be reflected on the balance sheet, but not taking into account any risk mitigation instruments or techniques. Thresholds can be fixed by the group supervisor after consulting the group itself and the college.

 

ITEM

INSTRUCTIONS

C0010

Name of the external counterparty

This is the name of the external counterparty of the group.

C0020

Identification code of the counterparty of the Group

The Legal Entity Identifier (LEI) attached to the investor/buyer/transferee if existent.

If none is available this item shall not be reported.

C0030

ID code type of the counterparty of the Group

Identification of the code used in item ‘Identification code of the counterparty of the Group’:

 

1 — LEI

 

9 — None

C0040

Country of the exposure

Identify the ISO Code (3166–1 alpha–2) of country from which the exposure comes from. If there is an issuer of for example a bond, this is the country where the headquarter of the entity issuing the bond is located.

C0050

Nature of exposure

Description of the type of exposure. Derivatives and collaterals are also to be included as well as exposures to sovereign counterparties. If there is more than one type of exposure per counterparty, separate entries have to be reported in separate rows. The following closed list shall be used::

 

1 — Assets — bonds

 

2 — Assets — equity

 

3 — Assets — reinsurance

 

4 — Assets — others

 

5 — Liabilities — insurance

 

6 — Liabilities — loans

 

7 — Liabilities — debts

 

8 — Liabilities — others

 

9 — Off–balance–sheet (contingent asset)

 

10 — Off–balance–sheet (contingent liability)

Derivatives shall be reported net of collateral.

C0060

Identification code of the exposure

Exposure 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 consistent over time.

For exposures types 3 and 5 of C0050 reporting should be done by the counterparty and this cell should not be reported.

C0070

Identification code type of the exposure

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

For exposures types 3 and 5 of C0050 reporting should be done by counterparty and this cell should not be reported.

If a particular exposure consists of more than one code, each code shall be listed in a separate line.

C0080

External rating

Rating of the exposure at the reporting reference date issued by the nominated credit assessment institution (ECAI).

C0090

Nominated ECAI

Identify the credit assessment institution (ECAI) giving the external rating.

C0100

Sector

Identify the economic sector of issuer based on the latest version of NACE code. The letter reference of the NACE code identifying the Section should be used as a minimum for identifying sectors (e.g. ‘A’ or ‘A0111’ would be acceptable) except for the NACE relating to Financial and Insurance activities, for which the letter identifying the Section followed by the 4 digits code for the class should be used (e.g. ‘K6411’).

C0110

Group entity subject to the exposure

List of all involved entities of the group in the exposure. 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 row is necessary.

C0120

Identification code of the group entity

The unique identification code as reported in S.32.01.

Identification code 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;

—

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

C0130

ID code type of the group entity

Identification of the code used in item ‘Identification code of the group entity’:

 

1 — LEI

 

2 — Specific code

C0140

Maturity (asset side) / Validity (liability side)

Identify the ISO 8601 (yyyy–mm–dd) code of the maturity date of assets and the validity date of liabilities. A fixed date should be indicated for the maturity date of assets and for the validity date of liabilities which should be understood as a contractual termination date or the last projected cash flow point depending on which is the earlier of both.

If more than one maturity date is applicable, each maturity date shall be listed in a separate line.

C0150

Value of the exposure

Solvency II value of the exposure as of the reporting date for the balance–sheet type of exposures (code 1 to 8 from C0050) and maximum possible value, if possible, regardless of their probability for off–balance sheet items (code 9 to 10 from C0050).

It is also applicable for reinsurance contracts:

—

For reinsurance ceded the amount of the reinsurance recoverables shall be reported;

—

For reinsurance accepted the amount of technical provisions shall be reported.

C0160

Currency

Identify the ISO 4217 alphabetic code of the original currency of the exposure.

C0170

Maximum amount to be paid by the reinsurer

Only applicable if the exposure is ‘Assets — Reinsurance’: In the case the reinsurer has to pay resulting from a reinsurance contract, this is the maximum amount to be payable to the contract party by the reinsurer taking into account the specificities of the reinsurance contract.

ANNEX IV

Asset categories

Category

Definition

1

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 denominated and funded in the domestic currency of that central government and the central bank, 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, where the guarantee meets the requirements set out in Article 215 of Delegated Regulation 2015/35.

2

Corporate bonds

Bonds issued by corporations

3

Equity

Shares and other securities equivalent to shares representing corporations' capital, i.e., representing ownership in a corporation

4

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.

5

Structured notes

Hybrid securities, combining a fixed income (return in the 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 one or a combination of categories of derivatives, including Credit Default Swaps (CDS), Constant Maturity Swaps (CMS), Credit Default Options (CDOp). Assets under this category are not subject to unbundling

6

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). Assets under this category are not subject to unbundling

7

Cash and deposits

Money in the physical form, bank deposits and other money deposits

8

Mortgages and loans

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

9

Property

Buildings, land, other constructions that are immovable and equipment

0

Other investments

Other assets reported in ‘Any other assets, not elsewhere shown’

A

Futures

Standardised contract between two parties to buy or sell a specified asset of standardised quantity and quality at a specified future date at a price agreed today

B

Call Options

Contract between two parties concerning the buying of an asset at a reference price during a specified time frame, where the buyer of the call option gains the right, but not the obligation, to buy the underlying asset

C

Put Options

Contract between two parties concerning the selling of an asset at a reference price during a specified time frame, where the buyer of the put option gains the right, but not the obligation, to sell the underlying asset

D

Swaps

Contract in which counterparties exchange certain benefits of one party's financial instrument for those of the other party's financial instrument, and the benefits in question depend on the type of financial instruments involved

E

Forwards

Non-standardised contract between two parties to buy or sell an asset at a specified future time at a price agreed today

F

Credit derivatives

Derivative whose value is derived from the credit risk on an underlying bond, loan or any other financial asset

ANNEX V

Complementary Identification Code (CIC) Table

First 2 positions

Asset listed in

ISO 3166-1-alpha-2 country code, XV, XL or XT

 

 

 

 

 

 

 

 

 

 

 

 

Third position

Category

1

2

3

4

5

6

7

8

9

0

Government bonds

Corporate bonds

Equity

Investment funds Collective Investment Undertakings

Structured notes

Collateralised securities

Cash and deposits

Mortgages and loans

Property

Other investments

Fourth position

Sub-category or main risk

1

1

1

1

1

1

1

1

1

 

Central Government bonds

Corporate bonds

Common equity

Equity funds

Equity risk

Equity risk

Cash

Uncollateralised loans made

Property (office and commercial)

 

2

2

2

2

2

2

2

2

2

 

Supra-national bonds

Convertible bonds

Equity of real estate related corporation

Debt funds

Interest rate risk

Interest rate risk

Transferable deposits (cash equivalents)

Loans made collateralised with securities

Property (residential)

 

3

3

3

3

3

3

3

 

3

 

Regional government bonds

Commercial paper

Equity rights

Money market funds

Currency risk

Currency risk

Other deposits short term (less than or equal to one year)

 

Property (for own use)

 

4

4

4

4

4

4

4

4

4

 

Local authorities bonds

Money market instruments

Preferred equity

Asset allocation funds

Credit risk

Credit risk

Other deposits with term longer than one year

Mortgages

Property (under construction for investment)

 

5

5

 

5

5

5

5

5

5

 

Treasury bonds

Hybrid bonds

 

Real estate funds

Real estate risk

Real estate risk

Deposits to cedants

Other collateralized loans made

Plant and equipment (for own use)

 

6

6

 

6

6

6

 

6

6

 

Covered bond

Common covered bonds

 

Alternative funds

Commodity risk

Commodity risk

 

Loans on policies

Property (under construction for own use)

 

7

7

 

7

7

7

 

 

 

 

National Central Banks

Covered bonds subject to specific law

 

Private equity funds

Catastrophe and Weather risk

Catastrophe and Weather risk

 

 

 

 

 

8

 

8

8

8

 

 

 

 

 

Subordinated bonds

 

Infrastructure funds

Mortality risk

Mortality risk

 

 

 

 

9

9

9

9

9

9

9

9

9

9

Other

Other

Other

Other

Other

Other

Other

Other

Other

Other

Third position

Category

A

B

C

D

E

F

Futures

Call Options

Put Options

Swaps

Forwards

Credit derivatives

Fourth position

Sub-category or main risk

1

1

1

1

1

1

Equity and index futures

Equity and index options

Equity and index options

Interest rate swaps

Forward interest rate agreement

Credit default swap

2

2

2

2

2

2

Interest rate futures

Bond options

Bond options

Currency swaps

Forward exchange rate agreement

Credit spread option

3

3

3

3

 

3

Currency futures

Currency options

Currency options

Interest rate and currency swaps

 

Credit spread swap

 

4

4

4

 

4

 

Warrants

Warrants

Total return swap

 

Total return swap

5

5

5

5

 

 

Commodity futures

Commodity options

Commodity options

Security swaps

 

 

 

6

6

 

 

 

 

Swaptions

Swaptions

 

 

 

7

7

7

7

7

 

Catastrophe and Weather risk

Catastrophe and Weather risk

Catastrophe and Weather risk

Catastrophe and Weather risk

Catastrophe and Weather risk

 

8

8

8

8

8

 

Mortality risk

Mortality risk

Mortality risk

Mortality risk

Mortality risk

 

9

9

9

9

9

9

Other

Other

Other

Other

Other

Other

ANNEX VI

Definitions of the CIC Table

First 2 positions — Assets listed in

Definition

Country

ISO 3166-1-alpha-2 country code

Identify the ISO 3166-1-alpha-2 country code where the asset is listed in. An asset is considered as being listed if it is negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2004/39/EC. If the asset is listed in more than one country or the undertaking uses for valuation purposes a price provider which is one of the regulated markets or multilateral trading facility where the asset is listed in, the country shall be the one of that regulated market or multilateral trading facilty used as the reference for valuation purposes.

XV

Assets listed in more than one country

Identify assets that are listed in one or more countries but when the undertaking uses for valuation purposes a price provider which is not one of the regulated markets or multilateral trading facility where the asset is listed in.

XL

Assets that are not listed in a stock exchange

Identify assets that are not negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2004/39/EC.

XT

Assets that are not exchange tradable

Identify assets that by their nature are not subject to negotiation on a regulated market or on a multilateral trading facility, as defined by Directive 2004/39/CE.

Third and fourth position — Category

Definition

1

Government bonds

Bonds issued by public authorities, whether by central governments supra-national government institutions, regional governments or local authorities local authorities and bonds that are fully, unconditionally and irrevocably guaranteed by the European Central Bank, Member States' central government and central banks denominated and funded in the domestic currency of that central government and the central bank, 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, where the guarantee meets the requirements set out in Article 215 of Delegated Regulation 2015/35.

Regarding bonds with a qualifying guarantee, the third and fourth position shall be attributed by reference to the entity providing the guarantee.

11

Central Government bonds

Bonds issued by central governments

12

Supra-national bonds

Bonds issued by public institutions established by a commitment between national states, e.g. issued by a multilateral development bank as listed in Annex VI, Part 1, Number 4 of the Capital Requirements Directive (2013/36/EU) or issued by an international organisation listed in Annex VI, Part 1, Number 5 of the Capital Requirements Directive (2013/36/EU)

13

Regional government bonds

Regional government or autonomous communities debt instruments offered to the public in a public offering on the capital market

14

Local authorities bonds

Bonds issued by local authorities, including cities, provinces, districts and other municipal authorities

15

Treasury bonds

Short term government bonds, issued by central governments (issued with a maturity term up to 1 year)

16

Covered bonds

Government bonds which have a pool of assets that secures or ‘covers’ the bond. Those assets remain on the issuer balance sheet.

17

National Central banks

Bonds issued by national central banks

19

Other

Other government bonds, not classified under the above categories

2

Corporate bonds

Bonds issued by corporations

21

Corporate bonds

Bonds issued by corporations, with simple characteristics, usually covering the ones referred to as ‘plain vanilla’, and that don't have any special feature described in the categories 22 to 28

22

Convertible bonds

Corporate bonds that the holder can convert into shares of common stock in the issuing company or cash of equal value, having debt and equity-like features

23

Commercial paper

Unsecured, short-term debt instrument issued by a corporation, typically for the financing of accounts receivable, inventories and meeting short-term liabilities, usualy with original maturity lesser than 270 days.

24

Money market instruments

Very short term debt securities (usualy with maturities ranging form 1 day up to 1 year), consisting mainly of negotiable certificates of deposit (CDs), bankers acceptances, repurchase agreements (repos) and other highly liquid instruments. Commercial Paper is excluded from this category

25

Hybrid bonds

Corporate bonds that have debt and equity-like features, but are not convertible.

26

Common covered bonds

Corporate bonds which have a pool of assets that secures or ‘covers’ the bond. Those assets remain on the issuer balance sheet. Covered bonds subject to specific law are excluded from this category

27

Covered bonds subject to specific law

Corporate bonds which have a pool of assets that secures or ‘covers’ the bond if the originator becomes insolvent and are subject by law to special public supervision designed to protect bond-holders, as definid in Article 22(4) of Directive 2009/65/CE.

An example of this category is Pfandbrief: ‘Covered bonds which are issued on the basis of the Pfandbrief Act. They are used to refinance loans for which collateral is furnished in the form of loans secured by real estate liens (Mortgage Pfandbriefe), public-sector loans (Public Pfandbriefe), ship mortgages (Ship Pfandbriefe) or aircraft mortgages (Aircraft Pfandbriefe). Thus, the distinction made between these Pfandbrief types refers to the cover pool created for each type of Pfandbrief.’

28

Subordinated bonds

Corporate bonds which have a lower priority than other bonds of the issuer in case of liquidation.

29

Other

Other corporate bonds, with other characteristics than the ones identified in the above categories

3

Equity

Shares and other securities equivalent to shares representing corporations' capital, i.e., representing ownership in a corporation

31

Common equity

Equity that represents basic property rights on corporations

32

Equity of real estate related corporation

Equity representing capital from real estate related corporations

33

Equity rights

Rights to subscribe to additional shares of equity at a set price

34

Preferred equity

Equity security that is senior to common equity, having a higher claim on the assets and earnings than common equity, but is subordinate to bonds

39

Other

Other equity, not classified under the above categories

4

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.

41

Equity funds

Collective investment undertakings mainly invested in equity

42

Debt funds

Collective investment undertakings mainly invested in bonds

43

Money market funds

Collective investment undertakings under the definition provided by ESMA (CESR/10-049)

44

Asset allocation funds

Collective investment undertakings which invests its assets pursuing a specific asset allocation objective, e.g. primarily investing in the securities of companies in countries with nascent stock markets or small economies, specific sectors or group of sectors, specific countries or other specific investment objective

45

Real estate funds

Collective investment undertakings mainly invested in real estate

46

Alternative funds

Collective investment undertakings whose investment strategies include such as hedging, event driven, fixed income directional and relative value, managed futures, commodities etc.

47

Private equity funds

Collective investment undertakings used for making investments in equity securities following strategies associated with private equity.

48

Infrastructure funds

Collective investment undertakings that invest in utilities such as toll roads, bridges, tunnels, ports and airports, oil and gas distribution, electricity distribution and social infrastructure such as healthcare and educational facilities

49

Other

Other Collective investment undertakings, not classified under the above categories

5

Structured notes

Hybrid securities, combining a fixed income (return in the 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 one or a combination of categories of derivatives, including Credit Default Swaps (CDS), Constant Maturity Swaps (CMS), Credit Default Options (CDOp). Assets under this category are not subject to unbundling

51

Equity risk

Structured notes mainly exposed to equity risk

52

Interest rate risk

Structured notes mainly exposed to interest rate risk

53

Currency risk

Structured notes mainly exposed to currency risk

54

Credit risk

Structured notes mainly exposed to credit risk

55

Real estate risk

Structured notes mainly exposed to real estate risk

56

Commodity risk

Structured notes mainly exposed to commodity risk

57

Catastrophe and Weather risk

Structured notes mainly exposed to catastrophe or weather risk

58

Mortality risk

Structured notes mainly exposed to mortality risk

59

Other

Other structured notes, not classified under the above categories

6

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). Assets under this category are not subject to unbundling

61

Equity risk

Collateralised securities mainly exposed to equity risk

62

Interest rate risk

Collateralised securities mainly exposed to interest rate risk

63

Currency risk

Collateralised securities mainly exposed to currency risk

64

Credit risk

Collateralised securities mainly exposed to credit risk

65

Real estate risk

Collateralised securities mainly exposed to real estate risk

66

Commodity risk

Collateralised securities mainly exposed to commodity risk

67

Catastrophe and Weather risk

Collateralised securities mainly exposed to catastrophe or weather risk

68

Mortality risk

Collateralised securities mainly exposed to mortality risk

69

Other

Other collateralised securities, not classified under the above categories

7

Cash and deposits

Money in the physical form, cash equivalent, bank deposits and other money deposits

71

Cash

Notes and coins in circulation that are commonly used to make payments

72

Transferable deposits (cash equivalents)

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

73

Other deposits short term (less than or equal to one year)

Deposits other than transferable deposits, with remaining maturity inferior or equal to 1 year, that cannot be used to make payments at any time and that are not exchangeable for currency or transferable deposits without any kind of significant restriction or penalty

74

Other deposits with term longer than one year

Deposits other than transferable deposits, with remaining maturity superior to 1 year, that cannot be used to make payments at any time and that are not exchangeable for currency or transferable deposits without any kind of significant restriction or penalty

75

Deposits to cedants

Deposits relating to reinsurance accepted

79

Other

Other cash and deposits, not classified under the above categories

8

Mortgages and loans

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

81

Uncollateralized loans made

Loans made without collateral

82

Loans made collateralized with securities

Loans made with collateral in the form of financial securities

84

Mortgages

Loans made with collateral in the form of real estate

85

Other collateralized loans made

Loans made with collateral in any other form

86

Loans on policies

Loans made with insurance policies as collateral

89

Other

Other mortgages and loans, not classified under the above categories

9

Property

Buildings, land, other constructions that are immovable and equipment

91

Property (office and commercial)

Office and commercial building used for investment

92

Property (residential)

Residential buildings used for investment

93

Property (for own use)

Real estate for the own use of the undertaking

94

Property (under construction for investment)

Real estate that is under construction, for future usage as investment

95

Plant and equipment (for own use)

Plant and equipment for the own use of the undertaking

96

Property (under construction for own use)

Real estate that is under construction, for future own usage

99

Other

Other real estate, not classified under the above categories

0

Other investments

Other assets reported in ‘Other investments’

A

Futures

Standardised contract between two parties to buy or sell a specified asset of standardised quantity and quality at a specified future date at a price agreed today

A1

Equity and index futures

Futures with equity or stock exchange indices as underlying

A2

Interest rate futures

Futures with bonds or other interest rate dependent security as underlying

A3

Currency futures

Futures with currencies or other currencies dependent security as underlying

A5

Commodity futures

Futures with commodities or other commodities dependent security as underlying

A7

Catastrophe and Weather risk

Futures mainly exposed to catastrophe or weather risk

A8

Mortality risk

Futures mainly exposed to mortality risk

A9

Other

Other futures, not classified under the above categories

B

Call Options

Contract between two parties concerning the buying of an asset at a reference price during a specified time frame, where the buyer of the call option gains the right, but not the obligation, to buy the underlying asset

B1

Equity and index options

Call options with equity or stock exchange indices as underlying

B2

Bond options

Call options with bonds or other interest rate dependent security as underlying

B3

Currency options

Call options with currencies or other currencies dependent security as underlying

B4

Warrants

Call options that entitles the holder to buy stock of the issuing company at a specified price

B5

Commodity options

Call options with commodities or other commodities dependent security as underlying

B6

Swaptions

Call options granting its owner the right but not the obligation to enter into a long position in an underlying swap, i.e., enter into a swap where the owner pays the fixed leg and receive the floating leg

B7

Catastrophe and Weather risk

Call options mainly exposed to catastrophe or weather risk

B8

Mortality risk

Call options mainly exposed to mortality risk

B9

Other

Other call options, not classified under the above categories

C

Put Options

Contract between two parties concerning the selling of an asset at a reference price during a specified time frame, where the buyer of the put option gains the right, but not the obligation, to sell the underlying asset

C1

Equity and index options

Put options with equity or stock exchange indices as underlying

C2

Bond options

Put options with bonds or other interest rate dependent security as underlying

C3

Currency options

Put options with currencies or other currencies dependent security as underlying

C4

Warrants

Put options that entitles the holder to sell stock of the issuing company at a specified price

C5

Commodity options

Put options with commodities or other commodities dependent security as underlying

C6

Swaptions

Put options granting its owner the right but not the obligation to enter into a short position in an underlying swap, i.e., enter into a swap in which the owner will receive the fixed leg, and pay the floating leg

C7

Catastrophe and Weather risk

Put options mainly exposed to catastrophe or weather risk

C8

Mortality risk

Put options mainly exposed to mortality risk

C9

Other

Other put options, not classified under the above categories

D

Swaps

Contract in which counterparties exchange certain benefits of one party's financial instrument for those of the other party's financial instrument, and the benefits in question depend on the type of financial instruments involved

D1

Interest rate swaps

Swap that exchange interest flows

D2

Currency swaps

Swap that exchange currency

D3

Interest rate and currency swaps

Swap that exchange interest and currency flows

D4

Total return swap

A swap in which the non-floating rate side is based on the total return of an equity or fixed income instrument with the life longer that the swap

D5

Security swaps

Swap that exchange securities

D7

Catastrophe and Weather risk

Swaps mainly exposed to catastrophe or weather risk

D8

Mortality risk

Swaps mainly exposed to mortality risk

D9

Other

Other swaps, not classified under the above categories

E

Forwards

Non-standardised contract between two parties to buy or sell an asset at a specified future time at a price agreed today

E1

Forward interest rate agreement

Forward contract in which typicaly one party pays a fixed interest rate, and receives a variable interest rate usualy based on an underlying index rate, at the predefined forward date

E2

Forward exchange rate agreement

Forward contract in which one party pays an amount in one currency, and receives an equivalent amount in a different currency resulting from the conversion using the contractual exchange rate, at the predefined forward date

E7

Catastrophe and Weather risk

Forwards mainly exposed to catastrophe or weather risk

E8

Mortality risk

Forwards mainly exposed to mortality risk

E9

Other

Other forwards, not classified under the above categories

F

Credit derivatives

Derivative whose value is derived from the credit risk on an underlying bond, loan or any other financial asset

F1

Credit default swap

Credit derivative transaction in which two parties enter into an agreement whereby one party pays the other a fixed periodic coupon for the specified life on the agreement and the other party makes no payments unless a credit event relating to a predetermined reference asset occurs

F2

Credit spread option

Credit derivative that will generate cash flows if a given credit spread between two specific assets or benchmarks changes from its current level

F3

Credit spread swap

A swap in which one party makes a fixed payment to the other on the swap's settlement date and the second party pays the first an amount based on the actual credit spread

F4

Total return swap

A swap in which the non-floating rate side is based on the total return of an equity or fixed income instrument with the life longer that the swap

F9

Other

Other credit derivatives, not classified under the above categories
Markierungen
Leseansicht