LegalizeCommission Implementing Regulation (EU) 2023/894 of 4 April 2023 laying down implementing technical standards for the application of Directive 2009/138/EC of the European Parliament and the Council with regard to the templates for the submission by insurance and reinsurance undertakings to their supervisory authorities of information necessary for their supervision and repealing Implementing Regulation (EU) 2015/2450 (Text with EEA relevance)
This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.
- — Multiplication of this ‘q factor’ by the nSCR of each relevant risk module (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non-life underwriting risk)
Full internal models:
Template SR.25.05 has to be filled in for each ring-fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part for every 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 should be reported for all sub-funds of a material RFF/MAP as identified in the second table of S.01.03.
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| Aggregation | Aggregation | Aggregation |
| Z0020 | Ring-fenced fund, matching adjustment portfolio or Remaining Part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used: 1 – RFF/MAP 2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates. When item Z0020 = 2, then report ‘0’ |
| C0010/R0020 | Total diversification | Amount of the diversification effects between risk modules. This amount should be reported as a negative value. |
| C0010/R0030 | Total diversified risk before tax | Amount of diversified capital charges before tax. Same as S.26.08.01 C0010/R0030. |
| C0010/R0040 | Total diversified risk after tax | Amount of diversified capital charges after tax. Same as S.26.08.01 C0010/R0040. |
| C0010/R0070 | Total market & credit risk | Sum of the respective following values from C0020 of S.26.09.01: — Interest rate risk diversified (R0050) — Inflation risk (R0080) — Equity risk diversified (R0100) — Property risk (R0130) — Currency risk (R0140) — Credit risk sum (R0150) Same as S.26.08.01 C0010/R0070. |
| C0010/R0080 | Market & Credit risk – diversified | Same as S.26.08.01 C0010/R0080. |
| C0010/R0190 | Credit event risk not covered in market & credit risk | Same as S.26.08.01 C0010/R0190. |
| C0010/R0200 | Credit event risk not covered in market & credit risk – diversified | Same as S.26.08.01 C0010/R0200. |
| C0010/R0270 | Total Business risk | Same as S.26.08.01 C0010/R0270. |
| C0010/R0280 | Total Business risk – diversified | Same as S.26.08.01 C0010/R0280. |
| C0010/R0310 | Total Net Non-life underwriting risk | Same as S.26.08.01 C0010/R0310. |
| C0010/R0320 | Total Net Non-life underwriting risk – diversified | Same as S.26.08.01 C0010/R0320. |
| C0010/R0400 | Total Life & Health underwriting risk | Same as S.26.08.01 C0010/R0400. |
| C0010/R0410 | Total Life & Health underwriting risk – diversified | Same as S.26.08.01 C0010/R0410. |
| C0010/R0480 | Total Operational risk | Same as S.26.08.01 C0010/R0480. |
| C0010/R0490 | Total Operational risk – diversified | Same as S.26.08.01 C0010/R0490. |
| C0010/R0500 | Other risk | Same as S.26.08.01 C0010/R0500. |
| C0050/R0020-R0530 | Allocation from adjustments due to RFF and Matching adjustment portfolios | Where applicable, part of the adjustment allocated to each risk module according to the procedure described in the general comments. This amount shall be positive. |
| C0060/R0020-R0530 | Consideration of the future management actions regarding technical provisions and/or deferred taxes | To identify if the future management actions relating to the loss absorbing capacity of technical provisions and/or deferred taxes are embedded in the calculation, the following closed list of options shall be used: 1 – Future management actions regarding the loss–absorbing capacity of technical provisions embedded within the component 2 – Future management actions regarding the loss–absorbing capacity of deferred taxes embedded within the component 3 – Future management actions regarding the loss–absorbing capacity of technical provisions and deferred taxes embedded within the component 4 – No embedded consideration of future management actions. |
| C0070/R0020-R0530 | Amount modelled | For each component this cell represents the amount calculated according to the partial internal model. |
| R0110/C0100 | Total undiversified components | Sum of all components. |
| R0060/C0100 | Diversification | The total amount of the diversification among components reported in C0030. This amount does not include diversification effects inside each component, which shall be embedded in the values reported in C0030. This amount should be reported as negative value. |
| R0120/C0100 | Adjustment due to RFF/MAP nSCR aggregation | When applicable, adjustment to correct the bias on SCR calculation due to aggregation of RFF/MAP nSCR at risk module level. Applicable only for partial internal models. |
| R0160/C0100 | Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC | Amount of the capital requirement, calculated according to the rules stated in Art. 17 of Directive 2003/41/EC, for ring-fenced funds relating to pension business operated under Art. 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–on set by the NSA by the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority. |
| R0211/C0100 | of which, capital add–ons already set – Article 37(1) Type a | Amount of capital add–on set by the NSA by the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority. |
| R0212/C0100 | of which, capital add–ons already set – Article 37(1) Type b | Amount of capital add–on set by the NSA by the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority. |
| R0213/C0100 | of which, capital add–ons already set – Article 37(1) Type c | Amount of capital add–on set by the NSA by the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority. |
| R0214/C0100 | of which, capital add–ons already set – Article 37(1) Type d | Amount of capital add–on that set by the NSA by the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority. |
| R0220/C0100 | Solvency Capital Requirement | Overall capital requirement including capital add-ons. |
| Other information on SCR | Other information on SCR | Other information on SCR |
| R0300/C0100 | Amount/estimate of the overall loss-absorbing capacity of technical provisions | Amount/Estimate of the overall adjustment for loss-absorbing capacity of technical provisions, including the part embedded in the components and the part reported as a single component. This amount shall be reported as a negative amount. |
| R0310/C0100 | Amount/estimate of the loss absorbing capacity for deferred taxes | Amount/Estimate of the overall adjustment for deferred taxes, including the part embedded in the components and the part reported as a single component. This amount shall be reported as a negative amount. |
| R0400/C0100 | Capital requirement for duration-based equity risk sub-module | Amount of the capital requirement for duration-based equity risk sub-module. Applicable only for partial internal models. |
| R0410/C0100 | Total amount of notional Solvency Capital Requirements for remaining part | Amount of the notional SCRs of remaining part when undertaking has RFF. |
| R0420/C0100 | Total amount of Notional Solvency Capital Requirements for ring-fenced funds | Amount of the sum of notional SCRs of all ring-fenced funds when undertaking has RFF (other than those related to business operated in accordance with Article 4 of Directive 2003/41/EC (transitional)). |
| R0430/C0100 | Total amount of Notional Solvency Capital Requirements for matching adjustment portfolios | Amount of the sum of notional SCRs of all matching adjustment portfolios This item does not have to be reported when reporting SCR calculation at RFF or matching adjustment portfolio level. |
| R0440/C0100 | Diversification effects due to RFF nSCR aggregation for Article 304 | Amount of the adjustment for a diversification effect between ring-fenced funds under Article 304 of Directive 2009/138/EC and the remaining part where applicable. It shall be equal to the difference between the sum of the nSCR for each RFF/MAP/RP and the SCR reported in R0200/C0100. |
| R0450/C0100 | Method used to calculate the adjustment due to RFF nSCR aggregation | Method used to calculate the adjustment due to RFF nSCR aggregation. One of the following options shall be used: 1 – Full recalculation 2 – Simplification at risk sub-module level 3 – Simplification at risk module level 4 – No adjustment When the undertaking has no RFF (or have only RFF under Article 304 of Directive 2009/138/EC) it shall select option 4. Applicable only for partial internal models. |
| R0460/C0100 | Net future discretionary benefits | Amount of technical provisions without risk margin in relation to future discretionary benefits net of reinsurance. |
| Approach to tax rate if calculated under the standard formula | Approach to tax rate if calculated under the standard formula | Approach to tax rate if calculated under the standard formula |
| R0590/C0109 | Approach based on average tax rate | One of the options in the following closed list shall be used: 1 – Yes 2 – No 3 – Not applicable as the adjustment for the loss-absorbing capacity of deferred taxes (LAC DT) is not used (in this case R0600 to R0690 are not applicable) See EIOPA Guidelines on loss-absorbing capacity of technical provisions and deferred taxes. |
| Calculation of adjustment for loss-absorbing capacity of deferred taxes if calculated under the standard formula | Calculation of adjustment for loss-absorbing capacity of deferred taxes if calculated under the standard formula | Calculation of adjustment for loss-absorbing capacity of deferred taxes if calculated under the standard formula |
| R0600/C0110 | DTA Before the shock | Total amount of the Deferred Tax Assets (DTA) in the balance-sheet using Solvency II valuation before the instantaneous loss described in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. The DTA amount of this cell shall be consistent with the value in the cell R0040/C0010 in S.02.01. |
| R0600/C0120 | DTA After the shock | Total amount/estimate of the Deferred Tax Assets (DTA) if a balance-sheet using Solvency II valuation was set up after the instantaneous loss, as provided for in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. This cell shall be left blank where R0590/C0109 is filled with ‘1-Yes’. |
| R0610/C0110 | DTA carry forward – Before the shock | Amount of deferred tax assets (DTA) in the balance-sheet using Solvency II valuation due to carry forward of previous loses or tax deductions before the instantaneous loss described in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. |
| R0610/C0120 | DTA carry forward – After the shock | Amount/estimate of deferred tax assets (DTA) due to carry forward of previous loses or tax deductions if a balance-sheet using Solvency II valuation was set up after the instantaneous loss, as provided for in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. This cell shall be left blank where R0590/C0109 is filled with ‘1-Yes’. |
| R0620/C0110 | DTA due to deductible temporary differences – Before the shock | Amount of deferred tax assets (DTA) in the balance-sheet using Solvency II valuation due to differences between the Solvency II valuation of an asset or liability and its tax base before the instantaneous loss described in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. |
| R0620/C0120 | DTA due to deductible temporary differences – After the shock | Amount/estimate of deferred tax assets (DTA) due to differences between the Solvency II valuation of an asset or liability and its tax base if a balance-sheet using Solvency II valuation was set up after the instantaneous loss, as provided for in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. This cell shall be left blank where R0590/C0109 is filled with ‘1-Yes’. |
| R0630/C0110 | DTL – Before the shock | Amount of Deferred Tax Liabilities (DTL) in balance-sheet using Solvency II valuation before the instantaneous loss described in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. The DTL amount of this cell shall be consistent with the value in the cell R0780/C0010 in S.02.01. |
| R0630/C0120 | DTL – After the shock | Amount/estimate of Deferred Tax Liabilities (DTL) if a balance-sheet using Solvency II valuation was set up after the instantaneous loss, as provided for in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. This cell shall be left blank in case of an average tax rate approach and where R0590/C0109 is filled with ‘1-Yes’. |
| R0640/C0130 | Amount/estimate of LAC DT | Amount/estimate of loss-absorbing capacity of deferred taxes, calculated in accordance with Article 207 of Delegated Regulation (EU) 2015/35. The LAC amount of this cell shall be the same as the value in the cell R0310/C0100 in S.25.05.01. |
| R0650/C0130 | Amount/estimate of LAC DT justified by reversion of deferred tax liabilities | Amount/estimate of loss-absorbing capacity of deferred taxes, calculated in accordance with Article 207 of Delegated Regulation (EU) 2015/35, justified by reversion of deferred tax liabilities. |
| R0660/C0130 | Amount/estimate of LAC DT justified by reference to probable future taxable economic profit | Amount/estimate of loss-absorbing capacity of deferred taxes, calculated in accordance with Article 207 of Delegated Regulation (EU) 2015/35, justified by reference to probable future taxable economic profit. |
| R0670/C0130 | Amount/estimate of LAC DT justified by carry back, current year | Amount/estimate of loss-absorbing capacity of deferred taxes, calculated in accordance with Article 207 of Delegated Regulation (EU) 2015/35, justified by profits from past years. Amount of the losses allocated to the next year. |
| R0680/C0130 | Amount/estimate of LAC DT justified by carry back, future years | Amount/estimate of loss-absorbing capacity of deferred taxes, calculated in accordance with Article 207 of Delegated Regulation (EU) 2015/35, justified by profits from past years Amount of losses allocated to the years after next year. |
| R0690/C0130 | Amount/estimate of Maximum LAC DT | Maximum amount of loss-absorbing capacity of deferred taxes that could be available, before the assessment whether the increase in net deferred tax assets can be used for the purposes of the adjustment, as provided for in Article 207(2) 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 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.
Reading this document does not replace reading the official text published in the Official Journal of the European Union. We assume no responsibility for any inaccuracies arising from the conversion of the original to this format.
This text is published under EUR-Lex's own terms of reuse, not a Legalize or public-domain licence.
EUR-Lex
Creative Commons Attribution 4.0 International (CC BY 4.0)
© European Union, https://eur-lex.europa.eu — Source: EUR-Lex (Publications Office of the European Union). Reused under the Creative Commons Attribution 4.0 International (CC BY 4.0) licence. Only EU legislation published in the printed Official Journal of the European Union is deemed authentic; consolidated texts are reproduced here for documentation purposes and have been reformatted to Markdown.