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.
| 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. |
| 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) | Market risk (including captives) | 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) | Interest rate risk (captives) | 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 | Life underwriting risk | 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 | Health underwriting risk | 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. |
| Market risk – Market risk concentrations | Market risk – Market risk concentrations | Market risk – Market risk concentrations |
| R0300/C0300 | Debt portfolio share | The share of the debt portfolio for which a simplified SCR calculation was performed. This item shall only be reported in case of the reporting exemption of S.06.02. |
| NAT CAT simplifications | ||
| R0400/C0330 | Windstorm – sum of exposures subject to the NAT CAT simplifications | Include sum of exposures subject to windstorm simplifications. |
| R0410/C0330 | Hail – sum of exposures subject to the NAT CAT simplifications | Include sum of exposures subject to hail simplifications. |
| R0420/C0330 | Earthquake – sum of exposures subject to the NAT CAT simplifications | Include sum of exposures subject to earthquake simplifications. |
| R0430/C0330 | Flood – sum of exposures subject to the NAT CAT simplifications | Include sum of exposures subject to flood simplifications. |
| R0440/C0330 | Subsidence – sum of exposures subject to the NAT CAT simplifications | Include sum of exposures subject to subsidence simplifications. |
S.26.08 – Solvency Capital Requirement – for undertakings using an internal model (partial or full)
General comments:
This section relates to annual submission of information for individual entities, ring fenced-funds, matching adjustment portfolios and remaining part.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and insurance and reinsurance undertakings.
The purpose of this template is to collect data on an aggregate level and show diversification benefits between separate risk modules. Some entries are taken from other templates but are indicated below. From a technical perspective these are not duplicated as they are essentially the same datapoints. Therefore, by filling data in one template it automatically appears in the other one.
Partial internal models:
All rows for C0010 refer to the 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 should be the amount of the loss-absorbing capacity (these amounts should 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 with are embedded in the calculation, but not whose which are modelled as a separate component.
These amounts shall fully consider diversification effects according to Article 304 of Directive 2009/138/EC where applicable.
When 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.
Template SR.26.08 shall be reported by ring-fenced fund, matching adjustment portfolio and the remaining part for every undertaking under an internal model. For partial internal models, 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 should 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 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:
- — Image omitted; see official source, 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 |
| — | 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)
Full internal models:
Template SR.26.08 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 an 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/R0010 | Total stand-alone risk | Sum of diversified capital charges for each risk module. Diversification between risk modules is not included. S.26.09.01 C0020/R0020 + S.26.11.01 C0110/R0210 + S.26.12.01 C0070/R0220 + S.26.13.01 C0450/R2120 + S.26.13.01 C0150/R1210 + S.26.14.01 C0320/R0630 + S.26.15.01 C0220/R0070 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| 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. |
| C0010/R0040 | Total diversified risk after tax | Amount of diversified capital charges after tax. |
| C0010/R0050 | Loss absorbing capacity of deferred taxes | Amount of the adjustment for loss-absorbing capacity of deferred taxes. This amount should be reported as a negative value. |
| C0010/R0060 | Loss absorbing capacity of technical provisions | Amount of the adjustment for loss-absorbing capacity of technical provisions. This amount should be reported as a negative value. |
| C0010/R0070 | Total market & credit risk | Same as S.26.09.01 C0020/R0010 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0080 | Market & Credit risk – diversified | S.26.08.01 C0010/R0070 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus part of total diversification allocated to Market and Credit risk by the undertaking’s algorithm. |
| C0010/R0090 | Interest rate risk | Same as S.26.09.01 C0020/R0060 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0100 | Interest rate volatility risk | Same as S.26.09.01 C0020/R0070 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0110 | Inflation risk | Same as S.26.09.01 C0020/R0080 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0120 | Equity risk | Same as S.26.09.01 C0020/R0110 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0130 | Equity volatility risk | Same as S.26.09.01 C0020/R0120 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0140 | Property risk | Same as S.26.09.01 C0020/R0130 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0150 | Currency risk | Same as S.26.09.01 C0020/R0140 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0160 | Credit spread risk | Same as S.26.09.01 C0020/R0180 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0170 | Credit event risk (migration and default) | Same as S.26.09.01 C0020/R0170 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0180 | Credit risk sum (spread, migration and default) | Same as S.26.09.01 C0020/R0150 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0190 | Credit event risk not covered in market and credit risk | SCR allocated to credit event risk that is not covered by the market & credit risk module. |
| C0010/R0200 | Credit event risk not covered in market and credit risk – diversified | S.26.08.01 C0010/R0190 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus diversification allocated to credit event risk that is not covered by the market & credit risk module. |
| C0010/R0210 | Basis risk financial instruments | Capital charge allocated to basis risk for financial instruments (risk of imperfect hedges. Sum of price differences between asset and hedging instrument). To be reported only if undertaking models this explicitly in its own module and has indicated so in C0140/R0760. |
| C0010/R0220 | Derivatives risk | Capital charge allocated to derivatives risk (all derivatives not used for hedging purposes). To be reported only if undertaking models this explicitly in its own module and has indicated so in C0140/R0770. |
| C0010/R0230 | Participations | Capital charge allocated to participations. To be reported only if undertaking models this explicitly in its own module and has indicated so in C0140/R0720. |
| C0010/R0240 | Liquidity risk | Capital charge allocated to liquidity risk. To be reported only if undertaking models this explicitly in its own module and has indicated so in C0140/R0730. |
| C0010/R0250 | Pension risk | Capital charge allocated to pension risk. To be reported only if undertaking models this explicitly in its own module and has indicated so in C0140/R0740. |
| C0010/R0260 | Concentration risk | Capital charge allocated to concentration risk. For undertakings using a full internal model this shall be reported only if the undertaking models this explicitly in its own module and has indicated so in C0140/R0750. |
| C0010/R0270 | Total Business risk | Capital charge allocated to business risk. To be reported only if undertaking models this explicitly in its own module. |
| C0010/R0280 | Total Business risk – diversified | S.26.08.01 C0010/R0240 minus part of total diversification allocated to Business risk by the undertaking’s algorithm. |
| C0010/R0290 | Total underwriting risk | S.26.08.01 C0010/R0310 + S.26.08.01 C0010/R0400 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0300 | Total underwriting risk – diversified | S.26.08.01 C0010/R0290 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus part of total diversification allocated to underwriting risk by the undertaking’s algorithm. |
| C0010/R0310 | Total Net Non-life underwriting risk | Sum of S.26.08.01 C0010/R0360, R0370, R0380 + R0390 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0320 | Total Net Non-life underwriting risk – diversified | S.26.08.01 C0010/R0310 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus part of total diversification allocated to Non-Life underwriting risk by the undertaking’s algorithm. |
| C0010/R0330 | Net Nat-cat risk | S.26.13.01 C0430/R1690 + S.26.13.01 C0430/R1700 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0340 | Net Man-made risk | S.26.13.01 C0430/R1710 + S.26.13.01 C0430/R1720 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0350 | Gross reserve risk | Same as S.26.13.01 C0050/R0090 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0360 | Gross premium risk | Same as S.26.13.01 C0080/R0540 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0370 | Total Life & Health underwriting risk | Sum of S.26.08.01 C0010/R0420-R0480 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant or sum of S.26.08.01 C0010/R0480-R0500 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0380 | Total Life & Health underwriting risk – diversified | S.26.08.01 C0010/R0400 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus part of total diversification allocated to Life & Health risk by the undertaking’s algorithm. |
| C0010/R0390 | Mortality risk | S.26.14.01 C0070/R0010 + S.26.14.01 C0070/R0310 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0400 | Longevity risk | S.26.14.01 C0070/R0050 + S.26.14.01 C0070/R0360 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0410 | Disability-Morbidity risk | S.26.14.01 C0070/R0110 + S.26.14.01 C0070/R0410 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0420 | Lapse | S.26.14.01 C0070/R0160 + S.26.14.01 C0070/R0470 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0430 | Expense risk | S.26.14.01 C0070/R0240 + S.26.14.01 C0070/R0550 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0440 | Revision risk | S.26.14.01 C0070/R0260 + S.26.14.01 C0070/R0570 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant |
| C0010/R0450 | Catastrophe risk | Same as S.26.14.01 C0070/R0250 + S.26.14.01 C0070/R0560 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant or S.26.14.01 C0070/R0300 + S.26.14.01 C0070/R0600 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant depending on the model structure. |
| C0010/R0460 | Trend risk | Same as S.26.14.01 C0070/R0280 + S.26.14.01 C0070/R0580. |
| C0010/R0470 | Level risk | Same as S.26.14.01 C0070/R0290 + S.26.14.01 C0070/R0590. |
| C0010/R0480 | Total Operational risk | Same as S.26.15.01 C0220/R0070 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0010/R0490 | Total Operational risk – diversified | S.26.08.01 C0010/R0510 + the part calculated using the Standard formula for undertakings using a partial internal model where relevant minus part of total diversification allocated to Operational risk by the undertaking’s algorithm. |
| C0010/R0500 | Other risk | Capital charge not allocated to the categories listed here + the part calculated using the Standard formula for undertakings using a partial internal model where relevant. |
| C0050/R0010-R0500 | 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/R0010-R0500 | 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/R0010-R0500 | Amount modelled | For each component this cell represents the amount calculated according to the partial internal model. |
| C0080/R0510 | Memorandum item: Other risk description | Description of what is included in the capital charge of C0010/R0530 |
| Modelled Specific Risks – Multiple ‘Modelled’ are allowed for columns in each row if C0140 is ‘Not modelled’. | Modelled Specific Risks – Multiple ‘Modelled’ are allowed for columns in each row if C0140 is ‘Not modelled’. | Modelled Specific Risks – Multiple ‘Modelled’ are allowed for columns in each row if C0140 is ‘Not modelled’. |
| R0700-R0820/C0140 | Modelled explicitly in its own module | One of the options in the following closed list shall be used: 1 – Modelled 2 – Not modelled If answer is ‘Modelled’ then refer to table at the beginning of the LOG file to see what shall be completed. If the answer is ‘Not modelled’ then C0150 to C0190 must be completed for each row depending on where this risk is covered. If it is not covered then all codes in the same row should be ‘Not modelled’. |
| R0700-R0770/C0150 | Market and Credit | One of the options in the following closed list shall be used: 1 – Modelled 2 – Not modelled If the answer in C0140 is ‘Modelled’ then this must be set to ‘Not modelled’. Otherwise it should be set to ‘Modelled’ if the specified risk in each row is covered in the Market & Credit risk module. |
| R0700-R0770/C0160 | Non-life | One of the options in the following closed list shall be used: 1 – Modelled 2 – Not modelled If the answer in C0140 is ‘Modelled’ then this must be set to ‘Not modelled’. Otherwise it should be set to ‘Modelled’ if the specified risk in each row is covered in the Non-Life risk module. |
| R0700-R0770/C0170 | Life and Health | One of the options in the following closed list shall be used: 1 – Modelled 2 – Not modelled If the answer in C0140 is ‘Modelled’ then this must be set to ‘Not modelled’. Otherwise it should be set to ‘Modelled’ if the specified risk in each row is covered in the Life & Health risk module. |
| R0700-R0770/C0180 | Operational | One of the options in the following closed list shall be used: 1 – Modelled 2 – Not modelled If the answer in C0140 is ‘Modelled’ then this must be set to ‘Not modelled’. Otherwise it should be set to ‘Modelled’ if the specified risk in each row is covered in the Operational risk module. |
| R0700-R0770/C0190 | Other | One of the options in the following closed list shall be used: 1 – Modelled 2 – Not modelled If the answer in C0140 is ‘Modelled’ then this must be set to ‘Not modelled’. Otherwise it should be set to ‘Modelled’ if the specified risk in each row is covered in another risk module not mentioned here. |
S.26.09 – Internal model: Market and Credit risk – for financial instruments
General comments:
This section relates to annual submission of information for individual entities.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and insurance and reinsurance undertakings.
If not indicated differently, ‘Solvency II values’ shall be used, i.e. applying the valuation principles set out in the Directive2009/138/EC, Delegated Regulation (EU) 2015/35, Technical Standards issued under Directive 2009/138/EC and EIOPA Guidelines.
This template covers the market and credit risk arising from the level or volatility of market prices of financial instruments, which have an impact upon the value of assets and liabilities of the undertaking or the group. Credit risk covers the usual three facets ‘spread’, ‘migration’ and ‘default’.
The figures shall include the impact on assets and liabilities including any impacts on the options and guarantees and on future discretionary benefits for policyholders (‘loss absorbing capacity of technical provisions’).
The figures shall not include the loss absorbing capacity of deferred taxes.
The template consists of three main building blocks:
-
- ‘General information’ on few key aspects of the modelling approach
-
- ‘Stand-alone capital requirements for market and credit risk and supplementing distribution data’
-
- ‘Sensitivities and exposure data’
S.26.09.01.01: General information
Regarding market and credit risk models three facts on the modelling approach and scope are requested here, as these are important for the analysis of data, namely: Whether the model includes a ‘dynamic volatility adjustment’ (DVA) and whether the model includes ‘ageing effects’ and if non-financial instruments are covered in credit risk. For further details see below.
S.26.09.01.02: Stand-alone capital requirements for market and credit risk and supplementing distribution data
Based on the requirements of Article 228 of the Delegated Regulation (EU) 2015/35, the probability distribution forecast underlying the internal model shall assign probabilities to changes in either the amount of basic own funds of the insurance or reinsurance undertaking or to other monetary amounts, such as profit and loss, provided that those monetary amounts can be used to determine the changes in basic own funds. The exhaustive set of mutually exclusive future events, referred to in Article 13(38) of Directive 2009/138/EC, shall contain a sufficient number of events to reflect the risk profile of the undertaking.
In template S.26.09.01.02, internal model users are requested to provide certain basic statistical values from the distribution of own funds impacts associated with the ‘probability distribution forecast’ when restricting the events to those associated with a certain type of risk only (‘stand-alone risk’ or ‘marginal risk’). For example, the ‘marginal risk’ for interest rates would especially cover changes in the level of the interest rate, but, inter alia, the value of equity would typically not be changed in the simulations.
S.26.09.01.02 covers the typical sub-risks of market and credit risk and requires figures in two subsets:
- I. ‘SCR’ like figures taking into account ‘long-term guarantee measures’ similar to the template S.22.01:
These figures should be associated with the 99,5 % VaR under the risk measure used for the calculation of the Solvency Capital Requirement (SCR). Broadly speaking, you are expected to apply your modelled ‘SCR definition’ to the basic own funds without eligibility restrictions and without the loss absorbing capacity of deferred taxes. Hence requested figure might differ from the 0,5 % sample quantile on the simulated impacts (with negative sign), owing to the statistical estimator for the 0,5 percentile (e.g. including any interpolation or smoothing scheme).
For the purpose of these reporting requirements this value is called the ‘modelled VaR’ (mVaR) for the 99,50 % of basic own funds.
This ‘mVaR 99,50 %’ is requested for the following variations of the ‘long-term guarantee measures’ (LTGM):
- — mVaR 99,50 % including all LTGM you regularly apply
- — mVaR 99,50 % without transitional on technical provisions
- — mVaR 99,50 % without transitional on interest rates
- — mVaR 99,50 % without volatility adjustment (VA) and without transitionals
- — mVaR 99,50 % without matching adjustment (MA) and without all the other LTGMs
- II. Basic statistical data from the ‘marginal distribution’
From the distribution for the marginal risk under consideration provide the impacts associated with the following data. These values should be directly taken from the distribution, i.e. in case the mVaR would be different from the 99,50 % quantile, please provide the figures without allowing for features from your statistical estimator:
- — Mean
- — Standard deviation
- — Impacts corresponding to the mVaR for the identified quantiles
S.26.09.01.03: Sensitivities and exposure data
In template S.26.09.01.03, data is requested which should support the analysis of results and risk profile, namely ‘sensitivities’ of the own funds and ‘exposure’ information with respect to market and credit risk for financial instruments.
S.26.09.01.03 for each of the sub-risks covered by S.26.09.01.02 asks for exposure data in the base case and under certain stressed scenarios. Exposure data is the Solvency II value of the following items but only for those entries under these items, which are subject to the respective risk:
- — Assets
- — Liabilities
- — Assets minus Liabilities
- — Assets excl. Unit-linked
- — Liabilities excl. Unit-linked
- — Assets excl. Unit-linked minus Liabilities excl. Unit-linked
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| General information | General information | General information |
| C0010/R0010 | Type of VA used | Identifies whether the undertaking applies a Volatility Adjustment (VA) in the calculation of the SCR, and in case of ‘yes’, identifies whether changes of the VA over the 1-year-time-horizon of Solvency II are anticipated (‘dynamic VA’) or not (‘constant VA’). One of the options in the following closed list shall be used: 1 – No VA 2 – Constant VA 3 – Dynamic VA |
| C0010/R0020 | Type of shock model for market risk | For market and credit risk, internal models regarding the 1-year-time-horizon of Solvency II roughly follow two approaches. Instantaneous shock models or a projection over 1 year, at the end of which e.g. a bond with two years maturity at the beginning of the projection would have a maturity of one year. The undertaking is asked to answer the question for ‘market risk’. One of the options in the following closed list shall be used: 1 – Instantaneous shock model 2 – Projection model |
| C0010/R0030 | Type of shock model for credit risk | For market & credit risk, internal models regarding the 1-year-time-horizon of Solvency II roughly follow two approaches. Instantaneous shock models or a projection over 1 year, at the end of which e.g. a bond with two years maturity at the beginning of the projection would have a maturity of one year. The answer should be given for ‘credit risk’. One of the options in the following closed list shall be used: 1 – Instantaneous shock model 2 – Projection model |
| C0010/R0040 | Coverage of non-financial instruments | Identifies whether credit risk for non-financial instruments is covered in the tables 2 and 3 and to which extent. One of the options in the following closed list shall be used: 1 – No 2 – Fully 3 – Partial The choice relates mainly to the approach of modelling ‘credit event’ risk, i.e. ‘migration’ and ‘default’. Especially so called ‘credit portfolio models’ cover not only investments but for example also reinsurance, receivables and also off-balance sheet items. The corresponding information is relevant for the interpretation of credit risk related line R12 to R17 in table 2 (‘marginal risks’, S.26.09 R0150 to R0200) and for table 3 (‘combined risks’, to S.26.09 R0010 to R0030). |
| STAND ALONE MARKET AND CREDIT RISK: ‘SCR’ AND DISTRIBUTION DATA | STAND ALONE MARKET AND CREDIT RISK: ‘SCR’ AND DISTRIBUTION DATA | STAND ALONE MARKET AND CREDIT RISK: ‘SCR’ AND DISTRIBUTION DATA |
| C0020-C0060/R0040 | Interest rate risk sum | Sum of the respective values of C0020-C0060/R0060 and C0020-C0060/R0070. |
| C0020-C0300/R0050 | Interest rate risk sum of which: Interest rate risk diversified | Within the market & credit risk, the interest rate risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the term structure of interest rates, or in the volatility of interest rates. It does not comprise the sensitivity to any of the facets of credit risk. In this line, only diversification between changes in the term structure of interest rates and changes in the volatility of interest rates should be taken into account. |
| C0020-C0300/R0060 | Interest rate risk sum of which: Interest rate risk | This risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the term structure of interest rates, but neither changes in the volatility of interest rates nor any facets of credit risk. |
| C0020-C0300/R0070 | Interest rate risk sum of which: Interest rate volatility risk | This risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the volatility of interest rates but no facets of credit risk. |
| C0020-C0300/R0080 | Inflation risk | Within the market and credit risk, this risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the inflation. As inflation in certain internal models is also allowed for e.g. in the underwriting risk, please ensure, that there is no double-counting. |
| C0020-C0060/R0090 | Equity risk sum | Sum of the respective values of C0020-C0060/R0110 and C0020-C0060/R0120. |
| C0020-C0300/R0100 | Equity risk sum of which: Equity risk diversified | Within the market and credit risk, the equity risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the level, or in the volatility of market prices of equities. In this line, diversification between changes in the level and changes in the volatility of market prices should be taken into account. |
| C0020-C0300/R0110 | Equity risk sum of which: Equity risk | Equity risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the level of market prices of equities. |
| C0020-C0300/R0120 | Equity risk sum of which: Equity volatility risk | Equity volatility risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the volatility of market prices of equities. |
| C0020-C0300/R0130 | Property risk | Within the market & credit risk, the property risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the level, or in the volatility of market prices of real estate. Differently from e.g. equity risk no split in ‘level’ and ‘volatility’ is requested. |
| C0020-C0300/R0140 | Currency risk | Within the market and credit risk, the currency risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the level, or in the volatility of currency exchange rates. Differently from e.g. equity risk no split in ‘level’ and ‘volatility’ is requested. |
| C0020-C0060/R0150 | Credit risk sum | Sum of the respective following values: — Credit Event Risk (‘migration and default’) (R0170) — Credit Spread risk ‘Government and central banks’ (R0190) — Credit Spread risk other (R0200) If the split in ‘Government and central banks’ (R0190) and ‘other’ (R0200) is not available in the model, please use ‘Credit Spread Risk’ (R0180) instead in the sum. |
| C0020-C0300/R0160 | Credit risk sum of which: Credit risk diversified | Within the market and credit risk, the credit risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the value of assets due to changes in credit spreads or credit migration or by credit default. In this line, diversification between changes in credit spreads or credit migration or credit default should be taken into account. Credit risk shall be given according to the scope as defined in the internal model and could cover only financial instruments or could cover any assets and also off-balance sheet items. |
| C0020-C0300/R0170 | Credit risk sum of which: Credit event risk (‘migration and default’) | Credit event risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the value of assets due to changes in credit migration or by credit default. Diversification between credit migration and credit default should be taken into account. Credit risk shall be given according to the scope as defined in the internal model and could cover only financial instruments or could cover any assets and also off-balance sheet items. |
| C0020-C0300/R0180 | Credit risk sum of which: Credit Spread risk | Credit spread risk comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the value of financial instruments due to changes in spreads over the risk-free term structure which are not owed to migration or (partial) default. |
| C0020-C0300/R0190 | Credit Spread risk – Spread risk ‘Government and central banks’ | Credit spread risk ‘Government and central banks’ comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the value of financial instruments issued by governments and central banks due to changes in spreads over the risk-free term structure which are not owed to migration or (partial) default. The following list enumerates the CIC codes of the asset classes that are attributed to government or central banks: 13, 14, 15, 16, 17, 19. The CIC codes 13 and 14 were used to identify bonds issued by Regional government and local authorities (RGLA). RGLA should be allocated to government portfolio if they are listed in the Commission Implementing Regulation (EU) 2015/2011 and otherwise to non-financial corporate portfolio according to their credit quality step. |
| C0020-C0300/R0200 | Credit Spread risk other | Credit spread risk ‘other’ comprises the sensitivity of the values of assets, liabilities and financial instruments to changes in the value of financial instruments not issued by governments and central banks due to changes in spreads over the risk-free term structure which are not owed to migration or (partial) default. |
| STAND ALONE MARKET AND CREDIT RISK: Combined market and credit risk | STAND ALONE MARKET AND CREDIT RISK: Combined market and credit risk | STAND ALONE MARKET AND CREDIT RISK: Combined market and credit risk |
| C0020-C0060/R0020 | Market and credit risk diversified | In this line, please provide data for the combined market and credit risk, i.e. the risk arising from the level or volatility of market prices of assets, which have an impact upon the value of assets and liabilities of the undertaking or the group. Credit risk covers the usual three facets ‘spread’, ‘migration’ and ‘default’. Credit risk shall be given according to the scope as defined in the internal model and could cover only financial instruments or could cover any assets and also off-balance sheet items. |
| C0020-C0060/R0010 | Market and credit risk sum (level 2 components) | Sum of the respective following values: — Interest rate risk diversified (R0050) — Inflation risk (R0080) — Equity risk diversified (R0100) — Property risk (R0130) — Currency risk (R0140) — Credit risk sum (R0150) |
| C0020-C0060/R0030 | Market and credit risk diversification | Amount corresponding to the difference between C0020-C0060/R0020 and C0020-C0060/R0010. This amount should be reported as a negative value. |
| STAND ALONE MARKET AND CREDIT RISK: Sensitivities & exposure data | STAND ALONE MARKET AND CREDIT RISK: Sensitivities & exposure data | STAND ALONE MARKET AND CREDIT RISK: Sensitivities & exposure data |
| C0310-C0360/R0210 | Exposure sensitive to interest rates – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to interest rate risk. |
| C0310-C0360/R0220 | Interest Rates (parallel shift all maturities) by –100 bps | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a parallel –100 bps shift on interest rates for all maturities. This shift impacts all maturities not only those before the ‘last liquid point’ (LLP). |
| C0310-C0360/R0230 | Interest Rates (parallel shift all maturities) by + 100bps | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a parallel + 100 bps shift on interest rates for all maturities. Please note that this shift impacts all maturities not only those before the ‘last liquid point’ (LLP). |
| C0310-C0360/R0240 | Interest Rates (parallel shift all maturities) by –50bps | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a parallel –50 bps shift on interest rates for all maturities. Please note that this shift impacts all maturities not only those before the ‘last liquid point’ (LLP). |
| C0310-C0360/R0250 | Interest Rates (parallel shift all maturities) by + 50bps | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a parallel + 50 bps shift on interest rates for all maturities. Please note that this shift impacts all maturities not only those before the ‘last liquid point’ (LLP). |
| C0310-C0360/R0260 | Exposure sensitive to inflation rates – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to inflation risk. |
| C0310-C0360/R0270 | Inflation rates -100bps | Solvency II value of the exposure subject to inflation risk as specified above but under the scenario of a decrease of -100 bps on inflation rates. This sensitivity should be applied in line with the internal models definition and allocation of inflation risk. |
| C0310-C0360/R0280 | Inflation rates + 100bps | Solvency II value of the exposure subject to inflation risk as specified above but under the scenario of an increase of + 100 bps on inflation rates. This sensitivity should be applied in line with the internal models definition and allocation of inflation risk. |
| C0310-C0360/R0290 | Exposure sensitive to credit spreads – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to credit spread risk. |
| C0310-C0360/R0300 | Spread (uniform shift all maturities and assets) -100 bps | Solvency II value of the exposure subject to credit spread risk as specified above but under the scenario of uniform shift in credit spreads for all maturities and assets by -100 bps. |
| C0310-C0360/R0310 | Spread (uniform shift all maturities and assets) + 100 bps | Solvency II value of the exposure subject to credit spread risk as specified above but under the scenario of uniform shift in credit spreads for all maturities and assets by + 100 bps. |
| C0310-C0360/R0320 | Exposure sensitive to equity level risk – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to equity level risk. |
| C0310-C0360/R0330 | Equity (uniform shift in values) – 30 % | Solvency II value of the exposure subject to equity level risk as specified above but under the scenario of uniform decrease in values by – 30 %. |
| C0310-C0360/R0340 | Equity (uniform shift in values) + 30 % | Solvency II value of the exposure subject to equity level risk as specified above but under the scenario of uniform increase in values by + 30 %. |
| C0310-C0360/R0350 | Exposure sensitive to Property risk – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to property risk. |
| C0310-C0360/R0360 | Property (uniform shift in values) – 30 % | Solvency II value of the exposure subject to property risk as specified above but under the scenario of uniform decrease in values by – 30 %. |
| C0310-C0360/R0370 | Property (uniform shift in values) + 30 % | Solvency II value of the exposure subject to property risk as specified above but under the scenario of uniform increase in values by + 30 %. |
| C0310-C0360/R0380 | Exposure sensitive to Currency risk – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to currency risk. |
| C0310-C0360/R0390 | Currency (uniform shift in exchange rates) – 10 % | Solvency II value of the exposure subject to currency risk as specified above but under the scenario of uniform decrease in exchange rates by – 10 %. |
| C0310-C0360/R0400 | Currency (uniform shift in exchange rates) + 10 % | Solvency II value of the exposure subject to currency risk as specified above but under the scenario of uniform increase in exchange rates by + 10 %. |
| C0310-C0360/R0410 | Exposure sensitive to interest rate volatility – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to interest rate volatility risk. |
| C0310-C0360/R0420 | Interest rate volatility down – 25 % | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a decrease of interest rate volatility by – 25 %. This shift is a parallel shift of the whole volatility surface for log-normal and normal vols. Only one of the rows R0420 or R0430 may be reported. |
| C0310-C0360/R0430 | Interest rate volatility down –20 bp for normal vols | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a decrease of interest rate volatility by –20 bp for normal vols. This shift is a parallel shift of the whole volatility surface for log-normal and normal vols. Only one of the rows R0420 or R0430 may be reported. |
| C0310-C0360/R0440 | Interest rate volatility up + 25 % | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of an increase of interest rate volatility by + 25 %. This shift is a parallel shift of the whole volatility surface for log-normal and normal vols. Only one of the rows R0440 or R0450 may be reported. |
| C0310-C0360/R0450 | Interest rate volatility up + 20 bp for normal vols | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of an increase of interest rate volatility by + 20 bp for normal vols. This shift is a parallel shift of the whole volatility surface for log-normal and normal vols. Only one of the rows R0440 or R0450 may be reported. |
| C0310-C0360/R0460 | Exposure sensitive to equity volatility – base case/no shock | Solvency II value in the Solvency II balance sheet at the key date of the exposure as specified above and subject to equity volatility risk. |
| C0310-C0360/R0470 | Equity volatility down –25 % | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of a decrease of equity volatility by –25 %. |
| C0310-C0360/R0480 | Equity volatility up + 25 % | Solvency II value of the exposure subject to interest rate risk as specified above but under the scenario of an increase of equity volatility by + 25 %. |
S.26.10 – Internal model: Credit event risk – portfolio view details
General comments:
This section relates to annual submission of information for individual entities.
This template shall be reported based on availability of data according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and insurance and reinsurance undertakings.
The following data requirements ask for six kinds of views on the asset portfolio which is subject to credit migration and credit default risk from a portfolio perspective. All kinds of exposures are covered, especially investments and reinsurance.
The four main views are:
- — Top 10 exposures in terms of impact on SCR
- — Top 10 exposures in terms of market value
- — Split by asset classes
- — Split by credit quality steps (CQS)
Regarding the top 10 exposures, each are required in two metrics:
- — ‘group’, i.e. exposure ranking among groups of connected counterparties
- — ‘single’, i.e. counterparties stand alone
Example: An undertaking A has the following contractual relations with undertakings of an insurance group G. And A is not part of group G: (1) A has a reinsurance contract with undertaking R in group G, (2) A holds shares of the paid in capital for R and (3) A holds a loan issued by a life insurer L in group G in its asset portfolio. The blocks ‘group’ would show the three exposures combined. The blocks ‘single’ would show those separately: (1) and (2) combined for counterparty R and (3) for counterparty L.
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